Operational transconductance amplifier and capacitor (OTA-C) filters have outstood among different types of filter due to high frequency and low power capabilities in the main stream digital CMOS technology. They have been widely used in computer hard disk drive (HDD) and wireless communication transceivers. OTA-C filters based on cascade and passive ladder simulation are well-known. However, multiple loop feedback (MLF) OTA-C filters which have certain advantages still have the scope for further research. So far there have been no explicit formulas for current-mode leapfrog (LF) filter design and performance evaluation of current-mode MLF OTA-C filters are still lacking. From application viewpoints, read channels for computer hard disk drives require very high frequency continuous-time filters. This automatically disqualifies active- RC/MOSFET-C filters and OTA-C filters become the only solution. In wireless communications, active-RC/MOSFET-C filters have been proved useful for mobile systems whose baseband frequency falls below a few MHz. However, for wireless LANs with the frequency of several tens of MHz, OTA-C filters are a strong candidate. Whilst in HDD read channels, cascaded OTA-C architectures have been most utilized and in wireless receivers, OTA-C structures based on ladder simulation have been popular, MLF OTA-C filters have not been practically used in either of the applications. This thesis describes some novel designs and applications of multiple loop feedback OTA-C filters with extensive CMOS simulations. Analogue filters for computer hard disk drive systems are first reviewed; the state of the art and design considerations are provided. Three VHF linear phase lowpass OTA-C filters are then designed, which include a seventh-order and a fifth-order current-mode filter based on the follow-the-leader-feedback (FLF) structure and a seventh-order voltage-mode filter using the inverse FLF (IFLF) configuration. These filters all have very low power consumption. The synthesis and design of general current-mode LF OTA-C filters are conducted next. Iterative design formulas for both all-pole and finite-zero functions are derived and explicit formulas for up to sixth-orders are given. These formulas are very easy to use for designing any type of characteristics. Subsequently, linear phase lowpass OTA-C filter design for HDD read channels using LF structures are investigated in details. A current-mode filter and a voltage-mode filter using the fifth-order LF structure are presented. The two filters can operate up to 800MHz and have very small passband phase ripple. Analogue filters for wireless communication baseband applications are also reviewed thoroughly in this thesis, where the design of a fourth-order current-mode FLF Butterworth lowpass OTA-C filter for multi-standard receivers is presented. Then two fifth-order current-mode elliptic lowpass OTA-C filters based on respective LF and FLF structures for wireless communication baseband are designed. Fifth-order voltage-mode IFLF and LF elliptic lowpass filters are also presented. All these MLF baseband filters designed can operate up to 40MHz to cover all important wireless and mobile standards. Simulations show that the LF structures have better dynamic range and stopband attenuation performances than the FLF and IFLF configurations.

本研究利用美國芝加哥商品交易所針對 18 個城市發行之冷氣指數／暖氣指數衍生性商品與相對應之日均溫進行分析與評價。研究成果與貢獻如下：一、延伸 Alaton, Djehince, and Stillberg (2002) 模型，引入跳躍風險、隨機波動度、波動跳躍等因子，提出新模型以捕捉更多溫度指數之特徵。二、針對不同模型，分別利用最大概似法、期望最大演算法、粒子濾波演算法等進行參數估計。實證結果顯示新模型具有較好之配適能力。三、利用 Esscher 轉換將真實機率測度轉換至風險中立機率測度，並進一步利用　Feynman-Kac 方程式與傅立葉轉換求出溫度模型之機率分配。四、推導冷氣指數／暖氣指數期貨之半封閉評價公式，而冷氣指數／暖氣指數期貨之選擇權不存在封閉評價公式，則利用蒙地卡羅模擬進行評價。五、無論樣本內與樣本外之定價誤差，考慮隨機波動度型態之模型對於溫度衍生性商品皆具有較好之評價績效。六、實證指出溫度市場之市場風險價格為負，顯示投資人承受較高之溫度風險時會要求較高之風險溢酬。本研究可給予受溫度風險影響之產業，針對衍生性商品之評價與模型參數估計上提供較為精準、客觀與較有效率之工具。 / This study uses the daily average temperature index (DAT) and market price of the CDD/HDD derivatives for 18 cities from the CME group. There are some contributions in this study: (i) we extend the Alaton, Djehince, and Stillberg (2002)'s framework by introducing the jump risk, the stochastic volatility, and the jump in volatility. (ii) The model parameters are estimated by the MLE, the EM algorithm, and the PF algorithm. And, the complex model exists the better goodness-of-fit for the path of the temperature index. (iii) We employ the Esscher transform to change the probability measure and derive the probability density function of each model by the Feynman-Kac formula and the Fourier transform. (iv) The semi-closed form of the CDD/HDD futures pricing formula is derived, and we use the Monte-Carlo simulation to value the CDD/HDD futures options due to no closed-form solution. (v) Whatever in-sample and out-of-sample pricing performance, the type of the stochastic volatility performs the better fitting for the temperature derivatives. (vi) The market price of risk differs to zero significantly (most are negative), so the investors require the positive weather risk premium for the derivatives. The results in this study can provide the guide of fitting model and pricing derivatives to the weather-linked institutions in the future.