These two sessions of the EEADS PG course seminar will be held successively on January 30, 2012, at ANFITEATRO 3 in the ISEG building at Rua do Quelhas, 6, starting at 6pm.
Speaker
Raquel M. Gaspar - ISEG,Technical University of Lisbon
Abstract
For a long time the classical expectation hypothesis has been challenged from both empirical and theoretical perspective. Still no one could explain entirely the existent bias between expected future spot rates and forward rates, the so called puzzle in the expectation hypothesis. In this work we will address this issue through arbitrage theory, in particular, focusing our attention in a connection of the classical expectation hypothesis to a certain probability measures where the relation between expected future spot rates and forward rates holds. We will approach this applying certain instantaneous spot rate models, verifying in these models that through changes from "real world" probability measure to other probability measures, we will find adjustments that will able us to explain this bias in the expectation hypothesis.
Speaker
PhD student carolina Leão
Phd Economic and Organizational Sociology
Support: FCT
Organization
SOCIUS- Centre for Research in Economic and Organizational Sociology
Speaker
Margarida Catalão - IST/UTL
Discussant
Maria Rosa Borges - ISEG/UTL
+ Info
https://aquila.iseg.utl.pt/aquila/departamentos/ec/lateral/seminarios-e-conferencias
Seminar within the PHD Economic and Social History
Speaker
Claudio Marsilio - GHES
+Information
GHES
Tel.: (+351) 213 925 800
FAX: (+351) 213 925 940
ghes@iseg.utl.pt
Speaker
Engineer João Pedro Taborda
Director of External Relations, Europe, Africa and the Middle East
Moderator
Prof. Jorge Landeiro Vaz
MBA Director
Organization
MBA/ISEG
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Speaker
Elsa Fontainha - ISEG/UTL
+ Info
http://pascal.iseg.utl.pt/~uece/seminars.shtml
Contacts
UECE
Rua Miguel Lupi, 20
1249-078 Lisbon, Portugal
phone: (+351) 213 925 912
fax: (+351) 213 971 196
email:
uece@iseg.utl.pt
Speaker
Claúdia Nunes - IST, Mathematics Department and CEMAT
Abstract
In this talk we present some problems concerning optimal investment policies, which we propose to analyze using a real options approach.
Speaker
Igor Valentim - Fluminense University
SUPPORT: FCT
Organization
SOCIUS – Research Centre in Economic and Organizational Sociology
ISEG - Lisbon School of Economics and Management
R. Miguel Lupi, 20 - 1249-078 Lisboa - Portugal
General > Email:
socius@iseg.utl.pt
Tel: 213925910
Events> Email:
monicafraga@iseg.utl.pt
Tel: 213951787
http://pascal.iseg.utl.pt/~socius/index.html