鑒於近年全球海外可轉換公司債發行檔數大增，然而以此商品為研究主題的文獻並不多，於是決定以此為研究目標。 　　影響海外可轉換公司債的價格因素包括股票價格、匯率、國內利率、國外利率和發行公司的違約機率，因此可買回、可賣回海外可轉換公司債是一個複雜的商品，而評價也較為困難。本文採用三維度二項樹和最小平方蒙地卡羅法建立評價海外可轉債的數值模型。為了更貼近真實世界，本文考量各變數間相關性和動態信用風險；另外，為了使評價更為精準，於股價過程中加入跳躍過程。 　　本文將模型運用至兩檔台灣公司所發行的海外可轉債，發現理論價格傾向於高估，但是理論價格與市價極為接近，尤其當以最小平方蒙地卡羅法評價時。另外本文也針對發行條件和模型中各個變數作敏感度分析，其中重要的是發現股票波動度、股票與匯率間相關係數在海外可轉債評價中扮演重要的角色。 / The number of Euro-convertible bonds issued has highly increased in the early 2010s. However, the related literature is barely found. This paper studies the pricing models of this investment product. Euro-convertible bonds are complex instruments affected by the credit risk of the issuers, the dynamic process of stock prices, the term structure of the interest rate and the movement of the exchange rate in the same time. Accordingly, building the ECB pricing model is a hard work. This paper presents a model considering the dynamic credit risk and jump in stock price process to make valuation more precise. Another advantage of models in this paper is use of stochastic interest rates for both local and foreign so as to make the model more staying with the real world. The other advantage is taking the correlation between each random variables into account. For pricing the Euro-convertible bonds, the numerical methodologies used in this paper are three-dimension binomial tree and least squares Monte Carlo approach. For purpose of assessing the performance of the model, two Euro-convertible bonds issued by Taiwan companies are chosen as samples and the difference between the theoretical price and market price during its issue period are provided. The results demonstrate that in spite of pretty slight overestimation, the least squares Monte Carlo simulation does a better job. In addition, this paper performs several kinds of sensitivity analysis to have in-depth understanding about the models. The consequence shows that the volatility of a stock return and the correlation between stock and exchange rate play a central role in ECB valuations.

本篇論文主要討論在死亡率改善不確定性之下的避險策略。當保險公司負債面的人壽保單是比年金商品來得多的時候，公司會處於死亡率的風險之下。我們假設死亡率和利率都是隨機的情況，部分的死亡率風險可以經由自然避險而消除，而剩下的死亡率風險和利率風險則由零息債券和保單貼現商品來達到最適避險效果。我們考慮mean variance、VaR和CTE當成目標函數時的避險策略，其中在mean variance的最適避險策略可以導出公式解。由數值結果我們可以得知保單貼現的確是死亡率風險的有效避險工具。 / This paper proposes hedging strategies to deal with the uncertainty of mortality improvement. When insurance company has more life insurance contracts than annuities in the liability, it will be under the exposure of mortality risk. We assume both mortality and interest rate risk are stochastic. Part of mortality risk is eliminated by natural hedging and the remaining mortality risk and interest rate risk will be optimally hedged by zero coupon bond and life settlement contract. We consider the hedging strategies with objective functions of mean variance, value at risk and conditional tail expectation. The closed-form optimal hedging formula for mean variance assumption is derived, and the numerical result show the life settlement is indeed a effective hedging instrument against mortality risk.

