<p>This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. Various properties of barrier options and American options are studied, such as convexity of option prices, the size of the continuation region in American option pricing and pricing formulas for turbo warrants. In Paper I we study the effect of model misspecification on barrier option pricing. It turns out that, as in the case of ordinary European and American options, this is closely related to convexity properties of the option prices. We show that barrier option prices are convex under certain conditions on the contract function and on the relation between the risk-free rate of return and the dividend rate. In Paper II a new condition is given to ensure that the early exercise feature in American option pricing has a positive value. We give necessary and sufficient conditions for the American option price to coincide with the corresponding European option price in at least one diffusion model. In Paper III we study parabolic obstacle problems related to American option pricing and in particular the size of the non-coincidence set. The main result is that if the boundary of the set of points where the obstacle is a strict subsolution to the differential equation is C¹-Dini in space and Lipschitz in time, there is a positive distance, which is uniform in space, between the boundary of this set and the boundary of the non-coincidence set. In Paper IV we derive explicit pricing formulas for turbo warrants under the classical Black-Scholes assumptions.</p>

This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. Various properties of barrier options and American options are studied, such as convexity of option prices, the size of the continuation region in American option pricing and pricing formulas for turbo warrants. In Paper I we study the effect of model misspecification on barrier option pricing. It turns out that, as in the case of ordinary European and American options, this is closely related to convexity properties of the option prices. We show that barrier option prices are convex under certain conditions on the contract function and on the relation between the risk-free rate of return and the dividend rate. In Paper II a new condition is given to ensure that the early exercise feature in American option pricing has a positive value. We give necessary and sufficient conditions for the American option price to coincide with the corresponding European option price in at least one diffusion model. In Paper III we study parabolic obstacle problems related to American option pricing and in particular the size of the non-coincidence set. The main result is that if the boundary of the set of points where the obstacle is a strict subsolution to the differential equation is C1-Dini in space and Lipschitz in time, there is a positive distance, which is uniform in space, between the boundary of this set and the boundary of the non-coincidence set. In Paper IV we derive explicit pricing formulas for turbo warrants under the classical Black-Scholes assumptions.

(i) We prove that intermediate Banach spaces A, B with respect to arbitrary Hilbert couples H, K are exact interpolation iff they are exact K-monotonic, i.e. the condition f0∊A and the inequality K(t,g0;K)≤K(t,f0;H), t&gt;0 imply g0∊B and ||g0||B≤||f0||A (K is Peetre's K-functional). It is well-known that this property is implied by the following: for each ρ&gt;1 there exists an operator T : H→K such that Tf0=g0, and K(t,Tf;K)≤ρK(t,f;H), f∊H0+H1, t&gt;0.Verifying the latter property, it suffices to consider the "diagonal" case where H=K is finite-dimensional. In this case, we construct the relevant operators by a method which allows us to explicitly calculate them. In the strongest form of the theorem, it is shown that the statement remains valid when substituting ρ=1. (ii) A new proof is given to a theorem of W. F. Donoghue which characterizes certain classes of functions whose domain of definition are finite sets, and which are subject to certain matrix inequalities. The result generalizes the classical Löwner theorem on monotone matrix functions, and also yields some information with respect to the finer study of monotone functions of finite order. (iii) It is shown that with respect to a positive concave function ψ there exists a function h, positive and regular on ℝ+ and admitting of analytic continuation to the upper half-plane and having positive imaginary part there, such that h≤ψ≤ 2h. This fact is closely related to a theorem of Foiaş, Ong and Rosenthal, which states that regardless of the choice of a concave function ψ, and a weight λ, the weighted l2-space l2(ψ(λ)) is c-interpolation with respect to the couple (l2,l2(λ)), where we have c≤√2 for the best c. It turns out that c=√2 is best possible in this theorem; a fact which is implicit in the work of G. Sparr. (iv) We give a new proof and new interpretation (based on the work (ii) above) of Donoghue's interpolation theorem; for an intermediate Hilbert space H* to be exact interpolation with respect to a regular Hilbert couple H it is necessary and sufficient that the norm in H* be representable in the form ||f||*= (∫[0,∞] (1+t-1)K2(t,f;H)2dρ(t))1/2 with some positive Radon measure ρ on the compactified half-line [0,∞]. (v) The theorem of W. F. Donoghue (item (ii) above) is extended to interpolation of tensor products. Our result is related to A. Korányi's work on monotone matrix functions of several variables.

We prove some sufficient conditions for obtaining convergence rates in regularization of linear ill-posed problems in a Hilbert space setting and show that these conditions are directly related with the conditional stability in several concrete inverse problems for partial differential equations.

