ADM4008 - Derivativos Agropecuários

Carga Horária

Docentes responsáveis
Joao Gomes Martines Filho
Pedro Valentim Marques

Objetivo

Conteúdo
Fundamentos básicos de funcionamento dos mercados agropecuários: papel, constituição e função das bolsas; corretores, clearing house. Principais Bolsas e contratos. Cotações em bolsas; acesso a fontes de dados. Características dos contratos futuros agropecuários. Definições, ajustes diários, margens, limites de oscilações de preços. Custos de atuar nos mercados futuros. Liquidação e entrega. Teoria da base. Arbitragens e Spreads. Especulação em futuros. Análise fundamentalista e grafista. Opções sobre futuros; valor de exercício, prêmio, valor das opções. Exercício de opções sobre futuros. Lançamento de opções; valor teórico das opções, volatilidade, delta das opções. Vantagens e desvantagens das opções. Estratégias com futuros e opções (CPR, Barter etc). Estudos de casos em futuros e opções

Bibliografia
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ZHANG, Y.; CHOUDHRY, T. Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets. The European Journal of Finance, n. ahead-of-print, p. 1-24, 2013.