Master of Science

This paper presents three factor "Extended Gaussian" term struc- ture models (EGM) to price default-free and defaultable bonds. To price default-free bonds EGM assume that the instantaneous interest rate is a possibly non-linear but monotonic function of three latent factors that follow...

This article analyses the pricing, using autocall mechanisms, of a coupon barrier note issue based on ADRs of Brazil's biggest mining and metals company: Vale S.A. (VALE). The numerical method used was based on a modification of the trinomial tree model with auto-call, barrier and knock-in...

In the context of normalized variable formulation (NVF) of Leonard and total variation diminishing (TVD) constraints of Harten, this paper presents an extension of a previous work by the authors for solving unsteady incompressible flow problems. The main contributions of the paper are threefold....