Ce projet consiste à fabriquer et à étudier des micelles à la fois biocompatibles et capables de relarguer des molécules volatiles bioactives à partir d’une solution aqueuse sous l’influence de stimuli extérieurs tel que le pH, la température ou la concentration. Pour atteindre ce but, nous avons étudiés un nouveau type d’objets micellaires qui sont formés par l’auto-assemblage d’amphiphiles covalents dynamiques (DCAs), des surfactants peu onéreux formés de l’association moléculaire réversible d’un bloc hydrophile et d’un bloc hydrophobe. Ces systèmes peuvent relarger une large gamme de fragrances à partir d’une solution, que cela soit à partir du coeur hydrophobe de la micelle ou alors à partir de l’amphiphile (profragrance). Ils ont aussi été capables de stabiliser en solution des aldéhydes sensibles à l’hydrolyse. / This project relies on the simple design and the study of biocompatible responsive micelles, capable of releasing a hydrophobic bioactive volatile from an aqueous solution and that, depending on the modulation of external factors such as pH, temperature, and concentration. To reach this goal, we have taken advantages of a new kind of micellar objects that are formed by the efficient self-assembly of biodegradable Dynamic Covalent Amphiphiles (DCAs), low cost surfactants that are made by the reversible molecular association of one hydrophilic and one hydrophobic block. These systems can release a broad variety of fragrances from solution, both from the hydrophobic micellar core or directly from the amphiphile (profragrance). It also proved able to stabilise some sensitive aldehydes in solution.

This thesis is mainly focused on pricing securities of selected capital protected funds. In its theoretical part, there are summarized approaches and principals that are generally used for derivatives pricing because capital protected funds' securities contain embedded options. Emphasis is put on risk-neutral pricing using Monte Carlo simulation at that point because complicated pay-off functions of these funds are hard to be evaluated analytically. There are also presented main approaches to constructions and portfolio management of these funds from their portfolio manager's viewpoint. Finally, there is made an overview of basic types of capital protected funds issued both in The Czech republic and Europe. Analytical part is focused on evaluation of selected capital protected funds. There is applied a standard approach that is based on a simulation of Geometric Brownian Motion with constant conditional variance and correlation in contrast with an advanced approach where the conditional variance and conditional correlation matrix are simulated as well. That is accomplished with GARCH-in-mean and DCC-GARCH models. Estimated prices are compared with real market prices and there is also performance of the standard models compared with performance of advanced ones.

Modelleisenbahnen können Kinderspielzeug oder anspruchsvolles Hobby sein. Heute fahren viele Bahnen digital und werden mittels Digital Command Control (DCC) gesteuert. Im Vortrag sollen die Grundlagen des Protokolls erläutert und die Grundfunktionen mittels des Decoder Programmers SPROG II unter Linux ausprobiert werden.

ESG investing has been a hot topic during several years and there have been numerousstudies examining the relationship between sustainable assets and non-sustainable assetsincluding green bonds, social bonds, environmental bonds, ESG-bonds and ESG indices;conventional bonds, S&P 500, common stocks and non-ESG indices. During negative marketshocks several ESG stocks and indices have been shown to outperform common stocks andindices. Green bonds demonstrated an asymmetric relationship to other assets providinginvestors with an opportunity for diversification. We’ve looked at the relationship andperformance of sustainable assets and non-sustainable assets by using Markowitz portfoliometrics and Engle Rs’ DCC-GARCH. Our findings propose green bonds and treasuries toprovide hedging and diversification opportunities during crises but demonstrate sustainablefixed income assets to underperform non-sustainable fixed income assets during the COVID19 market shock as opposed to previous studies.

The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. Daily data on the FTSE30 index of Sweden and its sector indices have been studied between the years 1994 and 2017. A DCC-GARCH (1,1) and GO-GARCH (1,1) model with one autoregressive term AR(1) using multivariate Student t- and Multivariate Affine Negative Inverse Gaussian distribution were used to estimate conditional correlations. Correlations between Swedish FTSE30, its sector indices and commodities are considerably lower than previous research has found American or emerging markets correlation with commodities to be. This suggests better diversification opportunities with commodities for the Swedish market. Optimal hedge ratios (OHR) was calculated and back tested using a rolling window analysis with 1000 days forecast length and 20 days re-estimation window and evaluated using a calculated hedge effectiveness index (HE). Determined by HE, copper is the best hedge for the Swedish composite FTSE30 and sector indices using conditional correlation from the GO-GARCH during the data period. Gold is considered as a semi-strong safe haven due to its negative correlation with all sectors. Additionally, this study identifies a temporarily large increase in the correlation between the Swedish equities sectors and composite index with commodities around the years 2015/2016. This study also emphasizes the difference between stressful and calm periods in the market.

