In this study we analyse relationship between classical approach to valuation of linear interest rate derivatives and post-crisis approach when the valuation better reflects credit and liquidity risk and economic costs of the transaction on top of the risk-free rate. We discuss the method of collateralization to diminish counterparty credit risk, its impact on derivatives pricing, and how overnight indexed swap (OIS) rates became market standard for discounting future derivatives' cash flows. We show that using one yield curve to both estimating the forward rates and discounting the expected future cash flows is no longer possible in arbitrage free market. We review in detail three fundamental interest rate derivatives (interest rate swap, basis swap and cross-currency swap) and we derive discount factors used for calculating the present value of expected future cash flows that are consistent with market quotes. We also investigate drivers behind basis spreads, in particular, credit and liquidity risk, and supply and demand forces, and show how they impact valuation of derivatives. We analyse Czech swap rates and propose an estimation of CZK OIS curve and approximate discount rates in case of cross-currency swaps. Finally, we discuss inflation markets and consistent valuation of inflation swaps.

El presente plan de negocios tiene por objetivo establecer la viabilidad técnica y financiera para desarrollar un proyecto hotelero de categoría tres estrellas en la amazonia de Iquitos. La investigación iniciada con un diagnóstico de la situación del mercado externo general, a través del análisis PESTE; identificó un macroentorno favorable para el desarrollo del presente proyecto; por otro lado; mediante un análisis del entorno competitivo (análisis de las cinco fuerzas de Porter) se logró identificar la intensidad de la competencia local y sus eslabonamientos estrechos existentes con los principales proveedores u operadores turístico-locales. Por tanto; ello ha permitido visualizar un panorama competitivo favorable para incursionar en el sector hotelero de la ciudad de Iquitos con una propuesta de valor ecológica diferenciada. Los resultados obtenidos mediante una investigación de mercado (encuestas de campo) ha conducido a determinar que la principal preferencia de consumo en los servicios hoteleros en la ciudad de Iquitos se basa en hospedajes de categoría tres estrellas; cuyo principal demandante son los trabajadores profesionales tanto dependientes como independientes. Así mismo; mediante un estudio de mercado (investigación del tipo cuantitativa); efectuado al mercado hotelero de Iquitos; se ha logrado identificar y cuantificar la demanda pernoctaciones insatisfecha en la categoría tres estrellas en la ciudad de Iquitos; corroborando las oportunidades de negocio en este sector. El estudio económico-financiero efectuado a la presente propuesta ecológica de negocio concluyó la viabilidad técnica y financiera del proyecto. Los resultados de este estudio determinaron que los flujos; tanto económico como financiero descontados al costo ponderado de capital y a la tasa mínima requerida por el accionista respectivamente; son positivos. Lo que implica que los beneficios futuros privados derivados de las operaciones comerciales del hotel ecológico son superiores a los costos o egresos incurridos. Por lo que resulta rentable para el inversionista desarrollar este tipo de iniciativa privada. En ese contexto, la originalidad del presente proyecto radica en la construcción de un hotel ecológico flotante; cuya oferta de servicios plantea una propuesta de valor que armoniza el diseño físico y las operaciones comerciales del hotel con la biodiversidad natural y cultural de la amazonia de Iquitos. Por ello la ubicación del hotel situada a 16 Km al Noreste de la ciudad de Iquitos; entre las intersecciones del rio Nanay y el lago Mapacocha; contribuye a desarrollar una propuesta ecológica de negocio no solo basándose en servicios únicos de hospedaje sino en la prestación de múltiples servicios complementarios de entretenimiento. / The purpose of this business plan is to establish the technical and financial viability to develop a three-star hotel project in the Amazonia of Iquitos. The research started with a diagnosis of the situation of the general external market, through the PESTE analysis, identified a favourable macro environment for the development of the present project, on the other hand, by means of an analysis of the competitive environment (analysis of the five forces of Porter ) it was possible to identify the intensity of local competition and its existing close links with the main providers or touristic-local operators. Therefore, this has allowed us to visualize a favourable competitive landscape to enter the hotel sector of the city of Iquitos with a proposal of differentiated ecological value. The results obtained through market research (field surveys) has led to determine that the main preference of consumption in hotel services in the city of Iquitos is based on three-star category accommodations, whose main claimant is professional workers, both dependent and independent. Likewise, through a market study (research of quantitative type), carried out in the hotel market of Iquitos, it has been possible to identify and quantify the demand for unsatisfied overnight stays in the category three stars in the city of Iquitos, corroborating the business opportunities in this sector. The economic-financial study carried out on the present ecological business proposal concluded the technical and financial feasibility of the project. The results of this study determined that the flows, both economic and financial discounted at the weighted cost of capital and at the minimum rate required by the shareholder respectively, are positive. This implies that the private future benefits derived from the commercial operations of the ecological hotel are higher than the costs or expenses incurred. So, it is profitable for the investor to develop this type of private initiative. In this context, the originality of this project lies in the construction of a floating eco-friendly hotel; whose offer of services proposes a value proposition that harmonizes the physical design and its commercial operations of the hotel with the natural and cultural biodiversity of the Amazon of Iquitos. Therefore the location of the hotel located 16 Km northeast of the city of Iquitos; between the intersections of the Nanay River and Lake Mapacocha; it helps to develop an ecological business proposal not only based on unique hosting services but on the provision of multiple complementary entertainment services. / Trabajo de investigación

