Thesis (Ph. D.)--Lehigh University, 2005. / Includes vita. Includes bibliographical references (leaves 184-192).

Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2005. / Includes bibliographical references (leaves 52-54). Also available in electronic version.

Thesis (M.S)--Ohio University, November, 2004. / Title from PDF t.p. Includes bibliographical references (p. 66-71)

Thesis (M.S.)--Oregon State University, 2008. / Printout. Includes bibliographical references (leaf 24). Also available on the World Wide Web.

Robert R. Tenney. / Bibliography: p. 72-73. / "September 1981" / "ONR-N00014-77-0532"

Bernard C. Levy, John N. Tsitsiklis. / "October, 1981" / Bibliography: p. 39-41. / "This work was supported by the National Science Foundation under Grant ECS-80-12608."

by Robert R. Tenney. / "November, 1982." / Bibliography: p. 38-39. / ONR contract N00014-77-0532C (N041-519)

by Milton B. Adams, Alan S. Willsky, Bernard C. Levy. / Caption title. "March 1983." / Bibliography: leaf 8. / NSF grant ECS-8012668

Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2008. / Includes bibliographical references (leaves 79-80).

Made available in DSpace on 2014-06-11T19:23:32Z (GMT). No. of bitstreams: 0 Previous issue date: 2010-12-13Bitstream added on 2014-06-13T18:09:47Z : No. of bitstreams: 1 catalao_ab_me_ift.pdf: 811288 bytes, checksum: d4e34c59801bd92233bc9f26884a19ab (MD5) / Neste trabalho estudamos a calibração de opções de câmbio no mercado brasileiro utilizando o processo estocástico proposto por Heston [Heston, 1993], como uma alternativa ao modelo de apreçamento de Black e Scholes [Black e Scholes,1973], onde as volatilidades implícitas de opções para diferentes preços de exercícios e prazos são incorporadas ad hoc. Comparamos dois métodos de apreçamento: o método de Carr e Madan [Carr e Madan, 1999], que emprega transfomada rápida de Fourier e função característica, e expansão assintótica para baixos valores de volatilidade da variância. Com a nalidade de analisar o domínio de aplicabilidade deste método, selecionamos períodos de alta volatilidade no mercado, correspondente à crise subprime de 2008, e baixa volatilidade, correspondente ao período subsequente. Adicionalmente, estudamos a incorporação de swaps de variância para melhorar a calibração do modelo / In this work we study the calibration of forex call options in the Brazilian market using the stochastic process proposed by Heston [Heston, 1993], as an alternative to the Black and Scholes [Black e Scholes,1973] pricing model, in which the implied option volatilities related to di erent strikes and maturities are incorporated in an ad hoc manner. We compare two pricing methods: one from Carr and Madan [Carr e Madan, 1999], which uses fast Fourier transform and characteristic function, and asymptotic expantion for low values of the volatility of variance. To analyze the applicability of this method, we select periods of high volatility in the market, related to the subprime crisis of 2008, and of low volatility, correspondent to the following period. In addition, we study the use of variance swaps to improve the calibration of the model