A utilização do modelo de Black-Scholes e suas extensões na precificação de opções é bastante difundida tanto na academia quanto no mercado financeiro. O objetivo deste trabalho foi avaliar o desempenho de um modelo alternativo de precificação de opções em relação ao do modelo de Black na precificação de opções sobre futuro de dólar. Mais especificamente, a partir de hipóteses sobre o comportamento agregado da economia, da trajetória de preços de ativos e das preferências a risco dos agentes econômicos, é possível reconciliar uma condição de equilíbrio parcial, necessária para a precificação de opções, com uma condição de equilíbrio geral da economia. Essa reconciliação é obtida a partir da escolha cuidadosa de pares de preferências a risco e distribuições e possibilita a obtenção do preço de equilíbrio livre de preferências de um derivativo lançado sobre um dado ativo-objeto. O presente estudo utiliza os resultados de uma generalização recente feita por Câmara (2003), que demonstrou como distribuições e preferências podem ser combinadas de forma que se obtenham fórmulas fechadas para precificação de opções. Particularmente, assume-se que os preços do contrato futuro de dólar possuem distribuição lognormal com assimetria negativa, hipótese que resulta em uma fórmula alternativa de precificação de opções lançadas sobre esse contrato. O modelo obtido foi matematicamente contrastado com o modelo de Black, o que possibilitou que as implicações nos preços das opções, resultantes da premissa de assimetria negativa, fossem evidenciadas. Os desempenhos dos modelos foram comparados com base nos preços de mercado das opções. Os resultados alcançados sugerem que , em geral, o modelo de Black apresenta desempenho melhor que o modelo alternativo na precificação de opções sobre futuro de dólar. / The utilization of the Black-Scholes option pricing model is widespread, in both the academe and the market. Additionally, the literature related to its generalizations and adaptations is vast. Of particular importance are works concerning new sufficient conditions for existing risk-neutral option pricing equations. Under a new set of propositions on distributions and preferences, Câmara (2003) derived new analytical solutions for the price of European-style contingent claims. The objective of the present study was to adapt and test an option pricing model that was derived by Câmara (2003). Particularly, the tested model assumes that the underlying asset, in this case the US dollar futures contract traded on the Brazilian Mercantile & Futures Exchange, follows a negatively skew lognormal distribution. The performance of the alternative model was compared to that of the Black model, the standard model used in the market to price such options. More specifically, the performances of both models were measured against the market prices of US dollar futures options. Also, considerations about the validity of the negative skew lognormal hypothesis were made and a mathematical analysis of the differences in the prices generated by the two models was carried out. In the end, although the alternative model produces, in some cases, prices that are closer to the market’s, the evidences suggest that, in general, the Black model performs better than the alternative one.

Orientador: Eduardo Barros Mariutti / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-22T16:05:36Z (GMT). No. of bitstreams: 1 Marchetto_BrunoQueiroz_M.pdf: 758262 bytes, checksum: f469466ab46d60dbac7a54b69302d82d (MD5) Previous issue date: 2013 / Resumo: Os efeitos da chamada "Era da Catástrofe" (1914-45) demandaram uma reforma radical nas diretrizes que nortearam a economia mundial no fim do século XIX: o laissez faire cedeu lugar à imposição de controles sociais sobre o mercado, orquestrados em grande medida pelos EUA. A materialização disto, no plano monetário-financeiro, foi à criação do sistema de Bretton Woods. Coube ao plano Marshall, mediante uma expansão da liquidez, dar o impulso inicial aos "Anos Dourados", fase de extraordinário crescimento econômico amparado pela busca do pleno emprego e pela sustentação da demanda. Os anos 1970 marcam a desarticulação deste arranjo internacional. Pretendemos analisar a estratégia monetário-financeira articulada pelos EUA no início da década de 1970, o que, no médio prazo, possibilitou a restauração de sua posição dominante no cenário internacional, promovendo, de forma correlata, a difusão do neoliberalismo e da financeirização. O ponto-chave de nossa análise está nas medidas adotadas pelos EUA para deslocar para seus "aliado-rivais" (Europa Ocidental e Japão) e para a periferia os efeitos adversos do "choque do petróleo", fato que tornou possível restaurar a sua liderança nos setores de ponta da indústria, que caracterizaram a Terceira Revolução Industrial. Partimos da hipótese que os EUA usaram fundamentalmente do seu poder político para deslegitimar as instituições multilaterais (o FMI e OCDE) que poderiam ter sido mobilizadas para conter a crise / Abstract: The "age of catastrophe" (1914-45) effects demanded radical reforms on the guidelines which shaped the world economy in the last years of the nineteenth century: the laissez faire was replaced by the imposition of social controls to the market mechanisms, process which was led, to a great extent, by US. The reflects of this movement, in the monetary and financial fields, was the creation of the Bretton Woods System. The Marshall Plan, through a liquidity expansion, gave the initial impulse to what came to be known as "the golden age of capitalism", a period of extraordinary economic growth characterized by the seek of the full employment and by the demand sustainment. The seventies began with the disarticulation of this international arrangement. We pretend to analyze the financial and monetary strategy articulated by the US in the begging of the seventies, what, in the middle run, made possible to this country to restore its dominant position on the international scenario, promoting, moreover, the neoliberalism diffusion and the "financialization" process. Our key point in this paper is the movements adopted by the US in order to dislocated to its "allies-rivals" (Western Europe and Japan) and to the periphery the adverse effects of the First Petroleum Chock (1973). The hypothesis assumed here is that the US basically used its political power to weaken the legitimacy of the multilateral institutions (the IMF and OEDC), which could have been mobilized to restrain the crisis / Mestrado / Historia Economica / Mestre em Desenvolvimento Econômico

