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Recovering Risk-Neutral Densities from Brazilian Interest Rate Options
José Renato Haas Ornelas,Marcelo Yoshio Takami
Revista Brasileira de Finan？as , 2011,
Abstract: Building Risk-Neutral Density (RND) from options data is one useful way for extracting market expectations about a financial variable. For a sample of IDI (Brazilian Interbank Deposit Rate Index) options from 1998 to 2009, this paper estimates the option-implied Risk-Neutral Densities for the Brazilian short rate using three methods: Shimko, Mixture of Two Log-Normals and Generalized Beta of Second Kind. Our in-sample goodness-of-fit evaluation shows that the Mixture of Log-Normals method provides better fitting to option’s data than the other two methods. The shape of log-normal distributions seems to fit well to the mean-reversal dynamics of Brazilian interest rates. We have also calculated the RND implied Skewness, showing how it could have provided market early-warning signals of the monetary policy outcomes in 2002 and 2003. Overall, Risk-Neutral Densities implied on IDI options showed to be a useful tool for extracting market expectations about future outcomes of the monetary policy.
Apre？amento de op？？es de IDI usando o modelo CIR
Barbachan, José Santiago Fajardo;Ornelas, José Renato Haas;
Estudos Econ？micos (S？o Paulo) , 2003, DOI: 10.1590/S0101-41612003000200003
Abstract: the idi option from the bm&f (commodities and futures exchange) has unusual characteristics, that make its pricing different from common interest rate options. this paper develops a closed form formula for the pricing of these idi options, using an arbitrage-free pricing approach. the model used considers only one stochastic factor: the short-term risk-free interest rate. the differential equation used to model the behavior of the interest rate comes from the cir (cox ingersoll & ross, 1985) model, which has mean reversion property and does not allow negative nominal interest rates. it is also done a parameter estimation of the proposed model based on historic data, and then compares the theoretical price of the option based on these parameters with the market price and with the theoretical price considering the vasicek (1977) model.
A Goodness-of-Fit Test with Focus on Conditional Value at Risk
José Santiago Fajardo Barbachan,Aquiles Rocha de Farias,José Renato Haas Ornelas
Revista Brasileira de Finan？as , 2008,
Abstract: To verify whether an empirical distribution has a speci c theoretical distribution, several tests have been used like the Kolmogorov-Smirnov and the Kuiper tests. These tests try to analyze if all parts of the empirical distribution has a speci c theoretical shape. But, in a Risk Management framework, the focus of analysis should be on the tails of the distributions, since we are interested on the extreme returns of nancial assets. This paper proposes a new goodness-of- t hypothesis test with focus on the tails of the distribution. The new test is based on the Conditional Value at Risk measure. Then we use Monte Carlo Simulations to assess the power of the new test with different sample sizes, and then compare with the Crnkovic and Drachman, Kolmogorov-Smirnov and the Kuiper tests. Results showed that the new distance has a better performance than the other distances on small samples. We also performed hypothesis tests using nancial data. We have tested the hypothesis that the empirical distribution has a Normal, Scaled Student-t, Generalized Hyperbolic, Normal Inverse Gaussian and Hyperbolic distributions, based on the new distance proposed on this paper.
The changes on intimate partner violence against women in the health system in Portugal  [PDF]
Raquel Cardoso, José Ornelas
Health (Health) , 2013, DOI: 10.4236/health.2013.57A4010
Abstract:

In Portugal, over the last 20 years, we have seen great strides in addressing intimate partner violence against women by their male partners. Measuring and understanding progress, and achieving sustainable systems change is a major challenge and to achieve this aim we need to identify events, persons and settings that contribute for the critical factors that create long term transformations in the systems and the creation of new resources [1]. Since the healthcare system is one of the main actors of intervention with survivors, the goal of this project was to interview key stakeholders from the healthcare system in order to understand the main changes they perceive have happened over the past two decades. Based on interviews with key stakeholders, our study explores the evidences of the changes that occurred in the healthcare system, the intersections with other systems and their visions for the future.

