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M.S.

The goal of this project is to price multi-name credit derivatives using a copula approach. The properties and advantage copula functions have to other traditional methods are carefully evaluated. Monte Carlo simulations are studied and performed to obtain numerical results for copula functions with explicit and implicit forms. A model was developed to price a basic form of a first-to-default basket using different copula functions. The outcomes are analyzed and comparisons are carried out.

Este trabalho visa a discutir aspectos centrais dos instrumentos derivativos, que têm ganhado importância crescente desde os anos 70, principalmente depois da crise do subprime em 2008. No Capítulo I, procura-se resgatar o debate sobre a natureza jurídica dos derivativos, tendo em vista sua função econômica. A partir deste ponto de partida, extraem-se conclusões práticas, como a não aplicabilidade das normas relativas à evicção, vícios redibitórios e teoria da imprevisão ou resolução por onerosidade excessiva. Ao fim, é proposta uma classificação dos derivativos. O objetivo do Capítulo II é destacar os principais aspectos da regulação dos derivativos. A partir da função econômica, legisladores e reguladores do mundo todo têm encontrado a necessidade de limitar a esfera de autonomia contratual, determinando o que pode ser negociado, de que forma e o modo como se deve dar a liquidação das obrigações. O Capítulo III visa a discutir os resultados da pesquisa de jurisprudência não enquadrados nos temas dos Capítulos I e II. Com isso, há maior transparência quanto aos resultados da pesquisa de jurisprudência e, ao mesmo tempo, discute-se possíveis pontos de atenção para a regulação. Por fim, o Apêndice descreve a metodologia utilizada na pesquisa de jurisprudência. / This paper aims to discuss key aspects of derivative instruments. Their importance has been increasing since the 70s, especially after the subprime crisis in 2008. Chapter I seeks to present the debate on the legal nature of the derivatives, highlighting its economic function. From this discussion, we found some practical conclusions, such as non-applicability of eviction, latent defects and rebus sic stantibus clause. In the end, we present a classification of derivatives. Chapter II highlights the main aspects of derivatives regulation. Due to their importance, legislators and regulators have been limiting contractual autonomy, determining what and in which way people can contract and settlement of obligations by clearinghouses or CCPs. Chapter III aims to discuss derivatives case law that have not fit the themes of Chapters I and II. It is a way of, at the same time, disclosing case law research findings and discussing possible improvements in regulation. Finally, the Appendix describes the methodology used in the case law research.

Yao Li. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 66-68). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Weather Derivatives: A Review --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- Types of weather risk --- p.1 / Chapter 1.3 --- Key weather derivative elements --- p.3 / Chapter 1.4 --- Methods for pricing weather derivatives --- p.5 / Chapter 1.5 --- Current Situation in Hong Kong: the Recreation Industry --- p.8 / Tables and Figures --- p.10 / Chapter Chapter 2 --- Markov Models with Application to Hong Kong's Rainfall --- p.13 / Chapter 2.1 --- The Model --- p.14 / Chapter 2.2 --- Maximum Likelihood Estimation --- p.17 / Chapter 2.2.1 --- Estimates for Occurrence Model --- p.18 / Chapter 2.2.2 --- Estimates for Intensity Model --- p.23 / Chapter 2.3 --- Model for Amount --- p.28 / Tables and Figures --- p.29 / Chapter Chapter 3 --- Contract Specifications and Option Evaluation --- p.42 / Chapter 3.1 --- The Contract --- p.42 / Chapter 3.2 --- The Monte-Carlo Simulation --- p.44 / Chapter 3.2.1 --- The Rainfall Event --- p.45 / Chapter 3.2.2 --- The Aggregate Payoff --- p.47 / Chapter 3.2.3 --- Some Simulation Results --- p.48 / Chapter 3.3 --- Further Applications --- p.49 / Tables and Figures --- p.55 / Chapter Chapter 4 --- Concluding Remarks and Discussions --- p.64 / References --- p.66

