In this study, we used an alternative methodology to achieve two main objectives: calculate the 'risk premium' and 'extract information' from financial instruments (interest rate options). In the first case, we used a 'weak' version of the 'expectations hypothesis', according to which, quantitatively, this important quantity is obtained from the observed forward rate and the expected value of the spot rate, both from the public securities market, but now with a time-variant risk premium. In the second case, we sought to extract information from the options price. In both cases, we employed a dynamic temporal evolution model of the TSIR, which we developed for a previous work. By way of example, a preliminary empirical evaluation was also performed, which suggested the feasibility and effectiveness of our approach.
Comissão Organizadora
Anderson Odias da Silva
Claudia Yoshinaga
Ricardo D. Brito
Felipe Saraiva Iachan
Vinicius Augusto Brunassi Silva
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