Cheung, Kwan Hung Edwin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 39-40). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Levy Process --- p.4 / Chapter 2.1 --- Levy-Khintchine representation --- p.5 / Chapter 2.2 --- Variance Gamma process --- p.6 / Chapter 3 --- Minimum-Variance Static Hedge with Index futures --- p.8 / Chapter 3.1 --- Capital Asset Pricing Model with static hedge --- p.10 / Chapter 3.2 --- Continuous CAPM under Levy process --- p.11 / Chapter 4 --- Option pricing under Levy process --- p.15 / Chapter 4.1 --- Option pricing under the fast Fourier transform --- p.16 / Chapter 4.2 --- The modified fast Fourier transform on call option price --- p.19 / Chapter 5 --- Empirical Results --- p.23 / Chapter 5.1 --- Proposed model for empirical studies --- p.25 / Chapter 5.2 --- Calibration Procedure and Estimates of Betas --- p.26 / Chapter 5.3 --- Hedging performance of Betas --- p.32 / Chapter 6 --- Conclusion --- p.37 / Bibliography --- p.39

Chung, Tsz Kin = 均值回復正態過程的雙撞擊時間分佈以及其在金融上的應用 / 鍾子健. / Thesis submitted in: December 2008. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 101-105). / Abstracts in English and Chinese. / Chung, Tsz Kin = Jun zhi hui fu zheng tai guo cheng de shuang zhuang ji shi jian fen bu yi ji qi zai jin rong shang de ying yong / Zhong Zijian. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Overview --- p.1 / Chapter 1.2 --- Mean-reverting lognormal (MRL) process --- p.3 / Chapter 1.3 --- MRL-process and AR(l)-process --- p.5 / Chapter 2 --- Double Hitting Time Distribution of a Mean-Reverting Log-normal Process --- p.8 / Chapter 2.1 --- Introduction --- p.8 / Chapter 2.2 --- Probability density function --- p.9 / Chapter 2.3 --- Interpolation scheme - estimates and bounds --- p.12 / Chapter 2.4 --- Multi-stage approximation scheme --- p.17 / Chapter 2.5 --- Hitting time distribution and density --- p.19 / Chapter 2.6 --- Numerical analysis --- p.20 / Chapter 2.7 --- Appendix --- p.24 / Chapter 2.7.1 --- Solving the Fokker-Planck equation --- p.24 / Chapter 2.7.2 --- Probability density function associated with two piecewise-continuous boundaries --- p.27 / Chapter 3 --- Pricing Exotic Options with Mean Reversion --- p.29 / Chapter 3.1 --- Introduction --- p.29 / Chapter 3.2 --- Barrier options --- p.30 / Chapter 3.2.1 --- Double barrier options --- p.32 / Chapter 3.2.2 --- Rebates --- p.33 / Chapter 3.2.3 --- Numerical examples --- p.34 / Chapter 3.3 --- Lookback options --- p.36 / Chapter 3.3.1 --- Expected minimum and maximum --- p.37 / Chapter 3.3.2 --- Standard lookback options --- p.41 / Chapter 3.3.3 --- Fixed strike lookback options --- p.42 / Chapter 3.3.4 --- Lookback spread option --- p.43 / Chapter 3.3.5 --- Numerical examples --- p.43 / Chapter 3.4 --- Sensitivity analysis --- p.46 / Chapter 3.4.1 --- Analysis ´ؤ double knock-out call option --- p.47 / Chapter 3.4.2 --- Analysis ´ؤ floating strike lookback put option --- p.52 / Chapter 3.4.3 --- Analysis ´ؤ lookback spread option --- p.56 / Chapter 3.4.4 --- Summary --- p.60 / Chapter 3.5 --- Appendix --- p.61 / Chapter 3.5.1 --- Closed-form price formula of the double knock-out call option --- p.61 / Chapter 3.5.2 --- Derivations of lookback options --- p.63 / Chapter 4 --- Using First-Passage-Time Density to Assess Realignment Risk of a Target Zone --- p.66 / Chapter 4.1 --- Realignment risk of a target zone --- p.66 / Chapter 4.1.1 --- Currency option market and target zone --- p.66 / Chapter 4.1.2 --- First-Passage-Time approach --- p.67 / Chapter 4.1.3 --- Option price and implied volatility --- p.69 / Chapter 4.1.4 --- FPT density and realignment risk --- p.73 / Chapter 4.2 --- The ERM crisis of 1992 --- p.74 / Chapter 4.2.1 --- British pound (GBP) target zone --- p.74 / Chapter 4.2.2 --- Italian lira (ITL) target zone --- p.81 / Chapter 4.2.3 --- Summary --- p.85 / Chapter 5 --- Market Expectation of Appreciation of the Renminbi --- p.87 / Chapter 5.1 --- The Chinese Renminbi exchange rate system --- p.87 / Chapter 5.2 --- First-Passage-Time approach --- p.90 / Chapter 5.3 --- Estimations of expected maximum appreciation of Renminbi --- p.92 / Chapter 5.4 --- Appendix --- p.99 / Chapter 5.4.1 --- Derivations of the expected minimum and maximum --- p.99 / Bibliography --- p.101

A research report submitted to the University of the Witwatersrand in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investment. / This study examines Quantitative Easing policy programs of developed countries and their potential impact on Middle Income Countries through capital inflows. The study specifically focuses on the United States and European Union Quantitative Easing programs and investigates potential effects through the various transmission channels. An Autoregressive Multifactor MIDAS approach is used to carry out the empirical analysis and the study finds that lagged capital inflows are highly significant across the different models run and that there is evidence of transmission of quantitative easing to capital inflows to Middle Income Countries along the portfolio rebalancing and liquidity channels. / MT2017

