La première partie de cette thèse est consacrée à la simulation des équations différentielles stochastiques définies sur le cône des matrices symétriques positives. Nous présentons de nouveaux schémas de discrétisation d'ordre élevé pour ce type d'équations différentielles stochastiques, et étudions leur convergence faible. Nous nous intéressons tout particulièrement au processus de Wishart, souvent utilisé en modélisation financière. Pour ce processus nous proposons à la fois un schéma exact en loi et des discrétisations d'ordre élevé. A ce jour, cette méthode est la seule qui soit utilisable quels que soient les paramètres intervenant dans la définition de ces modèles. Nous montrons, par ailleurs, comment on peut réduire la complexité algorithmique de ces méthodes et nous vérifions les résultats théoriques sur des implémentations numériques. Dans la deuxième partie, nous nous intéressons à des processus à valeurs dans l'espace des matrices de corrélation. Nous proposons une nouvelle classe d'équations différentielles stochastiques définies dans cet espace. Ce modèle peut être considéré comme une extension du modèle Wright-Fisher (ou processus Jacobi) àl'espace des matrice de corrélation. Nous étudions l'existence faible et forte des solutions. Puis, nous explicitons les liens avec les processus de Wishart et les processus de Wright-Fisher multi-allèles. Nous démontrons le caractère ergodique du modèle et donnons des représentations de Girsanov susceptibles d'être employées en finance. En vue d'une utilisation pratique, nous explicitons deux schémas de discrétisation d'ordre élevé. Cette partie se conclut par des résultats numériques illustrant le comportement de la convergence de ces schémas. La dernière partie de cette thèse est consacrée à l'utilisation des ces processus pour des questions de modélisation multi-dimensionnelle en finance. Une question importante de modélisation, aujourd'hui encore difficile à traiter, est l'identification d'un type de modèle permettant de calibrer à la fois le marché des options sur un indice et sur ses composants. Nous proposons, ici, deux types de modèles : l'un à corrélation locale et l'autre à corrélation stochastique. Dans ces deux cas, nous expliquons quelle procédure on doit adopter pour obtenir une bonne calibration des données de marché / After a short introduction (in French) to the multi dimensional modelling for index pricing problems, the first part of the thesis treats the simulation of stochastic differential equations defined on the cone of symmetric positive semi-definite matrices. Indeed, we present several second order discretization schemes associated to a general class of affine processes defined on $posm.$ We study also their weak convergence. We pay a special attention to Wishart processes, which are considered as a particular case of this class and have been frequently used in finance. In this case, we give an exact scheme and a third order discretization one. To the best of our knowledge, this is the first exact sampling of the Wishart distribution without any restrictions on its parameters. Some algorithm are proposed in order to enhance all scheme in term of computation of time. We show numerical illustrations of our convergence and compare it to the theoretical rate. We then focus on other type of processes defined on the correlation matrix space. For this purposes, We propose a new stochastic differential equation defined on $crr.$ We prove the weak and the strong existence of such solutions. These processes are considered as the extension of Wright-Fisher processes (or Jacobi process) on correlation matrices. We shed light on a useful connection with Wishart processes and Wright-Fisher multi-allèles. Moreover, we explicitly present their moments, which enable us to describe the ergodic limit. Other results about Girsanov representations are also given. Finally, in order to use these processes in practice, we propose second order discretization schemes based on two different methods. Numerical experiments are presented to show the convergence. The last part is devoted to multi dimension modelling in finance for baskets and indices pricing. After giving a mathematical analysis of models defined either by the correlation matrix or in the positive semi-definite semi positive one, we ask if we find the adequate structure of correlation models which is able to calibrate both the index options market and the single options market related to each component of this index. For this purpose, we propose two types of modelling, the first uses a local model correlation and the second derives from a pure stochastic correlation model. Moreover, we explain different routines that have been used for improved calibration

