This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. The non-risky asset is a bond and the risky asset can be a fund or an index related to any asset category such as equities, commodities, real estate, etc. The main purpose of using a dynamic portfolio is to keep the realized volatility of the portfolio under control and preferably below a certain maximum level, denoted as the Volatility-Cap-Target-Level (VCTL). This is attained by a variable allocation between the risky asset and the non-risky asset during the maturity of the VCTL-option. The allocation is reviewed and if necessary adjusted every 15th day. Adjustment depends entirely upon the realized historical volatility of the risky asset. Moreover, it is assumed that the risky asset is governed by a certain group of stochastic differential equations called affine jump-diffusion models. All models will be calibrated using out-of-the money European call options based on the Deutsche-Aktien-Index(DAX). The numerical implementation of the portfolio diffusions and the use of Monte Carlo methods will result in different VCTL-option prices. Thus, to price a nonstandard product and to comply with good risk management, it is advocated that the financial institution use several research models such as the SVSJ- and the Seppmodel in addition to the Black-Scholes model. Keywords: Exotic option, basket option, risk management, greeks, affine jumpdiffusions, the Black-Scholes model, the Heston model, Bates model with lognormal jumps, the Bates model with log-asymmetric double exponential jumps, the Stochastic-Volatility-Simultaneous-Jumps(SVSJ)-model, the Sepp-model.

Thèse (Ph.D.)--Université Laval, 2004. / Titre de l'écran-titre (visionné le 29 novembre 2004). Cette thèse est composée de 6 chapitres dont 4 sont présentés sous forme d[alpha]articles qui en sont à différentes étapes dans le processus de publication. Le sixième chapitre contient un résumé et une discussion générale se rapportant aux résultats des chapitres 3 à 5. Bibliogr.

Cette recherche-création effectuée dans le cadre d’études de deuxième cycle présente une analyse de l’adaptation télévisuelle récente de meurtriers fictifs notoires. Dans la première partie, un essai retrace la façon dont ont été transposés pour la télévision les personnages de Norman Bates (Psycho, 1960) et d’Hannibal Lecter (The Silence of the Lambs, 1991) ainsi que les mécanismes qui ont été déployés afin d’étoffer ces protagonistes et leurs forces d’action. Dans la deuxième partie, on présente la création d’une série télévisée librement inspirée du personnage de John Doe (Seven, 1995). Cette section décrit les différentes étapes du processus d’élaboration d’une œuvre télévisuelle, incluant la démarche d’adaptation, le sujet de la saison, la description des personnages, la structure narrative et les milieux de l’action, les résumés et synopsis des épisodes. Par la suite, un des épisodes a été scénarisé.

Le nucléon est décrit par QCD comme étant constitué de trois quarks de valence (de saveur up et down) et d'une mer constituée de gluons et de paires de quark – antiquark de toutes saveurs. Le quark étrange est le meilleur candidat pour l'étude de cette mer dont la contribution à la structure du nucléon est à l'heure actuelle mal connue. Il est en effet le plus léger des quarks n'ayant pas de contribution de valence. Expérimentalement, cette étude est effectuée dans trois secteurs différents reliés à la masse, aux distributions de charge et de courant du nucléon, et au spin du nucléon. Cette thèse présente les expériences G0 au laboratoire Thomas Jefferson (USA) et SAMPLE au laboratoire MIT-Bates qui mesure l'asymétrie de violation de parité en diffusion élastique d'électrons polarisés sur une cible de nucléons. De ces mesures, il est possible d'extraire la contribution étrange aux distributions de charge et de courant dans le nucléon ainsi que le facteur de forme axial du nucléon. Dans ce manuscrit, nous décrivons le formalisme relatif à la sonde électrofaible et donnons également un panorama des différentes prédictions théoriques. Nous avons étudié l'origine des changements systématiques des propriétés du faisceau d'électrons et développé des systèmes de correction permettant de réduire leurs effets au niveau de l'expérience. Nous détaillons le dispositif expérimental de l'expérience G0 ainsi que les études de bruit de fond et leurs implications sur la stratégie expérimentale. Nous présentons finalement le dispositif expérimental de l'expérience SAMPLE et l'analyse des données qui a permis de déterminer le facteur de forme axial du nucléon. Cette quantité est peu contrainte par les prédictions théoriques dû aux contributions des ordres supérieurs de diffusion difficilement calculables théoriquement. Ce facteur de forme intervenant dans la mesure d'asymétrie de violation de parité, sa détermination expérimentale est importante.

