Zugl.: Giessen, Univ., Diss., 2008

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Submitted by Fabio Tirolli de Sousa (fabio.tirolli@gmail.com) on 2016-09-02T18:26:37Z No. of bitstreams: 1 Estratégia de arbitragem estatística da variância implícita versus realizada por meio da replicação dinâmica do swap de variância no mercado de ações brasileiro.pdf: 1514163 bytes, checksum: cc43a0b3c95a6cd7176653b05d122953 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Fabio, boa tarde Por gentileza, nas páginas que constam seu nome, deve estar completo. Referente ao título, houve solicitação de alteração? Pois em ata e no protocolo o título é: SWAPS DE VARIÂNCIA NO MERCADO BRASILEIRO DE AÇÕES: VIABILIDADE DE TRADING Se não houve tal solicitação, deverá retornar o trabalho para o título inicial. Em seguida realizar uma nova submissão. Grata, Renata. on 2016-09-02T18:34:16Z (GMT) / Submitted by Fabio Tirolli de Sousa (fabio.tirolli@gmail.com) on 2016-09-02T19:20:50Z No. of bitstreams: 1 Estratégia de arbitragem estatística da variância implícita versus realizada por meio da replicação dinâmica do swap de variância no mercado de ações brasileiro.pdf: 1514608 bytes, checksum: 0eb56c70fbb454f0f8fa254456f6431e (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-09-05T17:19:44Z (GMT) No. of bitstreams: 1 Estratégia de arbitragem estatística da variância implícita versus realizada por meio da replicação dinâmica do swap de variância no mercado de ações brasileiro.pdf: 1514608 bytes, checksum: 0eb56c70fbb454f0f8fa254456f6431e (MD5) / Made available in DSpace on 2016-09-05T17:25:08Z (GMT). No. of bitstreams: 1 Estratégia de arbitragem estatística da variância implícita versus realizada por meio da replicação dinâmica do swap de variância no mercado de ações brasileiro.pdf: 1514608 bytes, checksum: 0eb56c70fbb454f0f8fa254456f6431e (MD5) Previous issue date: 2016-08-10 / Nos últimos anos, o uso da volatilidade como uma classe de ativo tem ganhado relevância para investidores e gestores de portfólios, e a maneira mais eficaz de se obter proteção ou exposição pura a esse instrumento é através dos derivativos de volatilidade. No entanto, no Brasil, ainda não temos contratos específicos para esses derivativos, sendo uma das principais razões para isto a baixa liquidez no mercado de opções, dado que as opções são os ativos essenciais para se estabelecer um portfólio replicante. O objetivo deste trabalho é apresentar um modelo para encontrar oportunidades de arbitragem estatística entre a variância implícita e a variância realizada das ações preferencias (PN) da Petrobras (PETR4). Assim que uma oportunidade é identificada durante o período de backtesting, para implementar a operação, compramos ou vendemos um contrato logarítmico (variância implícita) sob o ativo-objeto e utilizamos uma estratégia de replicação dinâmica deste contrato log para capturar a variância realizada do ativo-objeto. Veremos que essa dinâmica replica o payoff de um swap de variância. Os resultados obtidos durante o período de backtesting, considerando os custos de transação, demonstram que é possível gerar retornos atrativos. / In recent years, the use of volatility as an asset class has gained relevance for investors and portfolio managers, and the most effective way to get protection or pure exposure to this asset is through the volatility derivatives. However, in Brazil, we still have no specific contracts for these derivatives, and one of the main reasons for that is the low liquidity in the options market, since the options are critical assets to establish a replicating portfolio. The main purpose of this paper is to present a model to find out statistical arbitrage opportunities between the implied variance and the realized variance on the Petrobras preferred shares (PETR4). As soon as an opportunity is identified during the backtesting period, to implement the deal, we buy or sell a logarithmic contract (implied variance) of the underlying asset and then we use a dynamic replication strategy of this log contract to capture the underlying asset realized variance. We will see that this dynamics replicates the payoff of a variance swap. The results obtained during the backtesting period, considering the transaction costs, show that it is possible to generate attractive returns.

