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A teoria de opções propicia um vasto campo de aplicações. No Brasil, a aplicação desta teoria à estabilidade financeira vem se tornando cada vez mais favorável: 1) pela relativa estabilidade da economia, 2) pela determinação do Banco Central do Brasil no sentido de controlar o risco das instituições financeiras e 3) pelo natural desenvolvimento do mercado financeiro brasileiro. Esta tese está dividida em três ensaios e os dois primeiros focaram numa abordagem de poder de previsão. No primeiro, compararam-se volatilidades estimadas por diferentes modelos vis-à-vis a volatilidade realizada e encontrou-se alguma evidência empírica de que as implícitas do modelo de Vasicek-Estendido são informacionalmente superiores às dos outros modelos. No segundo, mostrou-se que é possível utilizar medidas da classe “distância ao default" para atribuir classificação de risco a bancos dentro do setor bancário brasileiro. No terceiro ensaio, analisou-se a nova Lei de Falência usando a teoria de opções e a teoria dos contratos. Conclui-se dos três ensaios que a teoria de opções é uma boa ferramenta para avaliar questões de estabilidade financeira. / The option pricing theory provides a myriad of applications. In Brazil, the application of this theory to financial stability is becoming more and more favourable: 1) for the increasing stability of the economy, 2) for the commitment of the Central Bank of Brazil in controlling the risk of the financial institutions and 3) for the development of the Brazilian financial market. This thesis is divided in three essays and the first two focused on a predictive-power approach. In the first one, volatilities estimated by different models were compared vis-à-vis the realized volatility and we obtained some empirical evidence that the Extended-Vasicek’s implied volatility is informationally superior to the other models’. In the second one, it was argued that it is possible to use measures of the class “distance to default" in order to rank the banks of the Brazilian banking sector in terms of risk. In the third essay, the new Brazilian Bankruptcy Law is analysed by using the option pricing theory and the theory of contracts. The three essays conclude that the option pricing theory is a good tool to evaluate financial stability issues.

A teoria de opções propicia um vasto campo de aplicações. No Brasil, a aplicação desta teoria à estabilidade financeira vem se tornando cada vez mais favorável: 1) pela relativa estabilidade da economia, 2) pela determinação do Banco Central do Brasil no sentido de controlar o risco das instituições financeiras e 3) pelo natural desenvolvimento do mercado financeiro brasileiro. Esta tese está dividida em três ensaios e os dois primeiros focaram numa abordagem de poder de previsão. No primeiro, compararam-se volatilidades estimadas por diferentes modelos vis-à-vis a volatilidade realizada e encontrou-se alguma evidência empírica de que as implícitas do modelo de Vasicek-Estendido são informacionalmente superiores às dos outros modelos. No segundo, mostrou-se que é possível utilizar medidas da classe “distância ao default” para atribuir classificação de risco a bancos dentro do setor bancário brasileiro. No terceiro ensaio, analisou-se a nova Lei de Falência usando a teoria de opções e a teoria dos contratos. Conclui-se dos três ensaios que a teoria de opções é uma boa ferramenta para avaliar questões de estabilidade financeira. / The option pricing theory provides a myriad of applications. In Brazil, the application of this theory to financial stability is becoming more and more favourable: 1) for the increasing stability of the economy, 2) for the commitment of the Central Bank of Brazil in controlling the risk of the financial institutions and 3) for the development of the Brazilian financial market. This thesis is divided in three essays and the first two focused on a predictive-power approach. In the first one, volatilities estimated by different models were compared vis-à-vis the realized volatility and we obtained some empirical evidence that the Extended-Vasicek’s implied volatility is informationally superior to the other models’. In the second one, it was argued that it is possible to use measures of the class “distance to default” in order to rank the banks of the Brazilian banking sector in terms of risk. In the third essay, the new Brazilian Bankruptcy Law is analysed by using the option pricing theory and the theory of contracts. The three essays conclude that the option pricing theory is a good tool to evaluate financial stability issues.

