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11	Valuation Methods of Interest Rate Options / Metody oceňování úrokových opcí Pumprová, Zuzana January 2010 (has links) The subject of this thesis are selected interest rate models and valuation of interest rate derivatives, especially interest rate options. Time-homogeneous one-factor short rate models, Vasicek and Cox-Ingersoll-Ross, and time-inhomogeneous short rate model, Hull{White, are treated. Heath-Jarrow-Morton framework is introduced as an alternative to short rate models, evolving the entire term structure of interest rates. The short rate models are shown to be special cases of models within the framework. The models are derived using the risk-neutral pricing methodology.
12	Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps / Kreditvärdighetsjustering: Prissättning av motpartsrisk för en ränteswap Hellander, Martin January 2015 (has links) In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. The market price of the counterparty credit risk is known as the Credit Value Adjustment (CVA). In a bilateral contract, such as a swap, the party’s own creditworthiness also has to be taken into account, leading to another adjustment known as the Debit Value Adjustment (DVA). Since 2013, the international accounting standards (IFRS) states that these adjustments have to be done in order to reflect the fair value of an OTC derivative. A short background and the derivation of CVA and DVA is presented, including related topics like various risk mitigation techniques, hedging of CVA, regulations etc.. Four different pricing frameworks are compared, two more sophisticated frameworks and two approximative approaches. The most complex framework includes an interest rate model in form of the LIBOR Market Model and a credit model in form of the Cox-Ingersoll- Ross model. In this framework, the impact of dependencies between credit and market risk factors (leading to wrong-way/right-way risk) and the dependence between the default time of different parties are investigated. / I den här uppsatsen har prissättning av motpartsrisk för en OTC ränteswap undersökts. Motpartsrisk kan definieras som risken att en motpart i ett finansiellt kontrakt inte har möjlighet eller viljan att fullfölja sin del av kontraktet. Motpartsrisken måste tas med I värderingen av ett OTC-derivat. Marknadspriset på motpartrisken är känt som Credit Value Adjustment (CVA). I ett bilateralt kontrakt, t.ex. som en swap, måste även den egna kreditvärdighet tas med i värderingen, vilket leder till en justering som är känd som Debit Value Adjustment (DVA). Sedan 2013 skall, enligt den internationella redovisningsstandarden (IFRS), dessa prisjusteringar göras vid redovisningen av värdet för ett OTC derivat. En kort bakgrund samt härledningen av CVA och DVA ar presenterade tillsammans med relaterade ämnen. Fyra olika metoder för att beräkna CVA har jämförts, två mer sofistikerade metoder och två approximativa metoder. I den mest avancerade metoden används en räntemodell i form av LIBOR Market Model samt en kreditmodell i form av en Cox-Ingersoll-Ross modell. I den här metoden undersöks även påverkan av CVA då det existerar beroenden mellan marknads OTC derivatives Credit Value Adjustment Debit Value Adjustment wrongway risk interest rate swaps LIBOR Market Model Cox-Ingersoll-Ross process. Probability Theory and Statistics Sannolikhetsteori och statistik
13	The Effect of Urban Policies and Development Strategies on the Stimulation of Industrial Growth: A Case Study in Ingersoll, Ontario, Canada Joiner, Brian G. 04 1900 (has links) Several documents have been presented outlining the methods incorporated by large multinational corporations in their plant location process. These methods contribute to our knowledge of how companies choose a location in which to locate a manufacturing operation. The role of the region or municipality in preparing an appropriate atmosphere to coordinate with an industry's specific requirements has not been widely examined. The objective of this research paper is to examine the role played by the Town of Ingersoll, Township of South-West Oxford and County of Oxford in Southwestern Ontario in preparing a suitable land, infrastructure and zoning regulations package to facilitate the requirement for a joint General Motors and Suzuki automotive assembly plant. The results obtained from this research paper will aid in the awareness of the actions that occur to aid such a large industrial and economic expansions within a small agricultural society. / Thesis / Bachelor of Arts (BA) Town of Ingersoll South-West Oxford County of Oxford General Motors Suzuki agricultural society industrial expansion plant location multinational corporation infrastructure zoning regulation
