In this work, pricing models of corporate coupon-bonds and credit default swaptions are derivedand analyzed. Corporate coupon-bonds are priced incorporating both intensity models and structural models, and also jumps introduced by seasonal effects. In deriving the models, we form portfolios to hedge the risk incurred by the instruments, then derive PDE equations using the arbitrage principle and the Ito Lemma for jump processes. The mathematical models are the parabolic-type PDE equations with terminal conditions and boundary conditions. These PDE problems are analyzed and solved by various transformations and incorporation with probabilistic properties. Either a unique solution in the exponential form is obtained, or a particular solution in the separation formis acquired. Further, the pricing model of credit default swaptions is derived using the pricing of corporate coupon-bonds in the similar manner. The main idea of deriving the price of credit default swaptions is to use the price of existing products, i.e., corporate bonds, as opposed to the existing models, which use non-existing forward credit default swap price of the reference entity. The prices of corporate coupon-bonds and credit default swaptions with unexpected default, obtained from these models, are compared to the actual market prices and analyzed.

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Background: Anterior cruciate ligament (ACL) injuries have become commonplace among female athletes in today’s society. With more than 70% of injuries resulting from noncontact mechanisms such as jump landing, the relationship between fatigue and altered movements patterns has become an important topic of research. Purpose: The main purpose of this study was to investigate the influence of residual fatigue on lower extremity kinematics and vertical leg stiffness at landing as experienced by female athletes. Method: The participants in this study were 12 NCAA female intercollegiate soccer players. Participants completed five single-leg drop jumps on their dominant leg every day for 4 days. The first day was completed without intervention to obtain pre-fatigue data and drop jumps on days two through four were completed after a fatigue protocol. Results: A repeated measures MANOVA did not reveal significant differences in post-fatigue peak knee flexion angle, vertical ground reaction forces, or vertical leg stiffness. Despite lack of statistical significance, vertical leg stiffness was increased during post-fatigue testing when compared to pre-fatigue values. Implications: The increased vertical leg stiffness may indicate altered landing techniques in post-fatigue states. If fatigue results in compromised movement patterns, it may explain the increased number of ACL injuries during the end of soccer matches. Suggestions for Future Research: Future research with a larger sample size should include post-fatigue dominant and nondominant leg comparison due to previous conflicting findings regarding which limb is most often injured. Future researchers should also quantify the magnitude of fatigue induced by the fatiguing protocol to document the strength of the independent variable. / text

Syfte och frågeställningar Studien genomfördes med syftet att specificera vilken intensitet och duration vid uppvärmning som är optimal för att få ut största möjliga effekt vid anaerob prestation i form av maximalt vertikalhopp och fem sekunders maximal cykelsprint. Studien byggde på tre frågeställningar: På vilket sätt påverkar uppvärmningen prestationen vid ett maximalt vertikalhopp? På vilket sätt påverkar uppvärmningen prestationen vid ett maximalt fem sekunders sprinttest? Vilken uppvärmning är optimal för maximal muskulär explosivitet? Metod Designen var en kvantitativ experimentell studie som innefattade fyra fysiskt aktiva kvinnor med genomsnittsålder på 24 år. Testerna bestod av nio tillfällen där en slumpad uppvärmning på ergometercykel genomfördes varje gång. Därefter genomfördes tre vertikalhopp, så kallade counter movement jump, på en kraftplatta och tre fem-sekunders sprint (5sCST) på Monarks Peak Bike. Hopphöjd, mean power, peak power och kroppstemperatur mättes vid varje testtillfälle. Resultat Resultaten visade att maximal muskulär explosivitet vid vertikalhopp uppnåddes efter uppvärmning i fem minuter på 150w vilket motsvarade en belastning på 53 till 76 procent av VO2max för testpersonerna. För maximal muskulär explosivitet vid 5sCST påvisades inga signifikanta resultat. Resultatenvisade inte heller några skillnader i kroppstemperatur efter de olika uppvärmningsintensiteterna. Slutsats För de fyra kvinnorna var det optimalt att värma upp i fem minuter med en belastning på 53 till 76 procent av VO2max för maximal hopphöjd vid counter movement jump. Det var endast hopphöjden som påverkades av uppvärmningen och inte någon av de andra parametrarna; mean power, peak power eller kroppstemperatur. Individuella variationer påvisades men vidare studier behövs, med ett större antal försökspersoner och med slumpmässig urvalsgrupp, för att kunna generalisera resultaten.