金融商品的價格變動是投資人用以判斷獲利與否的重要工具，因為價格變動不易精確預測，所以常利用其他變數輔助預測價格變動，其中以交易量最常被投資人用來分析價格變動。本文是利用台灣首檔指數型股票基金「台灣50指數股票型基金，簡稱TTT」，分析基金的價格變動與交易量之間的關係。 由於TTT具有「實物申購╱買回」機制，當TTT發生折溢價現象時，投資者會利用此機制進行策略性的投資。因此，「實物申購╱買回」機制使用，會對TTT交易量產生影響，並且使得基金淨值與價格更為貼進。所以本文也將分析TTT折溢價與交易量之間的關係。 本研究利用Granger因果關係理論檢測變數之間的因果關係，實證結果發現，TTT的交易量與價格變動呈現雙向因果關係，且折溢價對於交易量具有單向因果關係，即折溢價可以解釋和預測交易量變動，並且折溢價偏離的現象在半天之內會消失。因此，歸論「實物申購╱買回」機制能有效發揮其作用。 / This study examines intraday patterns of the Taiwan Top 50 Tracker Fund (TTT), with special emphasis on the causal relationship between trading volume and return, and the causal relationship between trading volume and deviation ratio. We find strong intraday seasonality, namely the W-shaped trading pattern which appeared to be caused by the so-called lunch-break effect. After accounting for this apparent seasonality, and by employing the Granger causality test, we find that there is a causal bi-direction relationship between trading volume and absolute return. However, there only exists a uni-directional causal relationship from the deviation ratio to trading volume, but not vice versa. Also, the deviation is disappeared within half day.

Cette thèse de doctorat composée de trois chapitres contribue au développement de tests statistiques et à analyser la transmission financière dans un cadre multivarié hétéroscédastique. Le premier chapitre propose deux tests du multiplicateur de Lagrange de constance des corrélations conditionnelles dans les modèles GARCH multivariés. Si l'hypothèse nulle repose sur des corrélations conditionnelles constantes, l'hypothèse alternative propose une première spécification basée sur des réseaux de neurones artificiels et une seconde représentée par une forme fonctionnelle inconnue qui est linéarisée à l'aide d'un développement de Taylor.Dans le deuxième chapitre, un nouveau modèle est introduit dans le but de tester la non-linéarité des (co)variances conditionnelles. Si l'hypothèse nulle repose sur une fonction linéaire des innovations retardées au carré et des (co)variances conditionnelles, l'hypothèse alternative se caractérise quant à elle par une fonction de transition non-linéaire : exponentielle ou logistique ; une configuration avec effets de levier est également proposée. Dans les deux premiers chapitres, les expériences de simulations et les illustrations empiriques montrent les bonnes performances de nos tests de mauvaise spécification.Le dernier chapitre étudie la transmission d'information en séance et hors séance de cotation en termes de rendements et de volatilités entre la Chine, l'Amérique et l'Europe. Le problème d'asynchronicité est considéré avec soin dans la modélisation bivariée avec la Chine comme référence. / This Ph.D. thesis composed by three chapters contributes to the development of test statistics and to analyse financial transmission in a multivariate heteroskedastic framework.The first chapter proposes two Lagrange multiplier tests of constancy of conditional correlations in multivariate GARCH models. Whether the null hypothesis is based on constant conditional correlations, the alternative hypothesis proposes a first specification based on artificial neural networks, and a second specification based on an unknown functional form linearised by a Taylor expansion.In the second chapter, a new model is introduced in order to test for nonlinearity in conditional (co)variances. Whether the null hypothesis is based on a linear function of the lagged squared innovations and the conditional (co)variances, the alternative hypothesis is characterised by a nonlinear exponential or logistic transition function; a configuration with leverage effects is also proposed.In the two first chapters, simulation experiments and empirical illustrations show the good performances of our misspecification tests.The last chapter studies daytime and overnight information transmission in terms of returns and volatilities between China, America and Europe. The asynchronicity issue is carefully considered in the bivariate modelling with China as benchmark.

