This thesis presents the modeling of credit risk by using structural approach. Three fundamental questions of credit risk literature are analyzed throughout the research: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models.

Most of the derivative pricing models are developed in the jump diffusion models, and many literatures assume those jumps are diversifiable. However, we find many risk cannot be avoided through diversification. In this paper, we extend the Jarrow and Yildirim model to consider the existence of systematic jump risk in nominal interest rate, real interest rate and inflation rate to derive the no-arbitrage condition by using Esscher transformation. In addition, this study also derives the value of TIPS and TIPS European call option. Furthermore, we use the econometric theory to decompose TIPS market price volatility into a continuous component and a jump component. We find the jump component contribute most of the TIPS market price volatility. In addition, we also use the TIPS yield index to obtain the systematic jump component and systematic continuous component to find the systematic jump beta and the systematic continuous beta. The results show that the TIPS with shorter time to maturity are more vulnerable to systematic jump risk. In contrast, the individual TIPS with shorter time to maturity is more vulnerable to systematic jump. Finally, the sensitive analysis is conducted to detect the impacts of jumps risk on the value of TIPS European call option.

BAKGRUND: Ishockey är en stor idrott med över 80000 aktiva spelare i Sverige. SYFTE: Syftet med denna studie var att fastställa huruvida det finns korrelation mellan tester rekommenderade av Svenska Ishockeyförbundet och prestationsförmåga på is. Vidare skulle testresultaten ställas i relation till antropometriska värden. METOD: Studiepopulationen rekryterades från hockeylag i division I. Testerna 1RM knäböj, stående längdhopp samt sergants jump utfördes enligt Svenska Ishockeyförbundets rekommenderade förfarande. Prestationsförmåga på is mättes genom 17 m sprintlopp. Korrelationen mellan testerna och prestation på is beräknades med pearsons korrelationskoeffecient. P<0.05 betraktades som signifikant. RESULTAT: Totalt rekryterades 34 ishockeyspelare från division 1 (100 % män, medel ± SD: ålder 22,7 ±2.24 år; vikt 85,3 ±6,4 kg; längd 182 ±6 cm). Av utförda tester var det endast 1RM knäböj/kroppsvikt-ratiot som med statistisk signifikans visades korrelera med prestationsförmågan på is (r=0,389, p=0,049). Övriga tester uppvisade ingen statistisk signifikans. SLUTSATS: Studiens resultat pekar mot att det finns en svag statistiskt signifikant korrelation mellan 1RM knäböj/kroppsvikt-ratio och sprintförmåga på is. Knäböj/kroppsvikt-ratiot svarar dock endast för en liten del av prestationsförmågan på is, varvid knäböjens starka position som grundövning utanför isen bör ifrågasättas. / BACKGROUND: Ice hockey is a large sport with over 80000 active players in Sweden. PURPOSE: The aim of this study was to determine whether there are correlations between tests recommended by the Swedish Ice Hockey Federation and on-ice performance. The results were also to be examined in relation to antropometric values. METHOD: The studypopulation was recruited from Swedish tier-III teams. The 1RM squat, standing long jump sand sergants jump were performed as described by the Swedish Ice Hockey Federations guidelines. On-ice performance was measured by a 17m sprint. The correlation between off- and on-ice tests were calculated using pearsons correlation coefficient. Statistical significance was set to P<0.05. RESULTS: Thirtyfour male ice hockey players from Swedish tier-III were recruited for the study (100% men, mean ± SD: age 22,7 ±2.24 years; weight 85,3 ±6,4 kg; length 182 ±6 cm). Out of the performed tests only 1RM squat/bodywight-ratio showed a statistical significant correlation to on-ice performance (r=0,389, p=0,049). The other tests did not show statistical significance. CONCLUSION: The results points towards a weak statistical significant correlation between 1RM squat/bodywight-ratio and on-ice sprinting ability. The 1RM squat/bodyweight-ratio however explained a small portion of on-ice performance, hence the squats strong position as basic exercise off-ice should be questioned.

This thesis examines the empirical performance of four Affine Jump Diffusion models in pricing and hedging S&P 500 Index options: the Black Scholes (BS) model, Heston???s Stochastic Volatility (SV) model, a Stochastic Volatility Price Jump (SVJ) model and a Stochastic Volatility Price-Volatility Jump (SVJJ) model. The SVJJ model structure allows for simultaneous jumps in price and volatility processes, with correlated jump size distributions. To the best of our knowledge this is the first empirical study to test the hedging performance of the SVJJ model. As part of our research we derive the SVJJ model minimum variance hedge ratio. We find the SVJ model displays the best price prediction. The SV model lacks the structural complexity to eliminate Black Scholes pricing biases, whereas our results indicate the SVJJ model suffers from overfitting. Despite significant evidence from in and out-of-sample pricing that the SV and SVJ models were better specified than the BS model, this did not result in an improvement in dynamic hedging performance. Overall the BS delta hedge and SV minimum variance hedge produced the lowest errors, although their performance across moneyness-maturity categories differed greatly. The SVJ model???s results were surprisingly poor given its superior performance in out-of-sample pricing. We attribute the inadequate performance of the jump models to the lower hedging ratios these models provided, which may be a result of the negative expected jump sizes.

