CV Lattes
Universidade de São Paulo (USP). Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto (FEARP) (Institutional affiliation from the last research proposal) Birthplace: Brazil
Graduated in Business Administration at Fundação Getulio Vargas São Paulo (FGV SP - 2009) and M. Sc in Applied Economics at Universidade de São Paulo - Ribeirão Preto campus (FEARP/USP - 2013). Has experience in financial advisory for his work at Gradual Investimentos, public financial programming (worked as Finance and Control Analyst at the National Treasury Secretariat) and currently works for the Research Department at the Central Bank of Brazil. (Source: Lattes Curriculum)
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Many of the models applied in the pricing of derivatives are based on restrictive assumptions about the volatility of the underlying object's series. Black and Scholes and Vasicek methods, for instance, consider the variance of the series as time invariant, assumption which certainly is not thoroughly consistent with reality. Therefore, alternative short term interest rate models such as…
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