Context. Prioritization is essential part of requirements engineering, software release planning and many other software engineering disciplines. Cumulative Voting (CV) is known as relatively simple method for prioritizing requirements on a ratio scale. Historically, CV has been applied in decision making in government elections, corporate governance, and forestry. CV prioritization results are special type of data - compositional data. Any analysis of CV results must take into account the compositional nature of the CV results. Objectives. The purpose of this study is to aid decision making by collecting knowledge on the empirical use of CV and developing a method for detecting prioritization items with equal priority. Methods. We present a systematic literature review of CV and CV result analysis methods. The review is based on search in electronic databases and snowball sampling of the primary studies. Relevant studies are selected based on titles, abstracts, and full text inspection. Additionally, we propose Equality of Cumulative Votes (ECV) { a CV result analysis method that identifies prioritization items with equal priority. Results. CV has been used in not only in requirements prioritization and release planning but also in software process improvement, change impact analysis, model drive software development, etc. The review has resulted in a collection of state of the practice studies and CV result analysis methods. CV results can be analysed to detect stakeholder satisfaction and disagreement, see how the priorities differ among prioritization perspectives and stakeholder groups. ECV has been applied to 27 prioritization cases from 14 studies and has identified nine groups of equal items in three studies. Conclusions. We believe that collected studies and CV result analysis methods can help the adoption of CV prioritization method. The evaluation of ECV indicates that it is able to detect prioritization items with equal priority.

Vertebrate populations are subjected to novel anthropogenic stressors that are expected to multiply exponentially in the future. Introductions of nonnative species and human-altered hydrology are among these stressors to native species communities. The Rocky Glades, located in Everglades National Park, may serve as a population sink for native species that typically do not survive the altered hydrology of the dry season, and as a source of nonnative species that may be better adapted to chronically stressful conditions. In the seasonally-flooded Everglades, the nonnative African Jewelfish invaded in the 1960s and has since shown rapid range expansion. African Jewelfish are aggressive and territorial, thus they are predicted to be more successful at acquiring space and resources, and may displace native Sunfishes. I monitored assemblages of fish across time in experimental mesocosms and solution holes and quantified survivorship and body condition of both natives and nonnatives. Overall, native Sunfish did poorly while nonnatives had higher survivorship over the course of the dry season. Unexpectedly, no evidence indicated that Jewelfish reduced survival of native Sunfish. I compared aggressive interactions between native Dollar Sunfish and nonnative African Jewelfish in Sunfish populations either sympatric or allopatric with Jewelfish. Sympatric Dollar Sunfish were twice as likely to approach African Jewelfish as allopatric ones. My study suggests native species can survive invasion through behavioral adaptation to nonnative competitors. Characterizing interactions between native and nonnative species and identifying their niche use can assist in understanding the challenges of native species conservation in the face of species invasions.

