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The option pricing theory set forth by Black and Scholes assumes that the underlying asset can be modeled by Geometric Brownian motion, with the Brownian motion being the driving force of uncertainty. Recent empirical studies, Dotsis, Psychoyios & Skiadopolous (2007) [17], suggest that the use of Brownian motion alone is insufficient in accurately describing the evolution of the underlying asset. A more realistic description of the underlying asset’s dynamics would be to include random jumps in addition to that of the Brownian motion. The concept of including jumps in the asset price model leads us naturally to the concept of a L'evy process. L'evy processes serve as a building block for stochastic processes that include jumps in addition to Brownian motion. In this dissertation we first examine the structure and nature of an arbitrary L'evy process. We then introduce the stochastic integral for L'evy processes as well as the extended version of Itˆo’s lemma, we then identify exponential L'evy processes that can serve as Radon-Nikod'ym derivatives in defining new probability measures. Equipped with our knowledge of L'evy processes we then implement this process in a financial context with the L'evy process serving as driving source of uncertainty in some stock price model. In particular we look at jump-diffusion models such as Merton’s(1976) [37] jump-diffusion model and the jump-diffusion model proposed by Kou and Wang (2004) [30]. As the L'evy processes we consider have more than one source of randomness we are faced with the difficulty of pricing options in an incomplete market. The options that we shall consider shall be mainly European in nature, where exercise can only occur at maturity. In addition to the vanilla calls and puts we independently derive a closed form solution for an exchange option under Merton’s jump-diffusion model making use of conditioning arguments and stochastic integral representations. We also examine some exotic options under the Kou and Wang model such as barrier options and lookback options where the solution to the option price is derived in terms of Laplace transforms. We then develop the Kou and Wang model to include only positive jumps, under this revised model we compute the value of a perpetual put option along with the optimal exercise point. Keywords Derivative pricing, L'evy processes, exchange options, stochastic integration. / Thesis (M.Sc.)-University of KwaZulu-Natal, Westville, 2009.

In this thesis, a new method based on characteristic functions is proposed to estimate the jump component in a finite-activity Levy process, which includes the jump frequency and the jump size distribution. Properties of the estimators are investigated, which show that this method does not require high frequency data. The implementation of the method is discussed, and examples are provided. We also perform a comparison which shows that our method has advantages over an existing threshold method. Finally, two applications are included: one is the classification of the increments of the model, and the other is the testing for a change of jump frequency.

We give asymptotics near the boundary for the distribution of the first exit time of the isotropic alpha-stable Levy process on bounded Lipschitz sets in real euclidean space. These asymptotics bear some relation to the existence of limits in the Yaglom sense of alpha-stable processes. Our approach relies on the uniform integrability of the ratio of Green functions on bounded Lipschitz sets. We use bounds for the heat remainder to give the first two terms in the small time asymptotic expansion of the trace of the heat kernel of unimodal Levy processes satisfying some weak scaling conditions on bounded Lipschitz domains.

No description available.

