Interessado em fazer com que o seu capital gere lucros, o investidor ao optar por negociar ativos, fica sujeito aos riscos econômicos de qualquer negociação, pois não existe uma certeza quanto a valorização ou desvalorização de um ativo. Eis que surge o mercado futuro, em que é possível negociar contratos a fim de se proteger (hedge) dos riscos de perdas ou ganhos excessivos, fazendo com que a compra ou venda de ativos, seja justa para ambas as partes. O objetivo deste trabalho consiste em estudar os processos de Lévy de puro salto de atividade finita, também conhecido como modelo de Poisson composto, e suas aplicações. Proposto pelo matemático francês Paul Pierre Lévy, os processos de Lévy tem como principal característica admitir saltos em sua trajetória, o que é frequentemente observado no mercado financeiro. Determinaremos uma estratégia de hedging no modelo de mercado com o processo de Poisson composto via o conceito de mean-variance hedging e princípio da programação dinâmica. / The investor, that negotiate assets, is subject to economic risks of any negotiation because there is no certainty regarding the appreciation or depreciation of an asset. Here comes the futures market, where contracts can be negotiated in order to protect (hedge) the risk of excessive losses or gains, making the purchase or sale assets, fair for both sides. The goal of this work consist in study Lévy pure-jump process with finite activity, also known as compound Poisson process, and its applications. Discovered by the French mathematician Paul Pierre Lévy, the Lévy processes admits jumps in paths, which is often observed in financial markets. We will define a hedging strategy for a market model with compound Poisson process using mean-variance hedging and dynamic programming.

Submitted by Cristiane Oliveira (cristiane.oliveira@fgv.br) on 2013-05-13T20:45:28Z No. of bitstreams: 1 1198800284.pdf: 9787593 bytes, checksum: 06d2c2e52cbf4c2247c8a3c84eb8a73a (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2013-05-13T21:02:09Z (GMT) No. of bitstreams: 1 1198800284.pdf: 9787593 bytes, checksum: 06d2c2e52cbf4c2247c8a3c84eb8a73a (MD5) / Made available in DSpace on 2013-05-13T21:18:36Z (GMT). No. of bitstreams: 1 1198800284.pdf: 9787593 bytes, checksum: 06d2c2e52cbf4c2247c8a3c84eb8a73a (MD5) Previous issue date: 1986 / O objetivo original deste trabalho era compreender o comportamento das cotações futuras num contexto altamente inflacionário, observando eventuais distorções no cumprimento das funções econômicas dos mercados futuros e contrapondo os resultados ao quadro teórico produzido nas economias centrais. O texto que se segue está dividido em quatro capítulos, que constituem fielmente a trajetória percorrida nesta pesquisa e as alterações sofridas em sua condução. No capitulo I, é descrita a evolução dos conceitos sobre operações em mercados futuros: da oposição absoluta entre operações de proteção e especulativas à moderna teoria de portfólio (equilíbrio no mercado de capitais sob condições de incerteza), que relaciona risco e retorno. São ainda, apresentadas as hipóteses quanto ao impacto da inflação sobre tais operações, respaldadas no exíguo quadro teórico existente sobre este aspecto. No capitulo 2, apresentado o modelo teórico escolhido para o teste empírico e sua operacionalização aos mercados futuros. No capítulo 3, são analisados os resultados empíricos e suas limitações. Por sugerirem a rejeição do modelo utilizado, remetem à elaboração de novo quadro teórico que constata a controvérsia predominante na discussão sobre o modelo de comportamento das cotações futuras. Finalmente, no capitulo 4, são arroladas as principais conclusões e apontadas as evidências que alimentam a referida controvérsia, mapeando caminhos certamente contributivos ao avanço da percepção desta nova realidade.

