The paper studies structural credit risk models with incomplete information of the asset value. It is shown that the pricing of typical corporate securities such as equity, corporate bonds or CDSs leads to a nonlinear filtering problem. This problem cannot be tackled with standard techniques as the default time does not have an intensity under full information. We therefore transform the problem to a standard filtering problem for a stopped diffusion process. This problem is analyzed via SPDE results from the filtering literature. In particular we are able to characterize the default intensity under incomplete information in terms of the conditional density of the asset value process. Moreover, we give an explicit description of the dynamics of corporate security prices. Finally, we explain how the model can be applied to the pricing of bond and equity options and we present results from a number of numerical experiments.

O Acordo da Basiléia, originalmente criado em 1988 e posteriormente reformulado em 2004, estabelece critérios para a regulação do setor bancário com o intuito de garantir a estabilidade do sistema financeiro internacional. Para atingir estes objetivos, o seu principal instrumento é a requisição .de que os bancos internacionalmente ativos devem manter níveis mínimos de capital e relação aos seus ativos ajustados pelo risco. O objetivo do presente trabalho é analisar as motivações econômicas para esta requisição de capital do setor bancário, assim como analisar suas principais implicações. Iniciamos este trabalho com uma breve descrição histórica do Acordo da Basiléia e do papel da estrutura de capital do setor bancário neste Acordo. Em seguida, apresentamos uma descrição da teoria econômica dos contratos e as principais aplicações desta teoria para o estudo da estrutura de capital de uma firma em geral e do setor bancário em particular. Por fim, mostramos como os resultados obtidos pela teoria econômica justificam a estrutura geral do Acordo da Basiléia, e ressaltamos os principais desafios que serão enfrentados na pratica por seus formuladores. / The Basel Capital Accord, created in 1988 and reformulated in 2004, defines patterns for the banking sector with the aim of achieving the stability of the international financial system. It main instrument is theuse of minimum capital requirements. This work tries to understand the economic underpining of the Basel Capital Accord and its main inplications. We start with a description of the Accord and explain the role of the minimum capital requirements. We then introduce the main elements of the microeconic models of contract theory and use this models to explain the importance of the capital structure of a bank. Finally, we show how the main results of the models base don the insights of contract theory explain most of the features of the Basel Capital Accord and introduce its main limitations.

