Neste trabalho propomos um modelo de mercado através de uma discretização aleatória do movimento browniano proposta por Leão & Ohashi (2010). Com este modelo, dada uma função payoff, vamos desenvolver uma estratégia de hedging e uma metodologia para precificação de opções / In this work we propose a market model using a discretization scheme of the random Brownian motion proposed by Leão & Ohashi (2010). With this model, for any given payoff function, we develop a hedging strategy and a methodology to option pricing

Made available in DSpace on 2016-04-25T18:40:44Z (GMT). No. of bitstreams: 1 Carl Douglas De Gennaro Oliveira.pdf: 1342470 bytes, checksum: 9868002de42872f20913eb856aa2b173 (MD5) Previous issue date: 2010-05-24 / The process of Brazil s compliance with the International Financial Reporting Standard (IFRS) took a big step forward, definitively getting on the agenda of regulatory agencies, companies and auditing firms, when Federal Law 11.638 was signed in December 2007, altering the accounting chapter of Brazilian Corporate Law, 6.404/76. This study contributes to Brazil s process of compliance with the IFRS, specifically regarding the applicability of IFRS 2 Share-based Payment, or its Brazilian corollary CPC 10 Pagamento Baseado em Ações, and the impact on accounting and on the disclosure of a long-term compensation program for executives, characterized as phantom stock options. IFRS 2 was published in February 2002 and was required internationally from January 2005, as an outcome of the growing use of commercial transaction payments based on shares, and also the IOSCO´s report that pointed out the lack of an accounting standard dealing with this kind of transaction. The study found that IFRS 2 or CPC 10 can be appropriately applied to guide the accounting treatment given to a phantom stock option program, and was a more informative accounting practice than that which had been used in Brazil, before 2008. The study also found a wide-spread need of financial knowledge regarding the valuation of stock options, such as the Black-Scholes-Merton model, as well as statistical methods for appropriately account and disclose the fair value of share-based incentive plans. Furthermore, in order to understand more fully the economic event which is being accounted, it is highly important to understand its essence. In the case of long-term share-based incentives for executives, the essence of their existence can be found in agency theory / O processo de convergência do Brasil às Normas Internacionais de Contabilidade (IFRSs) deu um grande salto e entrou definitivamente na agenda dos órgãos reguladores, empresas e auditorias, com a sanção da lei federal 11.638 em dezembro de 2007, que alterou o capítulo contábil da Lei das Sociedades Anônimas, 6.404/76. Este estudo contribui para o processo de convergência brasileiro às IFRSs, especificamente quanto à aplicabilidade do IFRS 2 Share Based Payment, ou sua correlação brasileira CPC 10 Pagamento Baseado em Ações, e dos impactos contábeis e de divulgação decorrentes de um programa de compensação de longo prazo a executivos, com as características de phantom stock options, ou opções fantasmas. O IFRS 2 foi publicado em fevereiro de 2002 e requerido internacionalmente a partir de janeiro de 2005, como uma decorrência do crescente uso de pagamento das transações comerciais com base em ações e também do relatório da IOSCO, que identificou como falha a lacuna de norma contábil que tratasse deste tipo de transação. O estudo identificou que o IFRS 2 ou CPC 10 aplica-se adequadamente para orientar o tratamento contábil de um programa de phantom stock option e representou uma prática contábil mais informativa que aquela até então adotada no Brasil, antes do ano de 2008. O estudo também identificou a grande necessidade de conhecimento de finanças relacionado à avaliação de opções, tal como o modelo Black-Scholes-Merton, bem como de métodos estatísticos, para uma apropriada contabilização e divulgação do valor justo dos planos de incentivo baseados em ações. Além disso, para que se entenda com profundidade o evento econômico que se contabiliza, é de suma importância a compreensão de sua essência. No caso de incentivos de longo prazo para executivos, baseados em ações, a essência de sua existência pode ser encontrada na Teoria de Agência

Neste trabalho propomos um modelo de mercado através de uma discretização aleatória do movimento browniano proposta por Leão & Ohashi (2010). Com este modelo, dada uma função payoff, vamos desenvolver uma estratégia de hedging e uma metodologia para precificação de opções / In this work we propose a market model using a discretization scheme of the random Brownian motion proposed by Leão & Ohashi (2010). With this model, for any given payoff function, we develop a hedging strategy and a methodology to option pricing

