{"id":4135,"date":"2026-01-30T10:59:28","date_gmt":"2026-01-30T13:59:28","guid":{"rendered":"https:\/\/www.ufrgs.br\/ppge\/?p=4135"},"modified":"2026-02-03T11:00:56","modified_gmt":"2026-02-03T14:00:56","slug":"defesa-de-dissertacao-joao-ramos-jungblut","status":"publish","type":"post","link":"https:\/\/www.ufrgs.br\/ppge\/defesa-de-dissertacao-joao-ramos-jungblut\/","title":{"rendered":"Defesa de Disserta\u00e7\u00e3o- Jo\u00e3o Ramos Jungblut"},"content":{"rendered":"\n

<\/p>\n\n\n\n

Deixe um coment\u00e1rio<\/a> \/ Bancas de Tese e Disserta\u00e7<\/a>\u00e3o<\/a> \/ Por Helena Camillo<\/mark><\/p>\n\n\n\n

MATURITY RISK FOR VARIATIONAL HEDGE WITH COMPOSED RISK MEASURE<\/strong><\/strong><\/strong><\/strong><\/p>\n\n\n\n

Resumo:<\/strong><\/p>\n\n\n\n

We study the maturity risk of contingent claims based on convex risk measures combined with utility functions, which allow solving an optimal hedging problem equivalent to the dual of a decision under variational preferences. Our analysis starts from the construction of the Profit and-Loss of the hedged contract over time, as the financial result of the difference between a self-financing portfolio and the derivative price, thus defining a measure that quantifies the residual risk that cannot be eliminated even under the optimal strategy, referred to as maturity risk. The proposed approach formalizes this risk by including a temporal dimension in addition to its spatial nature; we analyze the properties of the measure, as well as its acceptance set, and use these structures to obtain its dual representation and close the theoretical triad. In order for it to be numerically estimated, we first solve the optimal hedging problem and, as a consequence, introduce a version of the stochastic maximum principle applied to composed risk measures, which provides the control trajectory through a forward-backward system, in which the composed risk measure determines the terminal condition of the adjoint process and the first-order optimality conditions are obtained via a Hamiltonian depending only on the coefficients of the stochastic process under consideration. We then provide a numerical analysis for the construction of maturity risk surfaces by magnitude, moneyness, and time, as well as a sensitivity analysis with respect to parameters and risk-aversion coefficients, implemented via the Gradient-based SMP iteration algorithm, of the successive approximation type, applied to the 18 examples considered.<\/p>\n\n\n\n

Local:<\/strong>\u00a0Online, atrav\u00e9s\u00a0deste link.<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"

Deixe um coment\u00e1rio \/ Bancas de Tese e Disserta\u00e7\u00e3o \/ Por Helena Camillo MATURITY RISK FOR VARIATIONAL HEDGE WITH COMPOSED RISK MEASURE Resumo: We study the maturity risk of contingent claims based on convex risk measures combined with utility functions, which allow solving an optimal hedging problem equivalent to the dual of a decision under variational preferences. Our analysis […]<\/p>\n","protected":false},"author":6,"featured_media":4140,"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":"set","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-4135","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-bancas"],"_links":{"self":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/4135","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\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/comments?post=4135"}],"version-history":[{"count":2,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/4135\/revisions"}],"predecessor-version":[{"id":4158,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/4135\/revisions\/4158"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/media\/4140"}],"wp:attachment":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/media?parent=4135"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/categories?post=4135"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/tags?post=4135"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}