Problematika: Jaunųjų šuolininkų rengimo valdymas yra ilgas ir sudėtingas procesas. Mokslinės – metodinės literatūros analizuojamu klausimu studijos leidžia teigti, kad jaunųjų šuolininkų į aukštį rengimo valdymui skiriamas labai mažas dėmesys. Neišanalizuoti valdymo kriterijai, nenustatytos kryptys pratybų etapuose, fizinio ir techninio krūvių proporcijos, intensyvumas. Nepakankamai ištirti judesių ir veiksmų mokymo ypatumai, fizinį ir techninį parengtumą atspindintys rodikliai. Darbo uždaviniai: 1. Išanalizuoti teorines jaunųjų šuolininkų rengimo valdymo prielaidas; 2. Eksperimentiniu būdu patikrinti šuolininkų rengimo valdymo galimybes remiantis fizinio parengtumo rodikliais ir techninio parengtumo rodikliais. 3. Išsiaiškinti jaunųjų šuolininkų fizinio ir techninio parengtumo rodiklių sąsają. 4. Nustatyti šuolininkų į aukštį fizinio parengtumo ir judesių atlikimo kokybės rodiklių dinamiką siejant ją su pratybose atliktais krūviais. Moksliniame darbe taikyti metodai: teorinės analizės ir apibendrinimo metodas, dokumentų analizė, pedagoginis eksperimentas, fizinių rodiklių testavimas, ekspertinis vertinimas, pedagoginis stebėjimas, statistinė analizė. Išvados: Mokslinėje – metodinėje literatūroje sportinio rengimo valdymas apibūdinamas kaip visapusis parengtumo kontroliavimas, varžybinės veiklos rodiklių modeliavimas, varžybų ir pratybų programų sudarymas, sportinio rengimo koregavimas atsižvelgiant į informaciją apie sportininką. Sportininkų ugdymas realizuojamas... [toliau žr. visą tekstą] / The training management of the young jumpers is very long and difficult process. Analysis of the sciential – methodical literature on this point allows saying, that it gives little attention to the training management of the young high jumpers. The criterions of the management, the ways of training stages, intensity and the proportion of physical and technical charge are not analyzed and set down. Singularity of the teaching to move and act, rate of the physical and technical preparation also are not enough examined. Task of the paper is: 1. To analyze the theoretical assumptions of the training management of the young jumpers. 2. To test the training management of the young jumpers potential using physical and technical preparation rate. 3. To see and clear up the conjunction between young jumpers` physical and technical preparation rate. 4. To set down the young high jumpers` dynamics of the physical preparation rate relating it with the practical charges. Methods pointed in the paper: theoretical analysis and generalization method, analysis of the documents, educational experiment, testing of the physical rates, expert evaluation, educational supervision, statistical analysis. In sciential – methodical literature sporting training management is described as a comprehensive control of qualification, modeling of sporting rates, the formation of a sporting and training program, the sport training correction considering to the information of the athlete. The athletes are... [to full text]