Le droit de la recherche, entendu en tant que discipline juridique, concerne la régulation de la recherche scientifique entre les impératifs opposés de la science et du droit. Il est donc question, à travers cette construction juridique de l'objet « science » par le « droit de la recherche », de comprendre les modes d'émergence et les fonctions - l'élaboration et la régulation - d'un tel droit à la fois gardien et contradicteur des institutions savantes. L'intérêt et l'utilité du droit de la recherche pourrait bien être de montrer, à travers une analyse juridique des comportements scientifiques, comment fonctionne le droit entendu en tant que technique. Est-ce que la théorie juridique peut saisir un objet sociologique ? Pour répondre, le concept de « communauté scientifique », bien connue en sociologie des sciences (voir notamment Robert K. Merton et la « structure normative » de la science), va être analysée suivant la théorie de l'ordre juridique du constitutionnaliste italien Santi Romano, afin de mieux comprendre la définition du concept d'ordre juridique. Finalement, il apparaît que la régulation opérée par l'ordre juridique étatique contrarie l'indépendance de la science, notamment la sphère universitaire, et ne parvient pas toujours à en assurer la protection là où l'État devrait justement sauvegarder et promouvoir la quête de savoir. Serait-il possible, dès lors, de consacrer une science libérée de son hétéronomie par rapport à l'Etat ? C'est toute la proposition finale de la création d'un statut juridique authentique pour le chercheur et, notamment, de la résolution des conflits scientifiques par des Cours scientifiques de nature prud'homale / Understood as a legal discipline, the right of research, relates to the regulation of scientific research between the opposite requirements of science and law. So we're talking through this legal construction of the object : "science", through the "law of research" to understand the patterns of emergence and functions - the development and regulation - of such a right being both caretaker and opponent to the learned institutions.The value and usefulness of the right of the research might be to show, through a legal analysis of scientific behavior, how does the right being understood as a technique works. Does the legal theory can understand a sociological object ? To answer to this, the concept of "scientific community", well known in sociology of science (see especially Robert K. Merton and the "normative structure" of science), will be analyzed according to the theory of the legal system of the Italian constitutional lawyer Santi Romano, in order to better understand the definition of the concept of the legal order.Eventually, it appears that the regulation operated by the state legal order upsets the independence of science, especially the academia sphere and is not always being able to ensure protection where the state should precisely safeguard and promote the quest for knowing. Is it therefore possible to devote a science released from his heteronomy versus the state ? This is the whole final proposal for the establishment of an authentic legal status for the Researcher and, especially, the resolution of scientific disputes by some sort of scientific Labour Court lessons

The thesis presents a new method of Symmetry Analysis of the Black-Scholes Merton Finance Model through modi ed Local one-parameter transformations. We determine the symmetries of both the one-dimensional and two-dimensional Black-Scholes equations through a method that involves the limit of in nitesimal ! as it approaches zero. The method is dealt with extensively in [23]. We further determine an invariant solution using one of the symmetries in each case. We determine the transformation of the Black-Scholes equation to heat equation through Lie equivalence transformations. Further applications where the method is successfully applied include working out symmetries of both a Gaussian type partial di erential equation and that of a di erential equation model of epidemiology of HIV and AIDS. We use the new method to determine the symmetries and calculate invariant solutions for operators providing them. / Mathematical Sciences / Applied Mathematics / D. Phil. (Applied Mathematics)

The thesis is focused on the options of quantifying credit risk by using the concept of the KMV model. The introduction outlines the basic approaches to measuring credit risk. In the following chapters is specified the nature of KMV model with the focus on its application in the Czech capital market. Self-calibration of the KMV model is made in this part. The analytical part related to the quantification of credit risk using the KMV model is implemented on selected companies which are traded on the Prague Stock Exchange. The results obtained are consequently confronted with the official rating degrees of agency Moody's.

The thesis presents a new method of Symmetry Analysis of the Black-Scholes Merton Finance Model through modi ed Local one-parameter transformations. We determine the symmetries of both the one-dimensional and two-dimensional Black-Scholes equations through a method that involves the limit of in nitesimal ! as it approaches zero. The method is dealt with extensively in [23]. We further determine an invariant solution using one of the symmetries in each case. We determine the transformation of the Black-Scholes equation to heat equation through Lie equivalence transformations. Further applications where the method is successfully applied include working out symmetries of both a Gaussian type partial di erential equation and that of a di erential equation model of epidemiology of HIV and AIDS. We use the new method to determine the symmetries and calculate invariant solutions for operators providing them. / Mathematical Sciences / Applied Mathematics / D. Phil. (Applied Mathematics)

When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. Discrepancies from the theoretical relationship can be exploited by capital structure arbitrageurs. In our thesis we study the intertemporal relationship between sovereign CDS and stock index markets in East Asia during the period of 2007 – 2011. We detect a negative (by and large positive) relationship between the Asian CDS spreads and stock indexes (volatilities). Across the whole region the sovereign CDS market dominates the price discovery process. However, 4 out of 7 Asian countries (Japan, Korea, Malaysia and the Philippines) demonstrate a feedback effect. The stock markets of countries with higher credit spreads (Indonesia, the Philippines and Korea) appear to react more severely at heightened variance in the CDS market. When considered separately for turbulent vs. calm periods, we find that the lead-lag relationship between the Asian sovereign CDS and stock markets is not stable. Apart from that, both markets become more interrelated during periods of increased volatility. The dependency of Asian CDS spreads and stock indexes on the “fear index” detected in the frames of robustness check implies an integration of both markets into the global one. Therefore, while seeking for arbitrage opportunities in the respective Asian markets one should also take into account possible influences of broader global factors.

The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. This project, inspired by Carr and Madan’s paper, attempts to elaborate and connect the various mathematical and theoretical concepts that are helpful in understanding of the derivation. Further, we derive the characteristic function of the risk neutral probability for the logarithmic terminal stock price. The Black-Scholes-Merton (BSM) model is also revised including derivation of the partial deferential equation and the formula. Finally, comparison of the BSM numerical implementation with and without the FFT method is done using MATLAB.

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