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In the literature, many methods are proposed to value American options. However, due to computational difficulty, there are only approximate solution or numerical method to evaluate American options. It is not easy for general investors either to understand nor to apply. In this thesis, we build up an option pricing and virtual asset model system, which provides a friendly environment for general public to calculate early exercise boundary of an American option. This system modularize the well-handled pricing models to provide the investors an easy way to value American options without learning difficult financial theories. The system consists two parts: the first one is an option pricing system, the other one is an asset model simulation system. The option pricing system provides various option pricing methods to the users; the virtual asset model system generates virtual asset prices for different underlying models.

The main role of roadway lighting is to produce quick, accurate and comfortable visibility during nighttime conditions. It is commonly known that good lighting levels enable motorists, pedestrians and bicyclists to obtain necessary visual information in an effective and efficient manner. Many previous studies also proved that roadway lighting minimizes the likelihood of crashes by providing better visibility for roadway users. Appropriate and adequate roadway lighting illuminance levels for each roadway classification and pedestrian areas are essential to provide safe and comfortable usage. These levels are usually provided by national, or local standards and guidelines. The Florida Department of Transportation (FDOT) Plan Preparation Manual recommends a roadway lighting illuminance level average standard of 1.0 horizontal foot candle (fc) for all the roadway segments used in this research. The FDOT Plan Preparation Manual also states that this value should be considered standard, but should be increased if necessary to maintain an acceptable uniformity illuminance ratio. This study aimed to find the relationship between nighttime crash injury severity and roadway lighting illuminance. To accomplish this, the research team analyzed crash data and roadway lighting illuminance measured in roadway segments within the West Central Florida Region. An Ordered Probit Model was developed to understand the relationship between roadway lighting illuminance levels and crash injury severity. Additionally, a Negative Binomial Model was used to determine which roadway lighting illuminance levels can be more beneficial in reducing the counts of crashes resulting in injuries. A comprehensive literature review was conducted using longitudinal studies with and without roadway lighting. Results showed that on the same roadways there was a significant decrease in the number of nighttime crashes with the presence of roadway lighting. In this research, roadway lighting illuminance was measured every 40 feet using an Advanced Lighting Measurement System (ALMS) on a total of 245 centerline miles of roadway segments within the West Central Florida Region. The data were mapped and then analyzed using the existing mile post. During the process of crash data analysis, it was observed that rear-end collisions were the most common first harmful event observed in all crashes, regardless of the lighting conditions. Meanwhile, the average injury severity for all crashes, was found to be possible injury regardless of the lighting conditions (day, dark, dusk, and dawn). Finally, this research presented an Ordered Probit Model, developed to understand the existing relationship between roadway lighting illuminance levels and injury severity within the West Central Florida Region. It was observed that having a roadway lighting average moving illuminance range between 0.4 to 0.6 foot candles (fc) was more likely to have a positive effect in reducing the probability of injury severity during a nighttime crash. A Negative Binomial Model was conducted to determine if the roadway lighting average moving illuminance level, found on the Ordered Probit Model was beneficial in reducing crash injury severity during nighttime, would also be beneficial in reducing the counts of crashes resulting in injuries. It was observed that a roadway lighting average moving illuminance, range between 0.4 to 0.6 fc, was more likely to reduce the count of crashes resulting in injuries during nighttime conditions, thus increasing roadway safety. It was also observed that other factors such as pavement condition, site location (intersection or no intersection), number of lanes, and traffic volume can affect the severity and counts of nighttime crashes. The results of this study suggest that simply adding more roadway lighting does not make the roadway safer. The fact is that a reduction in the amount of roadway lighting illuminance can produce savings in energy consumption and help the environment by reducing light pollution. Moreover, these results show that designing roadway lighting systems go beyond the initial design process, it also requires continuous maintenance. Furthermore, regulations for new developments and the introduction of additional lighting sources near roadway facilities (that are not created with the intent of being used for roadway users) need to be created.

