股東價值函數意指公司未來預期股利的加總，其模型主要利用擴散過程來建構。因為公司可透過保留現金和發放股利兩大策略來調控公司價值－－過多現金保留將產生現金邊際效益降低；現金保留過少則會產生流動性風險甚至破產問題。論文主要探討公司在捨取現金保留時如果達大公司價值的極大化，並利用實際資料來檢視上市公司的價值是否有高低估之嫌。此外，亦在論文中提供以股東價值函數為評價方式的交易策略。 / We consider a problem of finding the optimal solution for maximizing the value of a firm in a stochastic environment. In the paper, we apply a methodology that determines a corporate value by using cash reserves as the main variables. We examine the model by employing two empirical approaches to compare the corporate value computed from the model to the market value. We find that there are slight differences between the stock value and shareholder value. Therefore, we may use the facts that we find to construct optimal trading strategies to exploit small price differences.

本研究旨在探究有關「思考｣ 的中文辭彙，藉以一窺人類思考過程的全貌，並進一步透過隱喻與轉喻等認知語意機制 (參看Kövecses and Radden 1998, Lakoff 1993, Ruiz de Mendoza 2000, Diez Velasco’s 2003等人之論著)，分析人類思考過程的中文辭彙體現。 首先，我們修改認知心理學中所提的訊息處理模型 (參看Palmer and Kimchi 1986, Sternberg 1969, and Neisser 1967等人之論著)，根據修改過後的模型，得到人類思考過程的中文辭彙體現可分為七種類型。在進一步分析後發現，有關「思考｣ 的中文辭彙所牽涉的認知語意機制包括Lakoff (1993)提出的隱喻類型，Kövecses & Radden (1998)及Diez Velasco’s (2003)提出的轉喻類型，及Ruiz de Mendoza (2003)所提出來的隱喻和轉喻的交互模式，而本研究另外發現需透過三重轉喻及兩個新的隱喻和轉喻的交互模式才能完整建立起人類思考過程的中文辭彙體現的字面語意與其象徵語意之間的連結。 / In this study, we intend to claim that the backstage cognition of thinking process, through linguistic manifestation, can be explicitly detected with six dynamic continuing stages. In addition, each stage reifies itself with linguistic expressions of concrete observable parts or organs of body, which in turn demonstrate that lexical manifestation of thinking is heavily based on such mechanisms as metaphor and metonymy. (cf. Kövecses and Radden 1998, Lakoff 1993, Ruiz de Mendoza 2000, Diez Velasco’s 2003). First of all, we refine the information processing model proposed in cognitive psychology (cf. Palmer and Kimchi 1986, Sternberg 1969, and Neisser 1967). Based on the refined model, the Mandarin lexical reification of thinking is claimed to fall into six stages corresponding to six types. A special case linking two or more stages is observed as the seventh type. Then, we probe into the linguistic data from the seven types of thinking. The analysis discovers that a full explanation of those linguistic data from the six stages of the thinking process requires the activation of some types of metaphor. We have also found metonymy provides mental access to thinking activities. As to the interaction of metonymy, the three types of double metonymy are not sufficient to account for the lexical manifestation of thinking. Triple metonymy also needs to be employed to explain the meaning derivations of the data. Finally, it is found that the three interaction models of metaphor and metonymy are insufficient to cover all the possible interactions of cognitive mechanisms behind the lexical manifestation of thinking in Mandarin. This study reveals two new interaction models not mentioned by Ruiz de Mendoza (2000).

Kyoto University (京都大学) / 0048 / 新制・課程博士 / 博士(工学) / 甲第17549号 / 工博第3708号 / 新制||工||1565(附属図書館) / 30315 / 京都大学大学院工学研究科建築学専攻 / (主査)教授 門内 輝行, 教授 加藤 直樹, 教授 小林 正美 / 学位規則第4条第1項該当

京都大学 / 新制・課程博士 / 博士(理学) / 甲第23010号 / 理博第4687号 / 新制||理||1672(附属図書館) / 京都大学大学院理学研究科物理学・宇宙物理学専攻 / (主査)教授 嶺重 慎, 教授 太田 耕司, 准教授 前田 啓一 / 学位規則第4条第1項該当 / Doctor of Science / Kyoto University / DFAM

京都大学 / 新制・課程博士 / 博士(理学) / 甲第23009号 / 理博第4686号 / 新制||理||1672(附属図書館) / 京都大学大学院理学研究科物理学・宇宙物理学専攻 / (主査)教授 嶺重 慎, 教授 太田 耕司, 准教授 前田 啓一 / 学位規則第4条第1項該当 / Doctor of Science / Kyoto University / DFAM

京都大学 / 0048 / 新制・論文博士 / 博士(理学) / 乙第12853号 / 論理博第1543号 / 新制||理||1579(附属図書館) / 31533 / 京都大学大学院理学研究科地球惑星科学専攻 / (主査)教授 石川 裕彦, 教授 余田 成男, 教授 向川 均 / 学位規則第4条第2項該当 / Doctor of Science / Kyoto University / DFAM