O objetivo deste trabalho foi estudar a produção do antitumoral retamicina por células imobilizadas de Streptomyces olindensis ICB20 em biorreatores. A imobilização das células foi conseguida após uma etapa inicial de cultivo em erlenmeyers (reativação e pré-imobilização) e posterior envolvimento em gel, utilizando-se alginato de cálcio 3%; as esferas produzidas tinham diâmetro médio de 3,0 ± 0,2 mm. Foram utilizados neste trabalho os biorreatores tipo cesta (2,4 L de volume útil) e coluna de bolhas (1,6 L de volume útil), efetuando-se cultivos em batelada simples, bateladas repetidas e contínuos, visando-se uma comparação dos diferentes sistemas empregados. Também foram realizados alguns cultivos com células livres, a fim de efetuar uma comparação com os sistemas com células imobilizadas nos diferentes biorreatores. Os ensaios consistiram em empregar diferentes condições de agitação (300 e 500 rpm) e aeração (0,4 e 1 vvm) para o biorreator cesta em sistema com células imobilizadas, assim como diferentes vazões de aeração no biorreator coluna de bolhas (1, 2 e 3 vvm). Os cultivos em bateladas repetidas e contínuos foram operados a partir das melhores condições obtidas nos cultivos descontínuos. Foram aplicadas nos sistemas contínuos com células imobilizadas, as vazões específicas de alimentação de 0,05 e 0,2 h -1 no biorreator cesta e vazões de 0,015 a 0,05 h -1 no biorreator coluna de bolhas. A comparação entre os sistemas com células livres e imobilizadas mostrou que as limitações difusionais afetaram significativamente as cinéticas dos ensaios com células imobilizadas, considerando-se apenas uma batelada. A operação do biorreator cesta em sistema de bateladas repetidas apresentou os maiores valores de produção da retamicina (em torno de 1,5 a 1,7 UA), porém sua operação foi possível por apenas três bateladas. O sistema contínuo operado com vazão específica de alimentação de 0,03 h-1, com células imobilizadas no biorreator coluna de bolhas, mostrou ser o mais adequado dentre todos os ensaios realizados com células imobilizadas, apresentando estabilidade na produção, em torno de 0,8 UA, durante 96 horas de alimentação (cerca de três tempos de residência). / The purpose of this study was to investigate the production of the antitumor antibiotic retamycin by immobilized cells of Streptomyces. olindensis ICB20 in bioreactors. Cells were immobilized by entrapment in Ca-alginate gel (3%) after being grown in Erlenmeyers (reactivation and pre-immobilization cultures). The average diameter of the Ca-alginate beads was 3.0 ± 0.2 mm. Aiming to compare different cell systems, immobilized cell cultures were carried out in a 2.4L working volume basket-type stirred tank reactor (BSTR) and a 1.6 L working volume bubble column reactor (BCR) in batch, repeated-batch and continuous modes. Free cell suspension cultures were also performed and the results obtained compared to those in immobilized cell systems. Different agitation rates (300 and 500 rpm) and air flow rates (0.4 and 1.0 v.v.m.) were employed in the BSTR immobilized cell experiments.The BCR cultures were conducted at 1.0, 2.0 and 3.0 v.v.m. The optimal operating conditions for the batch mode were used in the repeated-batch and continuous cultures. Immobilized cells were grown in continuous mode at feed dilution rates of 0.05 and 0.2 h-1 in the BSTR and at 0.015 and 0.05 h-1 in the BCR. The comparative evaluation of the batch cultures with free and immobilized cells showed that diffusion limitations had affected the kinetics of cell growth and retamycin production in the immobilized cell systems. The highest average values of retamycin content (from 1.5 to 1.7 AU) were achieved in repeated batch cultures conducted in the basket-type reactor (BSTR) in spite of a limited number of batches (3 batches). Of all the systems, the continuous cell immobilized culture carried out in the BCR at a dilution rate of 0.03 h-1 proved to be the most adequate for retamycin production as retamycin levels remained stable (around 0.8 AU) over 96 hours (about 3 residence times).