Submitted by SBI Biblioteca Digital (sbi.bibliotecadigital@puc-campinas.edu.br) on 2018-05-04T14:27:54Z No. of bitstreams: 1 RODRIGO MASELLI THOM? GARCIA.pdf: 1139747 bytes, checksum: 918a44a313fb8cf1d56fef9b097af761 (MD5) / Made available in DSpace on 2018-05-04T14:27:54Z (GMT). No. of bitstreams: 1 RODRIGO MASELLI THOM? GARCIA.pdf: 1139747 bytes, checksum: 918a44a313fb8cf1d56fef9b097af761 (MD5) Previous issue date: 2018-02-28 / Introduction: Acute Scrotum Syndrome is a medical emergency. Some children and adolescents cannot be cared for by a specialist or accustomed to this pathological condition of the acute scrotum, especially torsion of the spermatic cord, also called testicular torsion. Delays in care, misinformation by patients, family members or healthcare professionals can cause irreversible damage to the patient. Objective: to correlate factors that delayed the diagnosis and treatment of acute scrotal syndrome with loss of testis. Method: The charts of 127 patients from March 2007 to May 2017 were analyzed in the Patient Record Services of Hospital e Maternidade Celso Pierro. Patients who underwent surgery are included in the study (n = 71). Patients with incomplete records, age greater than 18 years or who did not undergo surgical treatment were not included in the study (n = 56). Exploratory data analysis was performed through descriptive measures (mean, standard deviation, minimum, median, maximum, frequency and percentage). Orchiectomy and orchidopexy groups were compared using the Mann-Whitney test (age, distance from the house to the hospital, time of symptoms and time in the Hospital e Maternidade Celso Pierro) or Qui-Square (race, agreement, side affected and pr?-hospital care). Factors related to orchiectomy were assessed through Logistic Regression. In the multiple analysis, the variable selection criterion used was stepwise. The level of significance was 5%. Results: Among the 71 patients diagnosed with Acute Scrotum Syndrome undergoing surgery, 22 (31%) were between 0 and 12 years of age and 49 (69%) were older than 12 years. It was evidenced that there is significant difference between the groups for the variables that measure time. The time of symptoms and time of Hospital e Maternidade Celso Pierro is greater for the orchidectomy group. For the other variables, no significant differences were found between groups. The group of patients most submitted to orchiectomy are non-white patients, with no private medical insurance, right testicle affected and without pr?- hospital care. On the other hand, the group of patients most submitted to orchidopexy are the whites, also without private medical care or pre-hospital care and the affected left testicle. The 1 hour increase in symptom time increases the chance of orchiectomy by 4%. The 1 hour increase in Hospital e Maternidade Celso Pierro increases the chance of orchiectomy by 0.2%. Conclusion: Elapsed time of symptoms remains the main factor associated with loss of the testis in Acute Scrotum Syndrome and torsion of the spermatic cord. Even without data with statistical significance, we can also conclude that this study showed that patients with more than 12 years of age, not white, with right side affected, without private medical care and pr?-hospital care are the most submitted to orchiectomy. / Introdu??o: a S?ndrome do Escroto Agudo configura uma emerg?ncia m?dica. Algumas crian?as e adolescentes n?o conseguem ser atendidas por um profissional especializado ou habituado nessa condi??o patol?gica do escroto agudo em especial a Tor??o do Cord?o Esperm?tico, muito chamada tamb?m de tor??o testicular. A demora no atendimento e tratamento desses pacientes, desinforma??o dos pr?prios pacientes, familiares ou profissionais da ?rea da sa?de podem causar danos irrevers?veis ao test?culo. Objetivo: correlacionar fatores que atrasaram o diagn?stico e tratamento da s?ndrome do escroto agudo com a perda do test?culo. M?todo: os prontu?rios de 127 pacientes desde mar?o de 2007 a maio de 2017 foram analisados nos Servi?os de Prontu?rio de Pacientes do Hospital e Maternidade Celso Pierro. Os pacientes que foram submetidos ? cirurgia est?o inclusos no estudo (n=71). Pacientes com prontu?rios incompletos, idade maior que 18 anos ou que n?o foram submetidos ao tratamento cir?rgico n?o foram inclu?dos no estudo (n=56). Foi realizada an?lise explorat?ria de dados atrav?s de medidas descritivas (m?dia, desvio padr?o, m?nimo, mediana, m?ximo, frequ?ncia e porcentagem). Os grupos de orquiectomia e orquidopexia foram comparados atrav?s do teste de MannWhitney (idade, dist?ncia da casa at? o hospital, tempo de sintomas e tempo no Hospital e Maternidade Celso Pierro) ou Qui-Quadrado (etnia, conv?nio, lado acometido e atendimento pr?