本文建立了當違約機率及回收率為隨機變動，同時信用等級移動有記憶性，且回收率和無風險利率期間結構相關之信用風險價差期間結構模型。並評價信用價差選擇權及有對手違約風險普通選擇權之價值。 此模型產生的信用價差有更多的變化性，將可描述：信用價差的隨機波動行為，且即使信用等級沒變，價差仍可能發生改變；信用價差與無風險利率期間結構有相關性；公司特定或證券特定的價差及其變動行為；處於等級上升或下降趨勢公司債券之殖利率曲線，能更準確配適有風險債券的價格等實際現象。 並可應用至有對手違約風險之商品及多種信用衍生性商品等的評價與避險，且可進行風險管理方面的應用。 關鍵詞：信用風險；信用風險價差；馬可夫模型；信用衍生性商品 / In this thesis we develop a credit migration model with memory for the term structure of credit risk spreads. Our model incorporates stochastic default probability, stochastic recovery rate, and the correlation between the recovery rate and the term structure of risk-free interest rates. We derive valuation formulae for a credit spread option and a plain vanilla option with counterparty risk. This model provides greater variability in credit spreads, and it has properties in line with what have been observed in practice: (1) credit spreads show diffusion-like behavior even though the credit rating of the firm has not changed; (2) the model injects correlation between spreads and the term structure of interest rates; (3) the model enables firm-specific and security-specific variability of spreads to be accommodated; and (4) the model enables us to estimate the yield curves corresponding to the positive and negative trends of credit ratings and match the observed risky bond prices more precisely. This model is useful for pricing and hedging OTC derivatives with counterparty risk, for pricing and hedging credit derivatives, and for risk management. Key Words: Credit Risk, Credit Risk Spread, Markov Model, Credit Derivative.

不純正不作為犯與作為其核心架構的「保證人地位」與刑法作為義務，長久以來是困擾德國與我國刑事法研究的深度議題，並是諸多學界重要見解發揮其精微論理的場域。然而，直至本文撰寫的今日而言，對於不純正不作為犯的研究雖已累積近百年的光陰，卻仍然難以跳脫循環論證、缺乏法理基礎的懷疑。 本文立基於我國與德國學說見解長久以來的偉大基礎，先行確認至今為止的所有議題討論都無法達到成功解決問題的高度後，嘗試以最直接的方式給予不純正不作為犯的刑法作為義務最為實際、具有共識的法理基礎，並借用於刑事法較少受到討論的「法律經濟分析」，將刑法作為義務作為一種社會制度的經濟特徵逐一抽出，並建構適合該種制度創造與存在的社會模型，最終就不純正不作為犯的刑法作為義務為何存在、如何存在得出基本假設，並就該種制度給予特定人民積極保護法益的義務，提出具有實際意義、成本合理分配的假設。 為檢驗本文透過個人與社會實際需求所進行之假設是否符合現代社會之實際需求，本文假設刑事法學界所承認之刑法作為義務與保證人地位，若多數吸納原屬於其他社會制度之人際關係，則多數刑法作為義務態樣之原型，應全部得透過本文回溯社會群體、個人需求的最初假設，而得出符合本文觀察之解釋。最後，於本文第四章之結論中，確實得出與本文理想圖像相契合之論證結論。申言之，當代諸多被刑法作為義務吸納之保證人地位，多數均存在本文所稱作為義務人得自履行救助義務直接得利之特徵，而使本文第三章所提之觀察與假設，有其實際論證基礎。至於無法透過本文假設所詮釋之保證人地位，如「危險前行為」、「自願承擔義務」，本文亦指出其法理基礎乃源自於第二章已提及不可論證之先驗性思考，而有斟酌其適當性之必要。 / Germany and Taiwan’s criminal law researching have long troubled derivative Omission Offences with its core “Criminal duty of care”. Until today, the study of derivative Omission Offences has been a hundred years, yet it is still difficult to solve the problem of circular argument and lacking of basis. Based on the great foundation of our country and the German doctrine, this paper has confirmed that the all the discussion so far has failed to achieve the goal of solving the problem successfully. This article tries to give the “Criminal duty of care” the most practical and consistent legal basis through the most direct way, by using “Economic Analysis of law” as Legal method. When we regard criminal law as an obligation as a social system, there are several economic features that can be used to answer our questions. Finally, we have the assumption that why Derivative Omission Offences exists and how it works, and this is a hypothesis that is of practical significance and takes into account cost allocation. In order to test whether our hypothesis is consistent with the current situation, this article one by one to dismantle the existing “state of protection”, and confirm that all “state of protection” are in line with our assumptions. In other words, all the obligors who choose through “Criminal duty of care” are to allocate the cost of fulfilling the obligation to protect. As for the “Criminal duty of care” does not meet the assumptions of this hypothesis, such as the creation of dangerous pre-behavior, voluntary commitment, this article also successfully demonstrated why they can not fit, and they are a lack of basic theory.

