Universidade Federal do Rio Grande do Norte Natal, 11 de Maio de 2024

Resumo do Componente Curricular

Dados Gerais do Componente Curricular
Tipo do Componente Curricular: DISCIPLINA
Unidade Responsável: PROGRAMA DE PÓS-GRADUAÇÃO EM ADMINISTRAÇÃO - PPGA (16.21)
Código: PPGA0156
Nome: MERCADO DE DERIVATIVOS
Carga Horária Teórica: 60 h.
Carga Horária Prática: 0 h.
Carga Horária Total: 60 h.
Pré-Requisitos:
Co-Requisitos:
Equivalências:
Excluir da Avaliação Institucional: Não
Matriculável On-Line: Sim
Horário Flexível da Turma: Sim
Horário Flexível do Docente: Sim
Obrigatoriedade de Nota Final: Sim
Pode Criar Turma Sem Solicitação: Não
Necessita de Orientador: Não
Exige Horário: Sim
Permite CH Compartilhada: Não
Quantidade de Avaliações: 1
Ementa/Descrição: Os Mercados de Derivativos. Modelos de Expectâncias, Martingal e Movimento Browniano. Contratos a Termo, Futuro, Swaps e Opções. Derivativos Agropecuários e Financeiros. Modelos de Apreçamento de Opções. Opções Exóticas, Asiáticas e Binárias. Volatilidades e Superfícies de Volatilidades. Riscos. VaR e Expected Shortfall Risk. Estratégias com Derivativos. Investigações Contemporâneas e estudos recentes do mercado de Derivativos.
Referências: Abdelradi, Fadi, e Teresa Serra. 2015. “Asymmetric Price Volatility Transmission between Food and Energy Markets: The Case of Spain”. Agricultural Economics 46 (4): 503–13. https://doi.org/10.1111/agec.12177. Adämmer, Philipp, Martin T. Bohl, e Ernst-Oliver von Ledebur. 2017. “Dynamics Between North American and European Agricultural Futures Prices During Turmoil and Financialization”. Bulletin of Economic Research 69 (1): 57–76. https://doi.org/10.1111/boer.12079. Almeida, Carlos, Claudia Czado, e Hans Manner. 2016. “Modeling High-Dimensional Time-Varying Dependence Using Dynamic D-Vine Models”. Applied Stochastic Models in Business and Industry 32 (5): 621–38. https://doi.org/10.1002/asmb.2182. Alsayed, Hamad, e Frank McGroarty. 2014. “Ultra-High-Frequency Algorithmic Arbitrage Across International Index Futures”. Journal of Forecasting 33 (6): 391–408. https://doi.org/10.1002/for.2298. Badshah, Ihsan Ullah. 2013. “Quantile Regression Analysis of the Asymmetric Return-Volatility Relation”. Journal of Futures Markets 33 (3): 235–65. https://doi.org/10.1002/fut.21551. Bae, Kyoung-Hun, e Peter Dixon. 2018. “Do Investors Use Options and Futures to Trade on Different Types of Information? Evidence from an Aggregate Stock Index”. Journal of Futures Markets 38 (2): 175–98. https://doi.org/10.1002/fut.21863. Bjursell, Johan, George H. K. Wang, e Robert I. Webb. 2013. “Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements”. Asia-Pacific Journal of Financial Studies 42 (5): 689–723. https://doi.org/10.1111/ajfs.12028. Bjursell, Johan, George H. K. Wang, e Hui Zheng. 2017. “VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets”. Journal of Futures Markets 37 (6): 542–77. https://doi.org/10.1002/fut.21839. Bollen, Nicolas P. B., e Robert E. Whaley. 2004. “Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?” The Journal of Finance 59 (2): 711–53. https://doi.org/10.1111/j.1540-6261.2004.00647.x. Bollerslev, Tim, e Viktor Todorov. 2011. “Tails, Fears, and Risk Premia”. The Journal of Finance 66 (6): 2165–2211. https://doi.org/10.1111/j.1540-6261.2011.01695.x. Bosch, David, e Elina Pradkhan. 