-hospitalar). Os fatores relacionados ? orquiectomia foram avaliados atrav?s de Regress?o Log?stica. Na an?lise m?ltipla o crit?rio de sele??o de vari?veis usado foi o stepwise. O n?vel de signific?ncia adotado foi de 5%. Resultados: Entre os 71 pacientes avaliados com o diagn?stico de S?ndrome do Escroto Agudo submetidos ? cirurgia, 22 deles (31%) tem idades entre 0 e 12 anos e 49 (69%) tem idades maior que 12 anos. Evidenciou-se que existe diferen?a significativa entre os grupos para as vari?veis que medem tempo. O tempo de sintomas e tempo de Hospital e Maternidade Celso Pierro ? maior para o grupo de orquiectomia. Para as demais vari?veis n?o foram encontradas diferen?as significativas entre os grupos. O grupo de pacientes mais submetidos ? orquiectomia s?o os n?o brancos, sem conv?nio m?dico particular, test?culo direito acometido e sem atendimento pr?-hospitalar. J? o grupo de pacientes mais submetidos ? orquidopexia s?o os brancos, tamb?m sem conv?nio m?dico particular ou atendimento pr?-hospitalar e test?culo esquerdo acometido. O aumento em uma hora no tempo de sintomas aumenta a chance de orquiectomia em 4%. O aumento em 1 hora no tempo de Hospital e Maternidade Celso Pierro aumenta a chance de orquiectomia em 0,2%. Conclus?o: o tempo decorrido de sintomas ainda permanece o principal fator associado ? perda do test?culo na S?ndrome do Escroto Agudo e Tor??o do Cord?o Esperm?tico. Mesmo sem dados com signific?ncia estat?stica, podemos concluir tamb?m que esse estudo mostrou que os pacientes com mais de 12 anos, n?o branco, com lado direito acometido, sem conv?nio m?dico particular e atendimento pr?-hospitalar s?o os mais submetidos ? orquiectomia.

對於資金的大量需求是汽車行業維持生產和銷售的主要特徵；運用消費金融業務擴大汽車廠家的產銷規模，成為了汽車消費財務服務產生的基礎。 最早的汽車消費財務服務業務，起源於1907年的美國，伴隨著汽車在美國、德國、日本等汽車行業發達國家的普及，汽車消費財務服務的業務規模也急劇擴大。在汽車消費財務服務的沿革過程中,汽車製造廠商藉助自身獨有的專業化和規模化優勢, 投資了汽車財務服務公司，逐漸成為國際汽車消費財務服務的經營主體。 汽車消費信貸 (Hire Purchase) 和汽車融資租賃 (Operating Lease) 是汽車財務服務的主要業務型式。隨著消費觀念的改變，汽車財務服務的業務重心也漸漸從消費信貸移轉到融資租賃。 融資租賃是將傳統的租賃提升到貿易與金融相結合的方式，透過「融物形式」達到「融資目的」的一種交易方式。融資租賃逐漸成為現代企業設備融資的重要形式之一，甚至在面對金融海嘯的衝擊時，扮演「拉動內需導航儀」的角色，對現代經濟的影響越來越大。 本文以多國籍企業的國際型車廠角度，闡釋消費財務服務的業務以及功能，並進一步分析汽車財務服務公司的快速發展現狀，以及多元化和產業化的發展趨勢。在內容的編寫上，先針對過去臺灣地區，對於提高汽車產業競爭力之歷史做回顧，並說明目前臺灣地區，汽車產業的現狀與優勢，再以企業五力分析，研究政策制定與產業趨勢的關係，並強調政策推動之方向與管理資訊的內容及其重要性。 最後，本文結合了不同發展階段和時期的國內經濟和汽車產業的發展特徵,剖析了當前限制汽車消費財務服務進一步發展原因，提出了推動汽車消費財務服務在我國發展繁榮的條件和建議。 / Capital intensive is the key character of vehicle industry in its production and sales cycle. Employ consumer finance to expand sales and manufacture scale is the strategic intent among vehicle industry which paved the way to flourish the Vehicle Financial Services (VFS) Business. VFS Business was originally from America in 1907. Like emergent market, VFS extends the business along with the vehicle universalism in USA, Germany, Japan and even other developed countries. Through the pipeline control, the Vehicle Manufactures fully take the advantage from their core competence, get involved into Financial Services business and then earn the operating ownership accordingly. Hire Purchase (HP) and Operating Lease (OL) both are the major business models for VFS. Time is changed. The business was mainly focus on HP, but shift to OL followed by the Consumption Concept changed. OL is a kind of transaction which develops the traditional leasing into trading and financing, by pass the purely money financing. OL is currently playing the key role for cooperate equipment leasing. Further more, OL was also the key driver to pull the domestic demand, great help to Economy Status. This article is trying to illustrate the consumer financial services and features from Multinational Vehicle Manufacture point of view. Meanwhile, it also further analyzes the strong growth on VFS business as well as diversification and industrialization trends. Structure wise, we started out the historical review for improving competitiveness on Taiwan market, got on the current SWOT, and then turned point to Porter's 5 Forces Analysis. We went through all the way from “country policy development linked with vehicle industry trends” to stress “the importance on cooperate policy and information management”. Eventually, this article lists down the market development from different stages, profiles the domestic economy together with industry characteristic, dissects the obstructions on VFS from further development, ends up with movement proposal.

Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. However, it has been shown that such an assumption of constant volatility is not realistic, and numerous extensions have been developed. In addition, models usually do not have a closed-form solution which makes pricing a challenging task. The thesis focuses on pricing Bermudan options under two stochastic volatility Heston-type models using an Almost-Exact scheme for simulation. Namely, we focus on deriving the Almost-Exact scheme for Heston and Double Heston model and numerically study the behaviour of the scheme. We show that the AES works well when the number of simulated steps is equal to the number of exercise dates which makes it efficient.

Made available in DSpace on 2014-12-17T15:28:53Z (GMT). No. of bitstreams: 1 AndersonBS_DISSERT.pdf: 4240084 bytes, checksum: 0331343a1aab5e54d0d9cb6baeccb72d (MD5) Previous issue date: 2013-12-13 / Epilepsies are neurological disorders characterized by recurrent and spontaneous seizures due to an abnormal electric activity in a brain network. The mesial temporal lobe epilepsy (MTLE) is the most prevalent type of epilepsy in adulthood, and it occurs frequently in association with hippocampal sclerosis. Unfortunately, not all patients benefit from pharmacological treatment (drug-resistant patients), and therefore become candidates for surgery, a procedure of high complexity and cost. Nowadays, the most common surgery is the anterior temporal lobectomy with selective amygdalohippocampectomy, a procedure standardized by anatomical markers. However, part of patients still present seizure after the procedure. Then, to increase the efficiency of this kind of procedure, it is fundamental to know the epileptic human brain in order to create new tools for auxiliary an individualized surgery procedure. The aim of this work was to identify and quantify the occurrence of epilepticform activity -such as interictal spikes (IS) and high frequency oscillations (HFO) - in electrocorticographic (ECoG) signals acutely recorded during the surgery procedure in drug-resistant patients with MTLE. The ECoG recording (32 channels at sample rate of 1 kHz) was performed in the surface of temporal lobe in three moments: without any cortical resection, after anterior temporal lobectomy and after amygdalohippocampectomy (mean duration of each record: 10 min; N = 17 patients; ethic approval #1038/03 in Research Ethic Committee of Federal University of S?o Paulo). The occurrence of IS and HFO was quantified automatically by MATLAB routines and validated manually. The events rate (number of events/channels) in each recording time was correlated with seizure control outcome. In 8 hours and 40 minutes of record, we identified 36,858 IS and 1.756 HFO. We observed that seizure-free outcome patients had more HFO rate before the resection than non-seizure free, however do not differentiate in relation of frequency, morphology and distribution of IS. The HFO rate in the first record was better than IS rate on prediction of seizure-free patients (IS: AUC = 57%, Sens = 70%, Spec = 71% vs HFO: AUC = 77%, Sens = 100%, Spec = 70%). We observed the same for the difference of the rate of pre and post-resection (IS: AUC = 54%, Sens = 60%, Spec = 71%; vs HFO: AUC = 84%, Sens = 100%, Spec = 80%). In this case, the algorithm identifies all seizure-free patients (N = 7) with two false positives. To conclude, we observed that the IS and HFO can be found in intra-operative ECoG record, despite the anesthesia and the short time of record. The possibility to classify the patients before any cortical resection suggest that ECoG can be important