14	Application of stochastic differential games and real option theory in environmental economics Wang, Wen-Kai January 2009 (has links) This thesis presents several problems based on papers written jointly by the author and Dr. Christian-Oliver Ewald. Firstly, the author extends the model presented by Fershtman and Nitzan (1991), which studies a deterministic differential public good game. Two types of volatility are considered. In the first case the volatility of the diffusion term is dependent on the current level of public good, while in the second case the volatility is dependent on the current rate of public good provision by the agents. The result in the latter case is qualitatively different from the first one. These results are discussed in detail, along with numerical examples. Secondly, two existing lines of research in game theoretic studies of fisheries are combined and extended. The first line of research is the inclusion of the aspect of predation and the consideration of multi-species fisheries within classical game theoretic fishery models. The second line of research includes continuous time and uncertainty. This thesis considers a two species fishery game and compares the results of this with several cases. Thirdly, a model of a fishery is developed in which the dynamic of the unharvested fish population is given by the stochastic logistic growth equation and it is assumed that the fishery harvests the fish population following a constant effort strategy. Explicit formulas for optimal fishing effort are derived in problems considered and the effects of uncertainty, risk aversion and mean reversion speed on fishing efforts are investigated. Fourthly, a Dixit and Pindyck type irreversible investment problem in continuous time is solved, using the assumption that the project value follows a Cox-Ingersoll- Ross process. This solution differs from the two classical cases of geometric Brownian motion and geometric mean reversion and these differences are examined. The aim is to find the optimal stopping time, which can be applied to the problem of extracting resources. 333
15	An Empirical Comparison Of Interest Rate Models For Pricing Zero Coupon Bond Options Senturk, Huseyin 01 August 2008 (has links) (PDF) The aim of this study is to compare the performance of the four interest rate models (Vasicek Model, Cox Ingersoll Ross Model, Ho Lee Model and Black Der- man Toy Model) that are commonly used in pricing zero coupon bond options. In this study, 1{5 years US Treasury Bond daily data between the dates June 1, 1976 and December 31, 2007 are used. By using the four interest rate models, estimated option prices are compared with the real observed prices for the begin- ing work days of each months of the years 2004 and 2005. The models are then evaluated according to the sum of squared errors. Option prices are found by constructing interest rate trees for the binomial models based on Ho Lee Model and Black Derman Toy Model and by estimating the parameters for the Vasicek and the Cox Ingersoll Ross Models.
16	“The Best Possible Time for War?” The USS Panay and American Far Eastern Policy During the Roosevelt Presidency Schnurr, Jeremy 13 December 2011 (has links) This thesis examines American Far Eastern policy from the beginning of the Franklin Roosevelt presidency through the early months of 1938. This study is chiefly concerned with the attack by Japanese aircraft on the USS Panay and its effect on the course of U.S. foreign policy. Particular attention is paid to the Anglo-American dialogue which occurred throughout the Far Eastern Crisis. Prior to the end of 1938, the U.S. administration’s position in Asia was dictated both by policies inherited from preceding administrations and by the extreme isolationism of the American people. This foundation effectively inhibited any cooperation with foreign powers. Relying on a reactive policy in the Far East, Washington remained aloof from entanglement as the President sought a plan which would permit U.S. involvement without inviting isolationist wrath. This paper traces an evolution in American Far Eastern policy, highlighting the Panay incident as a distinctly identifiable turning point whereby isolationism gave way to internationalism. Panay Roosevelt FDR Ladybird Far East Inter-War Anglo-American Inter-War 1937 Ludlow American Asia East Asia Policy Disarmament Washington Conference Brussels Conference London Conference isolationism internationalism Far Eastern Crisis Cordell Hull Sumner Welles Franklin Roosevelt Collective Security Norman Alley Open Door Nine-Power Nine Power 1930s Manny Koginos Hamilton Perry Galen Perras Norman Davis pre-war Yangtze U.S. Navy Ingersoll Neutrality Foreign Policy