À la lecture de la Loi sur le droit d'auteur, il n'est pas clair que la mise en scène y soit protégée. C'est pourquoi nous nous questionnons sur la qualification juridique la plus adéquate pour la mise en scène. Le metteur en scène est-il un artiste-interprète ou un auteur? Après avoir étudié les caractéristiques artistiques des mises en scène, par types de productions et à la lumière de facteurs faisant varier la latitude du metteur en scène, nous étudions les différentes possibilités de qualification juridique de la mise en scène. Les possibilités sont vastes, car le metteur en scène évolue dans un cadre comprenant plusieurs intervenants. De plus, la mise en scène rencontre deux obstacles caractéristiques à sa qualification juridique en droit d'auteur: la fixation et l'originalité. Nous en venons à la conclusion que le metteur en scène est un auteur, car chacun des aspects de la mise en scène serait protégeable sous différentes qualifications juridiques. / Stage directions are not c1early protected under the current wording of the Copyright Law. This is why we wonder which legal qualification would be most appropriate. Is the stage director a performer or an author? We study the possibilities of legal qualification for stage direction, according to its artistic characteristics by production types, and considering the different factors which influence the Stage Director's liberty as well. The possibilities are vast since the Stage Director works in collaboration with several other intervening parties. Also, the Stage Director meets two typical obstacles: fixation and originality. We conclude that the Stage Director is an author because each and every aspect of the stage directions are copyrightable, under different legal qualifications.

Le but de cette thèse est l'étude de certains aspects d'un marché financier comportant plusieurs actifs risqués et des options écrites sur ces actifs. Dans un premier essai, nous proposons une expression de la distribution implicite du prix d'un actif sous-jacent en fonction du smile de volatilité associé aux options écrites sur cet actif. L'expression obtenue pour la densité implicite prend la forme d'une densité log-normale plus deux termes d'ajustement. La mise en œuvre de ce résultat est ensuite illustrée à travers deux applications pratiques. Dans le deuxième essai, nous obtenons deux caractérisations de l'absence d'opportunité d'arbitrage en termes de fonctions copules. Chacune de ces caractérisations conduit à une méthode de détection des situations d'arbitrage. La première méthode proposée repose sur une propriété particulière des copules de Bernstein. La seconde méthode est valable dans le cas bivarié et tire profit de résultats sur les bornes de Fréchet-Hoeffding en présence d'information additionnelle sur la dépendance. Les résultats de l'utilisation de ces méthodes sur des données empiriques sont présentés. Enfin, dans le troisième essai, nous proposons une approche pour couvrir avec des options sur spread l'exposition au risque de dépendance d'un portefeuille d'options écrites sur deux actifs. L'approche proposée repose sur l'utilisation de deux modèles paramétriques de dépendance que nous introduisons: les copules Power Frank (PF) et Power Student's t (PST). Le fonctionnement et les résultats de l'approche proposée sont illustrés dans une étude numérique. / This thesis is dedicated to the study of a market with several risky assets and options written on these assets. In a first essay, we express the implied distribution of an underlying asset price as a function of its options implied volatility smile. For the density, the obtained expression has the form of a log-normal density plus two adjustment terms. We then explain how to use these results and develop practical applications. In a first application we value a portfolio of digital options and in another application we fit a parametric distribution. In the second essay, we propose a twofold characterization of the absence of arbitrage opportunity in terms of copula functions. We then propose two detection methods. The first method relies on a particular property of Bernstein copulas. The second method, valid only in the case of a market with two risky assets, is based upon results on improved Fréchet-Hoeffding bounds in presence of additional information about the dependence. We also present results obtained with the proposed methods applied to empirical data. Finally, in the third essay, we develop an approach to hedge, with spread options, an exposure to dependence risk for a portfolio comprising two-asset options. The approach we propose is based on two parametric models of dependence that we introduce. These dependence models are copulas functions named Power Frank (PF) and Power Student's t (PST). The results obtained with the proposed approach are detailed in a numerical study.