Cette thèse se compose de trois essais autonomes sur le marché boursier chinois. Le premier essai examine le processus de la découverte du prix des actions A et H pour des sociétés chinoises double cotées à la fois sur les bourses de Shanghai/Shenzhen et de Hong Kong durant les sessions d'échange communes. Nous mettons en évidence une relation de long terme entre les prix des actions A et H. En appliquant la méthode de l'information partagée de Hasbrouck (1995), il apparaît, quand la Chine adoptait un régime de change fixe, le marché domestique contribuait plus d'information à la découverte du prix que le marché étranger; tandis que sous un régime de change flexible, c'est le marché étranger qui dominait dans la découverte du prix.Le deuxième essai prenant les réformes chinoises du régime de Juillet 2005 et de Juillet 2008 comme des événements spéciaux, il étudie si ces changements de régime de change affectent l'arbitrage entre les marchés des actions A et H. En comparant les niveaux des impacts des facteurs idiosyncratiques sur la décote de prix des actions A et H avant et après les changements de régime, les résultats montrent que la relaxation des contrôles des changes ne favorise pas l'arbitrage entre les deux marchés. Par ailleurs, ce changement de régime de change introduit un risque de change important dans la stratégie des arbitragistes.Le troisième essai aborde la transmission d'information en séance et hors séance de cotation en termes de rendements et de volatilités entre la Chine, l'Amérique et l'Europe. Le problème du synchronisme est considéré avec soin dans la modélisation bivariée avec la Chine comme référence avec des données journalières. / This thesis consists of three self-contained essays on the Chinese stock market. The first essay examines the price discovery process of Chinese dual-listed firms on the A-share and H-share markets during overlapping trading hours. We provide evidence that there exists a long-term relationship between the A- and H-share markets. By applying the information share model of Hasbrouck (1995), we find that: under a fixed exchange rate, the A-share market contributes more innovations in price discovery than the H-share market; while under a managed floating exchange rate, it is the H-share market that plays a dominant role in the price discovery process.In the second essay, by using the exchange rate regime changes of July 21, 2005 and July 01, 2008 of as special events, we examine whether changes in exchange-rate regime affect the intensity of inter-market arbitrage between A- and H-share markets. By comparing the significance of the impact of idiosyncratic factors on the H-share discount before and after the changes of exchange rate regime, the results show that the relaxation of exchange controls does not encourage inter-market arbitrage between the Chinese mainland and Hong Kong markets. Further, the switch from a fixed to a floating exchange-rate regime introduces an important exchange rate risk to arbitrageurs.The last essay studies daytime and overnight information transmission in terms of returns and volatility between China, America and Europe. The asynchronicity issue is carefully considered in the bivariate modelling with China as benchmark with daily data.

This Ph.D. thesis is aimed at inbound tourism in the Czech Republic, analysis of statistical data and their development in the period of years 2004 -- 2013, characteristics of the main source markets for the Czech Republic, and analysis of motives regarding participants of outbound tourism to the Czech Republic in the observed countries. The principal aim is to analyze and compare intensity of motives of the selected geographic, demographic, socio-economic, and behavioral segments for visits to the Czech Republic. An integral part of the aim is to suggest further possibilities of the motivation research and their exploitation in the marketing practice of the tourism industry. The author defines all theoretical terms closely connected with the tourism market segmentation, motives and motivations to travel including interesting view of them throughout history. It is evident that the travel motives influenced by various factors are differentiated parallely with the human society development. The author characterizes the Czech Republic destination offer and evaluates its inbound tourism in the period of years 2004 -- 2013 by means of 4 main indicators: number of guests, number of overnight stays, average length of stay, foreign currency incomes. The author also evaluates the researches focused on perception of the Czech Republic abroad that was carried out by the institutions representing the Czech Republic abroad. The detailed analysis of travel motivations was performed by the author herself in the form of questionnaires. Results of these analyses bring impulses to other possibilities of the research in the field of inbound tourism not only in the academic sphere but also in research work of state and public authorities, and in practice when creating tourism products and communications mix.