Do Options Contain Information About Excess Bond Returns?

There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the impact of time-varying volatility on excess returns for long-term bonds. To address this issue, we incorporate interest rate option prices, which are very sensitive to interest rate volatility, into a dynamic model for the term structure of interest rates. We estimate three-factor affine term structure models using both swap rates and interest rate cap prices. When we incorporate option prices, the model better captures interest rate volatility and is better able to predict excess returns for long-term swaps over short-term swaps, both in- and out-of-sample. Our results indicate that interest rate options contain valuable information about risk premia and interest rate dynamics that cannot be extracted from interest rates alone.

Homophobia in the contemporary Russia: a queer postcolonial approach

This thesis aims to investigate the phenomenon of contemporary homophobia in Russia as mutually inseparable foreign and domestic constitutive phenomenon as part of the complex interplay of Russian-West international relations. For this task, the thesis analyses homophobia through the lens of postcolonial framework and the queer critiques on notions of sovereignty as construction of sovereign knowable subject. The advantage of the postcolonial framework of analysis is precisely the possibility of a broad intersystem understanding of the phenomenon aligning domestic and systemic levels. The postcolonial is also particularly fruitful framework for case studies which deals inherently with the challenge to allow sufficient degree of generalisation that allows further comparisons and pays enough attention to the specific contextual location, postcolonial framework has enough degree of generalisation due to emphasis on the structure combined to sensitivity to the local context due to valorisation of local subject. In this context Russia should be seen as part of the postcolonial space, despite of fact Russia has never been formally occupied by any Western nation-state, Russia colonised itself on behalf of Europe in a self-orientalist process, since the Tsarist times Russia has an ambiguous relation with the West of being mutually othering and being othered by Europe. The analysis of public Russian discourses on LGBT issues in the last 15 years, surveys legal texts and NGO reports about the situation of mass persecution of LGBT people in Chechnya suggest that the foundations of contemporary homophobia are constituted in this complex dialectical interplay between subaltern and imperial aspects of Russian international relations. This situation of Russia as a former superpower in the recent past and then a state rendered as subaltern in the present in a Western hegemonic order leads to a perception of threat on its sovereignty, one key manifestation of this anxious with sovereignty is homophobia which represents to Russia not only a powerful symbol of negation of Western liberal normative order but also an attempt to subvert the chrononormative narrative of evolutionary development in which the West sits as the last point of evolution by setting the West as decadent and degenerated because of acceptance of homosexuality and Russia as the real guardian of the real European values, now lost in the real Europe.http://www.ester.ee/record=b5148211*es

Identifying Volatility Risk Premium from Fixed Income Asian Options

We provide approximation formulas for at-the-money asian option prices to extract volatility risk premium from a joint dataset of bonds and option prices. The dynamic model generates stochastic volatility and a time-varying volatility risk premium, which explicitly depends on the average cross section of bond yields and on the time series behavior of option prices. When estimated using a joint dataset of Brazilian local bonds and asian options, the model generates bond risk premium strongly correlated (89%) with a widely accepted emerging markets benchmark index, and a negative volatility risk premium implying that investors might be using options as insurance in this market. Volatility premium explains a significant portion (32.5%) of bond premium, confirming that options are indeed important to identify risk premium in dynamic term structure models.

Term Structure Movements Implicit in Option Prices

This paper analyzes how including options in the estimation of a dynamic term structure model impacts the way it captures term structure movements. Two versions of a multi-factor Gaussian model are compared: One adopting only bonds data, and the other adopting a joint dataset of bonds and options. Term structure movements extracted under each version behave distinctly, with slope and curvature presenting higher mean reversion rates when options are adopted. The composition of bond risk premium is also affected, with considerably more weight attributed to the level factor when options are included. The inclusion of options in the estimation of the dynamic model also improves the pricing of out-of-sample options.

Does Curvature Enhance Forecasting?

In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rate means. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor captures a second type of curvature. The new factor increases model ability to generate more volatile and non-linear yield curves, leading to a significant improvement of forecasting ability, in special for short-term maturities. A forecasting experiment adopting Brazilian term structure data on Interbank Deposits (IDs) generates statistically significant lower bias and Root Mean Square Errors (RMSE) for the double curvature model, for most examined maturities, under three different forecasting horizons. Consistent with recent empirical analysis of bond risk premium, when a second curvature is included, despite explaining only a small portion of interest rate variability, it changes the structure of model risk premium leading to better predictions of bond excess returns.

Are Interest Rate Options Important for the Assessment of Interest Rate Risk?

Fixed income options contain substantial information on the price of interest rate volatility risk. In this paper, we ask if those options will provide information related to other moments of the objective distribution of interest rates. Based on a dynamic term structure model, we find that interest rate options are useful for the identification of interest rate quantiles. A three-factor model with stochastic volatility is adopted and its adequacy to estimate Value at Risk of zero coupon bonds is tested. We find significant difference on the quantitative assessment of risk when options are (or not) included in the estimation process of the dynamic model. Statistical back tests indicate that bond estimated risk is clearly more adequate when options are adopted, although not yet completely satisfactory.

ENSINO-PESQUISA-EXTENSÃO: UM PROJETO DE INDISSOCIABILIDADE NO ENSINO JURÍDICO BRASILEIRO

O tripé principiologico ensino-pesquisa-extensão tem um papel de grande importância para sociedade acadêmica, principalmente após a promulgação da constituição federal de 1988, onde foram outorgadas as universidades autonomia didático-científica administrativa e de gestão financeira e patrimonial. Por entender que a universidade pública tem um compromisso político social de retorna à sociedade os conhecimentos produzidos o objetivo desse artigo se fundamenta na análise do percurso do ensino jurídico no Brasil vislumbrando o que se tem entendido por “crise do ensino jurídico”, a metodologia aplicada se deu através de levantamento bibliográfico com caráter exploratório. Os resultados apontaram que o ensino jurídico brasileiro enfrenta problemas de ordem histórica e sócio-econômica para além dos obstáculos internos da Universidade

Nonparametric Assessment of Hedge Fund Performance

We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identiable stochastic discount factors (SDFs). The SDF-based measures incorporate no-arbitrage pricing restrictions and naturally embed information about higher-order mixed moments between HF and benchmark factors returns. We provide a full asymptotic theory for our SDF estimators to test for the statistical signicance of each fund's performance and for the relevance of individual benchmark factors within each proposed measure. We apply our methodology to a panel of 4815 individual hedge funds. Our empirical analysis reveals that fewer funds have a statistically signicant positive alpha compared to the Jensen's alpha obtained by the traditional linear regression approach. Moreover, the funds' rankings vary considerably between the two approaches. Performance also varies between the members of our family because of a dierent fund exposure to higherorder moments of the benchmark factors, highlighting the potential heterogeneity across investors in evaluating performance