Analisar a integração territorial da região do Médio Solimões no Amazonas por meio do papel da centralidade de Tefé no contexto de uma globalização relativizada é o grande objetivo desta tese. Em primeiro lugar, apresenta-se a história dos fluxos desta região via a periodização da formação histórica da centralidade tefeense. Posteriormente se analisa as funcionalidades da centralidade tefeense sob o contexto de uma modernização incompleta com o intuito de compreender as relações de Tefé com as cidades circunvizinhas, identificando os fluxos contemporâneos mais significativos social e economicamente. Em particular, estuda-se o desempenho dos serviços e das finanças, atividades que integram fragilmente a região de Tefé ao meio técnico-científico-informacional. Trata-se esta questão a partir de seu papel como cidade intermediária concomitante às funcionalidades de uma cidade regional, contribuindo para a discussão de uma dialética do território que produz o encontro entre o velho e o novo e a coexistência de divisões do trabalho modernas e pretéritas. Esta tese fornece subsídios para a compreensão de que os fluxos da centralidade tefeense integram as cidades da sua Região de Influência. Como se realiza esta integração em um subespaço onde estes mesmos fluxos são limitados e, concomitantemente, fundamentais para a economia do município de Tefé e dos circunvizinhos? Qual o papel da centralidade de Tefé na integração e desenvolvimento regional no inexorável processo de globalização contemporânea? A hipótese que uma integração relativizada perpetue a condição de pobreza e de baixo desenvolvimento social e econômico nas cidades da região de Tefé em decorrência da manutenção de condicionantes que estabelecem uma modernização incompleta orienta a pesquisa. Esta integração relativizada ocorre em razão da existência de uma rede de telecomunicações e objetos de teleação com funcionamentos deficientes, via infraestruturas limitadas, que prejudicam a fluidez das relações e dos fluxos. Evidencia-se que fluxos virtuosos, ou seja, os que permitem uma integração territorial e que fortalecem os laços e relações que subsidiam o desenvolvimento econômico e social permitem a Tefé configurar-se como um território de todos. Ao mesmo tempo identifica-se, na região do Médio Solimões, fluxos fragmentadores ou desvirtuosos à integração e ao desenvolvimento partindo de agentes da globalização que operacionalizam de forma verticalizada atividades em benefício de uma parte reduzida da população, dado seu caráter altamente seletivo. / To analyze the territorial integration of the region of Médio Solimões in the Amazon throught the roll of Tefés centrality in the context of a relativized globalization is the main objective of this thesis. First of all, the history of this regions flows through the chronology of historical formation of the tefeense centrality is presented. Subsequently, the functionalities of the tefeense centrality are analyzed under the context of an incomplete modernization with the aim of understanding Tefés relationships with the neighboring cities, identifying the more significant contemporary flows, both socially and economically. In particular, the performance of services and finances is studied, which are activities that weakly take part in the region of Tefé in the technical-scientificinformational community. This issue is treated from its roll as an intermediary city, concomitantly to the functionalities of a regional city, and contributes to the discussion of a territory dialectic that produces the encounter between old and new and the coexistence of modern and past labor divisions. This thesis provides subsides for the better understanding that the flows of the tefeense centrality integrate the cities of its Influence Region. How does this integration takes place in a subspace where these very flows are limited and, concomitantly, fundamental to the economy of the municipality of Tefé and to the neighboring towns? What is the role of Tefés centrality in the integration and regional development in the inexorable process of contemporary globalization? The hypotheses that a relativized integration perpetuates the condition of poverty and low social and economic development in the cities of Tefés region due to maintenance of conditions that establish an incomplete modernization orient the investigation. This relativized integration occurs due to the existence of a telecommunication network and teleaction objects with malfunctions, via limited infrastructures, that can damage the fluidity of relations and flows. It is shown that virtuous flows, in other words, the ones that allow a territorial integration and that strengthen the ties and relations that subside the economic and social development enable Tefé to become a territory for all. At the same time, in the region of Médio Solimões, fragmented or non-virtuous flows of integration and development that come from globalization agents are identified and they operationalize activities in a vertical way in the interests of a reduced part of the population, given its highly selective character.

The primary objective of this thesis is to analyse the public private partnership (PPP) framework for infrastructure development in developing countries across the six regions of the world. The thesis utilises the World Bank's private participation in infrastructure (PPI) dataset for the period 1980–2014, and examines three thematic areas. The first comprises of an exploratory analysis of the PPI dataset. The second research area focuses on the relationship between countries' attractiveness for PPPs and the characteristics of the countries, including: macroeconomic and market; fiscal constraints; regulatory and governance; and experience in PPPs, by utilising the Zero-Inflated Negative Binomial and Cragg's Double Hurdle models in an attempt to model private investors' decision to engage in PPPs as separate participation and consumption decisions. The third research area employs the methodology of survival analysis to investigate the risk of failure of PPP projects based on the allocation of residual facility ownership between the partners. The thesis's primary contributions include the utilisation of a wider and more informative range of econometric methodologies which have not been previously applied to the PPI dataset, and for the first time also, provides a framework to select an appropriate structure for PPPs that will enhance project survival. A key finding of the thesis is that private investors prioritise macroeconomic and market variables, such as price stability over regulatory and governance variables, such as corruption, in their determination as to which country to engage in PPPs. Contrary to previous research, corruption was found to be of no consequence to private investors who wish to engage in PPPs even for developing countries. Another key finding is that PPP projects which confer residual ownership on the public sector have lower risk of failure than those for which such ownership is conferred on the private sector. Evidence also suggests that the size of the project and the participation of multilateral institutions in PPPs also affect the risk of project failure.