In this thesis, we study the existence of pathwise random periodic solutions to both the semilinear stochastic differential equations with linear multiplicative noise and the semilinear stochastic partial differential equations with linear multiplicative noise in a Hilbert space. We identify them as the solutions of coupled forward-backward infinite horizon stochastic integral equations in general cases, and then perform the argument of the relative compactness of Wiener-Sobolev spaces in C([0, T],L2Ω,Rd)) or C([0, T],L2(Ω x O)) and Schauder's fixed point theorem to show the existence of a solution of the coupled stochastic forward-backward infinite horizon integral equations.

The thesis analyses several ways to use financial derivatives in public debt management. It mainly focuses on the manager's motives to use derivatives, associated risks and other fundamental aspects, including the known examples of a questionable use of swaps. In the last chapter the thesis also uses historical data to determine whether the use of derivatives can have a positive effect on the Czech republic's interest expenditures.

Le préjudice de l'actionnaire est un sujet encore peu étudié en France alors qu'il soulève de nombreuses interrogations. A l'inverse de nombre de solutions reçues dans les droits étrangers, le droit français n'admet que peu sa réparation tant il reste lié à la distinction jurisprudentielle fondamentale entre préjudice purement personnel (réparable) et préjudice simple corollaire du préjudice social (non réparable). Pourtant, cette distinction n'est pas des plus satisfaisantes ni sur le plan théorique, ni sur le plan pratique. Elle est en outre remise partiellement en cause dès lors que le préjudice trouve sa source dans une infraction pénale, telle que la communication d'informations mensongères. Par ailleurs, l'internationalisation des mouvements de capitaux soulève de plus en plus fréquemment la question de la loi applicable ou du juge compétent (judiciaire ou arbitral également) relativement aux actions en justice des actionnaires. Cette étude se propose dès lors de fournir une appréciation critique du droit positif afin de tenter l'élaboration d'un droit prospectif. Les solutions existantes peuvent-elles et doivent-elles changer ? Pour adopter quel type de solutions ? / The subject of shareholder damages has seldom been studied in France. Nonetheless, it is a topic of much discussion and debate in legal circles. Unlike under some foreign laws, French law rarely permits the direct compensation of shareholder damages because of the summa divisio between the personal damage (recoverable) and the damage of the company (not recoverable). However, this distinction is not relevant both in terms of theory and practice. More doubt is cast on this distinction where the potential damage arises from an infringement of the penal law, such as the use of false or misleading information to induce shareholder reliance or action. Furthermore, the internationalisation of capital introduces conflicts of law and jurisdictional questions, asking the courts to first determine whether they are the proper authority to hear a shareholder’s case, and which nation’s laws to apply.This study presents a critical analysis of the positive law and proposes avenues of reforming French laws concerning shareholder damages. Should the existing remedies be changed ? Which remedies should be adopted to reverse the strict trends in French law against adequately compensating shareholders’ losses ?