2017. “Trading Activity and Rate of Convergence in Commodity Futures Markets”. Journal of Futures Markets 37 (9): 930–38. https://doi.org/10.1002/fut.21831. Campbell, John Y., Andrew W. Lo, A. Craig MacKinlay, e Andrew Y. Lo. 1996. The Econometrics of Financial Markets. 2nd ed. edition. Princeton, N.J: Princeton University Press. Canina, Linda, e Stephen Figlewski. 1993. “The Informational Content of Implied Volatility”. The Review of Financial Studies 6 (3): 659–81. Čech, František, e Jozef Baruník. 2017. “On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model”. Journal of Forecasting 36 (2): 181–206. https://doi.org/10.1002/for.2423. Chan, Kam C., Carl R. Chen, e Peter P. Lung. 2010. “Business Cycles and Net Buying Pressure in the S&P 500 Futures Options”. European Financial Management 16 (4): 624–57. https://doi.org/10.1111/j.1468-036X.2008.00477.x. Chan, Kam C., Louis T. W. Cheng, e Peter P. Lung. 2006. “Testing the Net Buying Pressure Hypothesis During the Asian Financial Crisis: Evidence from Hang Seng Index Options”. Journal of Financial Research 29 (1): 43–62. https://doi.org/10.1111/j.1475-6803.2006.00165.x. Chang, Bo Young, e Greg Orosi. 2017. “Equity Option Implied Probability of Default and Equity Recovery Rate”. Journal of Futures Markets 37 (6): 599–613. https://doi.org/10.1002/fut.21823. Chen, Chao-Chun, e Shih-Hua Wang. 2017. “Net Buying Pressure and Option Informed Trading”. Journal of Futures Markets 37 (3): 238–59. https://doi.org/10.1002/fut.21797. Cheung, William M., Robin K. Chou, e Adrian C.H. Lei. 2015. “Exchange-Traded Barrier Option and VPIN: Evidence from Hong Kong”. Journal of Futures Markets 35 (6): 561–81. https://doi.org/10.1002/fut.21719. Chiarella, Carl, Boda Kang, Christina Sklibosios Nikitopoulos, e Thuy-Duong Tô. 2016. “The Return–Volatility Relation in Commodity Futures Markets”. Journal of Futures Markets 36 (2): 127–52. https://doi.org/10.1002/fut.21717. Choi, Sun-Yong, Jeong-Hoon Kim, e Ji-Hun Yoon. 2016. “The Heston Model with Stochastic Elasticity of Variance”. Applied Stochastic Models in Business and Industry 32 (6): 804–24. https://doi.org/10.1002/asmb.2203. Contino, Christian, e Richard H. Gerlach. 2017. “Bayesian Tail-Risk Forecasting Using Realized GARCH”. Applied Stochastic Models in Business and Industry 33 (2): 213–36. https://doi.org/10.1002/asmb.2237. Cruz, Aricson, e José Carlos Dias. 2017. “The Binomial CEV Model and the Greeks”. Journal of Futures Markets 37 (1): 90–104. https://doi.org/10.1002/fut.21791. Da Fonseca, José, e Riadh Zaatour. 2014. “Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit”. Journal of Futures Markets 34 (6): 548–79. https://doi.org/10.1002/fut.21644. ———. 2017. “Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model”. Journal of Futures Markets 37 (3): 260–85. https://doi.org/10.1002/fut.21800. Do, Binh Huu, Anthony Foster, e Philip Gray. 2016. “The Profitability of Volatility Spread Trading on ASX Equity Options”. Journal of Futures Markets 36 (2): 107–26. https://doi.org/10.1002/fut.21729. Dolatabadi, Sepideh, Paresh Kumar Narayan, Morten Ørregaard Nielsen, e Ke Xu. 2018. “Economic Significance of Commodity Return Forecasts from the Fractionally Cointegrated VAR Model”. Journal of Futures Markets 38 (2): 219–42. https://doi.org/10.1002/fut.21866. Driessen, Joost, Pascal J. Maenhout, e Grigory Vilkov. 