This dissertation consists of essays that study exchange rate pass-through, China’s de facto exchange rate regime, and China’s capital controls. The first essay studies exchange rate pass-through (ERPT) by using a set of data from ten countries including four advanced economies and six Asian emerging markets. The price indices used in this essay include consumer price, producer price, import price and export price indices. While most literature only include the import price index, this essay also puts emphasis on the export price index. It investigates the asymmetry in the ERPT between depreciation and appreciation of domestic currency by using a non-linear OLS model; meanwhile, the short-run and long-run effects of ERPT are also compared with each other. It also detects possible structural change in the ERPT and finds most structural change points are around the Great Recession and Asia financial crisis. Finally, a VAR model is developed to detect the impulse responses of prices to exchange rate shock. The second essay is about China’s exchange rate regime. It has changed a lot since the 2005 reform. It is interesting and important to investigate China’s de facto exchange rate regime with the most recent data. This essay follows Frankel and Wei’s (2008) method, by applying both the basic model and new model with the exchange market pressure (EMP) variable to currency basket for the Chinese yuan exchange rate. I select the US dollar, the Euro, the British pound, the Japanese yen, the Canadian dollar, the Australian dollar and the Russian ruble as component currencies of the basket, based on free floaters, GDP and trade volume. I also add results from a VAR model, considering the endogeneity issue, and the results are consistent with those of OLS. I find the weight of the US dollar declines dramatically and the variation of the Chinese yuan becomes much larger after 2015. This implies that China has been transferring its exchange rate regime from dollar pegged to free floating. The third essay investigates the effectiveness of China’s capital controls. In recent years, after 2014, China’s foreign reserves declined dramatically, from 4 trillion US dollars to 3 trillion US dollars. There was a huge amount of capital outflows from China during 2015 to 2016. This phenomenon lets us reconsider the question: Are China’s capital controls still effective? I will use five methods to measure the effectiveness of China’s capital controls, including de jure indicators, saving-investment correlation test, covered interest rate parity, real interest rate differentials and Edwards-Kahn model. The de jure indicators I use are from Fernández et al. (2016) and Chinn and Ito (2008). I compare China with the US, the UK and Japan in the saving-investment correlation test, and with the Eurozone and Japan in covered interest rate parity, real interest rate differentials and Edwards-Kahn model. Various results indicate that China’s capital controls are still effective.

<p>Den Svenska Basketligan är en av få europeiska nationella ligor (oavsett sport) som tillämpar det stängda seriesystemet inom lagidrott. Sedan säsongen 92/93 har den högsta svenska ligan i basket varit stängd och upp- och nedflyttning har vilat på framförallt ekonomiska skäl, och inte sportsliga. Detta är väldigt ovanligt i Europa och i akademisk litteratur görs en tydlig uppdelning mellan europeisk och amerikansk idrottsstruktur. En faktor som bidrar till att göra ligans karaktär stängd är att mästarlagen och övriga topplags deltaganden i europeiska och regionala sammanhang är oregelbundna.</p><p>I uppsatsen tillämpas ett systemteoretiskt perspektiv som grund och teorier om konkurrens och kompetensutveckling används som stödteorier. 5 spelare, varav 3 med internationell erfarenhet,2 coacher samt en basketfokuserad skribent ger i uppsatsen deras synpunkter på hur ligans struktur påverkar deras och ligans internationella konkurrenskraft.</p><p>Studiens resultat pekar på att det finns stora möjligheter till en förbättrad internationell konkurrenskraft, men att det krävs förändringar i strukturen och synen på vad basketligan har för syfte.</p> / <p>The Swedish Basketball League is one of few European national leagues (regardless of sport)that have a closed league structure in team sports. Since the 92/93 season, the highest Swedish league in basketball has been closed and the promotion and relegation has rested primarily on economic grounds, and not results. This is very rare in Europe and in academic literature a clear distinction is made between European and American sports structure. One factor that contributes to the closed nature of the league is that the champion- and other top team's participation in European and regional context is irregular. The paper applies a systems theory perspective and theories of competition and competence building are used as supporting theories. Five players, including three with international experience, two coaches and a basketball-focused chronicler give their views on how the league's structure affects their, and therefore the leagues international competitiveness. The study results indicate that there is a high potential for improved international competitiveness, but that change is needed in the structure and perception of what the Swedish basketball league has for purpose.</p>