Cette thèse s’intéresse à la gestion du risque climatique par l’utilisation des produits dérivés climatiques. Les travaux réalisés dans le cadre de cette thèse sont une contribution aux aspects statistiques, économétriques et financiers de la modélisation et de l'évaluation des produits dérivés climatiques. Un intérêt particulier a été accordé au contexte marocain aussi bien au niveau du volet qualitatif que quantitatif. En plus des développements théoriques que nous avons apportés (tests statistiques pour vérifier l’impact du climat sur l’économie, amélioration d’un modèle de prévision de la température moyenne quotidienne, confirmation du choix de la température moyenne, au lieu des températures extrêmes, comme sous-jacent pour les contrats basés sur la température, etc.), nous avons proposé des cas de gestion entre opérateurs économiques marocains exerçant des activités sensibles à l’aléa climatique avec des profils de risque différents en leur apportant des solutions de couverture basées sur l’utilisation de produits dérivés climatiques. / This thesis focuses on the weather risk management by using weather derivatives. The work done in this thesis is a contribution to statistics, econometric and financial aspects of the modeling and the evaluation of weather derivatives. Particular attention was paid to the Moroccan context both in a qualitative point of view. In additionto theoretical developments that we have made (statistical tests to verify the impact of weather conditions on the economy, improvement of a model to forecast daily average temperatures, confirming the choice of the average temperature instead of extreme temperatures as the preferred under lying for contracts based on temperature, etc.), we also proposed case studies with Moroccan economic actors carrying out their weather sensitive activities and having different risk profiles and we provide them hedging solutions based on the use of weather derivatives.

Les flavanols et leurs oligomères, les procyanidines, sont des composés phénoliques biosynthétisés dans les baies de raisin, dont ils sont extraits pendant la vinification. Une meilleure compréhension de leur évolution pendant la maturation du raisin, la vinification et le vieillissement du vin est importante du fait de leur responsabilité dans beaucoup des propriétés organoleptiques du vin (couleur, amertume et astringence). Plusieurs procyanidines ont été obtenues par une méthode de synthèse permettant de contrôler aussi bien la régio- et la stéréosélectivité de la liaison interflavane que le degré d’oligomérisation. Cette méthode a pu être élargie à la synthèse de procyanidines galloylées. L’étape de couplage, qui restait l’étape limitante de cette synthèse, a pu être améliorée par l’utilisation de la catalyse à l’or. Ces composés ont ensuite été utilisés comme standards afin de les identifier et les quantifier dans du raisin et des vins par chromatographie liquide haute performance. L’étude des intéractions supramoléculaires des composés galloylés a été évaluée par RMN DOSY. En parallèle de ces études, un nouveau composé indolique, possédant un motif glucose dans sa structure, a été identifié et caractérisé pour la première fois dans les vins rouges. / Flavanols and their oligomers, procyanidins, are phenolics compounds biosynthetized in grapes, from which they are extrated during winemaking As they contribute so much to the organoleptics properties of the wine (color, bitterness and astringency), a better comprehension of their evolution during grapes maturation, winemaking and ageing of the wine is particulary important. Several procyanidines were obtained by a synthesis method which allows to control as well the interflavan regio- and stereoselectivity as the degree of oligomerization. This method was extended to the synthesis of galloylated procyanidins. The stage of coupling, which was a limiting stage of this synthesis, could be improved by the use of gold III catalysis. These compounds were then used as standards in order to identify and quantify them in grapes and wines by high performance liquid chromatography. The supramolecular properties of galloylated procyanidins were investigated by NMR DOSY. In parallel to these studies, a new indolic compound bearing a glucose moiety, has been identified and characterized for the first time in red wine.