Digitized by Kansas Correctional Industries

Starting from the most famous Black-Scholes model for the underlying asset price, there has been a large variety of extensions made in recent decades. One main strand is about the models which allow a jump component in the asset price. The first topic of this thesis is about the study of jump risk premium by an equilibrium approach. Different from others, this work provides a more general result by modeling the underlying asset price as the ordinary exponential of a L?vy process. For any given asset price process, the equity premium, pricing kernel and an equilibrium option pricing formula can be derived. Moreover, some empirical evidence such as the negative variance risk premium, implied volatility smirk, and negative skewness risk premium can be well explained by using the relation between the physical and risk-neutral distributions for the jump component. Another strand of the extensions of the Black-Scholes model is about the models which can incorporate stochastic volatility in the asset price. The second topic of this thesis is about the replication of exponential variance, where the key risks are the ones induced by the stochastic volatility and moreover it can be correlated with the returns of the asset, referred to as leverage effect. A time-changed L?vy process is used to incorporate jumps, stochastic volatility and leverage effect all together. The exponential variance can be robustly replicated by European portfolios, without any specification of a model for the stochastic volatility. Beyond the above asset pricing and hedging, portfolio optimization is also discussed. Based on the Merton (1969, 1971)'s reduced portfolio optimization and the delta hedging problem, a portfolio of an option, the underlying stock and a risk-free bond can be optimized in discrete time and its optimal solution can be shown to be a mixture of the Merton's result and the delta hedging strategy. The main approach is the elasticity approach, which has initially been proposed in continuous time. In addition to the above optimization problem in discrete time, the same topic but in a continuous-time regime-switching market is also presented. The use of regime-switching makes our market incomplete, and makes it difficult to use some approaches which are applicable in complete market. To overcome this challenge, two methods are provided. The first method is that we simply do not price the regime-switching risk when obtaining the risk-neutral probability. Then by the idea of elasticity, the utility maximization problem can be formulated as a stochastic control problem with only a single control variable, and explicit solutions can be obtained. The second method is to introduce a functional operator to general value functions of stochastic control problem in such a way that the optimal value function in our setting can be given by the limit of a sequence of value functions defined by iterating the operator. Hence the original problem can be deduced to an auxiliary optimization problem, which can be solved as if we were in a single-regime market, which is complete. / published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

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In recent years, several new theories have been developedrelating the value of the firm to its capital structure, or explainingwhy firms issue debt securities. However, empirical testing ofthe varying predictions of these theories has not kept pace. Moreover,most investigations have been done on regulated utilities because ofalleged risk homogeneity. The results are ambiguous and cannot begeneralized due to regulatory treatment of taxes.The present investigation is carried out on a broad crosssectionof industrial firms and takes explicit account of businessrisk variations as well as dealing with other econometric problemsignored in previous studies. The results are consistent with Miller's(1977) hypothesis that the value of the firm is independent of leveragein the absence of bankruptcy costs. However, the results are alsoconsistent with the existence of significant leverage-related costswhich vary directly with business risk. / L'etude de l1incidence du levier financier d'une firme sur sa valeurde marche ainsi que des. differentes raisons pour lesquelles une firmeferait appel au marche des obligations pour assurer son financement asuscite ces dernieres annees le developpement de nouvelles approchestheoriques du probleme. Le travail de verification empirique, toutefois,n'a guere suivi et, en particulier, seules les compagnies etroitementsoumises au controle gouvernemental ont fait l'objet d'une etudeapprofondie, du fait sans doute de leur appartenance presumee a lameme classe de risque et ce, en depit du traitement fiscal particulierdont beneficient ces compagnies. De ce fait, les resultats empiriquesactuellement disponibles ne sont pas depourvus d'ambiguite et ne sauraientetre generalises.[...]

Modelling and forecasting stock market volatility is a critical issue in various fields of finance and economics. Forecasting volatility in stock markets find extensive use in portfolio management, risk management and option pricing. The primary objective of this study was to describe the volatility in the Johannesburg Stock Exchange (JSE) index using univariate and multivariate GARCH models. We used daily log-returns of the JSE index over the period 6 June 1995 to 30 June 2012. In the univariate GARCH modelling, both asymmetric and symmetric GARCH models were employed. We investigated volatility in the market using the simple GARCH, GJR-GARCH, EGARCH and APARCH models assuming di erent distributional assumptions in the error terms. The study indicated that the volatility in the residuals and the leverage effect was present in the JSE index returns. Secondly, we explored the dynamics of the correlation between the JSE index, FTSE-100 and NASDAQ-100 index on the basis of weekly returns over the period 6 June 1995 to 30 June 2012. The DCC-GARCH (1,1) model was employed to study the correlation dynamics. These results suggested that the correlation between the JSE index and the other two indices varied over time. / Thesis (M.Sc.)-University of KwaZulu-Natal, Pietermaritzburg, 2013.

Firms can use financial derivatives to hedge risks and thereby decrease the probability of bankruptcy and increase total expected tax shields. Firms also can adjust their operational policies in response to fluctuations in prices, a strategy that is often referred to as "operational hedging". In this paper, I investigate the relationship between the optimal financial and operational hedging strategies for a firm, which are endogenously determined together with its capital structure. This allows me to examine how operational hedging affects debt capacity and total expected tax shields and to make quantitative predictions about the relationship between debt issues and hedging policies. I also model the effects of asymmetric information about firms' investment opportunities on their financing and hedging decisions. First, I examine the case in which both debt and hedging contracts are observable. Then, I study the case in which firms' hedging activities are not completely transparent. The models are tested using a data set compiled from the annual reports of North American gold mining companies. Supporting evidence is found for the key predictions of the model under asymmetric information.