Submitted by Rodolfo Nunes Luterman (rluterman@gmail.com) on 2013-03-04T23:00:25Z No. of bitstreams: 1 Dissertação - Rodolfo Luterman - MPFE - Final.PDF: 1375397 bytes, checksum: 34f856bb109f53df096fcee82bee8a89 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-03-05T13:20:00Z (GMT) No. of bitstreams: 1 Dissertação - Rodolfo Luterman - MPFE - Final.PDF: 1375397 bytes, checksum: 34f856bb109f53df096fcee82bee8a89 (MD5) / Made available in DSpace on 2013-03-05T13:27:59Z (GMT). No. of bitstreams: 1 Dissertação - Rodolfo Luterman - MPFE - Final.PDF: 1375397 bytes, checksum: 34f856bb109f53df096fcee82bee8a89 (MD5) Previous issue date: 2013-02-04 / Volatility risk plays an important role in the management of portfolios of derivative assets as well as portfolios of basic assets. This risk is currently managed in financial markets abroad with the use of several instruments, including volatility derivatives. However, a volatility derivatives market in Brazil is still a gap to be fulfilled in the future, maybe due to the lower liquidity of options or even the lack of all the required assets for the replicating portfolio. The objective of this paper is to introduce a straightforward model for pricing volatility swaps on BRL, encouraging further dialog between the academic and practitioner communities on this theme that would lead to the development of such market drawing on the best of both worlds. In order to value this instrument, the design and valuation of it is presented in details as the basic ingredients of a successful financial product. The numerical results show that the proposed model can be considered as a powerful instrument to hedge volatility risk. An additional benefit of this work is that it will provide the risks and benefits from using such instrument with BRL. / A volatilidade possui um papel central na gestão de risco tanto de portfólios de derivativos como de portfólios de ativos não alavancados. Este risco é gerenciado nos mercados financeiros através de diversos instrumentos, incluindo o uso de derivativos de volatilidade. No entanto, um mercado de derivativos de volatilidade no Brasil ainda é uma lacuna a ser preenchida, talvez pela baixa liquidez em determinadas opções ou mesmo pela falta de todos os ativos necessários para se estabelecer o portfólio replicante para os mesmos. O objetivo deste trabalho é apresentar um modelo simples de se apreçar swaps de volatilidade sob o BRL, estimulando um diálogo entre a comunidade acadêmica e os praticantes do mercado que permita o desenvolvimento de derivativos de volatilidade ao considerar o melhor de cada grupo. Para se apreçar este instrumento, a modelagem e os ativos utilizados são apresentados em detalhes como sendo os ingredientes básicos de um produto financeiro de sucesso. Os resultados numéricos demonstram que o modelo proposto pode ser considerado um poderoso instrumento para se realizar o hedge do risco de volatilidade. Um benefício adicional deste trabalho é apresentar os riscos e benefícios de se utilizar este instrumento com o BRL.

To date, the Latin American essay remains little studied, certainly compared to other literary genres such as the novel, poetry and theater. This thesis examines prevailing theorists' conceptions of the essay and its historical development in Latin America. Employing the notions of cultural identity and difference, which have long been central to Latin American critical thought, this study distances the development of the essay in Latin America from Spanish colonial writings of the sixteenth century. In its place, this study proposes an innovative classification scheme that incorporates cultural codes as its main criteria in order to provide a more equitable treatment of essays from areas that have traditionally been marginalized in standard chronologically based classification schemes. Some of the paradigms used in this study to defend the integrity and specificity of the Latin American essay and culture are Inca Garcilaso de la Vega's affirmation of the values of the continent's indigenous pre-columbian heritage, Domingo Faustino Sarmiento's discursive reinvention of South America, and Jose Marti's notion of hibridez—a cultural and racial complex mixture rooted in the region's history—as an affirmation of a continental Latin American cultural identity. This thesis demonstrates that since Latin American essays diverge thematically from colonialist discourse, studies of the origins of the Latin American essay do not have to perpetuate the colonialist legacy. / Arts, Faculty of / French, Hispanic, and Italian Studies, Department of / Graduate

