Ce travail de thèse propose une méthodologie visant la résolution de certains problèmes de classification, notamment ceux concernant la classification séquentielle en tâches de Traitement Automatique des Langues. Afin d'améliorer les résultats de la tâche de classification, nous proposons l'utilisation d'une approche itérative basée sur l'erreur, qui intègre, dans le processus d'apprentissage, des connaissances d'un expert représentées sous la forme de "règles de connaissance". Nous avons appliqué la méthodologie à deux tâches liées à la détection de la spéculation ("hedging") dans la littérature scientifique: la détection de segments textuels spéculatifs ("hedge cue identification") et la détection de la couverture de ces segments ("hedge cue scope detection"). Les résultats son prometteurs: pour la première tâche, nous avons amélioré le F-score de la baseline de 2,5 points en intégrant des données sur la co-occurrence de segments spéculatifs. Concernant la deuxième tâche, l'intégration d'information syntaxique et des règles pour l'élagage syntaxique ont permis d'améliorer les résultats de la classification de 0,712 à 0,835 (F-score). Par rapport aux méthodes de l'état de l'art, les résultats sont très bons et ils suggèrent que l'approche consistant à améliorer les classifieurs basées seulement sur des erreurs commises dans un corpus, peut être également appliquée à d'autres tâches similaires. Qui plus est, ce travail de thèse propose un schéma de classes permettant de représenter l'analyse d'une phrase dans une structure unique qui intègre les résultats de différentes analyses linguistiques. Cela permet de mieux gérer le processus itératif d'amélioration du classifieur, dans lequel différents ensembles d'attributs d'apprentissage sont utilisés à chaque itération. Nous proposons également de stocker les attributs dans un modèle relationnel au lieu des structures textuelles classiques, afin de faciliter l'analyse et la manipulation des données apprises.

This paper examines the impact of USD and EUR exchange rates on the Swedish stock market performance for different economic sectors over a time period of ten years (2003-2013). The growing integration between foreign exchange markets and stock markets with the wide spread use of hedging and diversification policies made it necessary to test the degree of impact these two distinct markets share between each other. Number of studies, were done studying the relationship between the exchange rates and stock performance combining and comparing different economies and currencies. Nevertheless, research gap prevailed when it came at the point of the studying the relationship on Swedish stock and foreign exchange market. The research was conducted with the quantitative method. Initially we have tested how the performance of Swedish stock market is correlated with the return of the USD and EUR in different economic sectors over different time periods. Later, we try to investigate if there is any spillover effect flows from the exchange market to the Swedish stock market. The Pearson’s correlation coefficient and GARCH (1,1) model were applied to study the correlation and spillover effect between the exchange and stock return respectively. Our empirical study showed that there is very low correlation which is statistically insignificant between the two different markets. Correlations were found to be significantly varied across the different economic sectors in different time periods. Moreover empirical study supported that the spillover effect exists and showed that movement of exchange rates will affect the future performance of stock market. The significant conclusions were that USD and EUR can be used as portfolio diversification and during the volatile exchange market, investors should diversify or hedge their risk domestically and vice versa. The implications of this finding is particularly very important for the portfolio managers when devising their hedging policies and diversifying their portfolios in order to minimize their unsystematic risk.

In today’s world economy, many companies produce where it is most cost effective to produce goods, sell where it is most profitable and source capital where it is cheaper than anywhere else, without worrying about national boundaries. However, this stage were the world has reached began three decades ago with the freeing of exchange rate, capital and interest rate controls. Additional business risks have arisen as a result of this free world and they are such that interest and exchange rates have become more variable requiring innovative financial products to help companies manage these business risks. Companies can now buy financial derivatives to help manage their exposure to variable exchange rates. As such it was the purpose of this paper to assess the effectiveness of exchange traded currency futures contracts in managing exposure to exchange rates. This was to be achieved through answering two research questions (1) how successful are exchange traded futures derivatives and (2) what is the significance of these success rates. The study established that futures contracts with maturity in three, six and nine-months have 52%, 72% and 45% success rates respectively and however only the three month success rate was confirmed by hypothesis tests.