We address the issue of market incompleteness in the time dimension. Specifically, we focus on interest rate markets and the yield curve extraction. The lack of information about interest rates manifest itself in a non-invertible linear system. The usual approach to circumvent this problem is by applying various curve fitting methods - both parametric and non-parametric. We argue in favor of a novel method relying on information theory, which reformulates the ill-posed linear algebra problem into a well-posed optimization problem, where the linear pricing equations are used as constraints. Local cross entropy is used to determine the optimal solution among the admissible solutions, while all the input prices reflected in constraints are perfectly matched. Large-scale optimization package called AMPL is used extensively throughout this work to obtain the optimal solution as well as to demonstrate the implementation details.

A Análise de Preferência Conjunta (APC) é uma metodologia estatística bastante utilizada em estudos de comportamento do consumidor e do mercado em geral. Ela possibilita a realização de estudos sobre julgamentos individuais, tais como a aceita-bilidade e preferência por um determinado produto no momento da sua aquisição (ver Artes, 1991 e Friedmann, 1998). Em um estudo de preferência conjunta, são apresentadas configurações hipotéticas de um mesmo produto, que devem ser avaliadas segundo a preferência do respondente. O julgamento de um estímulo é denominado de valor de preferência que nada mais é do que a quantificação da preferência do indivíduo por um estímulo. Quanto maior o número de atributos e níveis utilizados na caracterização de um produto, mais real será sua descrição. No entanto, a complexidade dos estímulos e o número de configurações possíveis aumenta exponencialmente a cada novo atributo ou nível acrescentado, podendo comprometer a qualidade dos resultados de uma pesquisa. Este problema é contornado através da utilização de estímulos gerados através de planejamentos fracionários combinado na omissão de um ou mais atributos nos diferentes estímulos, conhecidos como perfis incompletos. Neste trabalho, pretende-se testar o efeito da ausência de atributos na classificação de estímulos e diferentes formas de imputação da informação faltante em uma aplicação sobre o efeito de características do emprego na satisfação do funcionário. / Conjoint Analysis is a statistic technique used in many behavior studies, product management and marketing researches. The conjoint method involves presenting customers with a test set of hypothetical products profiles and collecting their preferences. It\'s task is to identify some within a set of attributes those ones that are the most important for the research participants. Conjoint Analysis works better when the test set of profiles is small and the number of attributes is not so large. When a large number of attributes are considered in a conjoint study, the final number of possible profiles increase a lot. In this cases, fractional designs and incomplete profiles can be used to solve this problem. In this study will be tested the missing information efect in a conjoint study and will be compared some diferent imputations methods.

The increased concentration of greenhouse gases is associated with the global warming in the lower troposphere. For over twenty years, the space physics community has studied a hypothesis of global cooling in the thermosphere, attributable to greenhouse gases. While the global temperature increase in the lower troposphere has been relatively well established, the existence of global changes in the thermosphere is still under investigation. A central difficulty in reaching definite conclusions is the absence of data with sufficiently long temporal and sufficiently broad spatial coverage. Time series of data that cover several decades exist only in a few separated regions. The space physics community has struggled to combine the information contained in these data, and often contradictory conclusions have been reported based on the analyses relying on one or a few locations. To detect global changes in the ionosphere, we present a novel statistical methodology that uses all data, even those with incomplete temporal coverage. It is based on a new functional regression approach that can handle unevenly spaced, partially observed curves. While this research makes a solid contribution to the space physics community, our statistical methodology is very flexible and can be useful in other applied problems.

