Hedging no modelo com processo de Poisson composto

Detalhes bibliográficos
Autor(a) principal: Sae Hon Sung, Victor
Data de Publicação: 2015
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional da UFSCAR
Texto Completo: https://repositorio.ufscar.br/handle/ufscar/7092
Resumo: The investor, that negotiate assets, is subject to economic risks of any negotiation because there is no certainty regarding the appreciation or depreciation of an asset. Here comes the futures market, where contracts can be negotiated in order to protect (hedge) the risk of excessive losses or gains, making the purchase or sale assets, fair for both sides. The goal of this work consist in study Lévy pure-jump process with finite activity, also known as compound Poisson process, and its applications. Discovered by the French mathematician Paul Pierre Lévy, the Lévy processes admits jumps in paths, which is often observed in financial markets. We will define a hedging strategy for a market model with compound Poisson process using mean-variance hedging and dynamic programming.
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spelling Sae Hon Sung, VictorPinto Júnior, Dorival Leãohttp://lattes.cnpq.br/9633241446303620http://lattes.cnpq.br/3423938001020704ca379416-929c-4770-8091-60a250f376f52016-09-13T14:05:56Z2016-09-13T14:05:56Z2015-12-07SAE HON SUNG, Victor. Hedging no modelo com processo de Poisson composto. 2015. Dissertação (Mestrado em Estatística) – Universidade Federal de São Carlos, São Carlos, 2015. Disponível em: https://repositorio.ufscar.br/handle/ufscar/7092.https://repositorio.ufscar.br/handle/ufscar/7092The investor, that negotiate assets, is subject to economic risks of any negotiation because there is no certainty regarding the appreciation or depreciation of an asset. Here comes the futures market, where contracts can be negotiated in order to protect (hedge) the risk of excessive losses or gains, making the purchase or sale assets, fair for both sides. The goal of this work consist in study Lévy pure-jump process with finite activity, also known as compound Poisson process, and its applications. Discovered by the French mathematician Paul Pierre Lévy, the Lévy processes admits jumps in paths, which is often observed in financial markets. We will define a hedging strategy for a market model with compound Poisson process using mean-variance hedging and dynamic programming.Interessado em fazer com que o seu capital gere lucros, o investidor ao optar por negociar ativos, fica sujeito aos riscos econômicos de qualquer negociação, pois não existe uma certeza quanto a valorização ou desvalorização de um ativo. Eis que surge o mercado futuro, em que é possível negociar contratos a fim de se proteger (hedge) dos riscos de perdas ou ganhos excessivos, fazendo com que a compra ou venda de ativos, seja justa para ambas as partes. O objetivo deste trabalho consiste em estudar os processos de Lévy de puro salto de atividade finita, também conhecido como modelo de Poisson composto, e suas aplicações. Proposto pelo matemático francês Paul Pierre Lévy, os processos de Lévy tem como principal característica admitir saltos em sua trajetória, o que é frequentemente observado no mercado financeiro. Determinaremos uma estratégia de hedging no modelo de mercado com o processo de Poisson composto via o conceito de mean-variance hedging e princípio da programação dinâmica.Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)porUniversidade Federal de São CarlosCâmpus São CarlosPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsUFSCarMercado futuroPrincípio da programação dinâmicaModelo com processo de Poisson compostoMean-variance hedgingHedgingProcesso de Poisson compostoFuturesCompound Poisson processDynamic programmingCIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICAHedging no modelo com processo de Poisson compostoHedging in compound Poisson process modelinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisOnline60060067056606-81af-4706-93bb-b26b722a9f1cinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFSCARinstname:Universidade Federal de São Carlos (UFSCAR)instacron:UFSCARORIGINALDissVSHS.pdfDissVSHS.pdfapplication/pdf882234https://repositorio.ufscar.br/bitstream/ufscar/7092/1/DissVSHS.pdff08aea79440ba666e616318257bbdec9MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-81957https://repositorio.ufscar.br/bitstream/ufscar/7092/2/license.txtae0398b6f8b235e40ad82cba6c50031dMD52TEXTDissVSHS.pdf.txtDissVSHS.pdf.txtExtracted texttext/plain67188https://repositorio.ufscar.br/bitstream/ufscar/7092/3/DissVSHS.pdf.txt7c8cd88c22acd475bfbb8bcb9f2a8947MD53THUMBNAILDissVSHS.pdf.jpgDissVSHS.pdf.jpgIM Thumbnailimage/jpeg4480https://repositorio.ufscar.br/bitstream/ufscar/7092/4/DissVSHS.pdf.jpgd8e9563812e85e782d258091770eb92eMD54ufscar/70922023-09-18 18:31:49.063oai:repositorio.ufscar.br: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Repositório InstitucionalPUBhttps://repositorio.ufscar.br/oai/requestopendoar:43222023-09-18T18:31:49Repositório Institucional da UFSCAR - Universidade Federal de São Carlos (UFSCAR)false
