{"id":2190,"date":"2023-06-02T15:00:23","date_gmt":"2023-06-02T18:00:23","guid":{"rendered":"https:\/\/www.ufrgs.br\/ppge\/?p=2190"},"modified":"2023-06-05T08:43:30","modified_gmt":"2023-06-05T11:43:30","slug":"defesa-de-dissertacao-luiz-carlos-de-araujo-junior","status":"publish","type":"post","link":"https:\/\/www.ufrgs.br\/ppge\/defesa-de-dissertacao-luiz-carlos-de-araujo-junior\/","title":{"rendered":"Defesa de Disserta\u00e7\u00e3o \u2013 Luiz Carlos de Araujo Junior"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\"><strong>Arbitrage pricing through risk measures<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Resumo:<\/strong> This work provides an extension of the conic finance framework, through a new spread function that allows each side of the trade to be calculated using a distinct distortion. In this way, we return to the original conic finance framework when the distortions are equal. Based on this new framework, we prove useful results when the liquidity parameter takes on extreme values. We prove that in a special case the spread function will be a deviation measure. Additionally, closed forms are provided for the Greeks of the Black-Scholes model and an additional partial derivative with respect to the parameter gamma is presented, for the case where the bid and ask prices are computed using the Wang distortion.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><a href=\"https:\/\/mconf.ufrgs.br\/webconf\/00330828\" data-type=\"URL\" data-id=\"https:\/\/mconf.ufrgs.br\/webconf\/00330828\" target=\"_blank\" rel=\"noreferrer noopener\">Link para assistir<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Arbitrage pricing through risk measures Resumo: This work provides an extension of the conic finance framework, through a new spread function that allows each side of the trade to be calculated using a distinct distortion. In this way, we return to the original conic finance framework when the distortions are equal. Based on this new [&hellip;]<\/p>\n","protected":false},"author":4,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"default","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","ast-disable-related-posts":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"footnotes":""},"categories":[6],"tags":[],"class_list":["post-2190","post","type-post","status-publish","format-standard","hentry","category-bancas"],"_links":{"self":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/2190","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/users\/4"}],"replies":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/comments?post=2190"}],"version-history":[{"count":2,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/2190\/revisions"}],"predecessor-version":[{"id":2195,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/2190\/revisions\/2195"}],"wp:attachment":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/media?parent=2190"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/categories?post=2190"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/tags?post=2190"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}