Octavio Manuel Bessada Lion
(deceased)Personal Details
First Name: | Octavio |
Middle Name: | Manuel |
Last Name: | Bessada Lion |
Suffix: | |
RePEc Short-ID: | pli335 |
This person is deceased (Date: unknown) |
Research output
Jump to: Working papers ArticlesWorking papers
- Alessandra Pasqualina Viola & Margarida Sarmiento Gutierrez & Octávio Bessada Lion & Cláudio Henrique Barbedo, 2009. "Impacto dos Swaps Cambiais na Curva de Cupom Cambial: uma análise segundo a regressão de componentes principais," Working Papers Series 198, Central Bank of Brazil, Research Department.
- Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009.
"Pricing Asian Interest Rate Options with a Three-Factor HJM Model,"
Working Papers Series
188, Central Bank of Brazil, Research Department.
- Claudio Henrique Barbedo & Octávio Bessada Lion & Jose Valentim Machado Vicente, 2010. "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(1), pages 9-23.
- Octavio Manuel Bessada Lion & Carlos Alberto Nunes Cosenza & César das Neves, 2003. "Aplicação do Modelo de Black, Derman & Toy à Precificação de Opções Sobre Títulos de Renda Fixa," Working Papers Series 74, Central Bank of Brazil, Research Department.
- Getúlio Borges da Silveira & Octavio Bessada, 2003. "Análise de componentes principais de dados funcionais - uma aplicação às estruturas a termo de taxas de juros," Working Papers Series 73, Central Bank of Brazil, Research Department.
Articles
- Claudio Henrique Barbedo & Octávio Bessada Lion & Jose Valentim Machado Vicente, 2010.
"Pricing Asian Interest Rate Options with a Three-Factor HJM Model,"
Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(1), pages 9-23.
- Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009. "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Working Papers Series 188, Central Bank of Brazil, Research Department.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009.
"Pricing Asian Interest Rate Options with a Three-Factor HJM Model,"
Working Papers Series
188, Central Bank of Brazil, Research Department.
- Claudio Henrique Barbedo & Octávio Bessada Lion & Jose Valentim Machado Vicente, 2010. "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(1), pages 9-23.
Cited by:
- Allan Jonathan da Silva & Jack Baczynski & José Valentim Machado Vicente, 2020. "Efficient Solutions for Pricing and Hedging Interest Rate Asian Options," Working Papers Series 513, Central Bank of Brazil, Research Department.
- Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2012. "Non-Parametric Pricing of Interest Rates Options," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 32(2), April.
- José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011. "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 9-26.
- Octavio Manuel Bessada Lion & Carlos Alberto Nunes Cosenza & César das Neves, 2003.
"Aplicação do Modelo de Black, Derman & Toy à Precificação de Opções Sobre Títulos de Renda Fixa,"
Working Papers Series
74, Central Bank of Brazil, Research Department.
Cited by:
- Arminio Fraga & Ilan Goldfajn & André Minella, 2003.
"Inflation Targeting in Emerging Market Economies,"
Working Papers Series
76, Central Bank of Brazil, Research Department.
- Arminio Fraga & Ilan Goldfajn & Andre Minella, 2003. "Inflation Targeting in Emerging Market Economies," NBER Working Papers 10019, National Bureau of Economic Research, Inc.
- Arminio Fraga & Ilan Goldfajn & André Minella, 2004. "Inflation Targeting in Emerging Market Economies," NBER Chapters, in: NBER Macroeconomics Annual 2003, Volume 18, pages 365-416, National Bureau of Economic Research, Inc.
- Araújo, Aloísio Pessoa de & Leon, Márcia Saraiva, 2003.
"Speculative attacks on debts and optimum currency area: a welfare analysis,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
514, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Aloisio Araujo & Marcia Leon, 2004. "Speculative Attacks on Debts and Optimum Currency Area: A Welfare Analysis," Working Papers Series 84, Central Bank of Brazil, Research Department.
- Minella, Andre & de Freitas, Paulo Springer & Goldfajn, Ilan & Muinhos, Marcelo Kfoury, 2003.
"Inflation targeting in Brazil: constructing credibility under exchange rate volatility,"
Journal of International Money and Finance, Elsevier, vol. 22(7), pages 1015-1040, December.
- André Minella & Paulo Springer de Freitas & Ilan Goldfajn & Marcelo Kfoury Muinhos, 2003. "Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility," Working Papers Series 77, Central Bank of Brazil, Research Department.
- MINELLA André & DE FREITAS Paulo Springer & GOLDFAJN Ilan & KFOURY MUINHOS Marcelo, 2010. "Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility," EcoMod2003 330700103, EcoMod.
- André Minella & Paulo Springer de Freitas & Ilan Goldfajn & Marcelo Kfoury Muinhos, 2003. "Inflation Targeting in Brazil: Constructing Credibility Under Exchange Rate Volatility," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31st Brazilian Economics Meeting] b26, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Marcelo Kfoury Muinhos & Márcio I. Nakane, 2006. "Comparing equilibrium real interest rates: different approaches to measure Brazilian rates," Working Papers Series 101, Central Bank of Brazil, Research Department.
- Leonardo Soriano de Alencar & Márcio I. Nakane, 2004. "Bank Competition, Agency Costs and the Performance of the Monetary Policy," Working Papers Series 81, Central Bank of Brazil, Research Department.