Submitted by SERGIO SOUZA PARMEZZANI null (sergiopaulasouza@hotmail.com) on 2018-02-19T17:42:35Z No. of bitstreams: 1 Doc Sergio S Parmezzani.pdf: 1315195 bytes, checksum: 5bd1fd0c3b822876284a4cd004a1d9a8 (MD5) / Rejected by ALESSANDRA KUBA OSHIRO ASSUNÇÃO (alessandra@fct.unesp.br), reason: Solicitamos que realize correções na submissão seguindo as orientações abaixo: - Colocar folha de aprovação contendo as assinaturas dos membros da banca - Alterar ordem do resumo e do abstract. Segundo a norma da ABNT NBR 14724, eles devem vir após os agradecimentos e antes das listas de figuras, tabelas, etc. Agradecemos a compreensão. on 2018-02-19T18:37:47Z (GMT) / Submitted by SERGIO SOUZA PARMEZZANI null (sergiopaulasouza@hotmail.com) on 2018-02-19T19:52:26Z No. of bitstreams: 1 Doc Sergio S Parmezzani.pdf: 1525296 bytes, checksum: 720bdb75c678cc48c3a69150984743ff (MD5) / Approved for entry into archive by ALESSANDRA KUBA OSHIRO ASSUNÇÃO (alessandra@fct.unesp.br) on 2018-02-19T20:14:45Z (GMT) No. of bitstreams: 1 parmezzani_ss_me_prud.pdf: 1525296 bytes, checksum: 720bdb75c678cc48c3a69150984743ff (MD5) / Made available in DSpace on 2018-02-19T20:14:46Z (GMT). No. of bitstreams: 1 parmezzani_ss_me_prud.pdf: 1525296 bytes, checksum: 720bdb75c678cc48c3a69150984743ff (MD5) Previous issue date: 2017-12-18 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / O treinamento concorrente (TC) é uma estratégia eficaz para desenvolver a aptidão aeróbia e força. Contudo, parece que o TC pode apresentar interferência nos ganhos de força, sendo assim, a análise aguda e crônica do salto vertical (SV) podem ser consideradas como uma ferramenta importante para o monitoramento da força. Dessa forma, a presente dissertação tem como objetivo avaliar a resposta aguda e crônica do TC e treinamento de força (TF) no SV. Para tanto, a amostra consistiu de 21 homens fisicamente ativos, randomizados em dois grupos: concorrente (n= 11; 28,45 ± 3,8 anos; 75,18 ± 7,73 Kg; 178,1 ± 6 cm) (GC) e força (GF) (n= 10; 25,5 ± 2,9 anos; 78 ± 11,8 Kg; 178,2 ± 7 cm). O TF consistiu em quatro exercício para membro inferior e quatro para membro superior, intercalados entre si (três séries de oito a 12 repetições máximas). O TC foi realizado de forma intermitente de alta intensidade (TIAI) (1:1) a 100% da Vmax, até que os sujeitos completassem cinco km, associado ao TF na mesma sessão de treinamento. O SV foi realizado pré e pós sessão de treinamento em uma plataforma de salto da marca Cefise® (Nova Odessa, Brasil) na modalidade Squat Jump, na 1a, 2a, 4a, 8a e 10a semana de treinamento. Para o tratamento estatístico foi realizado o teste de normalidade Kolmogorov-Smirnov, seguido pelo teste T-independentevisando comparar as variáveis (idade, massa corporal, massa gorda, massa magra de membro inferior, estatura, IMC, Vmax, V̇O2max, SV, tonelagem total, tonelagem de membro inferior e RM) no momento pré intervenção entre o GF e GC. Em ambas as etapas, um (aguda) e dois (crônica), foi realizada a analise de medidas repetidas e ANOVA e Post-Hoc de Bonferroni. Para primeira etapa não foi encontrado efeito para altura, delta absoluto (Δ abs) e percentual (Δ %) do salto. Na etapa dois, nenhum efeito foi observado na V̇O2max, já para Vmax, houve efeito entre grupos. Não houve efeito para massa magra de membro inferior. Para a tonelagem total e de membro inferior, houve efeito para momento. Desta forma, é possivel concluir que o TC e TF são capazes de melhorar a força muscular, mas não o SV, provavelmente devido a fatores neuromusculares, que geraram economia de movimento. / Concurrent training (TC) is an effective strategy for developing aerobic fitness and strength. However, it seems that TC may interfere with force gains, thus, acute and chronic vertical jump (SV) analysis can be considered as an important tool for force monitoring. Thus, the present dissertation aims to evaluate the acute and chronic response of the TC and strength training (TF) in the SV. The sample consisted of 21 physically active men, who were randomized into two groups: concurrent (n = 11, 28.45 ± 3.8 years, 75.18 ± 7.73 kg, 178.1 ± 6 cm) (GC) and strength (GF) (n = 10, 25.5 ± 2.9 years, 78 ± 11.8 kg, 178.2 ± 7 cm). The TF consisted of four exercises for the lower limb and four for the upper limb, interspersed with each other (three sets of eight to 12 maximal repetitions). TC was performed intermittently high intensity (HIIT) (1: 1) at 100% of the Vmax, until subjects completed 5 km, associated with TF in the same training session. The SV was performed pre and post training session on a jump platform of the brand Cefise® (Nova Odessa, Brazil) in the modality Squat Jump, in the 1st, 2nd, 4th, 8th and 10th week of training. For the statistical treatment, the Kolmogorov-Smirnov normality test was performed, followed by the independent T-test, comparing the variables (age, body mass, fat mass, lean body mass, stature, BMI, Vmax, V̇O2max, SV, total tonnage, lower limb tonnage and MRI) at the pre-intervention time between GF and GC. In both steps, one (acute) and two (chronic), was performed the analysis of repeated measures and ANOVA and Post-Hoc of Bonferroni. For the first step no effect was found for height, absolute delta (Δ abs) and percentage (Δ%) of the jump. In step two, no effect was observed on the V̇O2max, already for Vmax, there was effect between groups. There was no effect on lean lower limb mass. For total tonnage and lower limb, there was effect for moment. Thus, it is possible to conclude that TC and TF are capable of improving muscle strength, but not SV, probably due to neuromuscular factors, which generated movement savings. / 1587674