Through an analysis of the presence and nature of international monetary flows of non-declared origin and their relation to deviant knowledge, the thesis determines that both terrorism and organised crime are nurtured by a constant trickle from minor sources rather than by large financial transfers; and that anti-money laundering provisions are misapplied, taken too far, too expensive, and incapable of demonstrating their effectiveness. In lieu of more traditional policy recommendations, the thesis develops a complexity-theory based intelligence function, capillary intelligence, to improve the present information-gathering systems and generate consistent and context-relevant intelligence for the consideration of policy-makers. The intelligence function takes into account also the concept of self-organised criticality. The thesis fully adheres to the principle that efficiently applied intelligence-led approaches for detection of organised crime are demonstrably superior to a 'follow the money' approach. An extended concept of deviant knowledge is developed and five methodological techniques employed: Complexity theory, network theory, self-organised criticality, scaling theory, and intelligence treatment. The thesis is multidisciplinary and calls on contributions from International Law, Economics, Criminal Justice Studies, and Governance and Ethics. Its approach is illustrative and fits Baudrillard's 1981 methodological principles known as bricolage. Using five methodologies and six major case studies, the thesis reaches four conclusions. First, the rapid expansion in the currency component of the US money supply (M1) has no domestic explanation and can best be explained by an increase in overseas illegal traffics of various sorts. Second, terrorism and major organised crime are, for a large part, nurtured by a constant trickle of funds originating from minor crime, such as, respectively, smuggling of tobacco product and retail fencing, and sale of counterfeit luxury goods. Third, calculation of the cost of the application of anti-money laundering shows these to be cost-inefficient, apart from being highly intrusive. The thesis' calculations as well as prior literature makes it certain that such provisions, although inefficient, are enforced in a forceful exemplification of the deviant knowledge concept. Fourth, the thesis demonstrates the importance of organised crime in resource depletion and emphasises the nefarious consequences of such criminal behaviour, in particular as regards deforestation, since organised crime can apply the necessary pressure on the local population - in conjunction with extensive corruption of police or military personnel - and provide the managerial expertise to have the trees felled, transported internationally by ship and sold in another country often with false documentation as to the origins of the forest product. In a final case study, the tragic concept of resource curse is considered, in casu the island of Bougainville, PNG.

The main aim of my thesis is to describe the development of the American dollar's position within the historical background, its role in a globalized economy and analyze the current position of the dollar as the world's leading currency. The thesis is divided into three parts. First part is dedicated to the theoretical background concerning exchange rates and currency regimes. The second chapter considers the history of the international monetary system with the relation to the dollar. The third chapter analyzes the current situation and characteristics determining the role of American dollar. This chapter also describes some problems of American economy, analyses exchange rate of dollar against Euro and gives possible forecast of dollar's position for the future.

This master thesis deals with a number of international processes in terms of geoeconomics. The main goal of this work is to research the position of dollar, ruble and petroleum in geoeconomic processes. At first goes the analysis of the current condition of the United States dollar, the assessment of exposure level of the system to other countries to establish the real role of the U.S. Federal Reserve. Then goes the analysis of the current status of Russian ruble and the Central Bank of Russian Federation. A large part of the work is devoted to petroleum as a basic raw material at present and its relations to U.S. dollar. At the end is the assessment of the U.S. dollar prospects in the 21 century and possible solutions, which will probably help to eliminate the negative consequences in case of using dollar as the dominant financial system in the world.

This thesis maps the role of the U.S. dollar as an international currency with a main focus on the second half of the 20th century and the role of dollar in the world economy. The thesis spans from the end of the Second World War to the eve of the last global financial crisis. The thesis documents, how dollar became the leading international currency during the Bretton Woods system era. Although the inner conflicts led to breakup of the system, dollar remained the most important currency. Despite many attempts, a successful reform of the international monetary system never happened since then. In the last 30 years, the uncoordinated U.S. monetary policy led to rapid growth of imbalances in the world economy and consequently to the 2007/08 Financial crisis. The thesis shows that the viable reform can build on the original plan of John M. Keynes, which prepared for the Bretton Woods conference.

The aim of this master thesis is to create investing stock portfolio using value screening, money aggregate MZM and stock prices of chosen companies. Funding is realized by Dollar-cost averaging method. First part introduces reader to stocks and its place at financial market. Afterwards comes introduction to investments and applied Dollar-cost averaging method and authors customisations of this method. Final part contains results of customised Dollar-cost averaging method and suggestion for its usage at financial market.

Tměj, Petr. Investment methods for investing in equity mutual funds, Diploma thesis. Brno: Mendel University, 2016. Diploma thesis is focused on testing of investments methods dollar cost averaging and one-time investment of selected mutual funds in years 2004 - 2014. Literature review describe terms which are related with issues of collective investments. Practical part is focused on analysis and comparison investment methods, comparison selected benchmarks indexes with equity mutual funds and comparison currency risk with fixed currency. In conclusion there are recommendations for using of investment methods one - time investment and dollar cost averaging.