We connect the Mimetic Finite Difference method (MFD) with the finite-volume two-point flux scheme (TPFA) for Voronoi meshes. The main effect is reducing the saddle-point system to a much smaller symmetric-positive definite matrix. In addition, the generalization allows MFD to seamlessly integrate with existing porous media modeling technology. The generalization also imparts the monotonicity property of the TPFA method on MFD. The connection is achieved by altering the consistency condition of the velocity bilinear operator. First-order convergence theory is presented as well as numerical results that support the claims. We demonstrate a methodology for using MFD in modeling fluid flow in fractures coupled with a reservoir. The method can be used for nonplanar fractures. We use the method to demonstrate the effects of fracture curvature on single-phase and multi-phase flows. Standard benchmarks are used to demonstrate the accuracy of the method. The approach is coupled with existing reservoir simulation technology. / text

Στη διατριβή αυτή μελετάται η μονοτονία και η κυρτότητα των ριζών ορισμένων οικογενειών associated ορθογωνίων q-πολυωνύμων που εμφανίζονται στο q-ανάλογο του σχήματος Askey. Για τη μελέτη της μονοτονίας και της κυρτότητας των ριζών χρησιμοποιείται μια συναρτησιακή αναλυτική μέθοδος η οποία βασίζεται στην αναδρομική σχέση τριών όρων που ικανοποιεί οποιαδήποτε οικογένεια ορθογωνίων πολυωνύμων. Επίσης για τον υπολογισμό των αθροισμάτων Newton των ριζών χρησιμοποιείται η συναρτησιακή αναλυτική μλεθοδος που παρουσιάστηκε από τους Υφαντή, Κοκολογιαννάκη και Σιαφαρίκα για τον υπολογισμό των αθροισμάτων Newton των ριζών των scaled corecursive associated ορθογωνίων πολυωνύμων. Επειδή τα ορθογώνια q-πολυώνυμα είναι q-ανάλογα κλασικών ορθογωνίων πολυωνύμων παίρνοντας το όριο q-1 προκύπτουν αντίστοιχα αποτελέσματα για τις ρίζες των κλασσικών ορθογωνίων πολυωνύμων. Τα αποτελέσματα αυτά γενικεύουν ενοποιούν και βελτιώνουν προηγούμενα αποτελέσματα. / In this thesis, we study the monotonicity properties and the convexity of the zeros of some families of associated orthogonal q-polynomials. Also, we calculate the Newton sum rules of these zeros. For the study of the monotonicity of the zeros, we use a functional analytic method based on the three terms recurrence relations satisfied by the associated orthogonal q-polynomials under consideration.

Conselho Nacional de Pesquisa e Desenvolvimento Científico e Tecnológico - CNPq / Repeatedly in the field of Quantum Information Science (QIS) it’s essentially required of physical systems the quantification concerning its quantum phenomena, such as Quantum Coherence (QC) relying in quantum superposition states. Hereafter several quantifiers of QC have been proposed over the years through distance measures in quantum state spaces, called distinguishability measures, playing an important role in QIS correlation phenomena such as Discord and Entanglement with Quantum Cryptography implementation, as example. The aim of this dissertation is to extend the research of QC, published by Jonas Maziero in an article, performing an in-depth analysis regarding the control of local and non-local aspects of Hilbert-Schmidt Coherence (HSC) in multipartite systems and its relations with others QC quantifiers, as well as an analisys of a possible Hilbert-Schmidt Distance (HSD) implication in QC functions over the Non-Monotonicity under Tensor Products (NMuTP) inequality and of limitations between Coherence of state populations and energy. Starting from the generic multipartite state of level quantum energy systems (qudit), defined from the Bloch parameterization, calculations of QC functions concerning its particular cases are considered for 1-qubit, 2-qubit, 1-qutrit and two copies of 1-qubit adopting HSD. Writing the HSC function for the latter case in terms of its local and non-local parts and from the result of 1-qubit it is possible, by manipulating the difference between local populations, to infer a non-local implication in the HSC for that system, in contrast to what has been seen by adopting distinct dissimilarity measures for this function, named l1- Norm Distance and Relative Entropy Distance, cases where there are no implications and where there is a direct consequence with their local populations instead of the previously difference between them, respectively. Notwithstanding, HSD usage provides a description of an awkward relation in QIS towards NMuTP, and a possible implication of that kind of relation in QIS emergent phenomena such as QC function. / Reiteradamente no contexto da Ciência da Informação Quântica (CIQ) é essencialmente necessária a quantificação de sistemas físicos com respeito aos seus fenómenos quânticos, tais como a Coerência Quântica (CQ) intrínseca a estados com superposição quântica. Doravante algumas funções quantificadoras de CQ foram atribuídas ao longo dos anos através de medidas de distância em espaços de estados quânticos, denominadas medidas de dissimilaridade, desempenhando papel importante em fenômenos de correlação na CIQ, tal como Discórdia e Emaranhamento com implementação em Criptografia Quântica, por exemplo. O objetivo desta dissertação é estender a pesquisa dedicada a CQ, publicada em artigo por Jonas Maziero, efetuando uma análise aprofundada com respeito ao controle dos aspectos local e não-local da Coerência de Hilbert-Schmidt (CHS) em sistemas multipartidos e suas relações com outras funções quantificadoras de CQ, bem como a investigação de uma possível implicação da Distância de Hilbert-Schmidt (DHS) na função CQ frente a relação da Não-Monotonicidade sobre o Produto Tensorial (NMsPT) e de limitações entre Coerência e populações de estados e energia. Partindo do estado multipartido genérico de sistemas quânticos com níveis de energia (qudit), definido a partir da parametrização de Bloch, calculamos a função CQ para seus respectivos casos particulares 1-qubit, 2-qubit, 1-qutrit e duas cópias de 1-qubit adotando a DHS. Escrevendo a função CHS para este último caso em termos de suas partes local e não-local e do resultado para 1-qubit é possível, manipulando a diferença entre as populações locais, inferir uma implicação não-local na CHS para este sistema, em contraste ao que se observa adotando distintas medidas de dissimilaridade para esta função, denominadas Distância Norma-l1 e Distância Entropia Relativa, nos casos em que não há implicação e onde há consequência direta com suas populações locais do que anteriormente a diferença entre elas, respectivamente. Não obstante, o emprego da DHS proporciona o caráter de uma estranha relação na CIQ através da NMsPT, e uma possível implicação desta relação em fenômenos emergentes da CIQ tal qual a função CQ.

