Traffic congestion is a significant cost to society, amounting to somewhere between 1 and 2% of GDP according to an EU-wide survey (CE Delft, 2011). To address this cost, road pricing has long been viewed as the first best solution although issues with public and political acceptance have meant the uptake of such schemes has been low. In the meantime parking policies, a second best alternative to road pricing, have become extensively used by local authorities as a means of managing congestion due to the influence the price and availability of parking can have on a motorist s decision to drive. The effectiveness of such strategies however is limited due to local authorities being unable to control privately owned parking. More specifically, free parking at the workplace is seen as contributing to congestion at peak times by incentivising drivers to commute to work by car. To address this, in the UK the Transport Act 2000 granted powers to local authorities to introduce a Workplace Parking Levy (WPL) whereby employers are required to pay a sum based on the number of parking spaces they provide for their staff with the revenue hypothecated for local transport improvements. The introduction of such powers meant the Government estimated there would be 12 schemes by 2010. To-date however, only Nottingham has introduced a WPL. The aim of this thesis therefore is to investigate the transferability of the WPL to other local authorities which is analysed through the application of the Policy Transfer Framework to the WPL in the UK context. It focuses on the views of key stakeholders with respect to the WPL at both the national and local authority level so as to understand the reasons for the low uptake as well as the design, implementation and operational considerations required to introduce such a scheme. The conclusions of this thesis are that lessons can and have been learnt with respect to introducing a WPL as the findings reveal that Nottingham City Council (NCC) drew on aspects of Policy Transfer to facilitate the introduction of the scheme. Specifically, NCC Councillors developed a vision of what a WPL could deliver and were reassured by experts from abroad whilst a staff transfer exercise allowed officers to learn lessons in terms of how the scheme should be designed, implemented and operated. What s more, lessons from a formal DfT evaluation of the pilot scheme in Nottingham following the delivery of the full WPL package will have a significant influence (either positive or negative) on the number of future schemes. More broadly, the results suggest that the WPL is transferable and the adoption of additional WPL schemes in the future is likely. This is due in no small part to the fact that the Nottingham scheme has so far enjoyed a relatively painless introduction even though it is still too early to evaluate how successful it has been in meeting its objectives. This research has made a significant contribution to knowledge in that it has explored the WPL with key stakeholders to generate a standard for introducing and operating a WPL. It has also provided an application of the Policy Transfer framework to understand the process and development of a new policy as well as the type and where lessons are learnt.

<p>In this thesis we consider two models for the computation of option prices. The first one is a generalization of the Black-Scholes model. In this generalization the volatility Sigma is not a constant. In the simplest case it changes at once at a certain time moment Tau. In some sense this is the conditionally Levy model. For this generalized Black-Scholes model have been theoretically obtained formulas for vanilla Call/Put option prices. Under the assumption of a good prediction of the parameter Sigma the obtained numerical results fit the real dara better than standard Black-Scholes model.</p><p>Second model is an exponential Levy model, where a Levy process is the CGMY process. We use the finite-difference scheme for computations of option prices. As example we consider vanilla Call/Put, Double-Barrier and Up-and-out options. After the estimation of the parameters of the CGMY process by the method of moments we obtain options prices and calculate fitting error. This fitting error for the CGMY model is smaller than for the Black-Scholes model.</p>

In this thesis we consider two models for the computation of option prices. The first one is a generalization of the Black-Scholes model. In this generalization the volatility Sigma is not a constant. In the simplest case it changes at once at a certain time moment Tau. In some sense this is the conditionally Levy model. For this generalized Black-Scholes model have been theoretically obtained formulas for vanilla Call/Put option prices. Under the assumption of a good prediction of the parameter Sigma the obtained numerical results fit the real dara better than standard Black-Scholes model. Second model is an exponential Levy model, where a Levy process is the CGMY process. We use the finite-difference scheme for computations of option prices. As example we consider vanilla Call/Put, Double-Barrier and Up-and-out options. After the estimation of the parameters of the CGMY process by the method of moments we obtain options prices and calculate fitting error. This fitting error for the CGMY model is smaller than for the Black-Scholes model.

By means of the cluster expansion method we show that a recent result of Poghosyan and Ueltschi (2009) combined with a result of Nehring (2012) yields a construction of point processes of classical statistical mechanics as well as processes related to the Ginibre Bose gas of Brownian loops and to the dissolution in R^d of Ginibre's Fermi-Dirac gas of such loops. The latter will be identified as a Gibbs perturbation of the ideal Fermi gas. On generalizing these considerations we will obtain the existence of a large class of Gibbs perturbations of the so-called KMM-processes as they were introduced by Nehring (2012). Moreover, it is shown that certain "limiting Gibbs processes" are Gibbs in the sense of Dobrushin, Lanford and Ruelle if the underlying potential is positive. And finally, Gibbs modifications of infinitely divisible point processes are shown to solve a new integration by parts formula if the underlying potential is positive.

Sharpe ratio is extensively used in performance of portfolio. However, it is based on assumption that return follows normal distribution. In other words, when return in asset is not normal distribution, the Sharpe ratio is not meaningful. This research focuses on Generalized Sharpe ratio with different distribution in eight indexes from 2001/12/31 to 2010/12/31. We try to find a suitable levy process to fit our data. Instead of Normal distribution assumption, we use Jump diffusion, Variance Gamma, Normal Inverse Gaussian, Hyperbolic, Generalized Hyperbolic, as our distribution to solve stylized fact like skewness and kurtosis. Compared the difference between standard Sharpe ratio and Generalized Sharpe ratio, we come to these conclusions: first of all, Generalized Hyperbolic is better levy process to fit our eight indexes. Second, Sharpe ratio under GH levy process has low autocorrelation, and it present that modified Sharpe ratio is more elastic. Third, Generalized Sharpe ratio can uncover the strategy that fund manager manipulate Sharpe ratio. At last, Generalized Sharpe ratio have better predict than standard Sharpe ratio. Keywords: Sharpe ratio, Levy process, GH distribution, portfolio, utility function

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Author's Thesis (doctoral)--Universität Wien, 1988. / Includes bibliographical references (p. [108]-116).

Thesis (M. A.)--Florida State University, 2005. / Advisor: Frederick Davis, Florida State University, College of Arts and Sciences, Program in American and Florida Studies. Title and description from dissertation home page (viewed Jan. 27, 2006). Document formatted into pages; contains vii, 99 pages. Includes bibliographical references.

Author's Thesis (doctoral)--Universität Wien, 1988. / Includes bibliographical references (p. [108]-116).

Doctorat en psychologie (D. Ps)--Université du Québec à Trois-Rivières, 2006. / Comprend des réf. bibliogr.: f. [118]-120. Également disponible en format microfiche.