This thesis is focused on working up evolutionals and genetics algorithms issues Especially for multiobjective algorithms VEGA, SPEA and NSGA – II. Thereinafter one of FrameWork working with genetics algorithms namely WWW NIMBUS. From this mentioned algorithms was selected VEGA algorithm for implementation in JAVA to preselected problem. Thereby problem is choice thick columns of profile according to predetermined criteria. Selected algorithm works on division of population into several groups and each group evaluates the resulting fitness function. Here is a sample implementation of this algorithm. Furthermore there is a example of working with FrameWork. In the next section are compared the results of generated progam with results that were obtained by FrameWork WWW NIMBUS. As for VEGA, and the Nimbus there are shown different results. The VEGA is presented also the development of individual fitness functions. Also, there are shown graphs, that can be obtained from NIMBUS. At the end of work is introduced the comparation of the results ane propose possible improvements.

Det här projektet utreder svenskens relation till alkohol och de skadeeffekter som uppstår av ett missbruk/beroende. Framför allt ritkar sig projektet till de barn och ungdomar som växer upp med en nära anhörig som missbrukar alkohol. Målsättningen med projektet är att skapa en trygg och säker plats där allmän information om missbruk finns att tillgå, liksom riktad konsultation till barn och ungdomar som påverkas av en närståendes missbruk. Projektet riktar sig INTE till barn och ungdomar som själva behöver behandling för alkohol- eller drogmissbruk. Syftet med projektet är att synliggöra och därmed öppna dialog kring missbruksproblematiken, att motverka tabu, skamkänslor och utanförskap och att utreda arkitekturens roll i problematiken. Frågeställningen handlar om huruvida Plats + Program + Arkitektur kan bidra till att kuva tabun kring missbruk, och istället för att dölja skapa en plattform för diskussion och en ökad förståelse. / This project investigates the Swede's relationship with alcohol and the harmful effects that arise from an addiciton. Above all the project aims to address the children and adolescents who grow up with a loved one having an alcohol addiction. The aim of the project is to create a safe and secure place where general information about addiction is available, as well as targeted consultations for children and young people affected by a loved one's addiction. The project is NOT aimed at children and young people who need treatment for alcohol or drug abuse. The project aims to make visible and thus open dialogue about substance abuse issues, combating stigma, shame and alienation and to investigate the role of the architect when it comes to shape societies and lessen future konsequences. The issue is whether the location + programe + architecture can help to subdue the taboo associated with addiction, and instead of hiding the issue, create a platform for discussion and a greater understanding.