Cloud computing at a high level comprises of the availability of hardware, software and technical support via a network protocol to a remote client on a pay-per-use basis. Businesses using Cloud resources has been increasing steadily in the very recent past and the number of Cloud service providers (CSP) are increasing as well. The challenges that characterize a Cloud data center include: on-demand service, elasticity, resources pooling, broad network access, service meters. As the customer base is in creasing and their resource requirement and usage pattern has been becoming highly volatile, proper utilization of the resources and generating revenue by appropriately charging the clients for their uses has become an even more challenging research problem. In other words, Cloud resource pricing has emerged as an important and pressing problem to study for ever increasing utility of Cloud computing. Literature review reveals that there are economy-based models (cash flow, net present value etc.) used for charging mechanism suggested by many researchers. Most of these models are rigid that they are not build with the core of Cloud - elasticity in mind. Also, the economic models do not provide flexibility of the economy of scale to either increase or decrease the resource requirement and appropriately charge for such increase or decrease in resource use. For my thesis, I have designed and developed a Cloud resources pricing model that satisfies two important constraints: the dynamic ability of the model to provide a high satisfaction guarantee measured as Quality of Service (QoS) - from users perspectives, and profitability constraints - from the Cloud service providers perspectives. I have employed financial option theory and treated the Cloud resources as underlying assets to capture the realistic value of the Cloud Compute Commodities (C3). I have priced the Cloud resources using my model. Through this research, I show that the Cloud parameters can be mapped to financial economic model and that this model can be effectively implemented for resource pricing purpose. I discuss the results of pricing Cloud Compute Commodities (C3) for various input parameters, such as the age of the resource and quality of service. / February 2016

Este trabalho de pesquisa quantitativa em gestão de operações de seguradoras apresenta o desenvolvimento de modelos matemáticos para apreçamento de opções embutidas em produtos de previdência. O problema de pesquisa se refere à opção concedida aos participantes de planos de previdência aberta, que permite a conversão de um saldo futuro de poupança em renda vitalícia sobre condições pré-estabelecidas. Os modelos apresentados têm o intuito de determinar o valor e as sensibilidades do passivo gerado, considerando os riscos financeiros envolvidos. O problema é tratado em duas etapas. Inicialmente, apresenta-se a modelagem dos riscos assumidos pela seguradora e identificam-se as características da opção concedida, permitindo, sob hipóteses a respeito das condições de investimento e mortalidade, a utilização de modelos consolidados de apreçamento de opções financeiras na determinação do passivo em questão. Na segunda parte, analisa-se a utilização de modelos de otimização da carteira de ativos que deve proteger a instituição lançadora do passivo de eventuais oscilações no valor de suas obrigações. Além disso, aplica-se o modelo de apreçamento à determinação da taxa de carregamento para participantes representativos, analisando-se as mudanças em seu valor decorrentes de variações nas taxas de juros e nas volatilidades dos ativos objeto. Por fim, apresenta-se a aplicação dos modelos à situação real de uma empresa seguradora. A análise dos resultados obtidos mostra que, embora o valor inicial do passivo seja relativamente baixo, sua alta sensibilidade em relação às taxas de juros e as dificuldades de hedge devido ao prazo dos passivos tornam o problema relevante do ponto de vista da instituição seguradora. / This work, which consists of quantitative research within operations management, presents the development of mathematical models for pricing options embedded in Brazilian insurance retirement-related products. The problem studied refers to the financial option that an insurance company writes to its clients who purchase open ended retirement plans. Such option allows the participant to purchase, in the date of his or her retirement, an annuity under terms and conditions defined at the date the participant adheres to the plan. Models presented intend to calculate the value and sensibilities of the liability incurred, considering the financial risks involved. The problem is approached in two steps. Firstly, risks acquired by the insurance company are modeled and the characteristics of the option written to the participant are identified. This allows, under certain assumptions for investment choices and mortality behavior, the use of option pricing models traditional in Finance Theory to determine the value of liabilities. Secondly, the use of portfolio optimization models to hedge the insurance company against changes in the value of liabilities is analyzed. Moreover, the pricing model is applied to calculate the adequate fee to be applied to each contribution an individual makes to the plan (known as taxa de carregamento). Changes to such adequate fees resulting from changes in interest rate and volatility levels are also analyzed. Finally, the models presented are applied to a real problem of an insurance company. Results achieved indicate that, although the current value of liabilities is relatively small, the significant sensitivity to decreases in interest rates and hedge difficulties stemming from the long maturity of liabilities make the problem relevant from the perspective of the insurance company.

