|
|
|
|
|
Allan Jonathan da Silva, Jack Baczynski and José Valentim Machado Vicente
We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional chara...
ver más
|
|
|
|
|
|
|
|
|
|
|
Gustavo Silva Araujo,José Valentim Vicente
Pág. 227 - 250
Implicit inflation or break-even inflation rate (BEIR) is the difference between nominal and real interest rates. In the Brazilian market, we can obtain it from indexed government bonds. However, when dealing with short-term BEIR, this task presents two ...
ver más
|
|
|
|
|
|
|
|
|
|
|
José Valentim Machado Vicente,Gustavo Silva Araujo,Paula Baião Fisher de Castro,Felipe Noronha Tavares
Pág. 41 - 66
The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investo...
ver más
|
|
|
|
|
|
|
|
|
|
|
Claudio Henrique Barbedo,Octávio Bessada Lion,Jose Valentim Machado Vicente
Pág. 9 - 23
Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable informa...
ver más
|
|
|
|
|
|
|
|
|
|
|
Ronny Kim Woo,José Valentim Machado Vicente,Claudio Henrique Barbedo
Pág. p. 485 - 501
The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented,...
ver más
|
|
|
|
|
|
|
|
|
|
|
Felipe Pinheiro,Caio Ibsen Rodrigues de Almeida,José Valentim Vicente
Pág. pp. 79 - 92
Recently, a myriad of factor models including macroeconomic variables have been proposed to analyze the yield curve. We present an alternative factor model where term structure movements are captured by Legendre polynomials mimicking the statistical fact...
ver más
|
|
|
|
|
|