Abstract Aim The purpose of this study is to examine the correlation between commonly used jump tests and sprint performance over 10 m skate on-ice. The questions we will answer are; -       What correlations exist between a set of jumping tests and the sprint ability over 10 m skate on-ice? -       Which jumping test has the strongest correlation with the sprint ability over 10 m skate on-ice? -       Are there any differences between junior- and senior players, and in that case wich? Method In this study 34 subjects participated and they were between 16-25 years of age and had 9-20 years of icehockey playing experience. They performed five jumping tests; countermovement jump with arms (CMJa), one-legged vertical jump on the right leg, one-legged vertical jump on the left leg, squat jump (SJ) and a horizontal broad jump. On-ice skate test was performed to measure the acceleration ability over 10 m skate sprint in order to try to find correlations between vertical jumping height and the sprint ability, as well as horizontal jumping length and the sprint ability. The tests were performed 48 hours apart. At the first test occasion the jumping tests were performed and at the second the on-ice test was performed. Results The results of this study shows a significant correlation between SJ and the on-ice test result, as well as between CMJa and the on-ice test result. The correlation between SJ and the On-Ice test was r = -0.422 (p < 0.05), and the correlation between CMJa and the on-ice test was r = -0.403 (p < 0.05). When comparing the jump tests to the on-ice test for only juniors no significant correlations were found. However, the seniors (n=7) showed a stronger correlation between the SJ and the on-ice test (r = -0.761, p < 0.05). Conclusions The study  confirmed that SJ is the jumping test that best correlates with  the acceleration/sprint ability skating on-ice. It was also shown that SJ is a more useful predictor for the acceleration/sprint ability for seniors than for juniors. More research will be needed for a deeper understanding of this area. / Sammanfattning Syfte Syftet med studien är att undersöka korrelationerna mellan vanligt förekommande hopptester och sprintförmåga i skridskoåkning över 10 m on-ice. De frågeställningar vi ämnar att besvara är; - Vilka eventuella korrelationer finns mellan de olika hopptesterna och sprintförmåga i skridskoåkning över 10 m on-ice? - Vilket hopptest har störst samband med sprintförmåga i skridskoåkning över 10 m onice? - Finns det några skillnader mellan junior- och seniorspelare, och i så fall vilka? Metod I denna studie deltog 34 försökspersoner (fp) de var mellan 16-25 år gamla och hade en idrottslig bakgrund på 9-20 år. De genomförde fem hopptester; countermovement jump med armdrag (CMJa), vertikalt enbenshopp på höger ben, vertikalt enbenshopp vänster ben, squat jump (SJ) och stående längdhopp. Ett on-ice test för att mäta accelerationsförmågan i skridskoåkning över 10 m genomfördes för att se samband mellan vertikal hopphöjd och accelerationsförmågan samt horisontell hopplängd och accelerationsförmåga. Testerna genomfördes med 48 timmars mellanrum. Vid första tillfället genomfördes hopptesterna och vid andra testtillfället genomfördes on-ice testet. Resultat Resultatet i denna studie visar på signifikanta korrelationer mellan SJ och on-ice testet samt mellan CMJa och on-ice testet. Mellan SJ och on-ice testet uppmättes värden där r = -0.422 (p < 0.05). Mellan CMJa och on-ice testet uppmättes värden till r = -0.403 (p < 0.05). I jämförelsen mellan hopptesterna och on-ice testet för enbart juniorer uppmättes inga signifikanta korrelationer. Däremot visade seniorspelarna (n=7) en signifikant korrelation mellan SJ och on-ice testet (r = -0.761, p < 0.05). Slutsats Studien bekräftar att SJ är det hopptest som bäst förutser acceleration/sprintförmågan i skridskoåkning on-ice. Det visade sig även att SJ är ett mer användbart test för att förutse acceleration/sprintförmågan för seniorer än för juniorer. Vidare forskning kommer att behövas för att skapa djupare förståelse inom området.

