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1 
Inference of Spot Volatility in the presence of Infinite Variation JumpsLiu, Qiang January 2018 (has links)
University of Macau / Faculty of Science and Technology. / Department of Mathematics

2 
Essays on discretionary inflationNeiss, Katharine Stefanie 05 1900 (has links)
The focus of the following three essays rests on the KydlandPrescott (1977) and
BarroGordon (1983) model of time inconsistent discretionary monetary policy. The first
essay derives a model in which the costs and benefits to inflation are tied to the underlying
features of the economy. The benefit to inflation arises due to monopolistic competition
among firms and the cost is due to a staggered timing structure for nominal money. The
benefit of this approach is that it can be shown that factors that increase the monetary
authority's incentive to inflate may also increase the costs to inflation, and therefore do
not necessarily result in a worsened inflation bias. In particular, the model shows that
discretionary inflation in the economy is nonmonotonically related to the distortion. The
model also indicates that changes in the real interest rate affect the monetary authority's
incentives and hence the discretionary rate of inflation. An increase in the labor share
raises the discretionary rate. Lastly, lack of commitment, costs to inflation, and the
presence of a distortion are crucial for discretionary inflation to be biased above the
Friedman (1969) rule. The second essay builds on the first, extending the model to
an open economy environment. The extended model indicates several channels through
which openness affects the monetary authority's incentives. Most significantly, the model
cannot replicate the Romer (1993) and Lane (1995) result that openness reduces the
discretionary rate of inflation. Again, the model relates the underlying features of the
economy on the discretionary rate, and an economy's foreign asset position. Strategic
incentives are also important for determining whether an open economy's rate of inflation is less than that of a comparable closed economy. The last essay analyzes empirically the
relationship between the overall degree of competition among firms, as measured by the
markup, and the average rate of inflation for the OECD group of countries. In line with
the timeconsistency argument, results indicate a positive relationship between markups
and inflation. This finding is robust to the inclusion of several explanatory variables,
such as terms of trade effects, and central bank independence. The evidence is weak,
however, in the presence of per capita GDP.

3 
Essays on discretionary inflationNeiss, Katharine Stefanie 05 1900 (has links)
The focus of the following three essays rests on the KydlandPrescott (1977) and
BarroGordon (1983) model of time inconsistent discretionary monetary policy. The first
essay derives a model in which the costs and benefits to inflation are tied to the underlying
features of the economy. The benefit to inflation arises due to monopolistic competition
among firms and the cost is due to a staggered timing structure for nominal money. The
benefit of this approach is that it can be shown that factors that increase the monetary
authority's incentive to inflate may also increase the costs to inflation, and therefore do
not necessarily result in a worsened inflation bias. In particular, the model shows that
discretionary inflation in the economy is nonmonotonically related to the distortion. The
model also indicates that changes in the real interest rate affect the monetary authority's
incentives and hence the discretionary rate of inflation. An increase in the labor share
raises the discretionary rate. Lastly, lack of commitment, costs to inflation, and the
presence of a distortion are crucial for discretionary inflation to be biased above the
Friedman (1969) rule. The second essay builds on the first, extending the model to
an open economy environment. The extended model indicates several channels through
which openness affects the monetary authority's incentives. Most significantly, the model
cannot replicate the Romer (1993) and Lane (1995) result that openness reduces the
discretionary rate of inflation. Again, the model relates the underlying features of the
economy on the discretionary rate, and an economy's foreign asset position. Strategic
incentives are also important for determining whether an open economy's rate of inflation is less than that of a comparable closed economy. The last essay analyzes empirically the
relationship between the overall degree of competition among firms, as measured by the
markup, and the average rate of inflation for the OECD group of countries. In line with
the timeconsistency argument, results indicate a positive relationship between markups
and inflation. This finding is robust to the inclusion of several explanatory variables,
such as terms of trade effects, and central bank independence. The evidence is weak,
however, in the presence of per capita GDP. / Arts, Faculty of / Vancouver School of Economics / Graduate

4 
A study on options hedge against purchase cost fluctuation in supply contracts.January 2008 (has links)
He, Huifen. / Thesis (M.Phil.)Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 4448). / Abstracts in English and Chinese. / Chapter 1  Introduction  p.1 / Chapter 1.1  Motivation  p.1 / Chapter 1.2  Literature Review  p.4 / Chapter 1.2.1  Supply Contracts under Price Uncertainty  p.5 / Chapter 1.2.2  Dual Sourcing  p.6 / Chapter 1.2.3  Risk Aversion in Inventory Management  p.6 / Chapter 1.2.4  Hedging Operational Risk Using Financial Instruments  p.7 / Chapter 1.2.5  Financial Literature  p.9 / Chapter 1.3  Organization of the Thesis  p.10 / Chapter 2  A RiskNeutral Model  p.12 / Chapter 2.1  Framework and Assumptions  p.12 / Chapter 2.2  "Price, Forward and Convenience Yield"  p.14 / Chapter 2.2.1  Stochastic Model of Price  p.14 / Chapter 2.2.2  Marginal Convenience Yield  p.16 / Chapter 2.3  Optimality Equations  p.17 / Chapter 2.4  The Structure of the Optimal Policy  p.21 / Chapter 2.4.1  Oneperiod. Optimal Hedge Decision Rule  p.21 / Chapter 2.4.2  Oneperiod Optimal Orderings Decision Rule  p.23 / Chapter 2.4.3  Optimal Policy  p.24 / Chapter 3  A RiskAverse Model  p.28 / Chapter 3.1  Risk Aversion Modeling and Utility Function  p.28 / Chapter 3.2  MultiPeriod Inventory Modelling  p.31 / Chapter 3.3  Exponential Utility Model  p.33 / Chapter 3.4  Optimal Ordering and Hedging Policy for MultiPeriod Problem  p.37 / Chapter 4  Conclusion and Future Research  p.40 / Bibliography  p.44 / Chapter A  Appendix  p.49 / Chapter A.l  Notation  p.49 / Chapter A.2  KConcavity  p.50