Many of the grid compute resources (CPU cycles, network bandwidths, computing power, processor times, and software) exist as non-storable commodities, which we call grid compute commodities (gcc) and are distributed geographically across organizations. These organizations have dissimilar resource compositions and usage policies, which makes pricing grid resources and guaranteeing their availability a challenge. Several initiatives (Globus, Legion, Nimrod/G) have developed various frameworks for grid resource management. However, there has been a very little effort in pricing the resources. In this thesis, we propose financial option based model for pricing grid resources by devising three research threads: pricing the gcc as a problem of real option, modeling gcc spot price using a discrete time approach, and addressing uncertainty constraints in the provision of Quality of Service (QoS) using fuzzy logic. We used GridSim, a simulation tool for resource usage in a Grid to experiment and test our model. To further consolidate our model and validate our results, we analyzed usage traces from six real grids from across the world for which we priced a set of resources. We designed a Price Variant Function (PVF) in our model, which is a fuzzy value and its application attracts more patronage to a grid that has more resources to offer and also redirect patronage from a grid that is very busy to another grid. Our experimental results show that the application of the PVF has helped achieve equilibrium between users satisfaction measured as QoS and recovery of the infrastructure investment made by the providers. In the absence of pricing benchmarks, we setup Commodity Base Prices (CBP) and then integrated our PVF and CBP with GridSim to price grid compute resources. In summary, this thesis provides the design of a model to price grid compute resources using financial options theory. The model achieves mutual benefit for users and providers in the grid environment. The mutual benefit is expressed in terms of QoS to the users and recovery of investments on the grid infrastructure for the providers. This thesis has opened up many different opportunities for further research especially in the era of enterprise computing with clouds.

Many of the grid compute resources (CPU cycles, network bandwidths, computing power, processor times, and software) exist as non-storable commodities, which we call grid compute commodities (gcc) and are distributed geographically across organizations. These organizations have dissimilar resource compositions and usage policies, which makes pricing grid resources and guaranteeing their availability a challenge. Several initiatives (Globus, Legion, Nimrod/G) have developed various frameworks for grid resource management. However, there has been a very little effort in pricing the resources. In this thesis, we propose financial option based model for pricing grid resources by devising three research threads: pricing the gcc as a problem of real option, modeling gcc spot price using a discrete time approach, and addressing uncertainty constraints in the provision of Quality of Service (QoS) using fuzzy logic. We used GridSim, a simulation tool for resource usage in a Grid to experiment and test our model. To further consolidate our model and validate our results, we analyzed usage traces from six real grids from across the world for which we priced a set of resources. We designed a Price Variant Function (PVF) in our model, which is a fuzzy value and its application attracts more patronage to a grid that has more resources to offer and also redirect patronage from a grid that is very busy to another grid. Our experimental results show that the application of the PVF has helped achieve equilibrium between users satisfaction measured as QoS and recovery of the infrastructure investment made by the providers. In the absence of pricing benchmarks, we setup Commodity Base Prices (CBP) and then integrated our PVF and CBP with GridSim to price grid compute resources. In summary, this thesis provides the design of a model to price grid compute resources using financial options theory. The model achieves mutual benefit for users and providers in the grid environment. The mutual benefit is expressed in terms of QoS to the users and recovery of investments on the grid infrastructure for the providers. This thesis has opened up many different opportunities for further research especially in the era of enterprise computing with clouds.

