Collateralization in over-the-counter (OTC) derivatives markets has grown rapidly over the past decade, and even faster in the past few years, due to the impact of the recent financial crisis and the particularly important attention to the counterparty credit risk in derivatives contracts. The addition of collateralization to such contracts significantly reduces the counterparty credit risk and allows to offset liabilities in case of default. We study the problem of valuation of OTC derivatives with payoff in a single currency and with single underlying asset for the cases of zero, partial, and perfect collateralization. We assume the derivative is traded between two default-free counterparties and analyze the impact of collateralization on the fair present value of the derivative. We establish a uniform generalized derivative pricing framework for the three cases of collateralization and show how different approaches to pricing turn out to be consistent. We then generalize the results to include multi-asset and cross-currency arguments, where the underlying and the derivative are in some domestic currency, but the collateral is posted in a foreign currency. We show that the results for the single currency, multi-asset case are consistent with those obtained for the single currency, single asset case.

Specially prepared 2-arylquinolin-4(1H)-ones and their 2-aryl-1-methyl-4-quinolone derivatives were converted in high yield and purity to the corresponding C-3 brominated products using pyridinium tribromide in acetic acid at room temperature. The 2-arylquinolin-4(1H)-ones were reacted with iodine and Na2CO3 mixture in THF at room temperature to produce the 3-iodo-2-arylquinolin-4(1H)-one derivatives. The latter were, in turn, N-methylated using NaH-MeI mixture in dry THF to afford the corresponding 2-aryl-3-iodo-1-methyl-4-quinolone derivatives. The 3-iodo-2-arylquinolin-4(1H)-one and 2-aryl-3-iodo-1-methyl-4-quinolones were converted to 2,3-diarylquinolin-4(1H)-one and 2,3-diaryl-1-methyl-4-quinolones following Suzuki cross-coupling reaction method, respectively. The 2-aryl-3-bromoquinolin-4(1H)-ones, on the other hand, were converted to 2-aryl-3-bromo-4-chloroquinoline derivatives using phosphorus oxychloride under reflux. The 2-aryl-3-bromo-4-chloroquinoline were then transformed to the corresponding 2-aryl-3-bromo-4-N-(4'-chloroaryl)-4-aminoquinolines derivatives using 4-chloroaniline in ethanol under reflux. The products synthesized in this investigation were characterised using a combination of 1H NMR, 13C NMR, IR and mass spectroscopic techniques. / Chemistry / Chemistry / MSC (CHEMISTRY) / MSC (Chemistry)

Most firms are actively assessing the financial risks exposure and do determine a policy for the hedging activities. It is not solely the risk aversive attitude from the managers that need to be overlooked, but to provide sufficient information to the shareholder is desirable for minimizing the gap of information asymmetry, which is by itself considered a tool for value creation (Bergstrand et al. 2009:45-47). To narrow this gap, listed Swedish companies have since 2005 been required to disclose their financial risk in their Annual Reports.  By using a quantitative approach the researcher will review the financial risk note in Annual Reports of 2008 to identify characteristics and determinant variables on firms depending on whether they utilize currency derivatives or not. An independent two-sample t-test has showed statistical significance that there difference of the means regarding size, FX exposure and leverage between users and non-users of currency derivatives. The means of currency derivatives users were higher for Size and FX exposure, while lower for leverage. A positive correlation between a firm’s size and FX exposure was found, suggesting that the determinant for hedging FX exposure could be explained by the size of the firm and vice versa.

published_or_final_version / Chemistry / Doctoral / Doctor of Philosophy

published_or_final_version / Dentistry / Master / Master of Dental Surgery

This dissertation provides the analysis necessary to launch the first direct climate markets. Combining statistical modeling with qualitative interviews, I build off of an innovative insurance project to show why and how to start traded markets on indexes of El Niño/La Niña. I provide statistical models of El Niño/La Niña's worldwide economic impacts; a stochastic catalog used to price virtually any risk management contract on El Niño/La Niña, even as new forecasts change traders' expectations; a comprehensive statistical description of the lifecycle of new derivatives showing how the prospects for new derivatives changed fundamentally in the last decade (this work is co-authored by Michael Penick, Senior Economist at the US government's derivatives regulator, the Commodity Futures Trading Commission); and, interviews with risk management professionals at businesses facing El Niño/La Niña risk and financial firms interested in trading that risk. Based on this analysis, I conclude that catastrophe bonds settling on NOAA's Niño 3.4 sea surface temperatures can, and likely will, launch in the near future.