京都大学 / 0048 / 新制・課程博士 / 博士(工学) / 甲第22756号 / 工博第4755号 / 新制||工||1744(附属図書館) / 京都大学大学院工学研究科都市社会工学専攻 / (主査)教授 細田 尚, 教授 戸田 圭一, 准教授 音田 慎一郎 / 学位規則第4条第1項該当 / Doctor of Philosophy (Engineering) / Kyoto University / DFAM

No description available.

The purpose of this study was to examine the effects of unilateral and bilateral plyometric exercise on peak power and jumping performance during different stages of a 12-week training and detraining in women. Forty-nine untrained but physically active female college students were randomly assigned to 1 of × groups: unilateral plyometric group (n = 16), bilateral plyometric group (BLE; n = 18), and a control group (n = 15). Peak power and jumping ability were assessed by means of the alternate leg tests (10-second Wingate test and 5 alternate leg bounds), bilateral leg test (countermovement jump [CMJ]) and unilateral leg test (unilateral CMJ). Performance indicators were measured pretraining, midtraining, posttraining, and detraining. Differences between dependent variables were assessed with a × × 4 (group × time) repeated analysis of variance with Tukey's post hoc test applied where appropriate. Effect size was calculated to determine the magnitude of significant differences between the researched parameters. Only the unilateral plyometric training produced significant (p < 0.05) improvement in all tests from pretraining to midtraining, but there was no significant (p < 0.05) increase in performance indicators from midtraining to posttraining. The BLE group significantly (p < 0.05) improved in all tests from pretraining to posttraining and did not significantly (p > 0.05) decrease power and jumping ability in all tests during detraining. These results suggest that unilateral plyometric exercises produce power and jumping performance during a shorter period when compared to bilateral plyometric exercises but achieved performance gains last longer after bilateral plyometric training. Practitioners should consider the inclusion of both unilateral and bilateral modes of plyometric exercise to elicit rapid improvements and guard against detraining.

Reactive strength index-modified (RSImod) is a measure of lower body explosiveness calculated by dividing jump height by time to takeoff. RSImod is different between stronger and weaker athletes and between males and females. The purpose of this study was to evaluate differences in RSImod between males and females while controlling for maximal strength and lower body explosiveness. Forty-three female and fifty-eight male Division-I athletes performed countermovement jumps on a force plate during unloaded (0kg) and loaded (20kg) conditions. We used an ANCOVA to test whether RSImod is different between sexes conditioning on relative maximum strength (PFa) and average RFD 0-200ms (RFD200) measured during the isometric midthigh pull (IMTP). Differences of 0.087 (95% CI: 0.040 - 0.134; p = 0.0005) and 0.075 (95% CI: 0.040 - 0.109, p < 0.0001) were observed for RSImod between sexes in unloaded and loaded conditions, respectively. A male with PFa of 186 (grand mean of the sample) and RFD200 of 6602 N/s (grand mean of the sample) is predicted to have 28% greater RSImod than a female of similar PFa and RFD200. Maximum strength development should be a primary aim of training in female athletes, in addition to other trainable factors, such as stiffness and RFD.