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Obschon die Bestände der Bibliotheca Augusta in weiten Teilen gut erforscht sind, ist die vox librorum der spanischen Drucke im Bestand des Herzogs bislang noch nicht wirklich erhört worden, was zur Folge hat, dass die Hispanica Guelpherbytana im Rahmen der vorliegenden Studie erstmals vollständig erschlossen und unter der Fragestellung der Bedeutung des Bestandes für den spanisch-deutschen Kulturtransfer im Siglo de Oro, welcher bislang von der Forschung ungeachtet der vielversprechenden Ansätze der Kulturtransferforschung ebenso wenig beachtet worden ist, erstmals systematisch untersucht wird. Zu diesem Zweck ist der gesamte Buchbestand, den Herzog August in seiner mehrere Dekaden währenden Sammelleidenschaft aufzubauen vermochte, auf der Grundlage einer eigens entwickelten Definition auf ebendiese spanischen Titel hin untersucht und ausgehend davon ein 1695 Titel umfassendes Untersuchungskorpus angelegt worden, wodurch einer der bedeutendsten frühneuzeitlichen geschlossenen spanischen Buchbestände außerhalb Spaniens zugleich erstmalig für weiterführende Forschungen zugänglich und nutzbar gemacht wird. Im Spiegel der bisher vorliegenden Erträge zur Theoriebildung der noch jungen Kulturtransferforschung umfasst die Studie zu Kulturtransferprozessen (nicht nur) zwischen Spanien und der herzoglichen Bibliothek in Wolfenbüttel im Wesentlichen drei Komponenten. Es handelt sich um die Erwerbungskonjunkturen der importierten Artefakte, das zugrundeliegende Netzwerk in der Peripherie der Bibliothek und schließlich die hermeneutischen Funktionsverlagerungen der nach Wolfenbüttel transferierten Drucke. In Bezug auf die Akzessionskonjunkturen sind für die vorliegende Studie die Eintragungen im Bücherradkatalog, welche es erlauben, einen konkreten Erwerbungszeitraum für die Titel im herzoglichen Buchbestand zu konturieren, für sämtliche Titel des Bestandes ermittelt und ausgewertet worden, wodurch nun erstmals die sukzessive Erweiterung des spanischen Bestandes über Jahrzehnte hinweg nachvollzogen werden kann. Als Grundlage für die Aufarbeitung des Netzwerkes hingegen gereichten einerseits die Korrespondenzen von Herzog August mit seinen verschiedenen Agenten, die über mehrere Städte in ganz Europa verteilt waren und oftmals maßgeblichen Anteil an der Akzession einzelner Titel oder gar von ganzen Bibliotheken für die herzogliche Sammlung hatten. Anderseits werden durch die systematische Untersuchung sämtlicher Titel des Korpus auf Lesespuren erstmals die konkreten Transferwege, welche die Bücher im Rahmen dieser Vermittlungsprozesse beschritten, rekonstruiert und ausgewertet. Anhand der Untersuchung der Neustrukturierungen der spanischen Drucke im deutschen Zielkontext bietet die Studie darüber hinaus erstmals konkrete Einblicke in die Rezeption dieser spanischen Schriften, welche vor allem im Umkreis der Fruchtbringenden Gesellschaft ihren Niederschlag fand. Abgesehen von Herzog August, der im Jahr 1634 in die bedeutendste deutsche Sprachgesellschaft der Frühen Neuzeit aufgenommen wurde, beschäftigten sich insbesondere die beiden Mitglieder Georg Philipp Harsdörffer und Johann Michael Moscherosch, die zudem beide Kontakte zu Herzog August in Wolfenbüttel unterhielten, dezidiert mit spanischer Literatur. Hinzu kommen weitere Gesellschaftsmitglieder, die in einigen Fällen heutzutage fast vollständig in Vergessenheit geraten sind und dennoch durch ihre teils umfassende Auseinandersetzung mit der blühenden spanischen Literaturproduktion des Siglo de Oro eine bislang lediglich im Ansatz beschriebene Pionierfunktion hinsichtlich der frühen Aufnahme und Verbreitung von spanischen Kulturgütern im deutschen Zielkontext haben. Die skizzierten Funktionsverlagerungen werden dabei vor allem anhand von Harsdörffers und Moscheroschs Import und Implementierung der Schriften von Francisco de Quevedo, Miguel de Cervantes und Lope de Vega untersucht, da es sich bei diesen Bezugnahmen zweifelsfrei um die ausführlichsten und facettenreichsten Auseinandersetzungen mit der spanischen Literatur des Goldenen Zeitalters handelt.

Mediante construcciones artificiosas y constantes exhortaciones al lector a develar sus misterios, el Inca Garcilaso de la Vega convierte los mitos andinos de sus ancestros en el recipiente ideal para transmitir las verdades morales y teológicas de los incas, y su orientación a la evangelización cristiana. Según su lectura, el Dios cristiano habría inspirado a los primeros incas en la difusión de los principios de la Ley natural entre las poblaciones bárbaras; y luego habría impulsado a cada uno de los siguientes gobernantes para que continúe guiando a su pueblo por el camino del bien común, como preparación para el advenimiento de la Ley de Gracia. Así, los relatos que reelabora o reinterpreta como “fábulas historiales” se hallan insertos dentro de una división tripartita de la historia del Perú: la edad ferina o pre inca; la Ley natural o incaica; y la Ley de Gracia o el advenimiento cristiano. De esta manera, a partir de la concepción providencialista de la historia y de los supuestos neoplatónicos en torno a las potencialidades de la fábula, el trabajo está enfocado en revelar los niveles alegóricos que esconden los mitos narrados en los Comentarios reales de los Incas y su función dentro de la preparación evangélica del incario.