17	“The Best Possible Time for War?” The USS Panay and American Far Eastern Policy During the Roosevelt Presidency Schnurr, Jeremy 13 December 2011 (has links) This thesis examines American Far Eastern policy from the beginning of the Franklin Roosevelt presidency through the early months of 1938. This study is chiefly concerned with the attack by Japanese aircraft on the USS Panay and its effect on the course of U.S. foreign policy. Particular attention is paid to the Anglo-American dialogue which occurred throughout the Far Eastern Crisis. Prior to the end of 1938, the U.S. administration’s position in Asia was dictated both by policies inherited from preceding administrations and by the extreme isolationism of the American people. This foundation effectively inhibited any cooperation with foreign powers. Relying on a reactive policy in the Far East, Washington remained aloof from entanglement as the President sought a plan which would permit U.S. involvement without inviting isolationist wrath. This paper traces an evolution in American Far Eastern policy, highlighting the Panay incident as a distinctly identifiable turning point whereby isolationism gave way to internationalism. Panay Roosevelt FDR Ladybird Far East Inter-War Anglo-American Inter-War 1937 Ludlow American Asia East Asia Policy Disarmament Washington Conference Brussels Conference London Conference isolationism internationalism Far Eastern Crisis Cordell Hull Sumner Welles Franklin Roosevelt Collective Security Norman Alley Open Door Nine-Power Nine Power 1930s Manny Koginos Hamilton Perry Galen Perras Norman Davis pre-war Yangtze U.S. Navy Ingersoll Neutrality Foreign Policy
18	“The Best Possible Time for War?” The USS Panay and American Far Eastern Policy During the Roosevelt Presidency Schnurr, Jeremy 13 December 2011 (has links) This thesis examines American Far Eastern policy from the beginning of the Franklin Roosevelt presidency through the early months of 1938. This study is chiefly concerned with the attack by Japanese aircraft on the USS Panay and its effect on the course of U.S. foreign policy. Particular attention is paid to the Anglo-American dialogue which occurred throughout the Far Eastern Crisis. Prior to the end of 1938, the U.S. administration’s position in Asia was dictated both by policies inherited from preceding administrations and by the extreme isolationism of the American people. This foundation effectively inhibited any cooperation with foreign powers. Relying on a reactive policy in the Far East, Washington remained aloof from entanglement as the President sought a plan which would permit U.S. involvement without inviting isolationist wrath. This paper traces an evolution in American Far Eastern policy, highlighting the Panay incident as a distinctly identifiable turning point whereby isolationism gave way to internationalism. Panay Roosevelt FDR Ladybird Far East Inter-War Anglo-American Inter-War 1937 Ludlow American Asia East Asia Policy Disarmament Washington Conference Brussels Conference London Conference isolationism internationalism Far Eastern Crisis Cordell Hull Sumner Welles Franklin Roosevelt Collective Security Norman Alley Open Door Nine-Power Nine Power 1930s Manny Koginos Hamilton Perry Galen Perras Norman Davis pre-war Yangtze U.S. Navy Ingersoll Neutrality Foreign Policy
19	“The Best Possible Time for War?” The USS Panay and American Far Eastern Policy During the Roosevelt Presidency Schnurr, Jeremy January 2012 (has links) This thesis examines American Far Eastern policy from the beginning of the Franklin Roosevelt presidency through the early months of 1938. This study is chiefly concerned with the attack by Japanese aircraft on the USS Panay and its effect on the course of U.S. foreign policy. Particular attention is paid to the Anglo-American dialogue which occurred throughout the Far Eastern Crisis. Prior to the end of 1938, the U.S. administration’s position in Asia was dictated both by policies inherited from preceding administrations and by the extreme isolationism of the American people. This foundation effectively inhibited any cooperation with foreign powers. Relying on a reactive policy in the Far East, Washington remained aloof from entanglement as the President sought a plan which would permit U.S. involvement without inviting isolationist wrath. This paper traces an evolution in American Far Eastern policy, highlighting the Panay incident as a distinctly identifiable turning point whereby isolationism gave way to internationalism. Panay Roosevelt FDR Ladybird Far East Inter-War Anglo-American Inter-War 1937 Ludlow American Asia East Asia Policy Disarmament Washington Conference Brussels Conference London Conference isolationism internationalism Far Eastern Crisis Cordell Hull Sumner Welles Franklin Roosevelt Collective Security Norman Alley Open Door Nine-Power Nine Power 1930s Manny Koginos Hamilton Perry Galen Perras Norman Davis pre-war Yangtze U.S. Navy Ingersoll Neutrality Foreign Policy

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