When the South African Futures Exchange (SAFEX) Agricultural Products Division (APD) was formed in the early 1990s after the demise of the Marketing Boards, the support and direct participation of producers on the exchange was core to its long term success. A tremendous amount of energy and cost was invested by SAFEX and brokers to educate and sign up primary producers. Most agribusinesses (excooperatives) also had broking divisions. This campaign was very successful and a large percentage of producers, particular of maize and wheat, opened SAFEX accounts through brokers. It was not unusual for many of them to open more than one account with different brokers. Collectively, they had a very important impact on the market. Fifteen years after the launch of the wheat contract (in 1998), this is no longer the case. Industry sources have it that many, if not most, producers have either closed their accounts, have an inactive account, or have scaled down their trading activities. This leads to the hypothesis that direct participation by producers on the JSE/SAFEX Commodity Division is declining. The questions that arise from this observation are:  Are producers distancing themselves from SAFEX (or the other way around)? or,  Has the industry matured and progressed into a new era? This research had the objectives to:  Determine the estimated percentage of producers that directly traded on SAFEX during the initial years and compare the data to present numbers. Based on the outcome of the primary data collected, to determine if there is indeed a trend.  If correct, to determine what the reasons for this could be. Has there been a shift in hedging practices? Are brokers offering additional services which make it unnecessary for producers to operate directly on the exchange? Wheat producers in the Western Cape were selected as the target group for various reasons, including the province’s geographical isolation, its importance as a wheat production area and the importance of wheat in the gross income generated by producers. The survey firstly established the importance of wheat in the Western Cape grain production areas. No doubt, income derived through wheat production is still very important throughout the Western Cape, but in certain areas it is absolutely crucial. Next, the survey attempted to determine how and when producers ‘price’ (sell) wheat. The survey then aimed to establish what the most important factors are that influence producers’ pricing strategy. Producers ranked growing conditions as the number one factor in taking a pricing decision, followed by production costs. Furthermore, producers do adjust their marketing strategy but there seems to be a difference of opinion as to whether it is on their own accord or on advice of their brokers. The survey not only depended on producer data but cross-referenced with brokers (traders and agribusinesses). Based on overall feedback, the analysis determined vi that on average in the Western Cape 10 – 20% of wheat producers had SAFEX accounts, while in selected areas it was as high as 37 – 50%. It was also important to determine to what extent SAFEX trading activity had decreased, if at all. This question only applied to those respondents that said they did have a SAFEX account and their activities had decreased. The answer revealed that 91% of respondents had stopped trading altogether. Having now established that a fairly large number of producers had accounts on which most had ceased their activities, the question is why. Cash flow requirements are the single biggest reason why producers have reduced (or completely stopped) their participation on SAFEX. The second reason was that a producer could achieve the same benefits and more through the services offered by the grain traders and agribusinesses, compared to trading directly on SAFEX. It should not be forgotten that the trader could only offer these service if he or she does a deal, back-to-back, on SAFEX. This is part of the reason why all traders and agribusinesses have a SAFEX account. The survey concluded with what might be singled out as one of the most important questions (given what had been determined up to this point): Do producers believe brokers offer all of the marketing options that could be achieved by trading direct on SAFEX? With the benefit of already having analysed the response to the earlier questions, the answer might have been expected. However, the response was overwhelming: 97% of respondents said that brokers offer all of the marketing options they were interested in. It could therefore be said that the decline in direct SAFEX participation by Cape wheat producers is the direct result of the all-inclusive services offered by traders and agribusinesses. Producers sign a forward contract with their brokers while the brokers would offset their risk on SAFEX. An element of caution, however, needs to be expressed. Given the importance of wheat in the Western Cape, and particularly in the Swartland, producers should not relinquish their responsibility to acquire or maintain a minimum amount of knowledge on the functioning of SAFEX. Irrespective of whether producers deal directly on SAFEX or through their brokers, knowledge now and in the future will hold the key to their marketing performance and should not be replaced by using brokers. / Dissertation (MSc Agric)--University of Pretoria, 2013. / gm2014 / Agricultural Economics, Extension and Rural Development / unrestricted

The thesis start from general introduction to globalization but its focus is on the following areas: global buying of company inputs (sourcing), expanding on the foreign/global markets (output) and managing the risks associated with globalization (increased competition, foreign currency and raw material/inputs hedge). Overall the thesis is practical in its approach and thus it provides the real applicable approaches in terms of the management in the global economy. Despite these practicalities the thesis also aims at analyzing the more general business environment for global activities of a firm. This is realized in section on economic assessment of the market and evaluation of foreign currency fundamentals.

The thesis start from general introduction to globalization but its focus is on the following areas: global buying of company inputs (sourcing), expanding on the foreign/global markets (output) and managing the risks associated with globalization (increased competition, foreign currency and raw material/inputs hedge). Overall the thesis is practical in its approach and thus it provides the real applicable approaches in terms of the management in the global economy. Despite these practicalities the thesis also aims at analyzing the more general business environment for global activities of a firm. This is realized in section on economic assessment of the market and evaluation of foreign currency fundamentals.

The thesis describes and applies two parametric option pricing models which partially ease the well-known discrepancy between real world and Black-Scholes model. Stochastic volatility and jumps encompassed by Heston and SVJ models explain implied volatility smile and its heterogeneous term-structure. Both models are calibrated to market data observed for EURUSD currency options on January 23, 2015. While SVJ model provided a better fit for the market, especially for mid-term expiry smile curvature, its estimated risk-neutral parameters were unrealistic comparing with their counterparts under statistical measure. Estimations suggest zero long term price volatility and 2 jumps during the year with average magnitude of 6 \%. Both models failed to match curvature of short time to expiry smile and provided a good fit of term-structure and long-expiry smile. Analysing delta ratios adjusted for non-constant volatility as a possible alternatives the study considered minimum variance delta estimated with Heston model, delta ratio recommended by Nassim Taleb and two deltas adjusted for local volatility assuming sticky moneyness and sticky tree dynamics of implied volatility. On data set of EURUSD options from 1.1.2014 to 30.5.2015, our research did not find any alternative which would be more reliable than common Black-Scholes delta.