國中基本學力測驗自民國九十年實施，今年邁入第五年，學力測驗量尺分數之理論基礎，主要以Lord所提出之強真分數模式(Strong True Score Model)為主，以適當的模式對考生答對題數資料進行轉換，進一步計算出現在的量尺分數；然而國內針對學力測驗之量尺分數所做之相關研究甚少，因此本研究在第一部份先描述量尺分數轉換之理論，並詳細描述資料轉換之過程與方法。 目前學力測驗小組所採用之模式有上限模式與下限模式兩種，以考生答對題數資料估計出此兩種模式，以較低的均方差決定採用之模式，再接下來進行數據轉換之工作，然而此兩種模式都只適用於描述單峰分佈的考生答對題數之分配，英語科在歷年的學測資料，皆呈現之雙峰分佈之情形，故本研究提出混合雙峰模式，該模式較現有學力測驗之上限模式、下限模式更能清楚描述考生答對題數之分配，且具有較低之均方差。 本研究亦對量尺分數之轉換過程提出新的見解，本研究資料顯示在指定量尺平均數時，採用平均數之加權數，會比現行各科量尺指定平均分數皆固定為30分來得好，且具有較低之量尺標準差。 最後本研究總結上述方法與結論，對量尺分數的計算方式提出新的流程，以供學力測驗小組以及學者專家作為研究之參考。

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / Using a recent database on productivity of judges CearÃ, this study follows the proposal of Becker (1968) and proposes a model to investigate the determinants of crime in an empirical exercise for the municipalities of the state of CearÃ. The proposed models confront variables of economic development, agility and efficiency in judicial cases of illicit activity. The approach dealt with criminal activity according to the classification adopted in the Brazilian Penal Code, which is based on the legal injured: the person or property. Robust estimates confirm the beneficial effect of agility and efficiency of the judicial system in reducing criminal behavior, although evidencing a positive relationship between municipal development and torts. Together, this evidence suggests that public managers, besides of making strenuous efforts and resources on the intensification of surveillance and apprehension of criminals, as well as the improvement of social conditions, especially education, yet consider developing public policies that allow optimize investigation and punishment crimes. / Utilizando uma recente base de dados acerca da produtividade dos magistrados cearenses, este estudo segue a proposta de Becker (1968) e propÃe um modelo para investigar os determinantes da criminalidade em um exercÃcio empÃrico para os municÃpios do estado do CearÃ. Os modelos propostos confrontam variÃveis de desenvolvimento econÃmico, agilidade e eficiÃncia judiciÃria com casos de atividade ilÃcita. A abordagem tratou a atividade criminosa segundo a classificaÃÃo adotada no CÃdigo Penal Brasileiro, que se fundamenta no bem jurÃdico lesado: a pessoa ou o patrimÃnio. Estimativas robustas comprovam o efeito benÃfico da eficiÃncia e agilidade do sistema judiciÃrio na reduÃÃo do comportamento criminoso, muito embora evidenciem uma relaÃÃo positiva entre desenvolvimento municipal e atos ilÃcitos. Em conjunto, estas evidÃncias sugerem aos gestores pÃblicos que, alÃm de envidarem recursos e esforÃos na intensificaÃÃo da fiscalizaÃÃo e apreensÃo dos criminosos, bem como na melhoria das condiÃÃes sociais, sobretudo a educaÃÃo, considerem ainda desenvolver polÃticas pÃblicas que permitam otimizar a apuraÃÃo e a puniÃÃo dos crimes.

Submitted by Natalia de Souza Gonçalves (natalia.goncalves@ufpe.br) on 2016-09-19T14:34:03Z No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Alves_DissertaçãoCorrigida.pdf: 4344226 bytes, checksum: 5a7a8bcf5972dc8af36e8753f9105946 (MD5) / Made available in DSpace on 2016-09-19T14:34:03Z (GMT). No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Alves_DissertaçãoCorrigida.pdf: 4344226 bytes, checksum: 5a7a8bcf5972dc8af36e8753f9105946 (MD5) Previous issue date: 2016-02-17 / CAPES / Este trabalho propõe um modelo preditivo para estudar a balneabilidade das praias do município de Goiana (Pernambuco-Brasil). Na criação do banco de dados para o modelo foi utilizado os dados obtido pelo programa de monitoramento de balneabilidade da Agência Estadual de Meio Ambiente (CPRH) no período de 2001 a 2012. Foram utilizados 3 pontos de amostragem semanal do programa de monitoramento, um na Praia de Carne de Vaca, o segundo na Praia de Ponta de Pedras e o terceiro na Praia de Catuãma. Foram adicionados ao banco de dados valores de temperatura superficial da água do mar, obtidos junto à National Oceanic and Atmospheric Administration (NOAA), e precipitação total mensal, obtidos junto à Agência Pernambucana de Águas e Clima (APAC). Os dados foram agrupados segundo as estações seca e chuvosa e por praia, para analisar quais variáveis são mais influentes na balneabilidade dessas praias. Foi utilizado como ferramenta computacional o ambiente R. O modelo proposto é um modelo logístico com a finalidade de estimar a probabilidade de prais em estudo ser imprópria e identificar e explicar a relação de possíveis variáveis explicativas. As implicações da utilização do modelo em monitoramento das praias são muitas em face ao crescimento sócio-econômico recente da região e o consequente aumento da população residente. Ainda, o modelo aponta a influência de cada uma das variáveis e permite previsões de acordo com variações observadas no local, estação do ano, índice de precipitação e a temperatura superficial da água do mar. / The objective of the work was to develop a model that could explain and predict the probability of beaches being non-compliant to water quality standards for recreational bathing. Three beaches (carne de Vaca; Ponta de Pedras; Catuãma) at the Brazilian Northeast (Goiana Municipality, Pernambuco State) were used as the case study. A binomial model was obtained by using the State Environmental Agency (CPRH) data (MPN thermos tolerant bacteria 100 mL-1) sampled weekly from 2001 to 2012. Water temperature data from the National Oceanic and Atmospheric Administration (NOAA) and total monthly rainfall from Pernambuco state Climate and Water Agency (APAC). Data were arranged by season (rainy and dry periods) and place, and the model adjusted to include only the variables that did actually influence the probability of the beaches being non-compliant for recreational bathing (rainfall and water temperature). It was applied to R environment. The proposed model is a logistic model that could estimate the probability of those beaches been suitable or unsuitable and identify relations between the variables in the dataset. The model agreed with the observations and was proved to be useful for correctly predicting water quality within a 77% chance. The model has potential implications that could be used for better water quality monitoring strategies and beach management.