O problema de Inferência sobre uma proporção, amplamente divulgado na literatura estatística, ocupa papel central no desenvolvimento das várias teorias de Inferência Estatística e, invariavelmente, é objeto de investigação e discussão em estudos comparativos entre as diferentes escolas de Inferência. Ademais, a estimação de proporções, bem como teste de hipóteses para proporções, é de grande importância para as diversas áreas do conhecimento, constituindo um método quantitativo simples e universal. Nesse trabalho, é feito um estudo comparativo entre as abordagens clássica e bayesiana do problema de testar as hipóteses de ocorrência ou não de 2º turno em um cenário típico de eleição majoritária (maioria absoluta) em dois turnos no Brasil. / The problem of inference about a proportion, widely explored in the statistical literature, plays a key role in the development of several theories of statistical inference and, invariably, is the object of investigation and discussion in comparative studies among different schools of inference. In addition, the estimation of proportions, as well as test of hypothesis for proportions, is very important in many areas of knowledge as it constitutes a simple and universal quantitative method. In this work a comparative study between the Classical and Bayesian approaches to the problem of testing the hypothesis of occurrence of second round (or not) in a typical scenario of a majoritarian election (absolute majority) in two rounds in Brazil is developed.

Submitted by Marcelo Lustosa (mclustosa@gmail.com) on 2013-02-28T01:36:43Z No. of bitstreams: 1 Tese_20130227_v1.8.pdf: 906869 bytes, checksum: 5fe60e0917b07bc61431ffe91501f466 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-02-28T21:17:10Z (GMT) No. of bitstreams: 1 Tese_20130227_v1.8.pdf: 906869 bytes, checksum: 5fe60e0917b07bc61431ffe91501f466 (MD5) / Made available in DSpace on 2013-02-28T21:21:36Z (GMT). No. of bitstreams: 1 Tese_20130227_v1.8.pdf: 906869 bytes, checksum: 5fe60e0917b07bc61431ffe91501f466 (MD5) Previous issue date: 2013-02-05 / Muitas teorias de finanças implicam em relações monotônicas nos retornos esperados em função de variáveis financeiras, tais como a hipótese de preferência por liquidez e o Capital Asset Pricing Model (CAPM). No entanto, estudos empíricos que testam este tipo de relação não são muitos explorados, principalmente no mercado brasileiro. A contribuição científica neste trabalho é utilizar ativos domésticos e verificar se no mercado nacional estas implicações monotônicas das teorias de finanças são sustentadas empiricamente. Fizemos uma revisão dos testes presentes na literatura para verificar a monotonicidade: os testes t, Bonferroni utilizado por Fama (1984), Wolak (1989) e o teste MR, de Patton e Timmermann (2010). Utilizamos a técnica de bootstrap e incluímos na análise dos resultados os testes 'Up' e 'Down'. No teste para verificar a hipótese de preferência por liquidez foram utilizadas as séries da taxa referencial de swaps DI pré-fixada para vencimentos de até 1 ano. Os testes convergem e encontram evidências estatísticas de relação monotônica entre os retornos e os prazos de vencimento. No caso do teste no CAPM, foram utilizadas as séries históricas do preço das ações que compuseram o índice IBrX. Contrário ao esperado, para os dados amostrados, os testes não sustentaram a implicação teórica de monotonicidade entre os retornos médios dos portfólios e os betas de mercado ordenados crescentemente. Este resultado é de grande relevância para o mercado brasileiro. / Many theories in finance imply monotonic relationships in expected returns due to financial variables, such as the liquidity preference hypothesis and the Capital Asset Pricing Model (CAPM). However, empirical studies that test this relationship are not many exploited, especially in the Brazilian market. The scientific contribution of this work is to use domestic assets and verify whether these monotonic implications are supported empirically in the domestic market We did a literature review of the monotonicity tests such that: t-tests, Bonferroni, Wolak (1989) and MR test of Patton and Timmermann (2010). We use the bootstrap technique and the “Up” and “Down” tests to results analysis. To verify the liquidity preference hypothesis it was used series of reference rate swaps DI pre-set for maturities up to 1 year. The tests converge and find statistical evidence of monotonic relationship between returns and maturities. In the case of testing the CAPM, we used the time series of the stock prices that composed the IBrX index. Contrary to expectations, for the sampled data, the tests did not sustain the theoretical implication of monotonicity between the portfolios average returns and the market betas. This result is of great importance for the Brazilian market.

Dans cette thèse, nous étudions la dynamique à temps long des solutions des équations de KdV généralisées (gKdV) critiques et surcritiques pour la masse.La première partie de cette thèse est consacrée à la construction d’une dynamique explosive auto-similaire stable pour des équations de gKdV légèrement L2 surcritique dans l’espace d’énergie H1. La preuve repose sur le profil auto-similaire construit par H. Koch. Nous donner une escription précise de la formation des singularité près du temps d’explosion.La deuxième partie est consacrée à la construction de solutions explosive aux équations de gKdV légèrement L2 surcritiques avec plusieurs points d’explosion. L’idée clé est d’envisager des solutions qui se comportent comme une somme de bulles découplée, chaque bulle se comportent comme un solution auto-similaire explosent en un seul point. Nous utilisons les argument topologique classique pour s’assurer que chaque bulle explose en même temps. Ici, nous avons besoin de données initiales plus grande régularité pour contrôler la solution entre les différents points d’explosion.Enfin, dans la troisième partie, nous considérons les équations de gKdV L2 critiques avec une perturbation saturée. Dans ce cas, toute solution avec des données initiales dans H1 est toujours globale en le temps et bornée dans H1. Nous donner une classification explicite de la dynamique près du solitons. Sous certaines hypothèses de décroissance, il n’y a que trois possibilités : (i) la solution converge asymptotiquement vers une onde solitaire ; (ii) la solution reste dans un petit voisinage de la famille modulée de l’état fondamental, en s’étalant par de temps infiniment grande (Blow down) ; (iii) la solution quitte tout petit voisinage de la famille modulée de solitons. / In this thesis, we deal with the long time dynamics for solutions of the L2 critical and supercritical generalized KdV equations.The first part of this work is devoted to construct a stable self-similar blow up dynamics for slightly L2 supercritical gKdV equations in the energy space H1. The proof relies on the self-similar profile constructed by H. Koch. We will also give a specific description of the formation of singularity near the blow up time.The second part is devoted to construct blow up solutions to the slightly L2 supercritical gKdV equations with multiple blow up points. The key idea is to consider solutions which behaves like a decoupled sum of bubbles. And each bubble behaves like a self-similar blow up solutions with a single blow up point. Then we can use a classic topological argument to ensure that each bubble blows up at the same time. Here, we require a higher regularity of the initial data to control the solution between the different blow up points.Finally, in the third part, we consider the L2 critical gKdV equations with a saturated perturbation. In this case, any solution with initial data in H1 is always global in time and bounded in H1. We will give a explicit classification of the flow near the ground states. Under some suitable decay assumptions, there are only three possibilities: (i) the solution converges asymptotically to a solitary wave; (ii) the solution is always in some small neighborhood of the modulated family of the ground state, but blows down at infinite time; (iii) the solution leaves any small neighborhood of the modulated family of the ground state.