L’exécution d’un mouvement purement unilatéral nécessite le recrutement d’un vaste réseau de régions corticales et sous-corticales, qu’il est possible de regrouper sous le terme de réseau de transformation non-miroir. Ce réseau doit contrer la tendance naturelle du cerveau à exécuter des mouvements de manière bilatérale et synchronisée, en miroir. Malgré l’efficacité de ce réseau, une activité miroir subtile est observée au niveau de la main qui doit demeurer inactive lors de mouvements unilatéraux chez l'humain en santé. Ce débordement moteur doit être inhibé grâce aux interactions interhémisphériques transitant par le corps calleux (CC), la plus grande commissure du cerveau servant de pont entre les hémisphères. Ainsi, la commande motrice peut être acheminée efficacement du cortex moteur primaire (M1) controlatéral à la main devant exécuter une l’action par l’entremise de la voie corticospianle (VCS). En plus du CC, le cortex prémoteur (CPM) joue un rôle important dans ce réseau puisque son interférence via la stimulation magnétique transcrânienne (SMT) entraîne une augmentation de l’activité miroir dans la main devant normalement demeurer inactive lors d’un mouvement unilatéral. Ainsi, toute modification dans ce réseau ou dans les processus interhémisphériques peut provoquer l’augmentation des mouvements miroirs (MM). À ce jour, aucune étude n’a tenté de moduler ces interactions pour réduire la présence de MM. Ainsi, les études cliniques et méthodologiques qui composent la présente thèse comportent deux objectifs principaux : (1) déterminer si la stimulation électrique transcrânienne à courant direct (SÉTcd) permet l'étude du réseau de transformation non-miroir, et si cette technique est en mesure de diminuer l’intensité des MM chez des individus en santé; (2) caractériser l'anatomie et le fonctionnement du cerveau dans deux populations d’individus porteurs de mutations génétiques affectant le développement de structures impliquées dans la latéralisation du mouvement, le CC et la VCS. L’article 1 décrit les assisses théoriques de la présente thèse grâce à une revue de la littérature portant sur les interactions interhémisphériques dans le mouvement unilatéral. L’article 2 suggère que la SÉTcd est un outil efficace dans l'étude du réseau de transformation non-miroir puisque le protocole de stimulation bilatérale a permis d’augmenter la présence et l’intensité des MM physiologiques (MMp) chez des individus en santé. Cependant, il n’a pas été possible de moduler à la baisse les MMp malgré différents protocoles de stimulation. Dans l’article 3, l'étude d’individus nés sans CC a mis en lumière une augmentation de l’épaisseur corticale au niveau des aires somatosensorielles (S1) et visuelles (V1) primaires, de même qu’au niveau de la représentation de la main dans M1. Ces différences demeurent toutefois légères considérant l’importance du CC. L’article 4 a démontré que les individus porteurs d’une mutation sur le gène DCC présentent un phénotype similaire à celui de porteurs d'une mutation sur le gène RAD51. Ces mutations affectent la migration de la VCS au niveau des pyramides. La VCS projette ainsi aux deux mains, causant des mouvements miroirs congénitaux (MMC). Cette pathologie est également accompagnée d’anomalies neurophysiologiques, telle qu’une inhibition interhémisphérique (IIH) réduite. En somme, les études composant cette thèse ont permis d’approfondir notre connaissance de certaines structures responsables de la latéralisation adéquate du mouvement, tout en décrivant de nouvelles méthodes pour en étudier le fonctionnement. / The execution of purely unilateral hand movements requires the recruitment of vast cortical and subcortical brain areas known as the non-mirroring network. This network counteracts the natural tendency of the brain, which tends to execute movements in a bilateral and synchronized manner. Despite the efficacy of the non-mirroring network in restricting motor output to contralateral limbs, subtle mirroring can be observed in the inactive hand of healthy individuals when performing a unilateral task. This motor overflow needs to be inhibited through interhemispheric projections coursing through the corpus callosum (CC), the biggest white matter tract of the brain. This mechanism makes it possible for motor commands originating from the primary motor cortex (M1) to reach the contralateral hand performing an action via the corticospinal tract (CST). It has been suggested that the premotor cortex (PMC) is an important component of the non-mirroring network since its interference with transcranial magnetic stimulation (TMS) enhances mirror activity in the inactive, mirror hand when a unilateral hand movement is performed. Indeed, modulation of parts of the non-mirroring network and interhemispheric projections can result in enhanced mirror movements (MM). It is not known whether specific interventions can decrease MM. The clinical and methodological studies that compose the present thesis have two main objectives: (1) Determine whether transcranial direct-current stimulation (tDCS) can be used to assess non-mirroring network function and reduce MM intensity in healthy individuals; (2) Characterize brain function and anatomy in two clinical populations presenting specific genetic mutations that affect the development of structures involved in the lateralization of movement (the CC and CST). Article 1 provides a theoretical basis for the present essay through a review of the literature pertaining to interhemispheric interactions in the production of unilateral movements. Article 2 shows that tDCS can be used to study the non-mirroring network since a bilateral stimulation protocol significantly increased the intensity of physiological MM (pMM) in healthy individuals. However, despite different stimulation protocols, it was not possible to reduce pMM. In article 3, anatomical MRIs performed in individuals born without a CC revealed increases in cortical thickness in primary somatosensory (S1) and visual (V1) cortex, as well as in the hand representation of M1. Taken together, however, the data suggest that anatomical differences between acallosal patients and healthy participants are relatively subtle considering the size and function of the CC. Article 4 showed that individuals presenting a mutation on the DCC gene display a phenotype similar to that of individuals presenting a mutation on the RAD51 gene. DCC mutations affect the crossing of the CST at the pyramidal level, resulting in a CST that projects to both hands simultaneously, causing congenital mirror movements (CMM). This pathological condition is accompanied by neurophysiological anomalies that include reduced interhemispheric inhibition (IHI). In summary, the studies comprised in the present thesis significantly increase our knowledge of the specific brain structures that enable the proper lateralization of movements. It also describes novel methods that can be used to investigate the non-mirroring network.