This dissertation consists of three essays in Applied Econometrics that seek a better understanding of different aspects of risk and risk management tools. The first essay is about mortality risk in Virginia coal regions. With a focus on the mortality of non-malignant respiratory diseases (NMRD), I estimate the impact of living in a coal county and find that coal-mining county residency significantly increases the probability of dying from NMRD. This statistical association is accentuated by surface coal mining, high smoking rates, lower health insurance coverage, and a shortage of doctors. The second essay evaluates the cost of a price risk management tool called futures hedging. A variety of measures illustrate considerable changes in hedging costs over time. Quantile regression results show that substantial price volatility and high margin requirements are the main factors driving high hedging costs from 2007 to 2013. The third paper investigates a health risk management tool, a public health insurance program in China called New Cooperative Medical Scheme (NCMS). I apply contract theory to characterize local governments' selective incentives in NCMS benefit designs. Empirical analysis of China Health and Nutrition Survey data indicate challenges of financial sustainability of this scheme in poor regions. The NCMS plan tends to under-cover the services that are moderately predictable and negatively correlated with plan profits, such as outpatient treatments. Preventive services are generally over-provided, perhaps due to the incentive to attract healthy participants. / Doctor of Philosophy / This dissertation uses quantitative analysis to investigate three economic problems related to different aspects of risk. The first question is, what affects the respiratory health of Virginia coal mining counties' residents? Using respiratory mortality as the variable of interest, this paper finds that surface coal mining, high smoking rates, and lack of health access jointly contribute to the elevated risk of dying from respiratory diseases in our study area. The second research problem is about a price risk management tool called "hedging": purchasing contracts in the futures market to offset price movements in the cash markets. Based on historical data of corn and soybeans, I simulate the cost of hedging and find this risk management tool is not cheap, especially in 2007 to 2013. The high cost is mainly due to substantial price fluctuations in the recent decade. As a health risk management tool, health insurance is the focus of my third study. In China rural areas, a public health scheme aimed to reduce a resident's risk of suffering medical impoverishment by spreading the risk over residents in a county. County governments were relatively free to design the implementation and benefit plans. This study reveals that most New Cooperative Medical Scheme (NCMS) benefit plans are not efficient to achieve the scheme's objective. Facing high risk of fund deficits, local insurance programs in poor regions are likely to under-cover health services, such as outpatient treatments. If this scheme were allowed to charge higher prices from high-risk enrollees instead of a flat-rate premium, its efficiency might be improved.

The focus of this study on hedging strategies differs from previous studies in four major ways: l) both costs and selling price are simultaneously hedged, 2) profit margins are computed daily for up to nine months into the future, 3) hedges can be placed five to six months in advance of production, and 4) production costs and profit margins are computed on a weekly basis. Weekly RTC iced broiler production costs were estimated using weekly changes in corn and meal prices and monthly changes in other feed costs, processing costs, transportation and offal value. Weekly production costs were compared to weekly N.Y.C. wholesale broiler prices to determine profit margins. These estimated weekly profit margins served as a benchmark for evaluating alternative hedging strategies. Expected future monthly net profit margins (ENPM) using futures prices and basis estimates for corn, meal, and iced broilers were estimated daily using the production cost formula. The daily ENPM were analyzed to determine their ability to forecast actual profit margins. The ENPM's were poor predictors of actual profit margins. They demonstrated seasonal biases and substantial over and under estimation of actual margins. Forecasted and actual profit margins varied inversely, so positive profit margins were locked in, while negative profit margins were not. Five hedging strategies were developed based on the relationship discovered between expected and actual profit margins. Over the time period 1970-1975, these strategies doubled profit margins and cut profit margin variation substantially. / Master of Science

Vertical alliances are an increasingly common form of organization for participants in the beef industry. The implications of combining feeding and packing margins into one alliance are investigated. Moving average based selective hedging strategies are used to hedge the major inputs and outputs for cattle owners and packers to improve the level of mean revenue to the alliance. The success of the hedging program is evaluated from mean-variance and cash-flow perspectives. / Master of Science

The airline industry is a major user of jet fuel and this constitutes a large component of the operating costs and is a risk coefficient for airlines. Several studies have been conducted on how oil price volatility affect stock prices and cash flows as well as how, in general, firms that uses derivatives experience lower stock returns volatility and stock s .The impact of oil price volatility on airline stock s and the impact of hedging on airline stock s have not been adequately examined, this paper fills this gap. By gathering daily frequency of oil spot prices to access the quarterly oil price volatility and stock s from 16 European airlines, we correlate quarterly oil price volatility to quarterly airline stock s as well as stock s and hedging percentages between 2010-2015, we reject the hypothesis that oil price volatility has an impact on airline stock s and that hedging reduces stock s. These findings therefore suggest that oil price volatility do not have a large impact on systematic risks or that hedging offset systematic risks. The findings are of interest to investors who want to make well informed investment decisions based on non-diversifiable equity risk since it has become popular for management recently to implement hedging policies to signal competency in risk management in order to attract investments.