CV Lattes
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Universidade de São Paulo (USP). Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto (FEARP) (Institutional affiliation from the last research proposal) Birthplace: Brazil
graduate at Ciências Econômicas from Universidade Estadual de Campinas (1999) and master's at Economy from Universidade Federal do Rio Grande do Sul (2002). Has experience in Economy, focusing on Mathematical, Econometrical and Statistical Methods and Models, acting on the following subjects: markov-switching, convergência, modelos não-lineares, garch and métodos não-paramétricos. (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…
| 1 / 1 | Completed scholarships in Brazil |
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