dc.title.por.fl_str_mv Hedging no modelo com processo de Poisson composto
dc.title.alternative.eng.fl_str_mv Hedging in compound Poisson process model
title Hedging no modelo com processo de Poisson composto
spellingShingle Hedging no modelo com processo de Poisson composto
Sae Hon Sung, Victor
Mercado futuro
Princípio da programação dinâmica
Modelo com processo de Poisson composto
Mean-variance hedging
Hedging
Processo de Poisson composto
Futures
Compound Poisson process
Dynamic programming
CIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICA
title_short Hedging no modelo com processo de Poisson composto
title_full Hedging no modelo com processo de Poisson composto
title_fullStr Hedging no modelo com processo de Poisson composto
title_full_unstemmed Hedging no modelo com processo de Poisson composto
title_sort Hedging no modelo com processo de Poisson composto
author Sae Hon Sung, Victor
author_facet Sae Hon Sung, Victor
author_role author
dc.contributor.authorlattes.por.fl_str_mv http://lattes.cnpq.br/3423938001020704
dc.contributor.author.fl_str_mv Sae Hon Sung, Victor
dc.contributor.advisor1.fl_str_mv Pinto Júnior, Dorival Leão
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/9633241446303620
dc.contributor.authorID.fl_str_mv ca379416-929c-4770-8091-60a250f376f5
contributor_str_mv Pinto Júnior, Dorival Leão
dc.subject.por.fl_str_mv Mercado futuro
Princípio da programação dinâmica
Modelo com processo de Poisson composto
topic Mercado futuro
Princípio da programação dinâmica
Modelo com processo de Poisson composto
Mean-variance hedging
Hedging
Processo de Poisson composto
Futures
Compound Poisson process
Dynamic programming
CIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICA
dc.subject.eng.fl_str_mv Mean-variance hedging
Hedging
Processo de Poisson composto
Futures
Compound Poisson process
Dynamic programming
dc.subject.cnpq.fl_str_mv CIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICA
description The investor, that negotiate assets, is subject to economic risks of any negotiation because there is no certainty regarding the appreciation or depreciation of an asset. Here comes the futures market, where contracts can be negotiated in order to protect (hedge) the risk of excessive losses or gains, making the purchase or sale assets, fair for both sides. The goal of this work consist in study Lévy pure-jump process with finite activity, also known as compound Poisson process, and its applications. Discovered by the French mathematician Paul Pierre Lévy, the Lévy processes admits jumps in paths, which is often observed in financial markets. We will define a hedging strategy for a market model with compound Poisson process using mean-variance hedging and dynamic programming.
publishDate 2015
dc.date.issued.fl_str_mv 2015-12-07
dc.date.accessioned.fl_str_mv 2016-09-13T14:05:56Z
dc.date.available.fl_str_mv 2016-09-13T14:05:56Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv SAE HON SUNG, Victor. Hedging no modelo com processo de Poisson composto. 2015. Dissertação (Mestrado em Estatística) – Universidade Federal de São Carlos, São Carlos, 2015. Disponível em: https://repositorio.ufscar.br/handle/ufscar/7092.
dc.identifier.uri.fl_str_mv https://repositorio.ufscar.br/handle/ufscar/7092
identifier_str_mv SAE HON SUNG, Victor. Hedging no modelo com processo de Poisson composto. 2015. Dissertação (Mestrado em Estatística) – Universidade Federal de São Carlos, São Carlos, 2015. Disponível em: https://repositorio.ufscar.br/handle/ufscar/7092.
url https://repositorio.ufscar.br/handle/ufscar/7092
dc.language.iso.fl_str_mv por
language por
dc.relation.confidence.fl_str_mv 600
600
dc.relation.authority.fl_str_mv 67056606-81af-4706-93bb-b26b722a9f1c
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal de São Carlos
Câmpus São Carlos
dc.publisher.program.fl_str_mv Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs
dc.publisher.initials.fl_str_mv UFSCar
publisher.none.fl_str_mv Universidade Federal de São Carlos
Câmpus São Carlos
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFSCAR
instname:Universidade Federal de São Carlos (UFSCAR)
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instname_str Universidade Federal de São Carlos (UFSCAR)
instacron_str UFSCAR
institution UFSCAR
reponame_str Repositório Institucional da UFSCAR
collection Repositório Institucional da UFSCAR
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