<p>Previous studies have identified that the use of currency derivatives in order to minimize the risk involved with foreign trade can also increase a firm’s value. Evidence of this can be found in a paper such as Allayannis and Weston (2001) “Use of Foreign Derivatives and Firm Market Value”, which showed that companies in the U.S. that uses these currency derivatives has a higher firm value than companies that do not use them. However, there have not been any studies concerning the Swedish market. This is why the Swedish market is selected for this thesis but also since the Swedish market is a more open market than the U.S. market for instance. The more open, the more volatile is the exchange rate, which one could see as a reason to why Swedish companies should hedge even more. The purpose of this thesis is to analyze the Swedish market and to find out if there is a relation between the firm value and hedging, analyzed with help of Tobin’s Q that gives us a measurement of the firm’s underlying value.</p><p>The analysis is done on the 50 largest companies in Sweden, although some of the companies are ranked lower in the category total asset but since not all of the 50 largest companies met the requirements, the selection had to go further down the list. The data is received from the companies annual reports (2005), this to receive the latest data. The companies are analyzed with help of Tobin’s Q and also EBIT (Earnings Before Interest and Tax), this to get a measurement of how the market value of the companies was towards each others with pr without hedging.</p><p>The result is presented in the analyze and shows that there is no relation between firm value and hedging, at least not in this research and with this selection of companies in the Swedish market. This result contradicts the findings in the paper made on the U.S. market.</p>

The first half of this dissertation describes the synthesis and biological activities of a series of amino aldehydes; which were derivatives of the basic amino acids, arginine, lysine and ornithine. The synthesis of the amino aldehydes was complicated by the difficulty of producing an intermediate oxidation state (the aldehyde) in the presence of two other functional groups (the α-amino, and the side chain functionality). The amino aldehydes were of biological interest due to the fact that they were inhibitors of the proteolytic enzymes called kallikreins. The kallikreins are known to be involved with the renin-angiotensin system, arginine vasopressin, and the prostaglandins, in the regulation of blood pressure. The aldehydes were assayed for their ability to inhibit the kallikrein-mediated production of kinins, and by the inhibition of the cleavage of Nᵅ-tosyl arginine methyl ester (TAME) to the carboxylic acid. Two of the amino aldehydes (Nᵅ-t-Boc-Nᴳ-nitro-L-argininal and Nᵅ-t-Boc-Nᴳ-tosyl-L-argininal) were effective inhibitors in both bioassays at micromolar concentrations. The second part of the dissertation details the development of two syntheses of β-substituted analogues of cysteine. The first method was based on sulfenylation of Nᵅ-formyl-α, β-dehydro amino acid esters, followed by protection of the sulfhydryl group as the benzyl or para-methylbenzyl thioether. The Nᵅ-formyl and ester groups were cleaved by acidic hydrolysis, and the amino group was then blocked as the t-butyloxycarbonyl derivative. This procedure gave cysteine analogues which were suitable for direct use in solid phase peptide synthesis. A second, more efficient preparation of the cysteine analogues was based on the conjugate addition of lithium benzylthiolate (or lithium para-methylbenzylthiolate) to the Nᵅ-formyl-α, β-dehydroamino acid esters. This synthesis was more efficient since the cysteine analogues were generated directly in S-protected form. The fully protected intermediates were deprotected at the amino and carboxyl groups, followed by treatment with di-tert-butyl dicarbonate. The Nᵅ- t-Boc-β-S-benzyl cysteine analogues (or Nᵅ -t-Boc-β-S-para-methylbenzyl) also were suitable for direct use in solid phase peptide synthesis.

