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Master's Dissertation
DOI
https://doi.org/10.11606/D.104.2019.tde-16102019-143300
Document
Author
Full name
Tamyris Marconi
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2016
Supervisor
Committee
Diniz, Marcio Alves (President)
Rifo, Laura Leticia Ramos
Rodrigues, Savio Brochini
Title in Portuguese
Dois ensaios sobre precificação de ativos
Keywords in Portuguese
Martingales
Precificação de ativos
Teoria da coerência
Teoria de probabilidades
Abstract in Portuguese
Encontrar preços justos (segundo algum critério) para ativos em mercados financeiros é um dos pilares mais importantes da Teoria de Finanças. Para alcançar esse objetivo, a Teoria de Precificação de Ativos tem uma formulação matemática, fundamentada principalmente na Teoria de Probabilidades. Neste trabalho apresentaremos tal teoria, que é essencialmente baseada em martingales, objetos de grande importância na Teoria de Probabilidades. Alternativamente, apresentaremos uma Teoria de Precificação baseada na Teoria da Coerência de Bruno de Finetti com o objetivo de comparar, de modo informal, tais teorias.
Title in English
Two essays on asset pricing
Keywords in English
Asset princing theory
Martingales
Probability theory, Coherence theory
Abstract in English
Find fair (according to some criterion) prices for assets in financial markets is one of the most important pillars of Finance Theory. To accomplish this, the Asset Pricing Theory has a mathematical formulation, based mainly on Probability Theory. In this dissertation we present such theory, which is essentially based on mar- tingales, important objects of Probability Theory. Alternatively, we also present an Asset Pricing Theory based on the Coherence Theory of Bruno de Finetti in order to compare, informally, such approaches.
 
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Publishing Date
2019-10-16
 
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