2009. “The Price of Correlation Risk: Evidence from Equity Options”. The Journal of Finance 64 (3): 1377–1406. https://doi.org/10.1111/j.1540-6261.2009.01467.x. Elaut, Gert, Péter Erdős, e John Sjödin. 2016. “An Analysis of the Risk-Return Characteristics of Serially Correlated Managed Futures”. Journal of Futures Markets 36 (10): 992–1013. https://doi.org/10.1002/fut.21773. Fan, Rui, Haiqi Li, e Sung Y. Park. 2016. “Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Nonparametric Approaches”. Journal of Futures Markets 36 (10): 968–91. https://doi.org/10.1002/fut.21766.Fernandes, Marcelo, e Cristina M. Scherrer. 2018. “Price Discovery in Dual-Class Shares across Multiple Markets”. Journal of Futures Markets 38 (1): 129–55. https://doi.org/10.1002/fut.21889. Figlewski, Stephen. 2017. “Derivatives Valuation Based on Arbitrage: The Trade Is Crucial”. Journal of Futures Markets 37 (4): 316–27. https://doi.org/10.1002/fut.21806. Fouque, Professor Jean-Pierre, George Papanicolaou, e K. Ronnie Sircar. 2000. Derivatives in Financial Markets with Stochastic Volatility. 1 edition. Cambridge: Cambridge University Press. Frijns, Bart, Alireza Tourani-Rad, e Robert I. Webb. 2016. “On the Intraday Relation Between the VIX and Its Futures”. Journal of Futures Markets 36 (9): 870–86. https://doi.org/10.1002/fut.21762. Gardebroek, Cornelis, Manuel A. Hernandez, e Miguel Robles. 2016. “Market Interdependence and Volatility Transmission among Major Crops”. Agricultural Economics 47 (2): 141–55. https://doi.org/10.1111/agec.12184. Gong, Yuting, e Xu Zheng. 2016. “Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures”. Journal of Futures Markets 36 (3): 267–94. https://doi.org/10.1002/fut.21722. GrØnborg, Niels S., e Asger Lunde. 2016. “Analyzing Oil Futures with a Dynamic Nelson-Siegel Model”. Journal of Futures Markets 36 (2): 153–73. https://doi.org/10.1002/fut.21713. Han, Heejoon, e Myung D. Park. 2013. “Comparison of Realized Measure and Implied Volatility in Forecasting Volatility”. Journal of Forecasting 32 (6): 522–33. https://doi.org/10.1002/for.2253. Hansen, Peter Reinhard, Zhuo Huang, e Howard Howan Shek. 2012. “Realized GARCH: A Joint Model for Returns and Realized Measures of Volatility”. Journal of Applied Econometrics 27 (6): 877–906. https://doi.org/10.1002/jae.1234. Hansen, Peter Reinhard, Asger Lunde, e Valeri Voev. 2014. “Realized Beta Garch: A Multivariate Garch Model with Realized Measures of Volatility”. Journal of Applied Econometrics 29 (5): 774–99. https://doi.org/10.1002/jae.2389. Heston, Steven L. 1993. “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options”. The Review of Financial Studies 6 (2): 327–43. Huang, Zhuo, Tianyi Wang, e Peter Reinhard Hansen. 2017. “Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach”. Journal of Futures Markets 37 (4): 328–58. https://doi.org/10.1002/fut.21821. Hull, John C. 2008. Options, Futures, and Other Derivatives with Derivagem CD. 7 edition. Upper Saddle River, NJ: Prentice Hall. ———. 2014. Options, Futures, and Other Derivatives. 9 edition. Boston Columbus Indianapolis: Pearson. ———. 2016. Fundamentals of Futures and Options Markets. 