京都大学 / 0048 / 新制・課程博士 / 博士(人間・環境学) / 甲第20466号 / 人博第816号 / 新制||人||195(附属図書館) / 28||人博||816(吉田南総合図書館) / 京都大学大学院人間・環境学研究科共生人間学専攻 / (主査)教授 齋藤 治之, 教授 服部 文昭, 教授 河崎 靖, 准教授 清水 政明 / 学位規則第4条第1項該当 / Doctor of Human and Environmental Studies / Kyoto University / DGAM

学位プログラム名: 京都大学大学院思修館 / 京都大学 / 0048 / 新制・課程博士 / 博士(総合学術) / 甲第22609号 / 総総博第9号 / 新制||総総||2(附属図書館) / 京都大学大学院総合生存学館総合生存学専攻 / (主査)教授 櫻井 繁樹, 教授 IALNAZOV Dimiter Savov, 教授 手塚 哲央 / 学位規則第4条第1項該当 / Doctor of Philosophy / Kyoto University / DFAM

This business plan is written for a to-be-founded trade company which focuses on the trade between Taiwan and Switzerland. The environmental analysis (Chapter 4) shows that there are countless opportunities for trade between the two countries. The goal of the company is to find products and solutions with considerable potential. Therefore, this business plan does not focus on just one product; instead a process defines how the company selects and develops the products in its portfolio (Chapter 3). By making these products available in the other country, the company gives Taiwanese and Swiss manufacturers new business opportunities and gives the potential customers better and different solutions to their problems. The company’s goal is to build long-term partnerships with its suppliers in order to ensure a high level of quality (Chapter 5). The company will set up two logistic centers, one in Taiwan and one in Switzerland, which will be the hubs for standardized and efficient distribution processes (Chapter 7). In order to keep the costs low during the first years, marketing and sales (Chapters 8 and 9) will focus most of its activities on B2C products which are mainly sold through ecommerce activities. Finally, the financial forecasts (Chapter 10) show that there is a very high level of uncertainties for the financial success of the company. Therefore the cost structure of the company must be highly flexible to be adjustable to the company’s growth.

過去實證研究發現，資產的動態過程存在不連續的跳躍與大波動伴隨大波動的波動度叢聚現象而造成資產報酬分配呈現出厚尾與高狹峰的情況，然而，此現象並不能完全被傳統所使用幾何布朗運動模型與跳躍擴散模型給解釋。因此，本文設定資產模型服從Lévy 過程中Generalized Hyperbolic (GH)的normal inverse Gaussian(NIG) 和 variance gamma (VG)兩個模型，然而，Lévy 過程是一個跳躍過程，是屬於一個不完備的市場，這將使得平賭測度並非唯一，因此，本文將採用Gerber 和 Shiu (1994)所提的Esscher 轉換來求得平賭測度。關於美式選擇權將採用LongStaff and Schwartz (2001)所提的最小平方蒙地卡羅模擬法來評價美式選擇權。實證結果發現VG有較好的評價績效，此外，進一步探討流動性與價內外的情況對於評價誤差的影響，亦發現部分流動性高的樣本就較小的評價誤差；此外，價外的選擇權其評價誤差最大。另一方面從交易的觀點來看，次貸風暴後交易對手信用風險愈來愈受到重視，此外，近年來由於巨災事件的頻傳，使得傳統保險公司風險移轉的方式，漸漸透過資本市場發行衍生性商品來進行籌資，以彌補其在巨災發生時所承擔的損失。因此，透過發行衍生性商品來進行籌資，必須考量交易對手的信用風險，否則交易對手違約，就無法獲得額外的資金挹注，因此，本文評價巨災權益賣權，並考量交易對手信用風險對於其價格的影響。 / In the traditional models such as geometric Brownian motion model or the Merton jump diffusion model can’t fully depict the distributions of return for financial securities and the those return always have heavy tail and leptokurtic phenomena due to the price jump or volatilities of return changing over time. Hence, the first article uses two time-changed Lévy models: (1) normal inverse Gaussian model and (2) variance gamma model to capture the dynamics of asset for pricing American option. In order to deal with the early-exercised problem of the American option, we use the LSM to determine the optimal striking point until maturity. In the empirical analyses, we can find the VG model have better performance than the other three models in some cases. In addition, with the comparison the pricing performance under different liquidity and moneyness conditions, we also find in some samples increasing the liquidity really can reduce the pricing errors, at the same time, the maximum pricing errors appears in the OTM samples in all cases. The global subprime crisis during 2008 and 2009 arouses much more attention of the counterparty risk and the number of default varies with economic condition. Hence, we investigate the counterparty risk impact on the price of the catastrophe equity put with a Markov-modulated default intensity model in the second study. At the same time, we also extend the stochastic interest rate setting in Jaimungal and Wang (2006) and relax some restrictive assumption of Black-Scholes model by taking the regime-switching effects of the economic status, then use the Markov-modulated processes to model the dynamics of the underlying asset and interest rate. In the numerical analyses, we illustrate the impact of the recovery rate, time to maturity, jump intensity of the equity and default intensity of counterparty on the CatEPut price.