ANPAD 2013 best paper award nomination

Friday September 20th, 2013

NUPEI reserchers had two papers nominated for the 2013 ANPAD award.  One is “Avaliação de Flexibilidade Gerencial na Pecuária de Corte com a Teoria de Opções Reais”  of Alexandre Paula Ramos, Carlos Bastian-Pinto, Luiz Ozorio and Luiz Brandao. The second is “Modeling a Biomass Energy Cogeneration Project with Switch Options”, of Denis Oliveira, Luiz Brandao, Rafael Igrejas and Leonardo Lima.

CAPES Thesis Award, 2010

Friday January 11th, 2013

Process Modeling of Mean Reversion in Discrete Time: An Application of Real Options in the Ethanol Industry in Brazil. 2009. Thesis (Doctorate in Business Administration) from Bastian Carlos Pinto – Pontifical Catholic University of Rio de Janeiro, Carlos Chagas Filho Foundation for Research Support, State of Rio de Janeiro. Advisor: Luiz Eduardo Brandão Teixeira.

ANPAD Award for best work in Finance, 2007

Tuesday December 18th, 2012

Value of the Abandonment Option in Residential Real Estate (2008). Graziela Fortunato, Luiz Eduardo Teixeira Brandão, Sergio Rozenbaum, & Alexandre Peixoto Rebello. RAC-Eletrônica, 2(3), p. 531-545.

One of the features of the Brazilian real estate market is the presale of real estate housing units where the developer receives payment advances towards the purchase of a unit to be delivered in the future. Given the high volatility of real estate prices, it may be optimal for the buyer to terminate his contract before the end of the construction period, receive a refund on the amounts paid and then purchase a similar asset at a lower price. In the past decade there have been a series of court rulings stating that the buyer is entitled to a refund on most of the payments made. In this article, the real option methodology is used to determine the value of the option to abandon the purchase of a real estate housing unit assuming different refund levels. The results show that under these new rulings, the value of option to abandon is significant, and can be as high as 15% of the total value of the unit in some cases. This represents a considerable new benefit to the buyers and, on the other hand, a major incremental cost for the developers.