9 edition. Boston: Pearson. Jin, Xin. 2017. “Do Futures Prices Help Forecast the Spot Price?” Journal of Futures Markets 37 (12): 1205–25. https://doi.org/10.1002/fut.21854. Johnson, R. Stafford. 2017. Derivatives Markets and Analysis. 1 edition. Hoboken: Bloomberg Press. Jones, Christopher S., e Joshua Shemesh. [s.d.]. “Option Mispricing around Nontrading Periods”. The Journal of Finance, n/a-n/a. https://doi.org/10.1111/jofi.12603. Kambouroudis, Dimos S., David G. McMillan, e Katerina Tsakou. 2016. “Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models”. Journal of Futures Markets 36 (12): 1127–63. https://doi.org/10.1002/fut.21783. Kang, Jangkoo, e Soonhee Lee. 2016. “Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices?” Journal of Futures Markets 36 (8): 722–44. https://doi.org/10.1002/fut.21769. Kao, Dian-Xuan, Wei-Che Tsai, Yaw-Huei Wang, e Kuang-Chieh Yen. 2018. “An Analysis on the Intraday Trading Activity of VIX Derivatives”. Journal of Futures Markets 38 (2): 158–74. https://doi.org/10.1002/fut.21857. Kaufman, Perry J. 1984. Handbook of Futures Markets: Commodity, Financial, Stock Index and Options. New York: Wiley-Interscience. Kim, Abby. 2015. “Does Futures Speculation Destabilize Commodity Markets?” Journal of Futures Markets 35 (8): 696–714. https://doi.org/10.1002/fut.21716. Kim, Suk-Joong. 2016. “Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation”. Journal of Futures Markets 36 (11): 1076–1107. https://doi.org/10.1002/fut.21778. Komijani, Akbar, Esmaeil Naderi, e Nadiya Gandali Alikhani. 2014. “A Hybrid Approach for Forecasting of Oil Prices Volatility”. OPEC Energy Review 38 (3): 323–40. https://doi.org/10.1111/opec.12030. Kourtis, Apostolos, Raphael N. Markellos, e Lazaros Symeonidis. 2016. “An International Comparison of Implied, Realized, and GARCH Volatility Forecasts”. Journal of Futures Markets 36 (12): 1164–93. https://doi.org/10.1002/fut.21792. Lai, Yu-Sheng. 2016. “Hedge Ratio Prediction with Noisy and Asynchronous High-Frequency Data”. Journal of Futures Markets 36 (3): 295–314. https://doi.org/10.1002/fut.21735. Lai, Yu-Sheng, e Donald Lien. 2017. “A Bivariate High-Frequency-Based Volatility Model for Optimal Futures Hedging”. Journal of Futures Markets 37 (9): 913–29. https://doi.org/10.1002/fut.21841. Lai, Yu-Sheng, Her-Jiun Sheu, e Hsiang-Tai Lee. 2017. “A Multivariate Markov Regime-Switching High-Frequency-Based Volatility Model for Optimal Futures Hedging”. Journal of Futures Markets 37 (11): 1124–40. https://doi.org/10.1002/fut.21842. Larkin, J., A. Brooksby, C. T. Lin, e R. Zurbruegg. 2012. “Implied Volatility Smiles, Option Mispricing and Net Buying Pressure: Evidence around the Global Financial Crisis”. Accounting & Finance 52 (1): 47–69. https://doi.org/10.1111/j.1467-629X.2011.00419.x. Lee, Hsiu-Chuan, Tzu-Hsiang Liao, e Pao-Ying Tung. 2017. “Investors’ Heterogeneity in Beliefs, the VIX Futures Basis, and S&P 500 Index Futures Returns”. Journal of Futures Markets 37 (9): 939–60. https://doi.org/10.1002/fut.21838. Li, Chao, e Dermot J. Hayes. 