In this study within quantitative portfolio optimization, stochastic programming is investigated as an investment decision tool. This research takes the direction of scenario based Mean-Absolute Deviation and is compared with the traditional Mean-Variance model and widely used Risk Parity portfolio. Furthermore, this thesis is done in collaboration with the First Swedish National Pension Fund, AP1, and the implemented multi-asset portfolios are thus tailored to match their investment style. The models are evaluated on two different fund management levels, in order to study if the portfolio performance benefits from a more restricted feasible domain. This research concludes that stochastic programming over the investigated time period is inferior to Risk Parity, but outperforms the Mean-Variance Model. The biggest aw of the model is its poor performance during periods of market stress. However, the model showed superior results during normal market conditions. / I denna studie inom kvantitativ portföljoptimering undersöks stokastisk programmering som ett investeringsbeslutsverktyg. Denna studie tar riktningen för scenariobaserad Mean-Absolute Deviation och jämförs med den traditionella Mean-Variance-modellen samt den utbrett använda Risk Parity-portföljen. Avhandlingen görs i samarbete med Första AP-fonden, och de implementerade portföljerna, med era tillgångsslag, är därför skräddarsydda för att matcha deras investeringsstil. Modellerna utvärderas på två olika fondhanteringsnivåer för att studera om portföljens prestanda drar nytta av en mer restrektiv optimeringsmodell. Den här undersökningen visar att stokastisk programmering under undersökta tidsperioder presterar något sämre än Risk Parity, men överträffar Mean-Variance. Modellens största brist är dess prestanda under perioder av marknadsstress. Modellen visade dock något bättre resultat under normala marknadsförhållanden.

摘要 2007年初美國發生次級房貸大量違約, 陸續有銀行倒閉, 進而撼 動整個美國與歐洲股市。一向與美國有密切貿易關係的台灣,在此事 件中到底受到多大的影響? 本文利用DCC模型探討次貸風暴前後,台 美股價間的關係是否有發生顯著的變化? 實證結果發現: 台灣與美國 的動態相關係數在次級房貸之後, 反而變小, 可見台灣的股市並未受 到很大的衝擊, 而亞洲地區的大多數國家也都與台灣相似,與美國的 動態相關係數變小,可見亞洲地區在次貸風暴中扮演著避風港的角色。

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This thesis investigates the modelling and forecasting of multivariate volatility and dependence in financial time series. The first paper proposes a new model for forecasting changes in the term structure (TS) of interest rates. Using the level, slope and curvature factors of the dynamic Nelson-Siegel model, we build a time-varying copula model for the factor dynamics allowing for departure from the normality assumption typically adopted in TS models. To induce relative immunity to structural breaks, we model and forecast the factor changes and not the factor levels. Using US Treasury yields for the period 1986:3-2010:12, our in-sample analysis indicates model stability and we show statistically significant gains due to allowing for a time-varying dependence structure which permits joint extreme factor movements. Our out-of-sample analysis indicates the model's superior ability to forecast the conditional mean in terms of root mean square error reductions and directional forecast accuracy. The forecast gains are stronger during the recent financial crisis. We also conduct out-of-sample model evaluation based on conditional density forecasts. The second paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from multivariate GARCH models. We also discuss their covariance targeting specification and provide closed-form formulas for multi-step forecasts. Estimation and inference strategies are outlined. Empirical results suggest that the HEAVY model outperforms the multivariate GARCH model out-of-sample, with the gains being particularly significant at short forecast horizons. Forecast gains are obtained for both forecast variances and correlations. The third paper introduces a new class of multivariate volatility models which is easy to estimate using covariance targeting. The key idea is to rotate the returns and then fit them using a BEKK model for the conditional covariance with the identity matrix as the covariance target. The extension to DCC type models is given, enriching this class. We focus primarily on diagonal BEKK and DCC models, and a related parameterisation which imposes common persistence on all elements of the conditional covariance matrix. Inference for these models is computationally attractive, and the asymptotics is standard. The techniques are illustrated using recent data on the S&P 500 ETF and some DJIA stocks, including comparisons to the related orthogonal GARCH models.