Muitas pesquisas tem sido feitas em processamento digital de sinais (PDS) na tentativa de se avaliar o sinal de fala para diagnosticar doenças da laringe. Medidas acústicas têm sido propostas de forma a avaliar indiretamente o trato glotal por meio do sinal de voz coletado através de microfone convencional. Para isso, o modelo paramétrico Liljencrants-Fant (LF) foi desenvolvido para representar o sinal glotal em condições normais e patológicas. Tais parâmetros apresentam vantagens sobre medidas acústicas por possuírem características fisiológicas reais das pregas vocais. Assim, podendo ser empregados para identificação de doenças da laringe. Além da estimação dos parâmetros LF, no domínio do tempo (parâmetros T), a forma de onda da derivativa glotal também pôde ser quantificada através dos parâmetros identificados na literatura por parâmetros R (Rd, Ra, Rk e Rg), parâmetros quocientes Q (SQ, OQ, CQ, AQ e NAQ), parâmetros B1 e B2 que são as extensões de bandas do pulso derivativo LF, e o parâmetro ece, que relaciona os parâmetros &#946 e Ta. Os parâmetros B1 e B2 e ece apesar de serem propostos na literatura, não são encontrados resultados diferentes a essas duas medidas. Os resultados mostraram que os parâmetros B não foram confiáveis na discriminação entre as vozes, por outro lado, o parâmetro ece mostrou-se ser opção na discriminação entre as vozes normais, nódulo e Reinke. O objetivo deste trabalho é direcionar a atenção sobre o sinal glotal, estimando-o automaticamente mediante técnicas de PDS aplicadas ao sinal de fala, visando extrair parâmetros que identifiquem as condições normais e patológicas da laringe. Por fim foram propostos os parâmetros TRp e TRs, visando dissociar os efeitos de primeira ordem dos de ordem superior na fase de retorno do pulso glotal com a finalidade de estimar a real não-linearidade do sub-sistema glotal, retratando as condições normais e patológicas da laringe. Por fim foram propostos os parâmetros TRp e TRs, visando dissociar os efeitos de primeira ordem dos de ordem superior na fase de retorno do pulso glotal com a finalidade de estimar a real não-linearidade do sub-sistema glotal, retratando as condições fisiológicas do movimento das pregas vocais. Com um nível de confiança de 95%, o parâmetro de primeira ordem (TRp) é efetivo na discriminação do Edema de Reinke, porém mostrou-se ineficaz na detecção do nódulo. Em relação ao parâmetro de ordem superior, conclui-se que o TRs é um excelente detetor de vozes patológicas (nódulo e Edema de Reinke), porém não é capaz de discriminar as patologias. / Many researches has been conducted in digital signal processing (DSP) atempting to evaluate the physiological conditions of larynx. Acoustical parameters have been proposed to evaluate the glotal tract from voice signal. One technique proposed is the Liljencrants-Fant model (LF) developed to represent normal and pathologic conditions of the larynx. Those parameters compare favourably as far as real physiologic characteristic of vocal folds is concerned. So, a primary use of the model is the larynx pathologic identification. Beyond LF parameters estimation, (T parameters in the time domain), the waveform of glotal pulse derivative also can be quantified through, R parameters (Rd, Ra, Rk and Rg), quocient parameters (SQ, OQ, CQ, AQ and NAQ), B parameters (B1 and B2) that are band extension of the LF glotal pulse derivative and the ece parameter that in fact, is a relationship between &#946 and Ta. Although proposed in the literature, no results are found, related to B and ece parameters. Our founds show that B parameters do not present good results in voice discrimination, however, ece parameter seems to be good option to discriminate normal voice, nodulo and Reinke edema. The main purpose of this work is to estimate the glotal signal from the voice signal using DSP techniques in order to obtain parameters that identifies the physiological larynx condition. In order to estimate the shape of return phase of glotal pulse, twoparameters have been proposed in this work. The first one evaluates the pulse (TRp, in other words, the first order component of the return phase. The second is responsible to evaluate superior orders components of the return phase (TRs), i.e, the non-linear component of the glotal pulse. With 95% of confidence level, TRp is effective in Reinke edema discrimination however it is inefficient for nodule e dection. By the other hand, the TRs parameter works well to detect pathologic voice however is unable to discriminated them.