2017. “Price Discovery on the International Soybean Futures Markets: A Threshold Co-Integration Approach”. Journal of Futures Markets 37 (1): 52–70. https://doi.org/10.1002/fut.21794. Lien, Donald, Keshab Shrestha, e Jing Wu. 2016. “Quantile Estimation of Optimal Hedge Ratio”. Journal of Futures Markets 36 (2): 194–214. https://doi.org/10.1002/fut.21712. Luo, Xingguo, e Xuyuanda Qi. 2017. “The Dynamic Correlations between the G7 Economies and China: Evidence from Both Realized and Implied Volatilities”. Journal of Futures Markets 37 (10): 989–1002. https://doi.org/10.1002/fut.21851. Luo, Xingguo, e Jin E. Zhang. 2012. “The Term Structure of VIX”. Journal of Futures Markets 32 (12): 1092–1123. https://doi.org/10.1002/fut.21572. Maneesoonthorn, Worapree, Catherine S. Forbes, e Gael M. Martin. 2017. “Inference on Self-Exciting Jumps in Prices and Volatility Using High-Frequency Measures”. Journal of Applied Econometrics 32 (3): 504–32. https://doi.org/10.1002/jae.2547. McDonald, Robert L. 2012. Derivatives Markets. 3 edition. Boston: Pearson. Natter, Markus. 2018. “Options-Based Benchmark Indices—A Review of Performance and (in)Appropriate Measures”. Journal of Futures Markets 38 (2): 271–88. https://doi.org/10.1002/fut.21865. Noureldin, Diaa, Neil Shephard, e Kevin Sheppard. 2012. “Multivariate High-Frequency-Based Volatility (HEAVY) Models”. Journal of Applied Econometrics 27 (6): 907–33. https://doi.org/10.1002/jae.1260. Osaki, Yusuke, Kit Pong Wong, e Long Yi. 2017. “Hedging and the Competitive Firm Under Ambiguous Price and Background Risk”. Bulletin of Economic Research 69 (4): E1–11. https://doi.org/10.1111/boer.12092. Padungsaksawasdi, Chaiyuth, e Robert T. Daigler. 2014. “The Return-Implied Volatility Relation for Commodity ETFs”. Journal of Futures Markets 34 (3): 261–81. https://doi.org/10.1002/fut.21592. Park, Sung Yong, e Sang Young Jei. 2010. “Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate Garch Approaches”. Journal of Futures Markets 30 (1): 71–99. https://doi.org/10.1002/fut.20401.Pirie, Wendy L., org. 2017. Derivatives. 1 edition. Hoboken, New Jersey: Wiley. Pradkhan, Elina. 2017. “Financial Activity in Agricultural Futures Markets: Evidence from Quantile Regressions”. Australian Journal of Agricultural and Resource Economics 61 (4): 610–25. https://doi.org/10.1111/1467-8489.12222. Prokopczuk, Marcel, Lazaros Symeonidis, e Chardin Wese Simen. 2016. “Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets”. Journal of Futures Markets 36 (8): 758–92. https://doi.org/10.1002/fut.21759. Robe, Michel A., e Jonathan Wallen. 2016. “Fundamentals, Derivatives Market Information and Oil Price Volatility”. Journal of Futures Markets 36 (4): 317–44. https://doi.org/10.1002/fut.21732. Rompolis, Leonidas S. 2016. “Risk-Free Rates and Variance Futures Prices”. Journal of Futures Markets 36 (10): 943–67. https://doi.org/10.1002/fut.21767. Salvador, Enrique, e Vicent Aragó. 2014. “Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime-Switching Approach”. Journal of Futures Markets 34 (4): 374–98. https://doi.org/10.1002/fut.21598. Sanjuán-López, Ana I., e Philip J. Dawson. 2017. “Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach”. Journal of Agricultural Economics 68 (3): 822–38. https://doi.org/10.1111/1477-9552.12216. Shephard, Neil, e Kevin Sheppard. 2010. “Realising the Future: Forecasting with High-Frequency-Based Volatility (HEAVY) Models”. Journal of Applied Econometrics 25 (2): 197–231. https://doi.org/10.1002/jae.1158. Silvennoinen, Annastiina, e Susan Thorp. 