Syftet med detta examensarbete är att studera kommunikationskanaler för att kunna värva fler medlemmar till en nystartad förening. Frågeställning - Hur kan Västerås Capoeira värva fler medlemmar, med fokus på en äldre målgrupp? Avgränsning - Studiet är att studera kommunikationskanaler och att avgränsa sig genom att fokusera på Rogers fyra huvudsakliga element för spridningsprocess av innovation. Metod - Den huvudsakliga uppgiften har utförts genom intervjuer och observationer på plats hos Västerås Capoeira. Teoretisk ram - Består av kommunikationskanaler som behandlar Rogers fyra element, vilka är innovation, kommunikationskanaler, tid och socialt system. Studien ska ge förståelse för den teoretiska grunden där Västerås Capoeira har en positiv och fungerande kulturarena. Empiri - Empiriska studien bygger på intervjuer och observationer på Västerås Capoeira lokaler i samlingslokalen Växhuset. Slutsats - Västerås Capoeira är en ny förening som har sin verksamhet inom Växhuset. Eftersom Capoeira är en sport som har en bred målgrupp vill vi kunna hjälpa föreningen med att hitta medlemmar i alla åldrar, från båda könen och från olika kulturer. Föreningen kommer att få lärdomar om olika spridningsprocesser så att de kan marknadsföra sig med hjälp av andra kommunikationssätt. Nyckelord - Verksamhetskultur, kommunikationskanal, kommunikation, spridningsprocess, marknadsföring.

In this note, we consider an inverse problem in a jump diffusion model. Using characteristic functions we prove the injectivity of the forward operator mapping the five parameters determining the model to the density function of the return distribution.

These lecture notes are intended as a short introduction to diffusion processes on a domain with a reflecting boundary for graduate students, researchers in stochastic analysis and interested readers. Specific results on stochastic differential equations with reflecting boundaries such as existence and uniqueness, continuity and Markov properties, relation to partial differential equations and submartingale problems are given. An extensive list of references to current literature is included. This book has its origins in a mini-course the author gave at the University of Potsdam and at the Technical University of Berlin in Winter 2013.

This thesis introduces a novel mobility model based on so called &ldquo / 2D correlated diffusion process&rdquo / . In this model, motion components over x and y axes are dependent. Joint density function of the process is derived. The expected exit time from an arbitrary domain is characterized by a boundary value problem. Analytical solution of this problem is given for a specific case. Numerical solution of the problem is presented by several examples. The results obtained in these examples are verified by simulations. The expected exit time computed by this method holds for any given 2D domain and any given starting position inside.

博士（経営） / 85 p. / 一橋大学

In this dissertation, we introduce novel exponential jump-diffusion models for pricing options. Firstly, the normal convolution gamma mixture jump-diffusion model is presented. This model generalizes Merton's jump-diffusion and Kou's double exponential jump-diffusion. We show that the normal convolution gamma mixture jump-diffusion model captures some economically important features of the asset price, and that it exhibits heavier tails than both Merton jump-diffusion and double exponential jump-diffusion models. Secondly, the normal convolution double gamma jump-diffusion model for pricing options is presented. We show that under certain configurations of both the normal convolution gamma mixture and the normal convolution double gamma jump-diffusion models, the latter exhibits a heavier left or right tail than the former. For both models, the maximum likelihood procedure for estimating the model parameters under the physical measure is fairly straightforward; moreover, the likelihood function is given in closed form thereby eliminating the need to embed a probability density function recovery procedure such as the fast Fourier transform or the Fourier-cosine expansion methods in the parameter estimation procedure. In addition, both models can reproduce the implied volatility surface observed in the options data and provide a good fit to the market-quoted European option prices.

The jump phenomenons of many financial assets prices have been observed in many empirical papers. In this paper we extend the Heath-Jarrow-Morton model to include the jump component to derive the European-style pricing formula of the interest rate futures options. We use numerical method to simulate the options prices and analyze how each component of HJM model under jump-diffusion processes affects the interest rate futures options. Finally, we utilize LSM method which are presented by Longstaff and Schwartz to derive American options prices and compare it with European options.

