Relevância das diferenças entre contratos futuros e a termo: o caso do trio
Ano de defesa: | 2015 |
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Autor(a) principal: | |
Orientador(a): | |
Banca de defesa: | |
Tipo de documento: | Dissertação |
Tipo de acesso: | Acesso aberto |
Idioma: | por |
Instituição de defesa: |
Não Informado pela instituição
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Programa de Pós-Graduação: |
Não Informado pela instituição
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Departamento: |
Não Informado pela instituição
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País: |
Não Informado pela instituição
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Palavras-chave em Português: | |
Link de acesso: | http://hdl.handle.net/10438/13361 |
Resumo: | For the purpose of studying the differences between futures and forward contracts in the Brazilian currency market, this dissertation focus on the futures contracts traded at BM&FBOVESPA where, for maturities without liquidity, the mark to market is done using the theoretical price for forward contracts. A Monte Carlo simulation using a hedged portfolio comprising currency futures, DI futures and DDI futures clearly shows that this methodology should at least be reviewed. |
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Andrade, Rafael de Godoy OliveiraEscolas::EESPCintra, Roberto BarbosaSilva, Marcos Eugênio daPinto, Afonso de Campos2015-02-20T17:11:54Z2015-02-20T17:11:54Z2015-02-06ANDRADE, Rafael de Godoy Oliveira. Relevância das diferenças entre contratos futuros e a termo: o caso do trio. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015.http://hdl.handle.net/10438/13361For the purpose of studying the differences between futures and forward contracts in the Brazilian currency market, this dissertation focus on the futures contracts traded at BM&FBOVESPA where, for maturities without liquidity, the mark to market is done using the theoretical price for forward contracts. A Monte Carlo simulation using a hedged portfolio comprising currency futures, DI futures and DDI futures clearly shows that this methodology should at least be reviewed.Visando estudar as diferenças entre contratos futuros e contratos a termo no mercado cambial brasileiro, este trabalho foca no contrato de Dólar Futuro negociado na BM&FBOVESPA que, para vencimentos sem liquidez, é marcado a mercado pelo preço teórico dos contratos a termo. Uma simulação por Monte Carlo de uma carteira hedgeada contendo contratos de Dólar Futuro, DI Futuro e DDI Futuro mostra claramente que essa metodologia de marcação a mercado deveria ao menos ser revistaporContratos a termoCarteira hedgeadaContratos futurosEconomiaCâmbioMonte Carlo, Método deHedging (Finanças)Relevância das diferenças entre contratos futuros e a termo: o caso do trioinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALDissertação_Rafael Andrade_versão final.pdfDissertação_Rafael Andrade_versão final.pdfapplication/pdf448342https://repositorio.fgv.br/bitstreams/f4e3b886-6212-4dfa-b58f-71ad5a28773b/download87b9c61a8c5100807e09f55ecf8687b4MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.por.fl_str_mv |
Relevância das diferenças entre contratos futuros e a termo: o caso do trio |
title |
Relevância das diferenças entre contratos futuros e a termo: o caso do trio |
spellingShingle |
Relevância das diferenças entre contratos futuros e a termo: o caso do trio Andrade, Rafael de Godoy Oliveira Contratos a termo Carteira hedgeada Contratos futuros Economia Câmbio Monte Carlo, Método de Hedging (Finanças) |
title_short |
Relevância das diferenças entre contratos futuros e a termo: o caso do trio |
title_full |
Relevância das diferenças entre contratos futuros e a termo: o caso do trio |
title_fullStr |
Relevância das diferenças entre contratos futuros e a termo: o caso do trio |
title_full_unstemmed |
Relevância das diferenças entre contratos futuros e a termo: o caso do trio |
title_sort |
Relevância das diferenças entre contratos futuros e a termo: o caso do trio |
author |
Andrade, Rafael de Godoy Oliveira |
author_facet |
Andrade, Rafael de Godoy Oliveira |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Cintra, Roberto Barbosa Silva, Marcos Eugênio da |
dc.contributor.author.fl_str_mv |
Andrade, Rafael de Godoy Oliveira |
dc.contributor.advisor1.fl_str_mv |
Pinto, Afonso de Campos |
contributor_str_mv |
Pinto, Afonso de Campos |
dc.subject.por.fl_str_mv |
Contratos a termo Carteira hedgeada Contratos futuros |
topic |
Contratos a termo Carteira hedgeada Contratos futuros Economia Câmbio Monte Carlo, Método de Hedging (Finanças) |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Câmbio Monte Carlo, Método de Hedging (Finanças) |
description |
For the purpose of studying the differences between futures and forward contracts in the Brazilian currency market, this dissertation focus on the futures contracts traded at BM&FBOVESPA where, for maturities without liquidity, the mark to market is done using the theoretical price for forward contracts. A Monte Carlo simulation using a hedged portfolio comprising currency futures, DI futures and DDI futures clearly shows that this methodology should at least be reviewed. |
publishDate |
2015 |
dc.date.accessioned.fl_str_mv |
2015-02-20T17:11:54Z |
dc.date.available.fl_str_mv |
2015-02-20T17:11:54Z |
dc.date.issued.fl_str_mv |
2015-02-06 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
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masterThesis |
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publishedVersion |
dc.identifier.citation.fl_str_mv |
ANDRADE, Rafael de Godoy Oliveira. Relevância das diferenças entre contratos futuros e a termo: o caso do trio. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/13361 |
identifier_str_mv |
ANDRADE, Rafael de Godoy Oliveira. Relevância das diferenças entre contratos futuros e a termo: o caso do trio. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015. |
url |
http://hdl.handle.net/10438/13361 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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