O sistema de execução forçada é o instrumento previsto no Código de Processo Civil Brasileiro destinado a satisfazer o credor de obrigações pecuniárias contidas em sentenças ou em títulos executivos extrajudiciais. Trata-se de sistema cujo bom funcionamento não só interessa às partes de um litígio, mas a toda sociedade, em função de suas importantes repercussões sociais e econômicas. Por meio da execução forçada o Juiz invade o patrimônio do devedor, independentemente da vontade deste, e expropria bens em benefício do credor. Para o adequado funcionamento da execução forçada é essencial que o ato processual de penhora de bens do devedor seja efetivo. A penhora consiste em apreender e afetar juridicamente bens do devedor, os quais ficam vinculados ao Juízo da execução até o momento próprio de realização da expropriação dos bens. A penhora é ato processual que incide sobre a realidade econômica e social e padece de suas contingências. O objetivo desta dissertação de Mestrado é investigar a relação entre o ato de penhora e seu objeto, a partir da premissa de que o método ou a forma de apreensão judicial deve estar plenamente adaptado aos atributos sociais, jurídicos e econômicos do bem que se pretende apreender. Nesse contexto, será investigado o regime da penhora do Código de Processo Civil Brasileiro, bem como serão estudados os tipos de penhora de bens de significação econômica mais importante na realidade atual. / The system of forced execution is the instrument set forth in the Brazilian Code of Civil Procedure destined to satisfy the creditor of pecuniary obligations contained in judgments or in extrajudicial execution instruments. It is a system, the good functioning of which is of interest not only to the parties in a litigation, but also to society as a whole, in view of its important social and economic repercussions. The Judge, by means of the forced execution, invades the debtors assets, irrespective of the will of the latter, and expropriates assets to the benefit of the creditor. For the proper functioning of the forced execution, it is essential that the procedural act of levy of the debtors assets be effective. The levy consists of seizing and legally affecting the debtors assets, which become bound to the Court of the execution until the specific time of performance of the expropriation of the assets. The levy is a procedural act which applies to economic and social reality, and lacks its contingencies. The objective of this Masters dissertation is to investigate the relationship between the act of levy and its object, starting from the premise that the method or the form of judicial seizure must be fully adapted to the social, juridical and economic attributes of the asset which is intended to be seized. In this context, the regime of levy in the Brazilian Code of Civil Procedure will be investigated, as well studying the types of levy of assets of the most important economic significance in the current reality.

O sistema de execução forçada é o instrumento previsto no Código de Processo Civil Brasileiro destinado a satisfazer o credor de obrigações pecuniárias contidas em sentenças ou em títulos executivos extrajudiciais. Trata-se de sistema cujo bom funcionamento não só interessa às partes de um litígio, mas a toda sociedade, em função de suas importantes repercussões sociais e econômicas. Por meio da execução forçada o Juiz invade o patrimônio do devedor, independentemente da vontade deste, e expropria bens em benefício do credor. Para o adequado funcionamento da execução forçada é essencial que o ato processual de penhora de bens do devedor seja efetivo. A penhora consiste em apreender e afetar juridicamente bens do devedor, os quais ficam vinculados ao Juízo da execução até o momento próprio de realização da expropriação dos bens. A penhora é ato processual que incide sobre a realidade econômica e social e padece de suas contingências. O objetivo desta dissertação de Mestrado é investigar a relação entre o ato de penhora e seu objeto, a partir da premissa de que o método ou a forma de apreensão judicial deve estar plenamente adaptado aos atributos sociais, jurídicos e econômicos do bem que se pretende apreender. Nesse contexto, será investigado o regime da penhora do Código de Processo Civil Brasileiro, bem como serão estudados os tipos de penhora de bens de significação econômica mais importante na realidade atual. / The system of forced execution is the instrument set forth in the Brazilian Code of Civil Procedure destined to satisfy the creditor of pecuniary obligations contained in judgments or in extrajudicial execution instruments. It is a system, the good functioning of which is of interest not only to the parties in a litigation, but also to society as a whole, in view of its important social and economic repercussions. The Judge, by means of the forced execution, invades the debtors assets, irrespective of the will of the latter, and expropriates assets to the benefit of the creditor. For the proper functioning of the forced execution, it is essential that the procedural act of levy of the debtors assets be effective. The levy consists of seizing and legally affecting the debtors assets, which become bound to the Court of the execution until the specific time of performance of the expropriation of the assets. The levy is a procedural act which applies to economic and social reality, and lacks its contingencies. The objective of this Masters dissertation is to investigate the relationship between the act of levy and its object, starting from the premise that the method or the form of judicial seizure must be fully adapted to the social, juridical and economic attributes of the asset which is intended to be seized. In this context, the regime of levy in the Brazilian Code of Civil Procedure will be investigated, as well studying the types of levy of assets of the most important economic significance in the current reality.

Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-07-01T13:07:29Z No. of bitstreams: 1 pedrodefreitasdamascenodarocha.pdf: 658443 bytes, checksum: bfa6c3662042f0427d937294c9352b8f (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-07-13T16:00:27Z (GMT) No. of bitstreams: 1 pedrodefreitasdamascenodarocha.pdf: 658443 bytes, checksum: bfa6c3662042f0427d937294c9352b8f (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-07-13T16:00:46Z (GMT) No. of bitstreams: 1 pedrodefreitasdamascenodarocha.pdf: 658443 bytes, checksum: bfa6c3662042f0427d937294c9352b8f (MD5) / Made available in DSpace on 2016-07-13T16:00:46Z (GMT). No. of bitstreams: 1 pedrodefreitasdamascenodarocha.pdf: 658443 bytes, checksum: bfa6c3662042f0427d937294c9352b8f (MD5) Previous issue date: 2012-12-19 / Este trabalho se debruça sobre as obras de ficção da escritora Tatiana Salem Levy. Nas obras estudadas, é marcante a tendência que a vida tem para a calamidade, constantemente anunciada por tempestades, acentuando seu caráter imperativo e inevitável. Em contraposição, destaca-se igualmente sua capacidade de restauração que brota de ínfimas frestas do caos instalado no cenário em que se desenvolvem as ações. Nesta tensão, as personagens perdem suas referências e precisam reestabelecer-se de alguma forma para sentirem-se novamente integradas, preenchidas de vida. Outro ponto intrigante nas obras da autora é a constante parca possibilidade de identificação destas personagens, uma vez que na maioria dos casos elas não possuem nome e se fazem incógnitas para os leitores. É difícil estabelecer o motivo desta falta de identidade, se esta fora motivada pela perda, ou a perda apenas corrobora o sentimento de vazio e falta de traços identitários marcantes. Para o sujeito repleto de lacunas, a realidade é absorvida em pedaços, fragmentos colecionados e guardados como esboço de um ideal de vaga realidade a qual pertence e representa, acredita pertencer e representar, ou ainda, da qual deseja pertencer e representar. Estes fragmentos são monumentos da significação alegórica que determinam a passagem do tempo e da decomposição de seus elementos em detrimento da confirmação de perenidade da identidade fixa. Ou seja, da modificação do próprio sujeito que, ao ver-se apegado à determinada condição ou a fatos do passado de sua existência, embota o presente e deixa de vislumbrar o futuro. Constitui-se, assim, no fazer literário, no lugar da escrita, o espaço viabilizador da reafirmação da identidade perdida, uma vez que escrever como processo de busca ampara-se em um trabalho consciente do sujeito às disposições de si presente na sociedade que o circunda. O objetivo deste trabalho é estabelecer padrões de comportamento a partir das ações das personagens, partindo da ausência de um eu afirmativo que desempenha uma ação, e estratégias comuns de reconstrução de suas personalidades. Para tanto, destacarei algumas características notadas nos textos, que servirão de pilares estruturantes de minha argumentação, quais sejam: as perdas, os nomes, os espaços e os discursos. / This paper focuses on the works of fiction writer Tatiana Salem Levy. In the works studied, is remarkable the tendency life has to calamity, constantly heralded by natural disasters, pointing out to its inevitability. In contrast, there is also a restoring ability which comes from tiny cracks from the chaos described in the stories. In this tension, the characters lose their references and need to re-establish themselves in some way to feel again integrated, fulfilled with life. Another intriguing issue is the constant possibility of identifying these characters, since in most cases they do not have names and are unknown to the readers. It is difficult to establish the reason for this lack of identity, whether it was motivated by the loss, or loss only confirms the feeling of emptiness and lack of identity features striking. As the subject are full of gaps, the reality is absorbed into pieces, fragments collected and saved as an outline and vague ideal of reality to which they belong or believe to belong. These fragments are monuments of the allegorical significance that determine the passage of time and the decomposition of its elements to the detriment of the confirmation of durability of fixed identity. Writing thus becomes the ideal place to the replace the subjects into society, specially to the ones they believe to have lost. The objective of this work is to establish standards of behaviour from the actions of the characters through which they aim to rebuild their personalities. The structural pillars of my argument, are: losses, names, places and speeches.

No description available.