Den Svenska Basketligan är en av få europeiska nationella ligor (oavsett sport) som tillämpar det stängda seriesystemet inom lagidrott. Sedan säsongen 92/93 har den högsta svenska ligan i basket varit stängd och upp- och nedflyttning har vilat på framförallt ekonomiska skäl, och inte sportsliga. Detta är väldigt ovanligt i Europa och i akademisk litteratur görs en tydlig uppdelning mellan europeisk och amerikansk idrottsstruktur. En faktor som bidrar till att göra ligans karaktär stängd är att mästarlagen och övriga topplags deltaganden i europeiska och regionala sammanhang är oregelbundna. I uppsatsen tillämpas ett systemteoretiskt perspektiv som grund och teorier om konkurrens och kompetensutveckling används som stödteorier. 5 spelare, varav 3 med internationell erfarenhet,2 coacher samt en basketfokuserad skribent ger i uppsatsen deras synpunkter på hur ligans struktur påverkar deras och ligans internationella konkurrenskraft. Studiens resultat pekar på att det finns stora möjligheter till en förbättrad internationell konkurrenskraft, men att det krävs förändringar i strukturen och synen på vad basketligan har för syfte. / The Swedish Basketball League is one of few European national leagues (regardless of sport)that have a closed league structure in team sports. Since the 92/93 season, the highest Swedish league in basketball has been closed and the promotion and relegation has rested primarily on economic grounds, and not results. This is very rare in Europe and in academic literature a clear distinction is made between European and American sports structure. One factor that contributes to the closed nature of the league is that the champion- and other top team's participation in European and regional context is irregular. The paper applies a systems theory perspective and theories of competition and competence building are used as supporting theories. Five players, including three with international experience, two coaches and a basketball-focused chronicler give their views on how the league's structure affects their, and therefore the leagues international competitiveness. The study results indicate that there is a high potential for improved international competitiveness, but that change is needed in the structure and perception of what the Swedish basketball league has for purpose.

Retail managers have been interested in learning about cross-category purchase behavior of their customers for a fairly long time. More recently, the task of inferring cross-category relationship patterns among retail assortments is gaining attraction due to its promotional potential within recommender systems used in online environments. Collaborative filtering algorithms are frequently used in such settings for the prediction of choices, preferences and/or ratings of online users. This paper investigates the suitability of such methods for situations when only binary pick-any customer information (i.e., choice/nonchoice of items, such as shopping basket data) is available. We present an extension of collaborative filtering algorithms for such data situations and apply it to a real-world retail transaction dataset. The new method is benchmarked against more conventional algorithms and can be shown to deliver superior results in terms of predictive accuracy. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Most retailers and scientists agree that supporting the buying decisions of individual customers or groups of customers with specific product recommendations holds great promise. Target-oriented promotional campaigns are more profitable in comparison to uniform methods of sale promotion such as discount pricing campaigns. This seems to be particulary true if the promoted products are well matched to the preferences of the customers or customer groups. But how can retailers identify customer groups and determine which products to offer them? To answer this question, this dissertation describes an algorithmic procedure which identifies customer groups with similar preferences for specific product combinations in recorded transaction data. In addition, for each customer group it recommends products which promise higher sales through cross-selling if appropriate promotion techniques are applied. To illustrate the application of this algorithmic approach, an analysis is performed on the transaction database of a supermarket. The identified customer groups are used for a simulation. The results show that appropriate promotional campaigns which implement this algorithmic approach can achieve an increase in profit from 15% to as much as 191% in contrast to uniform discounts on the purchase price of bestsellers. (author's abstract)

Magistro baigiamajame darbe analizuojami švietimo biudžeto formavimo bei įgyvendinimo teoriniai aspektai, atlikta Mažeikių ir Šilalės rajonų švietimo stebėsenos rodiklių lyginamoji analizė; atlikta Mažeikių ir Šilalės savivaldybių švietimo biudžeto paskirstymo lyginamoji analizė; ištirta švietimo institucijų vadovų pozicija švietimo finansavimo paskirstymo klausimais; įvertintas mokinio krepšelio panaudojimo efektyvumas, sąlygojantis mokymo kokybę. Magistro baigiamajame darbe identifikuotos pagrindinės švietimo finansavimo problemos: formuojant valstybinę švietimo politiką nėra numatyta ilgalaikė švietimo finansavimo sistema, neįvertinami visi galimi finansavimo šaltiniai, nepakankami pritraukiamas privatus kapitalas, mokyklos nepakankamai aprūpinamos mokymo priemonėmis, laboratorine įranga, geltonaisiais autobusais ir kt. / The objective of the research-to investigate the budget distribution in educational system situation and tendencies taking the case of Silale and Mazeikiai district general education schools. The theoretical aspects of educational budget formation and implementation were analyzed in the Master thesis. The comparative analysis of monitoring indicators was accomplished in Mazeikiai and Silale districts. There was investigated the position of the educational leaders concerning educational finance distribution. The student basket’s use efficiency which can determinate education quality was also evaluated. The main educational financing problems are indentified in the Master thesis: forming the state educational policy there is no long term educational financing system, all possible financing sources are not deliberated, there is lack of private fund, the schools are lack of training tools, laboratory equipment, yellow busses, etc.