published_or_final_version / Chemistry / Doctoral / Doctor of Philosophy

2-Benzyloxy-1-methylpyridinium trifluoromethanesulfonate (commonly referred to as benzyloxypyridinium triflate or Dudley’s salt) is a novel protecting reagent for the conversion of an alcohol functional group into a benzyl ether. This novel protecting reagent allows for protection of an alcohols, carboxylic acids, and other nucleophiles under mild conditions. The two traditional methods of forming this benzyl ether rely on either basic (Williamson ether synthesis) or acidic (coupling via trichloroacetimidate with a strong acid) conditions which may potentially decompose sensitive substrates. This research will investigate the mechanism by which benzyloxypyridinium triflate decomposes. Investigation of benzyloxypyridinium triflate will require two aspects, synthesis of various derivatives and a rate study. The synthesis of benzyloxypyridinium triflate derivatives (broadly named benzyloxypyridinium salts) will result in a series of new compounds, along with new synthetic routes to make them. Testing the derivatives to ensure they form the expected benzyl ether or ester then allows for investigation of the rate for each derivative as they form the benzyl ether. Among the various techniques that may be employed to study the mechanism, rate studies will be a significant portion of data used to draw a conclusion. Each derivative of the benzyloxypyridinium triflate is designed to affect the rate of decomposition thereby changing the rate of benzyl ether formation by either promoting or impeding the formation of a carbocation. Monitoring the rate of each derivative and comparing that rate to the rate of the benzyloxy- pyridinium triflate will give insight to a mechanistic pathway, indicating whether the pathway is more unimolecular or bimolecular. An immediate application of a known mechanism could lead to more desirable conditions for the benzyloxypyridinim triflate when forming the benzyl ether. In addition, having an understanding of the mechanism allows for the utility of arylmethylpyridinium salts to be expanded by allowing the pyridinium salt to deliver a variety of different electrophiles. The mechanism will also allow for different nucleophiles to trap the corresponding electrophile from the pyridinium salt. / No title page or introductory pages in thesis body PDF. / Department of Chemistry

Este trabalho visa a discutir aspectos centrais dos instrumentos derivativos, que têm ganhado importância crescente desde os anos 70, principalmente depois da crise do subprime em 2008. No Capítulo I, procura-se resgatar o debate sobre a natureza jurídica dos derivativos, tendo em vista sua função econômica. A partir deste ponto de partida, extraem-se conclusões práticas, como a não aplicabilidade das normas relativas à evicção, vícios redibitórios e teoria da imprevisão ou resolução por onerosidade excessiva. Ao fim, é proposta uma classificação dos derivativos. O objetivo do Capítulo II é destacar os principais aspectos da regulação dos derivativos. A partir da função econômica, legisladores e reguladores do mundo todo têm encontrado a necessidade de limitar a esfera de autonomia contratual, determinando o que pode ser negociado, de que forma e o modo como se deve dar a liquidação das obrigações. O Capítulo III visa a discutir os resultados da pesquisa de jurisprudência não enquadrados nos temas dos Capítulos I e II. Com isso, há maior transparência quanto aos resultados da pesquisa de jurisprudência e, ao mesmo tempo, discute-se possíveis pontos de atenção para a regulação. Por fim, o Apêndice descreve a metodologia utilizada na pesquisa de jurisprudência. / This paper aims to discuss key aspects of derivative instruments. Their importance has been increasing since the 70s, especially after the subprime crisis in 2008. Chapter I seeks to present the debate on the legal nature of the derivatives, highlighting its economic function. From this discussion, we found some practical conclusions, such as non-applicability of eviction, latent defects and rebus sic stantibus clause. In the end, we present a classification of derivatives. Chapter II highlights the main aspects of derivatives regulation. Due to their importance, legislators and regulators have been limiting contractual autonomy, determining what and in which way people can contract and settlement of obligations by clearinghouses or CCPs. Chapter III aims to discuss derivatives case law that have not fit the themes of Chapters I and II. It is a way of, at the same time, disclosing case law research findings and discussing possible improvements in regulation. Finally, the Appendix describes the methodology used in the case law research.

