This thesis is concerned with the modelling of the term structure of interest rates, with a particular focus on empirical aspects of the modelling. In this thesis, we explore the ??-parameterised (?? being the length of time to maturity) term structure of interest rates, corresponding to the traditional T-parameterised (T being the time of maturity) term structure of interest rates. The constructions of Australian yield curves are illustrated using generic yield curves produced by the Reserve Bank of Australia based on bonds on issue and by constructed yield curves of the Commonwealth Bank of Australia derived from swap rates. The data used to build the models is Australian Treasury yields from January 1996 to December 2001 for maturities of 1, 2, 3, 5 and 10 years, and the second data used to validate the model is Australian Treasury yields from July 2000 to April 2004 for maturities of all years from 1-10. Both data were supplied by the Reserve Bank of Australia. Initially, univariate Generalised Autoregressive Conditional Heteroskedasticity (GARCH), with models of individual yield increment time series are developed for a set of fixed maturities. Then, a multivariate Matrix-Diagonal GARCH model with multivariate asymmetric t-distribution of the term structure of yield increments is developed. This model captures many important properties of financial data such as volatility mean reversion, volatility persistency, stationarity and heavy tails. There are two innovations of GARCH modelling in this thesis: (i) the development of the Matrix-Diagonal GARCH model with multivariate asymmetric t-distribution using meta-elliptical distribution in which the degrees of freedom of each series varies with maturity, and the estimation is given; (ii) the development of a GARCH model of term structure of interest rates (TS-GARCH). The TS-GARCH model describes the parameters specifying the GARCH model and the degrees of freedom using simple smooth functions of time to maturity of component series. TS-GARCH allows an empirical description of complete interest rate yield curve increments therefore allowing the model to be used for interpolation to additional maturity beyond those used to construct the model. Diagnostics of TS-GARCH model are provided using Australian Treasury bond yields.

Previous research finds some evidence that analysts affiliated with equity underwriters issue more optimistic earnings growth forecasts and optimistic recommendations of client stock than unaffiliated analysts. Unfortunately, these studies are unable to discriminate between three competing hypotheses for the apparent optimism. Under the bribery hypothesis, underwriting clients, with the promise of underwriting fees, coax analysts to compromise their objectivity. The execution-related conflict of hypothesis postulates that the investment banks employing analysts who are more bullish on a particular stock are better able to execute the deal, and so the banks pressure their analysts to be bullish in order to enhance their execution ability. Finally, the selection bias hypothesis postulates that analysts are objective, but because of the enhanced execution ability, banks with more optimistic analysts are more likely to get selected as underwriters. We test these hypotheses in a previously unexplored setting, namely M&A activities. Depending on whether an analyst is affiliated with the target or the acquirer and whether the analyst report is about the target or the acquirer, the hypotheses predict analyst optimism in some cases and pessimism in other. Therefore, examining the issue of analyst bias in the M&A context allows us to shed some light on alternative explanations for the impact of analyst affiliation on the properties of analyst forecasts and recommendations.

We present a new method to perform reliable matching between different images. This method exploits a projective invariant property between concentric circles and the corresponding projected ellipses to find complete region correspondences centered on interest points. The method matches interest points allowing for a full perspective transformation and exploiting all the available luminance information in the regions. Experiments have been conducted on many different data sets to compare our approach to SIFT local descriptors. The results show the new method offers increased robustness to partial visibility, object rotation in depth, and viewpoint angle change. / Singapore-MIT Alliance (SMA)

Thesis (Ph. D.)--Ohio State University, 1983. / Includes vita. Includes bibliographical references (leaves 62-65). Available online via OhioLINK's ETD Center.

Thesis (Ph. D.)--University of Chicago Graduate School of Business, August 1999. / Includes bibliographical references. Also available on the Internet.

Canadian Trusts and Panamanian Foundations of Private Interest are generally utilized as juridical vehicles through which a creator can designate a person to hold and administer property for the benefit and enjoyment of a beneficiary. Given the similarity of application of both vehicles, and taking into consideration that they emanate from separate juridical and judicial systems, it is pertinent to analytically compare them. As can be expected, there is a significant number of aspects through which Foundations of Private Interest and a Trusts can be compared. The following comparative analysis will be centered around three aspects: Asset ownership, creation mechanisms and the requirement of properly identifying beneficiaries. Preceding the aforementioned comparative analysis, a presentation and description of both legal vehicles will be provided in order to make the comparative analysis comprehensible and hopefully useful.

