Un mercado implica, de manera general, un conjunto de interacciones relativamente complejas entre agentes a lo largo del tiempo. En consecuencia, recientes investigaciones en el campo de las finanzas intentan integrar el comportamiento estratégico de los agentes en los modelos existentes. Dos importantes líneas de investigación en las que la incidencia del comportamiento estratégico ha sido ampliamente explotado son la valoración de la deuda de la empresa y la microestructura del mercado. En el segundo capítulo se desarrolla un eventual modelo de valoración para bonos de cupón cero en mora. Con el objetivo de destacar el papel del vencimiento y de la colocación de la demanda del prestatario en la jerarquía de la deuda de una empresa, tomaremos el caso de una empresa que emita dos bonos con vencimiento y prioridad distintos. Este modelo nos permite analizar las implicaciones, tanto de la renegociación de la deuda como de la estructura del capital de la empresa en el precio de los bonos. Veremos que la renegociación conlleva un cambio significativo en el precio de los bonos y que su efecto se dispersa a través de varios canales: incrementando el valor de la empresa, reasignando pagos y evitando liquidaciones costosas. Asimismo, la presencia de dos acreedores tiene implicaciones cualitativamente diferentes en precio, y a la vez pone énfasis en la importancia de los contratos de bonos y la renegociación de la totalidad de la deuda. En el tercer capítulo se desarrolla el modelo de tráfico de información privilegiada en el que los agentes tienen información privada sobre el valor de liquidación o sobre la oferta y actúan de modo estratégico para maximizar sus beneficios. El operador de ofertas informado tiene un doble papel en la creación de mercados y en la revelación de información. Este operador, no sólo revela parte de la información que posee, sino que también induce a otros operadores a revelar una mayor parte de su información privada. La presencia de varios tipos de información reduce la liquidez del mercado e induce a la no-monotonicidad de los indicadores de mercado respecto a la variación del valor de liquidación. El cuarto capítulo aborda temas de microestructura, esta vez en relación con la tributación con problemas de incertidumbre. Se desarrolla un modelo en el que consideramos las implicaciones del informe fiscal en los beneficios por tráfico de información privilegiada. Se modela la interacción entre la empresa y la agencia de auditoría fiscal como relación principal-agente sin compromiso. Por otro lado, los mercados financiero se modelan de acuerdo con Kyle (1985), con la diferencia de que el creador de mercados establecerá un precio condicionado por dos factores el flujo total de pedidos y el informe fiscal recibido por la agencia de auditoría fiscal. Modelar la interacción entre la agencia tributaria y la empresa nos permite endogenizar el factor público. Nuestro modelo apunta a que los efectos que producen las interacciones entre la empresa y la agencia de auditoría fiscal en el comportamiento del creador de mercados y el poseedor de información privilegiada son significativos. Así pues, existen varios canales a través de los cuales el informe fiscal influye en los beneficios de quien posee información privilegiada. El informe fiscal afecta al valor de liquidación de la empresa que opera en mercados financieros de dos modos: mediante los impuestos directos pagados honradamente y mediante los esfuerzos de auditoría (lo que en nuestro modelo depende del informe fiscal). A su vez, el valor de liquidación afecta a la demanda y, consecuentemente, al flujo de pedidos. Finalmente, puesto que el creador de mercados utiliza los informes fiscales como factor esto afecta directamente a los precios establecidos por el creador de mercados y, consecuentemente, a toda la actuación del mercado. / A market typically involves a relatively complex set of interactions between agents over time. Consequently, recent research in finance tries to integrate strategic behaviour of the agents in the existing models. Two important directions of research where the incidence of strategic behavior has been widely exploited are valuation of corporate debt and market microstructure. In the second chapter we develop a contingent valuation model for zero-coupon bonds with default. In order to emphasize the role of maturity time and place of the lender's claim in the hierarchy of debt of a firm, we consider a firm that issues two bonds with different maturities and different seniorage. The model allows us to analyze the implications of both debt renegotiation and capital structure of a firm on the prices of bonds. We obtain that renegotiation brings about a significant change in the bond prices and that the effect is dispersed through different channels: increasing the value of the firm, reallocating payments, and avoiding costly liquidation. Moreover, the presence of two creditors leads to qualitatively different implications for pricing, while emphasizing the importance of bond covenants and renegotiation of the entire debt.In the third chapter we develop a model of insider trading where agents have private information either about liquidation value or about supply and behave strategically to maximize their profits. The supply informed trader plays a dual role in market making and in information revelation. This trader not only reveals a part of the information he owns, but he also induces the other traders to reveal more of their private information. The presence of different types of information decreases market liquidity and induces non-monotonicity of the market indicators with respect to the variance of liquidation value.The fourth chapter is concerned also with microstructure issues, this time in connection with a taxation under uncertainty problem. We develop a model in which we consider the implications of tax report on the profits from insider trading. We model the interaction between the firm and the tax auditing agency as a principal-agent relationship with no commitment. On the other hand, the financial markets are modelled as in Kyle (1985), with the difference that the market maker will set the price conditional on two signals: the total order flow and the tax report received by the tax auditing agency. Modelling the interaction between the tax agency and the firm allows us actually to endogenize the public signal. Our model points out that the effects the interactions between the firm and the tax auditing agency have both on market maker's and insider's behaviour are significant. Thus, there exist several channels through which the tax report affects the profits of the insider. The tax report affects the liquidation value of the firm traded in financial markets in two ways: through the direct taxes honestly paid and through the auditing effort (which in our model is contingent on the tax report). On its turn, the liquidation value affects the demand and therefore the order flow. Finally, since the market maker uses the tax report as a signal, it directly affects the pricing rule set by the market maker, and therefore, all the market performance.