Submitted by Luciana Ferreira (lucgeral@gmail.com) on 2015-01-13T11:09:12Z No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dissertação - Dorgival Fidellis de Souza - 2014.pdf: 2095231 bytes, checksum: 65e25085d6c9748ee4eeb885c21aaabc (MD5) / Approved for entry into archive by Luciana Ferreira (lucgeral@gmail.com) on 2015-01-13T11:09:26Z (GMT) No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dissertação - Dorgival Fidellis de Souza - 2014.pdf: 2095231 bytes, checksum: 65e25085d6c9748ee4eeb885c21aaabc (MD5) / Made available in DSpace on 2015-01-13T11:09:26Z (GMT). No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dissertação - Dorgival Fidellis de Souza - 2014.pdf: 2095231 bytes, checksum: 65e25085d6c9748ee4eeb885c21aaabc (MD5) Previous issue date: 2014-03-07 / Conselho Nacional de Pesquisa e Desenvolvimento Científico e Tecnológico - CNPq / In this work, we made a theoric essay about the foundations of probability ax- iomatic de nition, proposed by A. N. Kolmogorov and its implications in probabilistic models of the binomial experiment, exploring concepts and elements innate from dis- crete mathematics that is relate to the additive and multiplicative principles, simple combinations, Pascal ´s triangle and Newton´s binomy. Also, we study the probabil- ity applied to the discrete case throughout experiments de nition, events and random variables, so that we could substantiate our problem application proposal, about infor- mation transmitting between central series to brazilian high school. / Neste trabalho, zemos um ensaio teórico sobre os fundamentos da de nição ax- iomática da probabilidade proposto por A. N. Kolmogorov e suas implicações ao modelo probabilístico de um experimento binomial, explorando conceitos e elementos próprios à Matemática discreta que se relacionam aos princípios aditivo e multiplicativo, com- binações simples, triângulo de Pascal e binômio de Newton. Também, estudamos a probabilidade aplicada ao caso discreto passando pela de nição de experimentos, even- tos e variáveis aleatórias a m de fundamentar nossa proposta de aplicação de um problema sobre transmissão de informações entre centrais em série ao Ensino Médio.