Abstract Financial firms are carrying more risks than non-financial firms as they are operating with highly liquid assets. Use of derivatives is one of hedging techniques used in protecting firms from such kind of risks. There has been considerable discussion in academia of whether or not derivative usage can be considered to be value relevant. This is a question, which relate to both risk management and value maximization perspectives in terms of theory, but also discussions in regards to hedging irrelevance (M&M) and arbitrage theory as well: Does the use of derivatives affect listed Nordic financial firms’ market value, if so how? Thereby, the main purpose of this thesis is to find out whether or not there a relationship between derivative use and firm value, which would be evidenced from sample taken from listed Nordic financial firms. In addition to this main purpose, this thesis furthermore sets out to answer whether geographical diversification and firm size contribute toward the effect of derivative use on firm value. Moreover, to answer the research question, a positivist philosophical standpoint with objectivist viewpoint taken, which subsequently leads the author to utilize quantitative methods and statistical analysis to the data collected for this study. Here, different panel models are fitted to the data to account effects that exist within it. To explain the findings, a theoretical framework is built upon two main theories and prior literatures. Here, on the theories such as M&M theory as well as arbitrage theory are dealt with. On the prior literatures, different scholars finding on the derivative use and firm value relationship discussed.   After looking at the results and the analysis, one can draw the conclusion that there is a positive relationship between derivative usage and firm value. The analysis this thesis took the entire 96 Nordic financial firms sample for study period of four years (2012-“015), and from this sample size 80% found derivative users and the rest are non-users. Further, the study result and analysis lead the author to conclude that derivative usage has a positive impact on Nordic financial firms’ value.   Overall, this thesis can find evidence for a value-relevance of derivative usage to firm value in the Nordic markets. Essentially, Tobin’s Q ratio used as a proxy for firm value and panel data model has been used in the analysis. The test result of the study shows that there is a positive statistically and economically significant derivative use premium for Nordic financial firms. Keywords: Risk management; Hedging; Derivatives; Derivatives use; Firm value

Les travaux de cette thèse ont porté sur le développement de nouvelles méthodes de synthèse autour de la chimie des réactions multicomposants et des réactions de Tsuji-Trost des dérivés nitrés et phosphorylés. Dans le chapitre I, nous avons développé une nouvelle voie d’accès aux indoles propargyliques impliquant des adduits A3 et une réaction d’élimination d’amine en présence du 1,2-dibromoethane. Dans le chapitre II, nous avons démontré la possibilité d’exploiter des réactions de Tsuji-Trost par la formation de produits O-allylés issus des α-hydroxyphosphonates. La méthatèse cyclisante appliquée sur une gamme d’α-hydroxyphosphonates O-allylés a permis de synthétiser des phosphono-oxahétérocycles. Par ailleurs nous avons aussi démontré l’intérêt des α-hydroxyphosphonates du cinnamaldehyde pour des tandems Tsuji-Trost/ Claisen par la formation de dérivés d’acides α allylés. Dans le chapitre III, nous avons décrit un couplage entre les acides boroniques et les nitronates silylés pour aboutir à des oximes α, β insaturés. Par la suite nous avons convertis les oximes α,β-insaturés obtenus en isoxazoles par une cyclisation oxydante . Finalement dans le chapitre IV, nous avons poursuivi sur les réactions de Tsuji-Trost en mettant au point une synthèse de diènes à partir de dérivés nitrés allyliques. Cette réaction a été élargie à la synthèse des naphatlènes substitués en position 1. / The work of this thesis focused on the development of new synthesis methods around the chemistry of multicomponent reactions and Tsuji-Trost reactions of nitro and phosphorylated derivatives. In Chapter I, we developed a new pathway to propargylic indoles involving A3 adducts and an amine removal reaction in the presence of 1,2-dibromoethane. In Chapter II, we demonstrated the possibility of exploiting Tsuji-Trost reactions by the formation of O-allyl products from α-hydroxyphosphonates. The ring closing metathesis applied to a range of O-allylated α-hydroxyphosphonates allowed phosphono-oxaheterocycles to be synthesized. Furthermore, we also demonstrated the interest of α-hydroxyphosphonates from cinnamaldehyde for Tsuji-Trost / Claisen tandems by the formation of α-allylated acid derivatives. In Chapter III, we described a coupling between boronic acids and silylated nitronates to produce α, β-unsaturated oximes. Subsequently we converted the α, β-unsaturated oximes obtained in isoxazoles by an oxidizing cyclization. Finally, in Chapter IV, we continued the reactions of Tsuji-trost by developing a synthesis of dienes from allylic nitro derivatives. This reaction has been extended to the synthesis of naphatlene substituted at the 1-position.