2016. “Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics”. Journal of Futures Markets 36 (6): 522–44. https://doi.org/10.1002/fut.21770. Sundaresan, Suresh. 2009. Fixed Income Markets and Their Derivatives, Third Edition. 3 edition. Amsterdam: Academic Press. Talukdar, Bakhtear, Robert T. Daigler, e A. M. Parhizgari. 2017. “Expanding the Explanations for the Return–Volatility Relation”. Journal of Futures Markets 37 (7): 689–716. https://doi.org/10.1002/fut.21827. Wang, Chengxiang, Wenli Huang, Shenghong Li, e Qunfang Bao. 2016. “Pricing VIX Options in a Stochastic Vol-of-Vol Model”. Applied Stochastic Models in Business and Industry 32 (2): 168–83. https://doi.org/10.1002/asmb.2142. Wang, Tianyi, Yiwen Shen, Yueting Jiang, e Zhuo Huang. 2017. “Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model”. Journal of Futures Markets 37 (7): 641–59. https://doi.org/10.1002/fut.21820. Wang, Yaw-Huei, e Yun-Yi Wang. 2016. “The Information Content of Intraday Implied Volatility for Volatility Forecasting”. Journal of Forecasting 35 (2): 167–78. https://doi.org/10.1002/for.2373. Wang, Yaw-Huei, e Kuang-Chieh Yen. [s.d.]. “The Information Content of the Implied Volatility Term Structure on Future Returns”. European Financial Management, n/a-n/a. https://doi.org/10.1111/eufm.12166. Weng, Pei-Shih, Ming-Hung Wu, Miao-Ling Chen, e Wei-Che Tsai. 2017. “An Empirical Analysis of the Dynamic Probability of Informed Institutional Trading: Evidence from the Taiwan Futures Exchange”. Journal of Futures Markets 37 (9): 865–91. https://doi.org/10.1002/fut.21830. Williams, Jeffrey C. 1989. The Economic Function of Futures Markets. Cambridge: Cambridge University Press. Wong, Kit Pong. 2015. “Ambiguity and the Value of Hedging”. Journal of Futures Markets 35 (9): 839–48. https://doi.org/10.1002/fut.21678. ———. 2017. “Cross-Hedging Ambiguous Exchange Rate Risk”. Journal of Futures Markets 37 (2): 132–47. https://doi.org/10.1002/fut.21793. Wu, Feng, Zhengfei Guan, e Robert J. Myers. 2011. “Volatility Spillover Effects and Cross Hedging in Corn and Crude Oil Futures”. Journal of Futures Markets 31 (11): 1052–75. https://doi.org/10.1002/fut.20499. Yang, Ke, e Langnan Chen. 2014. “Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect”. International Review of Finance 14 (3): 345–92. https://doi.org/10.1111/irfi.12030. Yang, Ke, Langnan Chen, e Fengping Tian. 2015. “Realized Volatility Forecast of Stock Index Under Structural Breaks”. Journal of Forecasting 34 (1): 57–82. https://doi.org/10.1002/for.2318. Yang, Wenling, e David E. Allen. 2005. “Multivariate GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets”. Accounting & Finance 45 (2): 301–21. https://doi.org/10.1111/j.1467-629x.2004.00119.x. Zhang, Jin E., Fang Zhen, Xiaoxia Sun, e Huimin Zhao. 2017. “The Skewness Implied in the Heston Model and Its Application”. Journal of Futures Markets 37 (3): 211–37. https://doi.org/10.1002/fut.21801. Zhao, Zifeng, e Zhengjun Zhang. 2018. “Semiparametric Dynamic Max-Copula Model for Multivariate Time Series”. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 80 (2): 409–32. https://doi.org/10.1111/rssb.12256.

SIGAA | Superintendência de Tecnologia da Informação - (84) 3342 2210 | Copyright © 2006-2024 - UFRN - sigaa04-producao.info.ufrn.br.sigaa04-producao v4.12.21