Hedging a contingent claim with an asset which is not perfectly correlated with the underlying asset results in an imperfect hedge. The residual risk from hedging with a correlated asset is priced using an actuarial standard deviation principle in infinitesmal time, which gives rise to a nonlinear partial differential equation (PDE). A fully implicit, monotone discretization method is developed for solving the pricing PDE. This method is shown to converge to the viscosity solution. Certain grid conditions are required to guarantee monotonicity. An algorithm is derived which, given an initial grid, inserts a finite number of nodes in the grid to ensure that the monotonicity condition is satisfied. At each timestep, the nonlinear discretized algebraic equations are solved using an iterative algorithm, which is shown to be globally convergent. Monte Carlo hedging examples are given, which show the standard deviation of the profit and loss at the expiry of the option.

Quantum key-distribution (QKD) is a scheme for establishing shared secret key between remote parties. In such a scheme, quantum preparation and measurement devices (sources and detectors) are used. In existing theoretical treatments of QKD, the device models used do not capture all the imperfections which might occur in realistic devices. This creates a gap between the practical implementations and theoretical descriptions of QKD. In the present work, we contribute in bridging this gap by three methods: 1) Advancing the study of squashing models of measurement devices, 2) Devising an alternative to squashing models using statistical estimation in optical QKD, and 3) Modifying the security proof formalism of QKD to account for imperfect devices.

Quantum key-distribution (QKD) is a scheme for establishing shared secret key between remote parties. In such a scheme, quantum preparation and measurement devices (sources and detectors) are used. In existing theoretical treatments of QKD, the device models used do not capture all the imperfections which might occur in realistic devices. This creates a gap between the practical implementations and theoretical descriptions of QKD. In the present work, we contribute in bridging this gap by three methods: 1) Advancing the study of squashing models of measurement devices, 2) Devising an alternative to squashing models using statistical estimation in optical QKD, and 3) Modifying the security proof formalism of QKD to account for imperfect devices.

This thesis establishes residence time distribution (RTD) as a key tool for the investigation of water treatment systems. RTD software for tracer data modelling and interpretation is developed and validated for problem solving purposes in water treatment systems. The technique focuses on the systematic interpretation of RTD data using a tanks-in-series based model and an indicator, flushing time (tf ). This approach removes the subjectivity often associated with RTD interpretation and is tested extensively using experimental and numerical data. The influence of design elements, intended to enhance hydraulic efficiency, is also addressed. For this purpose, both numerical modelling (Mike 21) and the proposed approach are employed. Results reveal that the interpretive provides valuable information, facilitating a greater understanding of the hydraulic effects of changes to geometry and inlet/outlet configuration than other techniques alone. The approach was shown to be particularly successful at interpreting RTD curves from stormwater treatment systems due to their susceptibility to stagnation. However, it was shown to have limited applicability in systems with complex flow characteristics (such as large bioreactor vessels) or those susceptible to extensive short-circuiting. The approach was also found to be unsuitable for evaluating the impact of deviations from ideal flow on pollutant removal in systems governed by complex biokinetic reactions.