The host-guest chemistry between cucurbit[7]uril (CB[7]) and cationic organic guests of medicinal and biological interest are described in this thesis. In the first part, three cationic steroidal neuromuscular blockers (SNMBs) were studied, along with guests that model their monocationic N-alkyl-N-methylheterocyclic (morpholinium, pyrrolidinium and piperidinium) terminal groups of the SNMBs, and dicationic guests in which the two N-methylheterocyclic rings are linked by a decamethylene chain, modelling a variety of NMBs. Other cationic drugs related to acetylcholine processes in neuromuscular blockage were also studied. In the second part, the amino acids lysine, and its mono-, di- and trimethylated and acetylated Nε derivatives, and arginine, and mono- and (symmetric and asymmetric) dimethylarginine, were investigated as guests, along with analogs of arginine. The nature and strength of the complexation between CB[7] and these guests in aqueous solution were determined by 1H NMR spectroscopy and ESI mass spectrometry. The CB[7] showed high binding affinity (KCB[7] = 106-109 M-1) towards the N-alkyl-N-methylheterocyclic cations with a trend of piperidinium > pyrrolidinium > morpholinium, which reflects the relative hydrophobicities of the guests. The CB[7] forms 1:1 and 2:1 host-guest complexes with dicationic model guests, with the CB[7] initially encapsulating the decamethylene chain. The second CB[7] binds to a terminal site, resulting in electrostatic repulsions with the first CB[7], which are resolved by the translocation of the first CB[7] to the opposite terminal site. This 2:1 binding mode is also observed with CB[7] and the SNMBs, and the trend in KCB[7] with these SNMB terminal sites is comparable to that observed for the monocationic model guests. The other cationic drugs also form stable host-guest complexes with CB[7], and the binding constants displayed dependences on the size, charge, and hydrophobicity of the guests. The CB[7] exhibits significant selectivity towards different lysine and arginine derivatives, which can be related to the relative hydrophobicity afforded by the methyl substituents and the positioning of the guest within the CB[7] cavity. The 3500-fold selectivity for Nε,Nε,Nε-trimethyllysine over lysine by CB[7] is the highest observed for a synthetic macrocyclic receptor, while a modest selectivity of symmetrical over asymmetrical dimethylarginine by CB[7] is observed. / Thesis (Ph.D, Chemistry) -- Queen's University, 2013-09-26 14:33:40.063

A. Speiser'is parodė, kad Riemann'o hipotezė yra ekvivalenti tam, kad Riemann'o dzeta funkcijos išvestinė neturi netrivialių nulių į kairę nuo kritinės tiesės. Kiekybinis šio fakto rezultatas buvo pasiektas N. Levinsono ir H. Montgomerio. Šie rezultatai buvo apibendrinti daugeliui dzeta funkcijų, kurioms tikimasi, kad Riemann'o hipotezė galioja. Šiame darbe mes apibendriname Speiser'io ekvivalentą dzeta-funkcijoms. Mes tiriame sąryšį tarp netrivialių nulių išplėstinės Selbergo klasės funkcijoms ir jų išvestinėms šiame regione. Šiai klasei priklauso ir funkcijos, kurioms Riemann'o hipotezė neteisinga. Kaip pavyzdį, mes skaitiniu būdu tiriame sąryšius tarp Dirichlet L-funkcijų ir jų išvestinių tiesinių kombinacijų. / A. Speiser showed that the Riemann hypothesis is equivalent to the absence of non-trivial zeros of the derivative of the Riemann zeta-function left of the critical line. The quantitative version of this result was obtained by N. Levinson and H. Montgomery. This result (or the quantitative version of this result proved by N. Levinson and H. Montgomery) were generalized for many zeta-functions for which the Riemann hypothesis is expected. Here we generalize the Speiser equivalent for zeta-functions. We also investigate the relationship between the on-trivial zeros of the extended Selberg class functions and of their derivatives in this region. This class contains zeta functions for which Riemann hypothesis is not true. As an example, we study the relationship between the trajectories of zeros of linear combinations of Dirichlet $L$-functions and of their derivatives computationally.