The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. The data used were option prices from Microsoft, Advanced Micro Devices Inc, Walt Disney Company, and the S&P 500 index. The data was then divided into training and testing sets, where the training data was used for parameter calibration for each model, and the testing data was used for testing the model prices against prices observed on the market. Calibration of the parameters for each model were carried out using the nonlinear least-squares method. By using the calibrated parameters the price was calculated using the method of Carr and Madan. Generally it was found that the stochastic volatility models, Heston and Bates, replicated the market option prices better than both the constant volatility models, MJD and BSM for most data sets. The mean average relative percentage error for Heston and Bates was found to be 2.26% and 2.17%, respectively. Merton and BSM had a mean average relative percentage error of 6.90% and 5.45%, respectively. We therefore suggest that a stochastic volatility model is to be preferred over a constant volatility model for pricing options. / Syftet med denna tes är att jämföra prissättningsmodeller för optioner. Vi har undersökt de konstanta volatilitetsmodellerna Black-Scholes-Merton (BSM) och Merton’s Jump Diffusion (MJD) samt de stokastiska volatilitetsmodellerna Heston och Bates. Datat vi använt är optionspriser från Microsoft, Advanced Micro Devices Inc, Walt Disney Company och S&P 500 indexet. Datat delades upp i en träningsmängd och en test- mängd. Träningsdatat användes för parameterkalibrering med hänsyn till varje modell. Testdatat användes för att jämföra modellpriser med priser som observerats på mark- naden. Parameterkalibreringen för varje modell utfördes genom att använda den icke- linjära minsta-kvadratmetoden. Med hjälp av de kalibrerade parametrarna kunde priset räknas ut genom att använda Carr och Madan-metoden. Vi kunde se att de stokastiska volatilitetsmodellerna, Heston och Bates, replikerade marknadens optionspriser bättre än båda de konstanta volatilitetsmodellerna, MJD och BSM för de flesta dataseten. Medelvärdet av det relativa medelvärdesfelet i procent för Heston och Bates beräknades till 2.26% respektive 2.17%. För Merton och BSM beräknades medelvärdet av det relativa medelvärdesfelet i procent till 6.90% respektive 5.45%. Vi anser därför att en stokastisk volatilitetsmodell är att föredra framför en konstant volatilitetsmodell för att prissätta optioner.

Death and taxes are unavoidable. In terms of the current legislation both estate duty and capital gains tax (hereinafter referred to as 'CGT') are levied upon death. The South African National Treasury is reconsidering taxes on death as estate duty contributes minuscule revenue, and its administration is cumbersome. Worldwide taxation is based on either source or residence. Because of the R3 500 000 exemption from estate duty, only wealthy individuals are generally subject to estate duty. Wealthy individuals make use of the annual R4 000 000 foreign investment capital allowance by owning offshore property. The aim of this study is to document how death taxes are currently levied on an estate which holds offshore property, given the perception that foreign property is exempt from death duties, and also to consider the impact on taxes payable on offshore property at death if estate duty were to be abolished. These objectives cannot be achieved without a thorough understanding of the development and future of estate duty, the impact of CGT on death, how selected foreign countries levy taxes upon death, and how residents of South Africa are taxed on property situated within foreign countries. When CGT was introduced in 2001 the estate duty rate was reduced and it is likely that, if estate duty is repealed, the rate of CGT will be increased. In South Africa, residents are taxed on worldwide income and capital gains. The international perspective is that the foreign country has the sovereignty to levy taxes on a person who owns property situated within its boundaries. An estate which holds offshore property may also be subject to estate duty in terms of the tax law of that country which results in double taxation in the hands of the deceased estate. South Africa has concluded international agreements with a number of foreign countries through double tax agreements and estate tax treaties to prevent double taxation. In terms of the Estate Duty Act, and in some of the treaties, a rebate is allowed in respect of foreign estate taxes paid. However, if estate duty is abolished, the deceased estate may be liable for estate tax in the foreign country where the assets are situated and the deceased estate may not qualify for any rebate in South Africa in respect of foreign taxes paid. Hence, the abolition may have detrimental consequences on the liquidity requirements, and on the heirs, in cases where offshore property is involved. It is vital that proper estate and tax planning advice is given before a resident acquires offshore property as the tax implications may be enormous. The current impact of estate duty and CGT on a resident who owns offshore assets is that the said taxes will be levied either here in South Africa or in the foreign country. The effect of capital transfer tax on a resident with an offshore asset can never be underestimated. / Thesis (M.Com. (Tax))--North-West University, Potchefstroom Campus, 2011.

