Este trabalho apresenta uma predição livre de arbitragem da volatilidade implícita de um conjunto de opções com a mesma maturidade. O método consiste em prever os parâmetros da parametrização SABR, evitando restrições não ...

Parametric term structure models have been successfully applied to innumerous problems in fixed income markets, including pricing, hedging, managing risk, as well as studying monetary policy implications. On their turn, ...

The market involving credit derivatives has become increasingly popular and extremely liquid in the most recent years. The pricing of such instruments offers a myriad of new challenges to the research community as the ...

Materia: Anulación de Laudo Arbitral. Nº de Expediente: 00306 – 2009 – 0 – 1801 – SP – CO - 02. Materia: Protección al Consumidor. No de Expediente: 1288-2013/CC2.

Focus, in the past four decades, has been obtaining closed-form expressions for the noarbitrage prices and hedges of modified versions of the European options, allowing the dynamic of the underlying assets to have ...

Materia: Arbitraje de Conciencia Nº de Expediente: 001-2001. Un ex funcionario de un banco interpone demanda contra éste por el cumplimiento de las obligaciones establecidas en el Convenio de Otorgamiento de Beneficios ...

Commodity studies have concluded that the traditional Capital Asset Pricing Model (CAPM) has failed to explain the cross-section of commodity futures returns. However, these studies are based exclusively on shortest ...