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[[abstract]]This study analyzes the pricing and hedging problems for quanto range accrual notes (RANs) under the Heath-Jarrow-Morton (HJM) framework with Levy processes for instantaneous domestic and foreign forward interest rates. We consider the effects of jump risk on both interest rates and exchange rates in the pricing of the notes. We first derive the pricing formula for quanto double interest rate digital options and quanto contingent payoff options; then we apply the method proposed by Turnbull (Journal of Derivatives, 1995, 3, 92–101) to replicate the quanto RAN by a combination of the quanto double interest rate digital options and the quanto contingent payoff options. Using the pricing formulas derived in this study, we obtain the hedging position for each issue of quanto RANs. In addition, by simulation and assuming the jum...
We present a new model for pricing quanto CDS where the FX could be strongly dependent on the credit reference. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of default of the credit reference. We present the model, the calibration algorithm, and the quanto CDS pricing.
We present a new model for pricing Quanto FTD where the FX could be strongly dependent to some or all credit names. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of first to default and where the jump size depends on credit name reference. We present the model, the calibration algorithm, and the Quanto FTD pricing. This model is an extension of the model BSWithJump for pricing Quanto CDS with FX devaluation risk.
weather derivatives; Quanto options pricing; derivative pricing; model simulation; forecast
weather derivatives, Quanto options pricing, derivative pricing, model simulation and forecast.
Resumo: O Paraná destaca-se como maior produtor nacional de trigo, responsável por aproximadamente 50% do total produzido no país na safra de 2009. A germinação precoce na espiga pode acarretar perdas elevadas no volume e na qualidade produzidos e está presente em todo o cenário mundial. O projeto teve por objetivo avaliar três metodologias para avaliação de genótipos de trigo quanto à germinação na espiga. Para tanto foram utilizados 14 genótipos nacionais, na safra de inverno de 2008, semeados em dois locais, nas Estações Experimentais da Embrapa Soja nos municípios de Londrina e Ponta Grossa. Os genótipos foram colhidos em duas épocas: 10 e 17 dias após maturidade fisiológica. Os experimentos foram conduzidos em casa-de-vegetação, com uso de simulador de chuva, e em laboratório, por meio da germinação do grão na espiga e do grão apó...
Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of analytical formulae based on the Black-Scholes pricing approach, nor other more advanced continuous time methods that extend the Black-Scholes appro...
This study relates to the administered leadership in four Portuguese schools, two of them are public schools and the other two are private schools. Leadership is taken as an essential key in a organization well-functioning, in which there are power and authority relations between several organizational structures. Related to this project, questionnaires were applied to three different groups, teachers, operational assistants and administrative employees, from the four schools, so it could be possible to characterize schools in terms of its culture and leadership roles assumed by their leaders. Results reveal some differences between public and private schools and between different inquired groups. It was shown more concern about resources in private schools, a hierarchical and structured leadership in public schools and in the fact tha...
Introdução: Devido a seu potencial redox, o ferro tornou-se o metal mais comumente utilizado na maioria dos sistemas biológicos. Entretanto, devido a essa versatilidade química, o ferro pode transferir elétrons para o oxigênio molecular, capaz de promover a oxidação de diversas moléculas e danos oxidativos celulares. Assim, tanto a deficiência quanto o excesso de ferro no organismo são responsáveis por um amplo espectro de doenças, variando desde a anemia até a sobrecarga. A suplementação com ferro parenteral e a administração de eritropoetina humana recombinante (rHuEPO) é à base do tratamento da anemia nos pacientes com Doença Renal Crônica (DRC) terminal em tratamento dialítico. A administração intravenosa repetida de ferro aumenta o estresse oxidativo nesse grupo de indivíduos. Objetivos: Verificar possíveis correlações e/ou associ...
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