Vehicles being driven for work purposes represent a large proportion of road collision and deaths in the workplace. These observations mean that people driving for work can impose a large burden on organisations and on society. In addition, previous studies identified a fleet driver effect for which there was greater collision risk for those who drive for work compared to the general driving population, even after controlling for exposure. This accentuates the need for both organisational and government policy makers to take steps to reduce the impact of these collisions. No single intervention has been found to solve issues around work-related road safety therefore a range of initiatives have been directed towards the risks associated with drivers, vehicles, journeys and organisations. Many of the interventions, however, lack robust evidence to support their use. The aim of this thesis is to assess organisational interventions to improve work-related road safety by using econometric models on real-world data. The data represents driving claims made between 2005 and 2012 by employees of a large UK company, with a fleet of approximately 35,000 vehicles. The drivers were employed in a variety of roles such as working in technical positions at customer sites or making sales visits. The company has applied a range of strategies to road safety resulting in annual claim reductions of 7.7% compared to only a 4.5% reduction in collisions nationally. The company s data are used to undertake three studies which focused on driver training, manager training and claim segmentation. Statistical models were employed to investigate the effect of two different driver training courses on the frequency of claims while controlling for other factors. The results indicated that driver training courses significantly reduced both the total number of claims and the claim types targeted by the training. The impacts of the interventions were also adjusted for the effects of non-random driver selection and other safety improvements initiated by the company or other agencies. An important finding of this work was that randomly inflated pre-training events accounted for between a third and a quarter of the observed reduction in claims following training. The second study evaluated the impact of management training on claims using multilevel models which allowed for correlation between observations. The study could not confirm that this training was an effective safety intervention. This null result provides an incentive to re-evaluate the implementation of the scheme. The final study identified homogeneous claim segments using statistical models and the impact of training was evaluated on these segments. Such claims were estimated to be reduced by between 32% to 55% following existing driver training courses. This thesis has helped close important gaps and contributed to knowledge in terms of both intervention methodology and the understanding of the effectiveness of work-related road safety interventions. The results, which are already being applied in the case study organisation, demonstrated that training employees in either safe and fuel efficient driving, or low speed manoeuvring, reduced vehicle insurance claims. Further work is necessary to verify the safety value of manager training including gathering detailed information on interactions between managers and drivers.

Gráficos de controle têm sido amplamente utilizados na manufatura para melhoria de processos. Diversas abordagens tem sido propostas para melhorar o desempenho dos gráficos existentes na literatura. Além disso, o uso de gráficos de controle tem se estendido para outras áreas, tais como, economia, finanças, medicina, etc. O objetivo deste trabalho é comparar o gráfico CUSUM com o gráfico EWMA para monitoramento do número diário de internações hospitalares. Para tanto, utilizou-se uma série histórica de internações devido a doenças respiratórias para a população acima de 65 anos. Um modelo linear foi ajustado considerando que o número de internações segue uma distribuição Binomial Negativa. São simulados diversos cenários de mudança no número médio de internações e utilizando diferentes estatísticas baseadas em transformações, é feita uma comparação entre estes gráficos. Verifica-se que o gráfico EWMA com limite de controle assintótico possui desempenho muito similar ao gráfico CUSUM. Já o EWMA implementado com limite de controle exato apresenta melhor desempenho em relação ao gráfico CUSUM quando se atribui pesos menores aos dados atuais. / Control charts have been widely used for process improvement in manufacturing. In literature several approaches have been proposed to improve the current charts performance. In addition, the use of control charts has been extended to other areas such as economics, finance, medicine, and others. The objective of this study is to compare CUSUM control chart with EWMA control chart for monitoring daily number of hospital admissions. Using a historical hospitalizations series due to respiratory diseases for people over 65 years old, a Negative Binomial regression model is fitted. Several scenarios are simulated using different shifts in the mean and using different statistics based on transformations, in order to compare these charts. It is shown that EWMA control chart with asymptotic control limit has similar performance as CUSUM control chart. However, using smaller values for new observations the EWMA control chart with exact control limit has better performance than CUSUM control chart.

Darbe nagrinėjami barjero pasirinkimo sandorių įkainojimo metodai. Barjero pasirinkimo sandorių išmokos sutampa su įprastinių pasirinkimo sandorių išmokomis, jei išpildoma papildoma barjero sąlyga, kurią reikia įvertinti. Įkainojimui naudojami diskretieji modeliai: binominis ir trinominis, tiriama jų konvergavimas į klasikinę Black-Scholes formulę. Dėl modelio diskretumo ir barjero sąlygos konvergavimas tam tikrais atvejais yra lėtas ir nemonotoniškas. Todėl siūloma pritaikyti adaptyviojo tinklelio algoritmą, smulkinant trinominio medžio tinklelį kritinėse srityse. Šiame darbe pateikiami rezultatai, gauti palyginus barjero pasirinkimo sandorio įkainojimo modelius. / In this paper we consider barrier options pricing models. Barrier options are standard call or put options except that they disappear or appear if the asset price crosses a predeterminant set of fixing dates. Barrier options are priced using continuous state Black-Scholes model and numerical approximation techniques, such as binomial and trinomial. Because of the the barrier condition and discreteness of these models the convergence to Black-Scholes model sometimes is slow. It is offered to apply adaptive mesh model grafting small sections of fine high-resolution lattice onto a tree in trinomial model. In this work we present the comparison of the models with some numerical results for barrier options.