O crescimento acelerado da produção científica brasileira nos anos recentes foi acompanhado pela expansão das colaborações científicas domésticas. Neste estudo, olhamos mais atentamente esse assunto na tentativa pioneira de identificar padrões espaciais da produção e colaboração científica no Brasil, e avaliar o papel da proximidade geográfica na determinação das interações entre os pesquisadores brasileiros. Por meio de uma base única composta por mais de um milhão de pesquisadores registrados na Plataforma Lattes e de sete milhões de publicações científicas, coletamos e consolidamos informações sobre as colaborações científicas inter-regionais em termos de redes de coautorias entre 1.347 municípios brasileiros ao longo do período compreendido entre 1990 e 2010, o que permitiu uma abrangência de dados e perspectiva de análise inéditas na literatura. Os efeitos da distância geográfica nas redes de colaboração são mensurados para as diferentes áreas do conhecimento por meio da estimação de modelos de interações espaciais. Os principais resultados sugerem fortes evidências de um processo de desconcentração espacial da produção científica nos últimos anos associado à expansão das redes de colaboração e ao aumento da participação de autores das regiões cientificamente menos tradicionais, tais como Sul e Nordeste. Ademais, também encontramos evidência de que a distância ainda desempenha papel crucial na determinação da intensidade dos fluxos de conhecimento nas redes de colaboração científica no Brasil, embora a magnitude do efeito varie entre as redes das diferentes áreas do conhecimento. Por exemplo, verificamos que o distanciamento de 200 quilômetros entre dois pesquisadores implica na redução média de 22% ou 45% na probabilidade de haver colaboração entre eles, caso eles sejam de Linguística, Letras e Artes ou Ciências Exatas e da Terra, respectivamente. / Recent years have witnessed an accelerated growth of Brazilian scientific production that was accompanied by an expansion of domestic research collaboration. In this paper we look more closely at this issue in a pioneering attempt to identify spatial patterns of research production and collaboration in Brazil, and to measure the role of geographical proximity in determining interaction between Brazilian researchers. Using a unique database comprised of over one million researchers registered in the Brazilian Lattes Platform and seven million scientific publications, we collect and consolidate information on interregional research collaboration in terms of co-authorship networks among 1,347 Brazilian cities over the period between 1990 and 2010, which enabled a range of data and analysis perspective unprecedented in literature. The effects of geographical distance on research collaboration are measured for different knowledge areas under the estimation of spatial interaction models. The main results suggest strong evidence of spatial de-concentration of scientific production in the last years with expansion of research collaboration networks and an increased participation of authors in scientifically less traditional regions, such as South and Northeast. Moreover, we also find evidence that distance still plays a crucial role in determining the intensity of knowledge flows in scientific collaboration networks in Brazil, although the magnitude of such effects varies among networks of different knowledge areas. For instance, we found that the distancing of 200 kilometers between two researchers implies an average reduction of 22% or 45% on probability of collaboration among them, if they are of Linguistics, Letters and Arts or Exact and Earth Sciences, respectively.

In this paper I derive the asymptotics of the exact, Euler, and Milstein ML estimators for diffusion models, including general nonstationary diffusions. Though there have been many estimators for the diffusion model, their asymptotic properties were generally unknown. This is especially true for the nonstationary processes, even though they are usually far from the standard ones. Using a new asymptotics with respect to both the time span T and the sampling interval ¢, I find the asymptotics of the estimators and also derive the conditions for the consistency. With this new asymptotic result, I could show that this result can explain the properties of the estimators more correctly than the existing asymptotics with respect only to the sample size n. I also show that there are many possibilities to get a better estimator utilizing this asymptotic result with a couple of examples, and in the second part of the paper, I derive the higher order asymptotics which can be used in the bootstrap analysis.

股東價值函數意指公司未來預期股利的加總，其模型主要利用擴散過程來建構。因為公司可透過保留現金和發放股利兩大策略來調控公司價值－－過多現金保留將產生現金邊際效益降低；現金保留過少則會產生流動性風險甚至破產問題。論文主要探討公司在捨取現金保留時如果達大公司價值的極大化，並利用實際資料來檢視上市公司的價值是否有高低估之嫌。此外，亦在論文中提供以股東價值函數為評價方式的交易策略。 / We consider a problem of finding the optimal solution for maximizing the value of a firm in a stochastic environment. In the paper, we apply a methodology that determines a corporate value by using cash reserves as the main variables. We examine the model by employing two empirical approaches to compare the corporate value computed from the model to the market value. We find that there are slight differences between the stock value and shareholder value. Therefore, we may use the facts that we find to construct optimal trading strategies to exploit small price differences.