The amylased object were healthy basketball players (22 - 26) and triathlonists (19 - 20) making jumps in different ways: CMJ - vertical jump with shockproof sit up (per crooked knee up to 90º); DJ – vertical jump from 40 cm platform (sit up to 90º); SJ – vertical jump from a static starting position (sit up to 90º). Research timing: November – December (2004) and March (2006). The variability of movement by making vertical jumps in different ways is the main point of this study. To measure the level of spring the contact platform was used. It was connected with the electronic meter of spring that measured spring’s height and take–off time. Sportsmens springs results were recorded into the individual springs protocol. Using the methods of statistical mathematics the results of research were treated. Main tasks: determinate variability of jumps before and after strain, also determinate feetback information and compare variability of movement during this tests. The thirst 5 jumps made were better at the beginning than at the end. The difference is unreliable (accordingly CMJ – 38.4 ± 1.4 and 38.3 ± 1.4 cm.; DJ – 38.6 �� 1.5 and 37.0 ± 1.3 cm.; SJ – 37.6 ± 1.2 and 36.4 ± 1.1 cm., p>0.05). After 10 jumps (with/without feetback information) before strain were: best in SJ (according 18.9 ± 0.7 and 18.8 ± 2.0 cm, p>0.05), worst DJ (according to feetback information 20.7 ± 2.8 and without it – 21.7 ± 2.2 cm.., p>0.05). After 50 jumps sportsmen made 10 jumps without feetback... [to full text]

The contagious nature of the black-tailed prairie dog (Cynomys ludovicianus) jump-yip display may provide information to signalers and receivers regarding the vigilance of neighbours. Videotaping jump-yip bouts and the behaviour of both bout initiators and respondents within those bouts provided evidence that: 1) individuals became vigilant immediately following jump-yip production, but exhibited minimal changes in their immediate post-jump-yip behaviour with changes in the characteristics of the preceding bout, 2) bout initiators spent more time actively foraging and exhibited vigilance behaviours less frequently with greater levels of response in the preceding jump-yip bout, 3) respondents spent more time actively foraging and less time vigilant following bouts with greater response. These results suggest that black-tailed prairie dogs base behavioural decisions at least in part on the characteristics of their jump-yip bouts and thus the jump yip display may provide information about the vigilance of group members.

Tyrimo objektas. Judamieji gebėjimai. Tyrimo tikslas. Įvertinti šuolininkų i aukštį skirtingų judamųjų gebėjimų įtaką sportiniam rezultatui. Tyrimo uždaviniai. Nustatyti jėgos greitumo, greitumo jėgos, staigiosios jėgos ir greitumo judamųjų gebėjimų įtaką sportiniam rezultatui. Tiriamieji. Tyrimas atliktas 2012 - 2013 m., buvo analizuojami 8 šuolininkai į aukštį, šuolininkų amžius (20,75 ± 1,1 m), ūgis (190,37 ± 8,87), svoris (79,62 ± 5,62 kg). Hipotezė. Labiausiai šuolininkų į aukštį sportinį rezultatą įtakos staigiosios jėgos judamasis gebėjimas Mūsų darbe buvo atlikti 8, skirtingus judamuosius gebėjimus nusakantys testai. Jėgos greitumui ištirti buvo naudojamas trišuolio iš vietos testas. Greitumo jėgai nustatyti buvo naudojami: šuolio į aukštį iš vietos, šuolio į tolį iš vietos ir 20 m bėgimo iš starto testai. Staigiajai jėgai nustatyti buvo naudojami: greito šuolio aukštyn (Drop jump), 5 kg rutulio metimo iš priekio ir 5 kg rutulio metimo per galvą testai. Greitumui nustatyti buvo naudojamas 20 m bėgimo įsigreitėjus testas. Rezultatai. Trišuolio iš vietos 2012 m. koreliacijos koeficientas (r) su varžybų rezultatais (r = 0,68), 2013 m. (r = 0,95), vertikalus šuolis iš vietos mojant rankomis 2012 m. (r = 0,68), 2013 m. (r = 0,69), šuolis į tolį iš vietos 2012 m. (r = 0,72), 2013 m. (r = 0,82), 20 m bėgimas iš starto 2012 m. (r = -0,75), 2013 m. (r = -0,77), greitas šuolis aukštyn (Drop jump) 2012 m. (r = 0,29), 2013 m. (r = 0,45), 5 kg rutulio metimas pirmyn, aukštyn 201... [toliau žr. visą tekstą] / The object of the study. Physical abilities. The purpose of the study. To evaluate influence of different physical abilities to high jump performance. Study tasks. Evaluate force velocity, speed force, explosive power and maximal speed influence to high jump performance. Investigatives. Study was accomplished 2012 – 2013 m., 8 high jumpers ware tested. Age of tested high jumpers (20,75 ± 1,1 m.), height (190,37 ± 8,87), weight (79,62 ± 5,62 kg). Hypothesis. Explosive power has major influence to high jump performance. In our study ware tested 8 tests, which represents different physical abilities. To investigate force velocity standing triple jump test was used. To investigate speed force (standing long jump, standing vertical jump and 20 meters sprint tests) ware used. To investigate explosive force (drop – jump, 5kg shot throw forward and from behind) tests ware used. To investigate maximal speed 20 meters sprint test with run-up was used. Results of the study. Standing triple jump 2012 m. correlation (r) with high jump results (r = 0,68), 2013 m. (r = 0,95), vertical jump with arm swing 2012 m. (r = 68), 2013 m. (r = 69), 2012 m. standing long jump (r = 0,72), 2013 m. (r = 0,82), 20 meters sprint 2012 m. (r = -0,75), 2013 m. (r = -0,77), drop jump 2012 m. (r = 0,29), 2013 m. (r = 45), 5kg shot throw forward 2012 m. (r = 0,72), 2013 m. (r = 0,93), 5kg shot throw form behind 2012 m. (r = 0,72), 2013 m. (r = 0,78), 20 meters sprint with run up 2012 m. (r = -0,64), 2013 m... [to full text]