Uso da celulose liofilizada em les？es de nervos periféricos com perda de substancia
Mello, Luis Renato;Feltrin, Yanara;Selbach, Rafael;Macedo Junior, Gilberto;Spautz, Cleverton;Haas, Leandro José;
Arquivos de Neuro-Psiquiatria , 2001, DOI: 10.1590/S0004-282X2001000300012
Abstract: lyophilized cellulose was analysed to verify the degree of inflamatory reaction and axon realignement in the sciatic nerve after loss of neural substance. ten mongrel dogs were divided into: group 1 - 1 cm section of sciatic nerve which was replaced at lesion site; group 2 nerve section without fragment replacement. the section site was involved with lyophilized cellulose. group 3 -1 cm fragment section sutured epineurally. motor response started at eighth week. moderate fibrotic reaction to cellulose was seen in group 1 and 2 animals. groups 1 and 3 showed coaptation between the nerve and nerve graft with ongoing axons. in group 2, 1 dog showed regrouth of axons through the empty space. it was concluded that lyophilized cellulose caused moderate fibrous reaction when implanted in peripheral nerve lesions with loss of substance; it can act as envellop protection in those lesions mainly if a neural graft is inserted.
O papel da comunidade na preven？？o dos Abusos Sexuais de Crian？as (ASC)
Maria,Susana; Ornelas,José;
Análise Psicológica , 2010,
Abstract: with this article we intend to contribute to the accomplishment of community psychology objectives, approaching child sexual abuses (csa) in a perspective of clarification and development of preventive practices. one of the commonest forms of attracts attention for a problem is presenting predominance and/or incidence. subsequently we try to present the reality of the csa with the objective to end the misleading ideas that have a tendency to be associated to this subject and finally we will present a set of programs and preventive practices, as example, as well as his empirical evaluation. with this article we hope to give an important contribution for reinforcement of the preventive interventions, of community trait, of the csa in portugal.
Psicologia Comunitária: Contributos para o desenvolvimento de servi？os de base comunitária para pessoas com doen？a mental
Ornelas,José H.;
Análise Psicológica , 2007,
Abstract: the article describes and provides critical reflection on how a community intervention inspired on the principles and values of community psychology as been implemented over the last 20 years, and how it has influenced the mental health system in portugal. during this period a community based support system has been structured promoting supported housing and employment, enhancing the use of natural contexts, such as schools, regular companies e all sorts of social resources available for the general public. a contextualist and ecological approach for individual intervention has also been developed, focusing on the mobilization of natural resources, the expansion of social networks and supports, and the maintenance of people with an experience of mental illness active in community contexts. the contributions of the mutual help movements are recognized as crucial for the betterment and strengthening the social role played by those who have an experience of mental illness. this system has been inspired in the empowerment theory and the mission of recovery, operacionalised through community participation.
La emergencia de la delincuencia organizada en un análisis genealógico de la tradición Nietzsche- Foucault
José Luis Arriaga Ornelas
Nómadas , 2008,
Abstract: En este trabajo se recuperan los elementos principales del proceder genealógico para aplicarlos al análisis de un objeto del pensamiento contemporáneo: la delincuencia organizada. La intención es probar la utilidad de ese proceder para dar cuenta de la forma en que una serie de reglas de formación de objetos toman cuerpo en técnicas de ejercicio del control en la sociedad actual.
El discurso de la delincuencia organizada. Análisis de su repercusión en el ejercicio del poder
José Luis Arriaga Ornelas
El Cotidiano , 2008,
Abstract: Este artículo se deriva de una investigación que se propuso realizar la genealogía de la delincuencia organizada. Funda sus principios teóricos y metodológicos en algunas de las "ideas fuertes" del trabajo de Michel Foucault. Específicamente, aquí se presenta un análisis "arqueológico" del discurso de dicha delincuencia, para entender sus condiciones de posibilidad y el poder de afirmación que se expresa en las prácticas encaminadas al castigo penal.
First record of in vitro formation of ectomycorrhizae in Psidium cattleianum Sabine, a native Myrtaceae of the Brazilian Atlantic Forest
Admir José Giachini,Ana Claudia Rodrigues,Bernardo Haas Abreu,Cassio Geremia Freire,César Milton Baratto,Jo？o Peterson Pereira Gardin,Renato Luis Vieira,Simone Silmara Werner
- , 2018, DOI: 10.1371/journal.pone.0196984
Abstract:
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