Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização

• Ano de defesa: 2013
• Autor(a) principal: Luterman, Rodolfo Nunes
• Orientador(a): Pinto, Afonso de Campos
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Volatilidade; Vega; Hedge; Swap; BRL; Gestão de risco
• Palavras-chave em Inglês: Volatility; Risk management
• Link de acesso: http://hdl.handle.net/10438/10581

Volatility risk plays an important role in the management of portfolios of derivative assets as well as portfolios of basic assets. This risk is currently managed in financial markets abroad with the use of several instruments, including volatility derivatives. However, a volatility derivatives market in Brazil is still a gap to be fulfilled in the future, maybe due to the lower liquidity of options or even the lack of all the required assets for the replicating portfolio. The objective of this paper is to introduce a straightforward model for pricing volatility swaps on BRL, encouraging further dialog between the academic and practitioner communities on this theme that would lead to the development of such market drawing on the best of both worlds. In order to value this instrument, the design and valuation of it is presented in details as the basic ingredients of a successful financial product. The numerical results show that the proposed model can be considered as a powerful instrument to hedge volatility risk. An additional benefit of this work is that it will provide the risks and benefits from using such instrument with BRL.