Texas is the leading U.S. producer of cotton, and the U.S. is the largest international market supplier of cotton. Risks and uncertainties plague Texas cotton producers with unpredictable weather, insects, diseases, and price variability. Risk management studies have examined the risk reducing capabilities of alternative management strategies, but few have looked at the interaction of using several strategies in different combinations. The research in this study focuses on managing risk faced by cotton farmers in Texas using irrigation, put options, and yield insurance. The primary objective was to analyze the interactions of irrigation, put options, and yield insurance as risk management strategies on the economic viability of a 1,000 acre cotton farm in the Lower Rio Grande Valley (LRGV) of Texas. The secondary objective was to determine the best combination of these strategies for decision makers with alternative preferences for risk aversion. Stochastic values for yields and prices were used in simulating a whole-farm financial statement for a 1000 acre furrow irrigated cotton farm in the LRGV with three types of risk management strategies. Net returns were simulated using a multivariate empirical distribution for 16 risk management scenarios. The scenarios were ranked across a range of risk aversion levels using stochastic efficiency with respect to a function. Analyses for risk averse decision makers showed that multiple irrigations are preferred, and that yield insurance is strongly preferred at lower irrigation levels. The benefits to purchasing put options increase with yields, so they are more beneficial when higher yields are expected from applying more irrigation applications.

Two peaks of eclosion dates, about 15 days apart, occur in the same batch of fertilized eggs in the marine midge, Pontomyia oceana. Two hypotheses, the variable adaptive peaks and the bet-hedging hypotheses, were proposed as the ultimate factor of the polymorphic phenomenon. They were tested by experiments controlling feeding amount and photoperiod, as well as selective breeding experiments. The offspring eclosing in the two peaks do not differ in fecundities, egg diameters, thorax and head lengths of males; this is not compatible with the variable adaptive peaks hypothesis. Both peaks exist under various feeding and photoperiods, although peak ratios differed in the former. The results in the first peak lineage did not support there is genetic component in peak ratio determination. The experiments in the second peak lineage had much lower success rates, although the results seemed to suggest a genetic component. The results in a more extreme selection experiment did not support that there is genetic component either. The present results are more compatible with the bet-hedging hypothesis. Wind velocity may be a factor hard to predict by the midges, and it may cause reproductive failure of them. Whereas high emergence synchronization, a prominent feature of the marine midge, may have advantages in many aspects, it also concentrates the risk of total reproductive failure. Spreading offspring to more than one suitable eclosion peak, the midge may have sacrificed short-term reproductive rate for long-term fitness.

This article examines the hedging positions derived from the Black-Scholes(B-S) model and the GARCH(1,1) models, respectively, when the log returns of underlying asset exhibits GARCH(1,1) process. The result shows that Black-Scholes and GARCH options deltas, one of the hedging parameters, are similar for near-the-money options, and Black-Scholes options delta is higher then GARCH delta in absolute terms when the options are deep out-of-money, and Black-Scholes options delta is lower then GARCH delta in absolute terms when the options are deep in-the-money. Simulation study of hedging procedure of GARCH(1,1) and B-S models are performed, which also support the above findings.

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying Brownian motion. After substituting into the GBM the direct volatility estimator for the true, but unknown, value of the parameter sigma, we derive the resulting marginal distribution of the approximated GBM. This allows us to derive post-estimation distributions and valuation formulae for an assortment of European contingent claims that are in accord with the basic properties of the underlying risk-neutral process. Next we extend our work to the contingent claim sensitivities associated with an assortment of European option portfolios that are based on the direct estimator of the volatility of the GBM process. Our approach to the option sensitivities - the Greeks - uses the likelihood function technique. This allows us to obtain computable results for the technically more-complicated formulae associated with our post-estimation process. We discuss an assortment of difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae.