Death and taxes are unavoidable. In terms of the current legislation both estate duty and capital gains tax (hereinafter referred to as 'CGT') are levied upon death. The South African National Treasury is reconsidering taxes on death as estate duty contributes minuscule revenue, and its administration is cumbersome. Worldwide taxation is based on either source or residence. Because of the R3 500 000 exemption from estate duty, only wealthy individuals are generally subject to estate duty. Wealthy individuals make use of the annual R4 000 000 foreign investment capital allowance by owning offshore property. The aim of this study is to document how death taxes are currently levied on an estate which holds offshore property, given the perception that foreign property is exempt from death duties, and also to consider the impact on taxes payable on offshore property at death if estate duty were to be abolished. These objectives cannot be achieved without a thorough understanding of the development and future of estate duty, the impact of CGT on death, how selected foreign countries levy taxes upon death, and how residents of South Africa are taxed on property situated within foreign countries. When CGT was introduced in 2001 the estate duty rate was reduced and it is likely that, if estate duty is repealed, the rate of CGT will be increased. In South Africa, residents are taxed on worldwide income and capital gains. The international perspective is that the foreign country has the sovereignty to levy taxes on a person who owns property situated within its boundaries. An estate which holds offshore property may also be subject to estate duty in terms of the tax law of that country which results in double taxation in the hands of the deceased estate. South Africa has concluded international agreements with a number of foreign countries through double tax agreements and estate tax treaties to prevent double taxation. In terms of the Estate Duty Act, and in some of the treaties, a rebate is allowed in respect of foreign estate taxes paid. However, if estate duty is abolished, the deceased estate may be liable for estate tax in the foreign country where the assets are situated and the deceased estate may not qualify for any rebate in South Africa in respect of foreign taxes paid. Hence, the abolition may have detrimental consequences on the liquidity requirements, and on the heirs, in cases where offshore property is involved. It is vital that proper estate and tax planning advice is given before a resident acquires offshore property as the tax implications may be enormous. The current impact of estate duty and CGT on a resident who owns offshore assets is that the said taxes will be levied either here in South Africa or in the foreign country. The effect of capital transfer tax on a resident with an offshore asset can never be underestimated. / Thesis (M.Com. (Tax))--North-West University, Potchefstroom Campus, 2011.

Although these discourses construct disability differently, three of them – the lay, charity and medical discourses – view disability very negatively. The lay discourse sees disability as something to be fearful of and therefore chooses to ignore it. According to the charity discourse people who are disabled should be pitied and helped because they are dependent and helpless. The medical discourse defines disability as abnormal – a “sickness” that requires treatment by medical experts. This study endeavors to challenge the stereotypical “picture” of a person with a disability. By conducting a narrative research design the life-world of a unique boy (who has a physical disability, called spina bifida) is captured in the telling of his life-story. A narrative research design was specifically chosen to portray the context and life-experiences (good and bad) of this little boy – a child in totality. The narrative life-story was written in the first person in order to invite the reader as a co-participant into the world of a boy with spina bifida. An asset-based approach accompanied the narrative research design in order to explore whether positive aspects of this boy’s life-world could be identified. Where disability is concerned, the asset-based approach proposes a shift from the traditional “deficit approach” towards a “strength-based approach”. This study not only tells the captivating life-story of a boy with a physical disability, but also identifies and embraces the positive side of living with a disability. / Dissertation (MEd (Educational Psychology))--University of Pretoria, 2006. / Educational Psychology / unrestricted

No description available.