Thesis (M.A.)--Indiana University, 2008. / Title from screen (viewed on August 28, 2009). Department of World Languages and Cultures, Indiana University-Purdue University Indianapolis (IUPUI). Advisor(s): Marta Antõn. Includes vita. Includes bibliographical references (leaves 65-67).

by Richard L. Schmalensee. / "April 1984." / Bibliography: p.17-18.

Rise of imperfect competition, more precisely its oligopoly form, has became very wide spreed. In certain extent we can say that this is a result of government regulation in different areas of national economy. Aim of this work was to analyze and compare television stations market in SR and CR and evaluate those interactions among channels in their respective economies, which lead to rise in the concrete situation on the market. Also to show some oportunietis, that might be exploited by new TV companies entering this industry. Most importent in this sector will by liberalization, which will lead to better form of competetiv advantage and will bring more costumers to this market. It partly explains horizont of digital broadcasting, which implementing currently runs in all Europe contries.

De plus en plus de tâches informatiques sont effectuées par des systèmes interactifs qui impliquent plusieurs agents distribués, qui n'ont qu'une connaissance locale de l'état global du système, et leurs propres ressources de calcul. Notre travail explore des scénarios interactifs parle prisme des jeux synchrones sur graphes finis et à information imparfaite. Premièrement, on s'intéresse à la question de la difficulté intrinsèque des phénomènes interactifs, en étudiant une variante de notre modèle général de jeux, les consensus game acceptors. On montre que, sous hypothèse d'information imparfaite, la condition de consensus est suffisante pour causer l'indécidabilité. En utilisant les outils de la théorie des langages formels, on donne une classification des jeux en termes de complexité d'exécution des stratégies gagnantes. Ensuite, on se concentre sur des cas décidables et sur la façon dont l'information est rendue accessible aux joueurs. On identifie un motif de flot d'information parmi les joueurs qui assure la décidabilité: l'information hiérarchique. Un jeu est considéré à information hiérarchique quand l'information à propos de l'historique actuel est accessible aux joueurs de manière ordonnée, de telle sorte qu'il n'y a pas deux joueurs ayant de l'information incomparable. On présente trois variantes de l'information hiérarchique : l’information hiérarchique statique, dynamique, et enfin récurrente, qui élargissent le paysage des architectures décidables. Enfin, on considère une source particulière d'information imparfaite dans les jeux, qui peut apparaître en pratique: les délais. Développant la technique de delayed-response de la littérature de théorie des jeux économique, on élabore une procédure qui prend en charge la structure de système de transition à états multiples de notre modèle de jeux, et, en recombinant prudemment des stratégies gagnantes dans les instances de jeu avec monitorat instantané, construit des solutions au problème de la synthèse distribuée différée qui préservent les équilibres. / More and more computing tasks are performed by interactive systems that involve several distributed agents which have local knowledge about the global state of the system and their own computing resources. Our work investigates interactive scenarios through the prism of synchronous games on finite graphs with imperfect information. First, we address the question why interaction is difficult to handle, by studying the consensus game acceptor variant of the general game model. We show that, under imperfect information, the consensus condition is enough to cause undecidability. By using tools of formal language theory, we also give a classification of the complexity of executing joint winning strategies. Second, we focus on decidable cases and the way information is made accessible to the players. We identify a pattern of information flow among players that leads to decidability: hierarchical information. A game has hierarchical information when the information about the current history is accessible to the players in an orderly fashion, so that no two players have incomparable information. We present three variants of hierarchical information: static, dynamic, and finally recurring hierarchical information that enlarge the landscape of decidable architectures. Finally, we consider a particular source of imperfect information in games, that can arise in practice: delays. Extending the delayed-response technique from the economical game theory literature, we design a procedure that handles the transition state-structure of our game model, and constructs, by carefully recombining winning strategies from instant monitoring game instances, solutions to the delayed distributed synthesis problem that preserve the equilibrium outcomes.

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