[pt] As employee stock options (ESOs) podem ser consideradas um dos instrumentos de remuneração e retenção mais importantes do mundo corporativo. Contudo, a crise financeira internacional desencadeada em 2008 despertou a atenção da sociedade para antigas práticas das empresas. Em particular a discussão a respeito dos pacotes de remuneração dos executivos tem ganhado cada vez mais importância. Enquanto muitos defendem que as ESOs forneceram incentivos à tomada irresponsável de decisões por parte dos executivos das grandes corporações, o presente trabalho tomou a crise mundial como motivador para apresentar uma modalidade de opção ainda pouco utilizada: a ESO com preço de exercício atrelado a um índice. Ainda que seu valor seja menor que o de uma opção tradicional, seu desenho fornece incentivos mais poderosos à tomada de decisões que visem à maximização de valor para o acionista. Neste sentido, ESOs indexadas figuram como uma interessante possibilidade na resolução do problema entre principal e agente, neste caso representado pelos acionistas e executivos, respectivamente. O presente trabalho apresenta e desenvolve modelos de apreçamento para ESOs indexadas em linha com as diretrizes gerais definidas pelos padrões contábeis nacionais e internacionais, tais como a política de exercício antecipado e o cancelamento de opções. O objetivo é, portanto servir como motivador para a utilização de modelos de apreçamento mais precisos por parte das empresas. / [en] Employee stock options (ESOs) can be considered one of the most important compensation and retention instruments of the corporate world. The credit crunch crisis of 2008, though, has drawn society’s attention towards certain practices of corporations. In particular, the debate over the compensation packages granted to executives has gained importance. While many stand that ESOs have given incentives to the irresponsible decisions made by large corporation executives, this dissertation takes the economic crisis as a motivator and presents an option that is still barely used: an ESO with an exercise price that follows an index. Even though the value of an indexed ESO is less than the value obtained by a traditional option, its design provides stronger incentives to decisions that maximize shareholder value. In this sense, indexed ESOs appear as an interesting alternative in solving the principal-agent problem, in this case represented by shareholders and executives, respectively. This dissertation presents and develops option pricing models for indexed ESOs that are acceptable under the general guidelines defined by national and international accounting standards; such as premature exercise and option forfeiture. The objective is therefore to motivate corporations in the adoption of more adequate pricing models.

Este trabalho de pesquisa quantitativa em gestão de operações de seguradoras apresenta o desenvolvimento de modelos matemáticos para apreçamento de opções embutidas em produtos de previdência. O problema de pesquisa se refere à opção concedida aos participantes de planos de previdência aberta, que permite a conversão de um saldo futuro de poupança em renda vitalícia sobre condições pré-estabelecidas. Os modelos apresentados têm o intuito de determinar o valor e as sensibilidades do passivo gerado, considerando os riscos financeiros envolvidos. O problema é tratado em duas etapas. Inicialmente, apresenta-se a modelagem dos riscos assumidos pela seguradora e identificam-se as características da opção concedida, permitindo, sob hipóteses a respeito das condições de investimento e mortalidade, a utilização de modelos consolidados de apreçamento de opções financeiras na determinação do passivo em questão. Na segunda parte, analisa-se a utilização de modelos de otimização da carteira de ativos que deve proteger a instituição lançadora do passivo de eventuais oscilações no valor de suas obrigações. Além disso, aplica-se o modelo de apreçamento à determinação da taxa de carregamento para participantes representativos, analisando-se as mudanças em seu valor decorrentes de variações nas taxas de juros e nas volatilidades dos ativos objeto. Por fim, apresenta-se a aplicação dos modelos à situação real de uma empresa seguradora. A análise dos resultados obtidos mostra que, embora o valor inicial do passivo seja relativamente baixo, sua alta sensibilidade em relação às taxas de juros e as dificuldades de hedge devido ao prazo dos passivos tornam o problema relevante do ponto de vista da instituição seguradora. / This work, which consists of quantitative research within operations management, presents the development of mathematical models for pricing options embedded in Brazilian insurance retirement-related products. The problem studied refers to the financial option that an insurance company writes to its clients who purchase open ended retirement plans. Such option allows the participant to purchase, in the date of his or her retirement, an annuity under terms and conditions defined at the date the participant adheres to the plan. Models presented intend to calculate the value and sensibilities of the liability incurred, considering the financial risks involved. The problem is approached in two steps. Firstly, risks acquired by the insurance company are modeled and the characteristics of the option written to the participant are identified. This allows, under certain assumptions for investment choices and mortality behavior, the use of option pricing models traditional in Finance Theory to determine the value of liabilities. Secondly, the use of portfolio optimization models to hedge the insurance company against changes in the value of liabilities is analyzed. Moreover, the pricing model is applied to calculate the adequate fee to be applied to each contribution an individual makes to the plan (known as taxa de carregamento). Changes to such adequate fees resulting from changes in interest rate and volatility levels are also analyzed. Finally, the models presented are applied to a real problem of an insurance company. Results achieved indicate that, although the current value of liabilities is relatively small, the significant sensitivity to decreases in interest rates and hedge difficulties stemming from the long maturity of liabilities make the problem relevant from the perspective of the insurance company.