In this paper we find that Fama and French factors can explain the future behavior of three macroeconomic variables of the Brazilian economy: GDP, industrial production and inflation. The results show that these three factors explain the future behavior of the macroeconomic variables with a...

Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial...

We study the optimal continuous trading strategy of an insider who is subject to the possibility of law penalties due to her illegal trading activity. This possibility was absent in previous works. Also, we discuss how to obtain the optimal penalty rule that maximize a welfare function

To verify whether an empirical distribution has a specific theoretical distribution, several tests have been used, for example: Kolmogorov-Smirnov and Kuiper. These tests try to analyze if all parts of the empirical distribution has a specific theoretical shape. But, in a Risk Management...

We establish the existence of sequential equilibria in general menu games, known to be suffcient to analyze common agency problems. In particular, we show that our result solves some unpleasant features of early approaches

We study the estimation of volatility using the Fractional Brownian Motion (FBM) to model asset returns. Then, we price some European options using a Black-Scholes type formula derived for the FBM market model

The goal of this paper is to analyze the use of the Generalized Hyperbolic (GH) Distributions to model the US Dollar/Brazilian Real exchange rate in a way to produce more accurate VaR (Value at Risk) measurements. After the GH parameters estimation, several distances were calculated to verify...

A common statistical problem in finance is measuring the goodness-of-fit of a given distribution to real world data. This can be done using distances to measure how close an empirical distribution is from a theoretical distribution. The tails of the distribution should receive special importance...