Toute pratique sportive est dépendante d'un système de règles qui simultanément prescrivent et prohibent. Codifiées, ces règles participent de l'institutionnalisation sportive propre au sport compétitif contemporain. La modalité sportive reposant sur une pratique fédérale, en club, nous intéresse ici. Ce travail de thèse rend compte de la transmission du code du jeu, des représentations sociales des acteurs du sport - pratiquants, entraineurs, arbitres et dirigeants - ainsi que de la gestion de la norme sportive - espaces, durées, règles du jeu - par les institutions référentes. Notre recherche repose sur une approche comparative entre trois sports, distincts par leur degré d'institutionnalisation : le basket-ball, l'escalade et le paintball. Ce travail s'appuie simultanément sur l'usage des observations -séances d'entrainements en club, compétitions -, des entretiens semi-directifs (n = 52) et de la méthode des comparaisons par paires. Il en ressort une perception différenciée de l'application de la règle sportive qui dépend tout autant du niveau d'institutionnalisation - le paintball étant le moins sportifié des trois sports - que des caractéristiques de la pratique (situations sociomotrices ou psychomotrices). La transmission du code du jeu est consubstantielle à une culture en acte de la pratique alors que les représentations sociales se distinguent en fonction de la carrière sportive. La gestion de la norme repose sur des principes différenciés selon le processus de sportification de la pratique. Le basket-ball en club se joue sur un format pérenne et un terrain normalisé, ce qui n'est pas le cas du paintball où de multiples formats de jeu sont encore d'actualité. L'escalade se situe quant à elle dans un entre-deux, sommée de sélectionner une discipline au détriment des autres en vue d'une future olympisation. L'intérêt principal de cette étude réside notamment dans le fait de rendre compte de la socialisation sportive comme inductrice de la réalisation subjective des individus. Cette socialisation s'opère par le biais du rapport à l'institution qu'entretiennent les pratiquants avec la normativité sportive.

Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. More recently, the problem has been brought into light by the World Bank, expressing concerns about the crucial role of debt financing activities in the current and upcoming threats caused by climate change. A commonly used credit derivative in debt financing is credit default swaps (CDS), which is an agreement between two parties to exchange the credit risk of a reference entity. The buyer of the contract makes fixed periodic payments to the seller of the contract, who collects the premiums in exchange for making the protection buyer whole in the case of a defaulting reference entity. This thesis aims to minimize the greenhouse gas emission exposure for two CDS indices, iTraxx Main and CDX.IG, each consisting of 125 equally weighted constituents, or companies. The CDS indices are widely used high liquid fixed income instruments. In 2017, iTraxx Main had a monthly trading volume of $330-440 billion notional, and CDX.IG a corresponding volume of $200-275 billion. In order to rate the greenhouse gas emissions of the constituents, the ECOBAR model was used. The model utilizes a discrete ranking score system, where the aim is to obtain as low score as possible. To minimize the ECOBAR score for the baskets, Markowitz Modern Portfolio Theory was used, implemented by using a quadratic programming algorithm. By optimizing the portfolios while retaining a low tracking error and high correlation toward the CDS indices, underlying investment properties were retained. We show that one can construct replicated portfolios of the CDS indices that have significantly lower ECOBAR scores than the indices themselves, whilst still maintaining a low tracking error and high correlation with the actual indices. When constructing baskets of fewer constituents, one can replicate the indices with merely 10-30 constituents, without worsening the tracking error or correlation substantially, and obtain an even lower ECOBAR score for the respective portfolios.