5 
The sensitivity of bank credit risk indicators to macroeconomic variablesThwala, Cyprian Mcwayizeni January 2016 (has links)
A dissertation submitted to the Faculty of Commerce, Law and Management University
of the Witwatersrand Business School
In fulfillment of the requirements for the degree
of
Master of Management in Finance and Investment
Johannesburg, 2016 / This study uses a dynamic panel data method to examine the sensitivity of nonperforming
loans (NPLs) and bank capital buffer (BCB) to macroeconomic variables. This approach is motivated by the hypothesis that says macroeconomic variables have an effect on the bank’s balance sheet, and this effect varies across developed and emerging economies.
The results show that NPLs are sensitive to GDP growth, interest rate, public debt, sovereign debt and unemployment in developed economies. However, NPLs are sensitive to GDP growth, exchange rate, interest rate, sovereign debt, unemployment and volume of imports in emerging economies. Public debt is not statistically significant in explaining the sensitivity of NPLs in emerging economies. Similarly, exchange rate and volume of imports have no significant influence on NPLs in developed economies.
In relation to the BCB we find GDP growth, exchange rate, interest rate, sovereign debt, unemployment and volume of imports as significant macroeconomic variables driving the sensitivity of capital buffer in emerging economies. Conversely, interest rate, sovereign debt and unemployment are macroeconomic variables responsible for the sensitivity of the buffer in developed economies. GDP growth, exchange rate and volume of imports have no significant influence.
Considering the liquidity risk imposed to the banks’ balance sheet by this set of macroeconomic variables. It seems plausible that their dynamics should be given attention when conceiving any policy mix to cope with credit expansion. Without such exercise, the goal of financial stability in the global banking system will be difficult to achieve. / MT2016

6 
An empirical study of a financial signalling modelCampbell, Alyce January 1987 (has links)
Brennan and Kraus (1982,1986) developed a costless signalling model which can explain why managers issue hybrid securities—convertibles(CB's) or bondwarrant packages(BW's). The model predicts that when the true standard deviation (σ) of the distribution of future firm value is unknown to the market, the firm's managers will issue a hybrid with specific characteristics such that the security's full information value is at a minimum at the firm's true σ. In this fully revealing equilibrium market price is equal to this minimum value.
In this study, first the mathematical properties of the hypothesized bondvaluation model were examined to see if specific functions could have a minimum not at σ = 0 or σ = ∞ as required for signalling. The BlackScholesMerton model was the valuation model chosen because of ease of use, supporting empirical evidence, and compatibility with the BrennanKraus model. Three different variations, developed from Ingersoll(1977a); Geske( 1977,1979) and Geske and Johnson(1984); and Brennan and Schwartz(1977,1978), were examined. For all hybrids except senior CB's, pricing functions with a minimum can be found for plausible input parameters. However, functions with an interior maximum are also plausible. A function with a maximum cannot be used for signalling.
Second, bond pricing functions for 105 hybrids were studied. The two main hypotheses were: (1) most hybrids have functions with an interior minimum; (2) market price equals minimum theoretical value. The results do not support the signalling model, although the evidence is ambiguous. For the σ range 0.050.70, for CB's (BW's) 15(8) BrennanSchwartz functions were everywhere positively sloping, 11(2) had an interior minimum, 22(0) were everywhere negatively sloping, and 35(12) had an interior maximum. Market prices did lie closer to minima than maxima from the BrennanSchwartz solutions, but the results suggest that the solution as implemented overpriced the CB's. BW's were unambiguously overpriced. With consistent overpricing, market prices would naturally lie closer to minima. Average variation in theoretical values was, however, only about 5 percent for CB's and about 10 percent for BW's. This, coupled with the shape data, suggests that firms were choosing securities with theoretical values relatively insensitive to a rather than choosing securities to signal σ unambiguously. / Business, Sauder School of / Graduate

7 
Statistical inference for some financial time series models with conditional heteroscedasticityKwan, Chunkit., 關進傑. January 2008 (has links)
published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

8 
On the statistical inference of some nonlinear time series modelsLin, Zhongli, 林中立 January 2009 (has links)
published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy

9 
Financial market dynamics : an analysis of credit extension and savings allocation.Low, Gilbert William January 1977 (has links)
Thesis. 1977. Ph.D.Massachusetts Institute of Technology. Alfred P. Sloan School of Management. / MÌ²iÌ²cÌ²á¹oÌ²fÌ²iÌ²cÌ²áºeÌ² cÌ²oÌ²pÌ²yÌ² aÌ²vÌ²aÌ²iÌ²á¸»aÌ²á¸á¸»eÌ² iÌ²á¹ AÌ²á¹cÌ²áºiÌ²vÌ²eÌ²sÌ² aÌ²á¹á¸ á¸eÌ²wÌ²eÌ²yÌ². / Bibliography : leaves 521531. / Ph.D.

10 
Computational issues of StochasticAlphaBetaRho (SABR) model. / CUHK electronic theses & dissertations collectionJanuary 2013 (has links)
Yang, Nian. / Thesis (Ph.D.)Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 95100). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

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