<p>In 2005, all groups listed on European stock exchanges are required to prepare their consolidated financial statements according to International Financial Reporting Standards (IFRS). IFRS are different from local regulations across Europe in many aspects, and observers expect the transition process thorny and resource-draining for the companies that undertake it.</p><p>The study explores transition difficulties by Swedish bank groups on the way of implementing IAS 39, Financial Instruments: Recognition and Measurement. Deemed the most controversial and challenging standard for adoption by the financial sector, it indeed poses new demandson classification, recognition and measurment of financial instruments, and sets out new hedge accounting rules, previously unseen in Swedish practice. Additionaly, the structure of bank's balance sheets makes IAS 39 also the central one among all other standards in terms of numbers of balance sheet items it impacts.</p><p>The study uses qualitative method to explore whether transition to IAS 39 is likely to improve transparency in reporting derivatives. Focus is on use of interest rate swaps as hedging instruments in mitigation of interest rate risk.</p><p>It is concluded that differences between two reporting frameworks have been well understood by the banks early in the implementation process. A negative feature of the standard is increased volatility in earnings as a result of more wide-spread reliance on fair value measurement method. This accounting volatility impedes comparability of performance results, as well as conceals true efficiency of economic hedge relationships. To some degree, the volatility can be minimized by the application of hedge accounting. However, a bank must methodically follow a set of rigourous if hegde accounting is to be adopted. Fair value is a more straightforward alternative to hedge accounting , but it brings in additional concerns, and has not yet been endorsed in the EU.</p><p>It is additionally argued that recognition of all derivatives on BS and measurement at fair value are two important features of IAS 39 that indeed increases reporting transparency by minimizing risk of undisclosed hidden losses.</p>

<p>Background:</p><p>Hedge funds have its origin in 1949 when Alfred W Jones constructed a fund that used a new technique where he took long positions and hedged them with short positions. This fund got a large publicity when it was proved that it had outperformed any other fund by 87 percent during a ten year period. Though, it was not until the early 1990’s hedge funds became popular for the general public. The goal for hedge funds in general is to yield an absolute return and there are many different strategies for reaching this goal. This has lead to the following three research questions:</p><p>Have Hedge funds been able to reach its goal for an absolute return in both bullish and bearish times?</p><p>Which strategy has shown the best performance in markets on the rise and in declining markets and is it possible to place the different strategies in order of precedence?</p><p>Is it possible to come up with a guideline for investing in hedge funds on the Swedish market?</p><p>Purpose:</p><p>The purpose with this thesis is to study the returns on a large number of hedge funds in the American fund market based upon their investment strategy, both when the market is gaining and when it is declining.</p><p>Method:</p><p>In this thesis we have investigated twelve different strategies in the American market. By using secondary data from HFRI’s hedge fund database we have conducted a quantitative research by calculating key statistics for the strategies. We have also plotted performance diagrams were the strategies are compared with S&P 500. To be able to answer our research questions we constructed a table containing a summary of the risk and return for the strategies in bullish and bearish market times.</p><p>Results:</p><p>Our research showed that there were two strategies that were capable of delivering an absolute return for the entire period. However, when looking deeper into the yearly returns we found that there were another eight strategies that presented a negative return for just one out of the total eleven years. To conclude the research we have placed the strategies in order of precedence that works as a guideline for investing in the Swedish market in bull and bear markets.</p>

<p>The purpose of this study was to translate a number of selected pages from the book Horses Talking by Margrit Coates into Swedish. An analysis of the source text and the translation was carried out with the focus on three aspects: hedging, adjectives and non-finite ing-participles. The subject of the translated text lies within the broad field of animal behaviour, parapsychology and telepathy, and focuses exclusively on communication between humans and horses. Given the nature of the text, which contains cautious advice and qualified recommendations to the reader, hedging has an important function to fill. Furthermore, there are many adjectives, which give the text a certain character, and they are essential to the message of the book: how to create a good relationship between humans and horses. Theories within the translation shift approach were applied to the study. In particular, Catford’s model and terminology were looked at. Hedging at word and phrase level primarily proved to be realised by the use of modal auxiliary verbs as hedges in the source text; this application was also primarily transferred into the target text. The most common translation strategy used was literal translation. A compound noun or noun (class shift) and a prepositional phrase (unit shift) were the most common translation methods for the attributive adjectives in the analysis. The predicative adjectives were primarily translated with a verb (class shift) or a verb phrase (unit shift) and with a prepositional phrase (unit shift). For the non-finite ing-participles, a variety of methods were applied, among which the most important were the att-infinitive (grammatical shift) and a relative clause (unit shift).</p>