Submitted by David Fernandes de Carvalho Gomes (dvdgomes@gmail.com) on 2014-09-08T11:59:46Z
No. of bitstreams: 1
[FGV-EESP]Dissertação_David Gomes_Banca_V3.pdf: 1221952 bytes, checksum: c70f947903c277271f3fdecf9c44b90f (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-09-08T13:37:41Z (GMT) No. of bitstreams: 1
[FGV-EESP]Dissertação_David Gomes_Banca_V3.pdf: 1221952 bytes, checksum: c70f947903c277271f3fdecf9c44b90f (MD5) / Made available in DSpace on 2014-09-08T13:41:29Z (GMT). No. of bitstreams: 1
[FGV-EESP]Dissertação_David Gomes_Banca_V3.pdf: 1221952 bytes, checksum: c70f947903c277271f3fdecf9c44b90f (MD5)
Previous issue date: 2014-08-07 / One of the daily challenges present in different kinds of companies is to valuate with reasonable precision the dynamic of the price of its assets and liabilities. Frequently those prices have commodities as underlying, given its relevance as production inputs and in financial derivatives. In this context, this work proposes to evaluate a model of stochastic volatility using trading strategies. That put, we propose to compare different trading strategies to evaluate the financial profit and loss resulting from the adoption of the model adopted. There are several stochastic volatility models, each presenting upsides and downsides. For this work, the adopted model was the one proposed by Oztukel and Wilmott (1998), for it is consecrated and was adopted and tested by Bodra (2012) and Salvador (2013) for the Brazilian market. / Um dos desafios diários enfrentados nas diferentes empresas é avaliar com razoável precisão a dinâmica dos preços de seus ativos e passivos. Em muitos casos esses preços estão atrelados ao preço de commodities, devido a sua presença tanto como insumos produtivos quanto em derivativos financeiros. Nesse contexto o presente trabalho se propõe a avaliar um modelo de volatilidade estocástico através da aplicação de estratégias de trading. Desta forma busca-se comparar diferentes estratégias de negociação para avaliar o resultado financeiro obtido a partir da adoção do modelo proposto.
| Identifer | oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/12009 |
| Date | 07 August 2014 |
| Creators | Gomes, David Fernandes de Carvalho |
| Contributors | Pinto, Afonso de Campos, Martins, Thiago Barros, Escolas::EESP, Ruilova Terán, Juan Carlos |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV |
| Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0022 seconds