Dans la présente recherche, l’influence humaine et climatique des 1500 dernières années sur quatre lacs de Nouvelle-Angleterre (États-Unis) a été reconstituée par l’analyse des diatomées fossiles provenant des sédiments. Différentes méthodes ont été testées pour inférer certaines variables environnementales à l’aide des diatomées. Les méthodes des moyennes pondérées et de la probabilité maximale se sont avérées les plus appropriées pour la reconstitution des variables du gradient principal, tandis que les réseaux neuronaux artificiels et la probabilité maximale sont préférables pour les variables du gradient secondaire. Différentes transformations des données sont appropriées pour chacune des méthodes. Les diatomées fossiles des lacs ont enregistré un patron régional propre à la déforestation suite à la colonisation par les Européens. Malgré le rétablissement des forêts autour des sites depuis 1900 AD, trois lacs montrent à l’état actuel des conditions qui ne correspondent pas à celles de la période avant-perturbation. Ceci est dû aux caractéristiques locales des sites, tels que l’évolution naturelle des lacs, les perturbations naturelles (ouragans), ainsi que le développement des marais. Pour rétablir l’état « naturel » théorique envisagé dans la restauration, il est donc important de tenir compte de l’évolution naturelle des lacs. Au lac Walden Pond (Massachusetts), un enrichissement accéléré en nutriments a été inféré suite à l’usage récréatif intensif depuis env. 1950 AD. Depuis 1975 AD, le taux d’eutrophisation a diminué grâce aux mesures de gestion. L’état naturel du lac reconstitué par notre étude représente un bon guide pour les futurs mesures de gestion. Au lac Levi Pond (Vermont), une tendance accrue à l’humidité pendant les dernières 2000 années, qui correspond au refroidissement global du Néoglaciaire, a été inférée par les diatomées. Les diatomées sont donc d’une utilité potentielle pour les études paléohydrologiques dans les régions tempérées. L’analyse mensuelle de la flore diatomifère dans Bates Pond (Connecticut), a indiqué que les assemblages sont liés à la stratification, ce qui a permis d’identifier une période de mélange prolongée dans le passé à partir des assemblages fossiles. Le maximum de productivité diatomifère en automne indique que c’est la saison privilégiée pour l’échantillonnage d’eau en vue du développement des modèles d’inférence. Cette thèse apporte des nouvelles connaissances sur l’évolution et l'écologie des lacs en Nouvelle-Angleterre, et sur deux aspects méthodologiques pertinents pour la discipline de la paléolimnologie. / The human and climatic impact on four New England lakes was reconstructed by analysis of fossil diatoms preserved in lake-bottom sediments. Different diatom-based methods for the reconstruction of environmental variables (pH, total phosphorus, alkalinity) were tested. Weighted averaging and Gaussian logit regression were the most appropriate methods for the reconstruction of variables representing the principal gradient, whereas artificial neural networks and Gaussian logit regression performed better for secondary gradient variables. It was shown that different data transformations may be useful for different reconstructions. Fossil diatom assemblages of the sites recorded a regional pattern of deforestation and agricultural activity following European settlement. Despite the re-establishment of forests in the lake watersheds since 1900 AD, three lakes did not return to pre-disturbance conditions. This is due to local site characteristics, such as natural lake evolution, local natural disturbance patterns (hurricanes), and peatland development. It is therefore important to consider the natural dynamics of lakes when establishing the theoretical « natural » state for restoration purposes. At Walden Pond, Massachusetts, an accelerated nutrient enrichment was inferred from 1950 AD onwards, related to intensive recreational use of the lake. Since 1975 AD, the rate of eutrophication has diminished after management measures were implemented. The natural state of the lake reconstructed by this study represents a useful benchmark for future management decisions. In Levi Pond, a trend of increasing humidity during the past ca. 2000 years has been inferred by diatoms, corresponding to the period of Neoglacial cooling. This result indicates that diatoms may be a useful tool for future paleohydrological studies in temperate regions. The seasonal study of diatoms in Bates Pond, Connecticut, indicated that diatom assemblages are strongly influenced by stratification, which helped to identify a period of prolonged full-circulation in the past based on the fossil assemblages of the same lake. The maximum diatom productivity in autumn indicated that this is the most appropriate season for taking water samples for diatom inference model development. This thesis has provided new knowledge of the evolution of New England lakes before and after European settlement and on two pertinent methodological aspects of paleolimnologic study.