Canadian Trusts and Panamanian Foundations of Private Interest are generally utilized as juridical vehicles through which a creator can designate a person to hold and administer property for the benefit and enjoyment of a beneficiary. Given the similarity of application of both vehicles, and taking into consideration that they emanate from separate juridical and judicial systems, it is pertinent to analytically compare them. As can be expected, there is a significant number of aspects through which Foundations of Private Interest and a Trusts can be compared. The following comparative analysis will be centered around three aspects: Asset ownership, creation mechanisms and the requirement of properly identifying beneficiaries. Preceding the aforementioned comparative analysis, a presentation and description of both legal vehicles will be provided in order to make the comparative analysis comprehensible and hopefully useful.

This paper discusses the rise of carried interest in investment partnerships and its controversial tax treatment; it looks into the history of private equity as well as recent literature in determining whether its current treatment is justified, and moreover, suggests further considerations with regards to the matter.

Many financial contracts can be regarded as derivative securities where the underlying state variable is one or more rates of interest. A partial list of such contracts would include zero-coupon bonds, coupon paying bonds, callable bonds, convertible bonds, retractable/extendable bonds, etc., along with a number of popular interest rate derivatives such as swaps, swaptions, caps, and floors. A commonly used strategy for valuing these contracts is to base a continuous time model for the stochastic behaviour of the short term rate of interest. Three key features of most of the models currently in use are (i) the drift, or expected change over a short time period in the level of the short term interest rate, is a linear function; (ii) the conditional variance of changes in short term interest rates is not strongly related to the level of interest rates; and (iii) the short term interest rate is assumed to follow a diffusion process, which effectively means that it cannot change too rapidly over short periods of time. Each of these assumptions appears to be made primarily for modeling convenience, as they make it possible in some cases to derive analytical expressions for the values of bonds and European-style bond options. If such solutions are not available, then numerical techniques such as Monte Carlo simulation or the numerical solution of partial differential equations are needed. However, available econometric evidence indicates that all of the assumptions noted above are questionable: changes in short term interest rates may be characterized by drift which is nonlinear and by conditional variance that depends more heavily on the level of interest rates than is assumed in models with analytic solutions. Moreover, they may be better approximated by a jump-diffusion process which allows for sudden discontinuous changes. Consequently, it is of interest to develop numerical techniques to value interest rate derivative securities for cases where the short term interest rate follows a jump-diffusion process featuring non-linear drift. This thesis describes and illustrates the use of such techniques.

Many financial contracts can be regarded as derivative securities where the underlying state variable is one or more rates of interest. A partial list of such contracts would include zero-coupon bonds, coupon paying bonds, callable bonds, convertible bonds, retractable/extendable bonds, etc., along with a number of popular interest rate derivatives such as swaps, swaptions, caps, and floors. A commonly used strategy for valuing these contracts is to base a continuous time model for the stochastic behaviour of the short term rate of interest. Three key features of most of the models currently in use are (i) the drift, or expected change over a short time period in the level of the short term interest rate, is a linear function; (ii) the conditional variance of changes in short term interest rates is not strongly related to the level of interest rates; and (iii) the short term interest rate is assumed to follow a diffusion process, which effectively means that it cannot change too rapidly over short periods of time. Each of these assumptions appears to be made primarily for modeling convenience, as they make it possible in some cases to derive analytical expressions for the values of bonds and European-style bond options. If such solutions are not available, then numerical techniques such as Monte Carlo simulation or the numerical solution of partial differential equations are needed. However, available econometric evidence indicates that all of the assumptions noted above are questionable: changes in short term interest rates may be characterized by drift which is nonlinear and by conditional variance that depends more heavily on the level of interest rates than is assumed in models with analytic solutions. Moreover, they may be better approximated by a jump-diffusion process which allows for sudden discontinuous changes. Consequently, it is of interest to develop numerical techniques to value interest rate derivative securities for cases where the short term interest rate follows a jump-diffusion process featuring non-linear drift. This thesis describes and illustrates the use of such techniques.