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21	Avaliação de derivativos de taxas de juros : uma aplicação do Modelo CIR sobre opções de IDI Dalmagro, Lucas Bassani January 2015 (has links) Este trabalho tem por objetivo principal aplicar o modelo de precificação de opções de taxas de juros proposto por Barbachan e Ornelas (2003), com base nos modelos de taxa de juro e avaliação de opções de Cox, Ingerssol e Ross (1985), para avaliação de opções de compra sobre o Índice de Taxa Média de Depósitos Interfinanceiros de Um Dia (IDI), negociadas na BM&FBovespa. Para estimação dos parâmetros deste modelo, foi empregado o método de Máxima Verossimilhança. Neste contexto, também fez-se uso da fórmula de precificação de opções proposta por Black (1976), adaptada para o mercado de derivativos brasileiros, conforme implementação verificada no trabalho de Gluckstern et al. (2002). Tal aplicação torna-se interessante, pois este modelo é amplamente utilizado pelo mercado brasileiro para avaliação de opções sobre o IDI. De forma a verificar a aderência dos preços teóricos gerados pelos modelos, em comparação aos preços de mercado, métricas de erro foram empregadas. De forma geral, nossos resultados mostraram que ambos os modelos apresentam erros sistemáticos de precificação, onde o modelo CIR subavalia os prêmios das opções e o modelo de Black superprecifica. No entanto, bons resultados foram encontrados ao avaliarmos opções in-the-money e out-of-money com o modelo de Black. / This work aims to apply the interest rate option pricing model proposed by Barbachan and Ornelas (2003), based on the interest rate model and option pricing model developed by Cox, Ingersoll and Ross (1985), to evaluate call options on the 1 day Brazilian Interfinancial Deposits Index - IDI, traded at BM&FBovespa. The Maximum Likelihood method was applied to estimate the model parameters. In this context, the option pricing formula proposed by Black (1976), adapted for the Brazilian derivative Market, was also used, according implementation verified in Gluckstern et al. (2002). This application becomes interesting because this model is widely used by the Brazilian Market to evaluate options on IDI. In order to verify the adherence of theoretical prices generated by the models, in comparison to the Market prices, error metrics were applied. In general, our results pointed out that both models presented systematic pricing errors, in which the CIR model underestimates the option prices and Black’s model overestimates. However, good results were found on the evaluation of options in-the-money and out-of-money with the Black’s Model. Precificação Taxas de juros Interest rate options Interest rate option pricing models Interest rate models CIR model Black’s model Maximum likelihood Options on IDI
22	Better Speakers Make More Friends: Predictors of Social Network Development Among Study-Abroad Students Brockbank, J Wyatt 12 December 2011 (has links) (PDF) Social network development has been studied in the social sciences for the last several decades, but little work has applied social network theory to study-abroad research. This study seeks to quantitatively describe factors that predict social network formation among study-abroad students while in the host countries. Social networks were measured in terms of the number of friends the students made, the number of distinct social groups reported, and the number of friends within those groups. The Study Abroad Social Interaction Questionnaire was compared against these pre-trip factors: intercultural competence, target-language proficiency, prior missionary experience, gender, study-abroad program, neuroticism, extroversion, agreeableness, openness to new experience, agreeableness, and conscientiousness. Results showed that pre-trip oral proficiency in the target language was the strongest predictor of the number of friends made in-country. Certain programs showed stronger predictive statistics in terms of size of largest social group, number of social groups, and number of friends made. A distinction is made between total number of friends and number of friends who are more likely to be native speakers. Neither intercultural competence nor personality showed a significant correlation with the number of friendships made during study abroad. study abroad social networks predictors dispersion density egocentric social network analysis SASIQ OPI IDI NEO-FFI BYU China Egypt France Mexico Russia Spain Chinese Arabic French Spanish Russian intercultural competency intercultural sensitivity social interaction personality language proficiency neuroticism extroversion openness to new experience agreeableness conscientiousness target language second language gender returned missionary missionaries language use correlation regression

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Avaliação de derivativos de taxas de juros : uma aplicação do Modelo CIR sobre opções de IDI

Better Speakers Make More Friends: Predictors of Social Network Development Among Study-Abroad Students