Doctor of Philosophy / Abstract Neurodegenerative disorders are a diverse group of disorders that affect specific subsets of neurons. Motor neuron diseases, neurodegenerative disorders of motor neurons, are seen commonly as sporadic cases and less frequently as familial disease forms. The familial forms show genetic and phenotypic heterogeneity. Clinically motor neuron diseases may be seen as rapidly progressive disorders like amyotrophic lateral sclerosis, ALS or slowly progressive disorders like hereditary motor neuropathies, HMN. The only proven causes for motor neuron diseases are gene mutations that lead to motor neuron degeneration in familial disease forms. Only some of these genes have been identified and have contributed greatly to our understanding of the neurobiology of familial and sporadic disease forms. Identification of additional disease causing genes would help enhance our knowledge of the pathophysiological mechanisms underlying all forms of motor neuron disorders, which would lead to early diagnoses, effective prophylaxis and efficient therapies for these disorders. This study aimed to find gene mutations that cause rapid and slowly progressive familial motor neuron disorders in Australian families and to determine their relevance to sporadic forms of motor neuron disease. The familial forms of ALS show reduced disease penetrance, that is, not all gene mutation carriers manifest the disease. This study examines ALS penetrance in a group of Australian families. The most frequently observed mutations in ALS families are cytosolic superoxide dismutase/SOD1 gene mutations. In a collection of ALS families in our centre, families without the common SOD1 gene mutations were genotyped for other ALS genes and loci and studied using genetic linkage and haplotype analyses. Studies in a large Australian ALS family further confirmed genetic heterogeneity in non-SOD familial ALS, all known autosomal dominant ALS genes and chromosomal loci were excluded as cause of disease in this family. Such families can be studied further to identify additional disease genes and loci mapped in other ALS families. These families represent powerful resources for identification of additional ALS genes. Identifying the pathogenic genes in families with reduced disease penetrance may be more relevant to sporadic forms of disease. dHMN is a chronic neurodegenerative disorder predominantly affecting motor neurons. In a large Australian dHMN family, all the known dHMN genes and chromosomal loci were excluded as cause of disease. A genome wide microsatellite screen was performed in this family and genetic linkage was established to a novel 12.98 Mb locus on chromosome 7q34.2-q36. Candidate genes in this large interval will be screened based on their function and expression profile. Identification of a new dHMN locus provides the basis for future identification of a novel gene involved in motor neuron degeneration. Genes in dHMN have been shown to be pathogenic in ALS and Charcot Marie Tooth syndromes. The new locus for dHMN mapped in this project would lead to identification of a novel dHMN gene, which may elucidate the pathogenesis underlying a wide range of neurodegenerative disorders.

This thesis analyses 'incomplete sentences' in languages which utilise distinctively agglutinative components in their morphology. In the grammars of the languages dealt with in this thesis, there are certain types of sentences which are variously referred to as 'elliptical sentences' (Turkish eksiltili c�mleler), 'incomplete sentences' (Uzbek to'liqsiz gaplar), 'cut-off sentences' (Turkish kesik c�mleler), etc., for which the grammarians provide elaborated semantic and syntactic analyses. The current work attempts to present an alternative approach for the analysis of such sentences. The distribution of morphemes in incomplete sentences is examined closely, based on which a system of analysis that can handle a variety of incomplete sentences in an integrated manner is proposed from a morphological point of view. It aims to aid grammarians as well as researchers in area studies by providing a simple description of incomplete sentences in agglutinative languages. The linguistic data are taken from Turkish, Uzbek, and Japanese, with special reference to (Bukharan) Tajik.

The increased concentration of greenhouse gases is associated with the global warming in the lower troposphere. For over twenty years, the space physics community has studied a hypothesis of global cooling in the thermosphere, attributable to greenhouse gases. While the global temperature increase in the lower troposphere has been relatively well established, the existence of global changes in the thermosphere is still under investigation. A central difficulty in reaching definite conclusions is the absence of data with sufficiently long temporal and sufficiently broad spatial coverage. Time series of data that cover several decades exist only in a few separated regions. The space physics community has struggled to combine the information contained in these data, and often contradictory conclusions have been reported based on the analyses relying on one or a few locations. To detect global changes in the ionosphere, we present a novel statistical methodology that uses all data, even those with incomplete temporal coverage. It is based on a new functional regression approach that can handle unevenly spaced, partially observed curves. While this research makes a solid contribution to the space physics community, our statistical methodology is very flexible and can be useful in other applied problems.