- André Soares Loureiro & Fernando de Holanda Barbosa, 2004. "Risk Premia for Emerging Markets Bonds: Evidence from Brazilian Government Debt, 1996-2002," Working Papers Series 85, Central Bank of Brazil, Research Department.
- Arminio Fraga & Ilan Goldfajn & André Minella, 2003.
"Inflation Targeting in Emerging Market Economies,"
Working Papers Series
76, Central Bank of Brazil, Research Department.
- Getúlio Borges da Silveira & Octavio Bessada, 2003.
"Análise de componentes principais de dados funcionais - uma aplicação às estruturas a termo de taxas de juros,"
Working Papers Series
73, Central Bank of Brazil, Research Department.
Cited by:
- Barbara Alemanni & José Renato Haas Ornelas, 2006. "Herding Behavior by Equity Foreign Investors on Emerging Markets," Working Papers Series 125, Central Bank of Brazil, Research Department.
- Mr. Rodrigo Cabral & Mr. Richard Munclinger & Mr. Luiz Alves & Mr. Marco Rodriguez Waldo, 2011. "On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions," IMF Working Papers 2011/113, International Monetary Fund.
- Correa, Arnildo da Silva & Minella, André, 2010.
"Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(3), September.
- Arnildo da Silva Correa & André Minella, 2006. "Nonlinear Mechanisms of the Exchange Rate Pass-Through: a Phillips curve model with threshold for Brazil," Working Papers Series 122, Central Bank of Brazil, Research Department.
- Márcio I. Nakane & Leonardo S. Alencar & Fabio Kanczuk, 2006. "Demand for Bank Services and Market Power in Brazilian Banking," Working Papers Series 107, Central Bank of Brazil, Research Department.
- Mauricio S. Bugarin & Fabia A. de Carvalho, 2005.
"Comment on ‘Market discipline and monetary policy’ by Carl Walsh,"
Oxford Economic Papers, Oxford University Press, vol. 57(4), pages 732-739, October.
- Maurício S. Bugarin & Fabia A. de Carvalho, 2005. "Comment on Market Discipline and Monetary Policy by Carl Walsh," Working Papers Series 95, Central Bank of Brazil, Research Department.
- Barbedo, Claudio H.S. & de Melo, Eduardo F.L., 2012. "Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction," Journal of Economics and Business, Elsevier, vol. 64(5), pages 364-376.
- Maria da Glória D. S. Araújo & Mirta Bugarin & Marcelo Kfoury Muinhos & Jose Ricardo C. Silva, 2006. "The Effect of Adverse Supply Shocks on Monetary Policy and Output," Working Papers Series 103, Central Bank of Brazil, Research Department.
- Alessandra Pasqualina Viola & Margarida Sarmiento Gutierrez & Claudio Henrique Barbedo & Andre Luiz Carvalhal da Silva, 2013. "Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression," Brazilian Business Review, Fucape Business School, vol. 10(1), pages 79-101, January.
- Angelo Marsiglia Fasolo, 2006. "Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets," Working Papers Series 112, Central Bank of Brazil, Research Department.
- Benjamin M. Tabak, 2006.
"The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil,"
Working Papers Series
124, Central Bank of Brazil, Research Department.
- Benjamin M. Tabak, 2006. "The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence For Brazil," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(08), pages 1377-1396.
- Marcelo Y. Takami & Benjamin M. Tabak, 2007. "Evaluation of Default Risk for The Brazilian Banking Sector," Working Papers Series 135, Central Bank of Brazil, Research Department.
- Marta Areosa & Waldyr Areosa, 2006.
"The Inequality Channel of Monetary Transmission,"
Working Papers Series
114, Central Bank of Brazil, Research Department.
- Areosa, Waldyr Dutra & Areosa, Marta B.M., 2016. "The inequality channel of monetary transmission," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 214-230.
- Júlio Cesar Albuquerque Bastos & Gabriel Caldas Montes, 2011. "Metasde Inflação E Estrutura A Termo Das Taxas De Juros - Uma Análise Dainfluência Da Credibilidade Sobre O Spread Da Taxa De Juros De Longoprazo No Brasil," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 142, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Mirta Noemí Sataka Bugarin & Roberto de Goes Ellery Jr. & Victor Gomes Silva & Marcelo Kfoury Muinhos, 2005. "Steady State Analysis of an Open Economy General Equilibrium Model for Brazil," Working Papers Series 92, Central Bank of Brazil, Research Department.
- Ana Carla A. Costa & João M. P. de Mello, 2006. "Judicial Risk and Credit Market Performance: Micro Evidence from Brazil Payroll Loans," Working Papers Series 102, Central Bank of Brazil, Research Department.
Articles
- Claudio Henrique Barbedo & Octávio Bessada Lion & Jose Valentim Machado Vicente, 2010.
"Pricing Asian Interest Rate Options with a Three-Factor HJM Model,"
Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(1), pages 9-23.
See citations under working paper version above.Sorry, no citations of articles recorded.
- Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009. "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Working Papers Series 188, Central Bank of Brazil, Research Department.
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-IFN: International Finance (1) 2009-12-19
- NEP-MIC: Microeconomics (1) 2009-09-05
- NEP-RMG: Risk Management (1) 2009-09-05
- NEP-SEA: South East Asia (1) 2009-09-05
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