<p>The main goal of this work is to explore the effects of time-varying extreme jump tail dependencies in asset markets. Consequently, a lot of attention has been devoted to understand the extremal tail dependencies between of assets. As pointed by Hansen (2013), the estimation of tail risks dependence is a challenging task and their implications in several sectors of the economy are of great importance. One of the principal challenges is to provide a measure systemic risks that is, in principle, statistically tractable and has an economic meaning. Therefore, there is a need of a standardize dependence measures or at least to provide a methodology that can capture the complexity behind global distress in the economy. These measures should be able to explain not only the dynamics of the most recent financial crisis but also the prior events of distress in the world economy, which is the motivation of this paper. In order to explore the tail dependencies I exploit the information embedded in option prices and intra-daily high frequency data. </p><p>The first chapter, a co-authored work with Andrew Patton, proposes a new class of dynamic copula models for daily asset returns that exploits information from high frequency (intra-daily) data. We augment the generalized autoregressive score (GAS) model of Creal, et al. (2013) with high frequency measures such as realized correlation to obtain a "GRAS" model. We find that the inclusion of realized measures significantly improves the in-sample fit of dynamic copula models across a range of U.S. equity returns. Moreover, we find that out-of-sample density forecasts from our GRAS models are superior to those from simpler models. Finally, we consider a simple portfolio choice problem to illustrate the economic gains from exploiting high frequency data for modeling dynamic dependence.</p><p>In the second chapter using information from option prices I construct two new measures of dependence between assets and industries, the Jump Tail Implied Correlation and the Tail Correlation Risk Premia. The main contribution in this chapter is the construction of a systemic risk factor from daily financial measures using a quantile-regression-based methodology. In this direction, I fill the existing gap between downturns in the financial sector and the real economy. I find that this new index performs well to forecast in-sample and out-of-sample quarterly macroeconomic shocks. In addition, I analyze whether the tail risk of the correlation may be priced. I find that for the S&P500 and its sectors there is an ex ante premium to hedge against systemic risks and changes in the aggregate market correlation. Moreover, I provide evidence that the tails of the implied correlation have remarkable predictive power for future stock market returns.</p> / Dissertation

Using an extensive cross-section of US corporate CDS this paper offers an economic understanding of implied loss given default (LGD) and jumps in default risk. We formulate and underpin empirical stylized facts about CDS spreads, which are then reproduced in our affine intensity-based jump-diffusion model. Implied LGD is well identified, with obligors possessing substantial tangible assets expected to recover more. Sudden increases in the default risk of investment-grade obligors are higher relative to speculative grade. The probability of structural migration to default is low for investment-grade and heavily regulated obligors because investors fear distress rather through rare but devastating events. (authors' abstract)