to decide the use of adjuvant pharmacological treatment or to change for tailored resection procedure. The mechanism responsible for this effect is still unknown, thus more studies are necessary to clarify the processes related to it / As epilepsias s?o dist?rbios neurol?gicos caracterizados por crises espont?neas e recorrentes, resultantes de uma atividade el?trica anormal de uma rede neural. Dentre os diferentes tipos de epilepsia, a epilepsia mesial do lobo temporal (EMLT) ? a mais observada em adultos, sendo frequentemente associada ? esclerose hipocampal. Infelizmente, nem todos os pacientes s?o beneficiados pelo tratamento farmacol?gico (pacientes f?rmaco-resistentes). Para estes sujeitos, uma alternativa ? a realiza??o de cirurgia, um procedimento de alta complexidade e elevado custo. Atualmente, o procedimento mais realizado ? a lobectomia temporal anterior com amigdalo-hipocampectomia seletiva, uma cirurgia padronizada por marcos anat?micos. Entretanto, uma parcela dos pacientes continua a apresentar crises incapacitantes ap?s o tratamento cir?rgico. Desta forma, para aumentar a efici?ncia deste tipo de tratamento, ? fundamental a compreens?o do enc?falo humano epil?ptico com vistas a se criar ferramentas que auxiliem na realiza??o de procedimentos individualizados. O objetivo do presente trabalho foi identificar e quantificar a ocorr?ncia de atividade epileptiforme - esp?culas interictais (EI) e oscila??es de alta frequ?ncia (OAF) - em registros eletrocorticogr?ficos (ECoG) realizados durante procedimento cir?rgico em pacientes com EMLT refrat?ria ao tratamento farmacol?gico. Registros ECoG (32 canais a uma taxa de amostragem de 1 kHz) foram realizados na superf?cie do lobo temporal em 3 momentos cir?rgicos: no c?rtex intacto, ap?s lobectomia temporal anterior e ap?s amigdalo-hipocampectomia (dura??o m?dia de cada um desses registros: 10 min; N=17 pacientes). A ocorr?ncia de EI e OAF foi quantificada automatica-mente, por meio de rotinas em MATLAB, e validadas manualmente. A taxa de ocorr?ncia em cada um dos tempos cir?rgicos foi correlacionada com o resultado cir?rgico quanto ao controle das crises, num seguimento de 2 anos. De um total de 8 h e 40 min de registro, identificamos 36.858 EI e 1.756 OAF. Observamos que os pacientes que ficaram livres de crises no p?s-operat?rio apresentaram maior quanti-dade de OAF antes da cirurgia do que aqueles que continuaram a ter crises; por?m, n?o diferiram quanto a frequ?ncia, morfologia e distribui??o de EI. A ocorr?ncia de OAF no registro basal apresentou melhor desempenho que as EI na previs?o do controle total das crises no p?s-operat?rio (EI: AUC = 57%, S = 71% , E = 70% vs OAF: AUC = 77%, S = 100%, E=70%). O mesmo foi observado com a varia??o da ocorr?ncia entre os momentos pr?- e p?s-ressec??o (EI: AUC = 54%, S = 71%, E = 60% vs OAF: AUC = 84%, S = 100%, E = 80%). Nesse caso, o classificador foi capaz de identificar todos os pacientes livres de crises (N = 7) , apresentando apenas dois falsos positivos. Desta forma, podemos concluir que as OAF, juntamente com as EI, podem ser encontradas no registro ECoG intra-operat?rio, mesmo na presen?a de anest?sicos e em uma curta sess?o de registro. Al?m disso, a observa??o de que a ocorr?ncia desses eventos no in?cio da cirurgia permite classificar o paciente quanto ao progn?stico cir?rgico abre caminho para aplicar o ECoG intra-operat?rio, por exemplo, na decis?o sobre o uso de tratamento farmacol?gico adjuvante ou da convers?o para ressec??es individualizadas. No entanto, o mecanismo respons?vel por esse efeito ainda ? desconhecido, logo novos estudos s?o necess?rios para melhor esclarec?-lo