This thesis explores the relationship between interest rates, house prices and main macroeconomic variables. In particular, I examine how monetary policy affects house prices in the Czech Republic. The hypotheses assume that an increase in the interest rate that tends to decrease house prices also reduces output and inflation simultaneously. Therefore, the latter would imply that the monetary authority faces a trade-off between macroeconomic and financial stability. The empirical analysis is based on a vector autoregression model and the monetary policy shock is retrieved by the Cholesky decomposition. As for the results, the findings of the thesis conclude that there is a costly trade-off between macroeconomic and financial stability within the Czech economy.

Guan, Peiqiu. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (p. 67-71). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.6 / Chapter 2.1 --- Characteristic Function --- p.6 / Chapter 2.1.1 --- Definition --- p.6 / Chapter 2.1.2 --- Inverse Fourier Transform --- p.8 / Chapter 2.1.3 --- Fast Fourier Transform (FFT) --- p.9 / Chapter 2.2 --- Levy Processes --- p.13 / Chapter 2.2.1 --- Definition --- p.13 / Chapter 2.2.2 --- Levy-Khinchine Formula --- p.15 / Chapter 2.2.3 --- Levy Processes in Finance --- p.17 / Chapter 2.3 --- Exotic Options --- p.17 / Chapter 2.3.1 --- Barrier Options --- p.18 / Chapter 2.3.2 --- Lookback Options --- p.19 / Chapter 2.3.3 --- Asian Options --- p.20 / Chapter 3 --- FFT Network Model --- p.23 / Chapter 3.1 --- Weaknesses of Traditional Tree Approaches --- p.24 / Chapter 3.2 --- FFT Network Model --- p.30 / Chapter 3.3 --- Basic Transition Probability Matrix --- p.31 / Chapter 3.4 --- Basic FFT Network Pricing Algorithm --- p.35 / Chapter 3.4.1 --- Plain Vanilla Options --- p.35 / Chapter 4 --- FFT Network for Exotic Options --- p.38 / Chapter 4.1 --- Barrier Option Pricing --- p.38 / Chapter 4.2 --- Forward Shooting Grid --- p.41 / Chapter 4.3 --- FSG in FFT Network --- p.43 / Chapter 4.4 --- Lookback and Knock-in Options --- p.45 / Chapter 4.4.1 --- American Lookback Option Pricing Algorithm --- p.48 / Chapter 4.4.2 --- Knock-in American Option Pricing Algorithm --- p.50 / Chapter 4.5 --- Asian Option Pricing --- p.51 / Chapter 4.5.1 --- Asian Option Pricing Algorithm --- p.54 / Chapter 5 --- Numerical Implementation --- p.57 / Chapter 5.1 --- Numerical Scheme --- p.57 / Chapter 5.2 --- Numerical Result --- p.60 / Chapter 6 --- Conclusion --- p.65 / Bibliography --- p.67

Li, Xu. / Thesis submitted in: December 2008. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 41-43). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.ii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background Study --- p.6 / Chapter 3 --- Model Formulation --- p.8 / Chapter 3.1 --- Trading Cost Function --- p.9 / Chapter 3.2 --- Notations and Optimality Equation --- p.11 / Chapter 4 --- Optimal Policy --- p.14 / Chapter 4.1 --- Preliminary Assumption and Results --- p.14 / Chapter 4.1.1 --- "Generalized (s, 5, H) Policy" --- p.14 / Chapter 4.1.2 --- Polya Distribution and Quasi-K-convex --- p.15 / Chapter 4.1.3 --- Assumptions --- p.20 / Chapter 4.2 --- Single Period Problem --- p.23 / Chapter 4.3 --- Finite-Period Problem --- p.30 / Chapter 4.4 --- The Algorithm --- p.36 / Chapter 5 --- Conclusion --- p.39 / Bibliography --- p.41

Chan, Tsz Him. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (p. 94-96). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Monte Carlo method in Finance --- p.6 / Chapter 2.1 --- Principle of MC and pricing theory --- p.6 / Chapter 2.2 --- An illustrative example --- p.9 / Chapter 3 --- Discretization method --- p.15 / Chapter 3.1 --- The Euler scheme and Milstein scheme --- p.16 / Chapter 3.2 --- Convergence of Mean Square Error --- p.19 / Chapter 4 --- Quasi Monte Carlo method --- p.22 / Chapter 4.1 --- Basic idea of QMC --- p.23 / Chapter 4.2 --- Application of QMC in Finance --- p.29 / Chapter 4.3 --- Another illustrative example --- p.34 / Chapter 5 --- Our Methodology --- p.42 / Chapter 5.1 --- Measure decomposition --- p.43 / Chapter 5.2 --- QMC in SDE simulation --- p.51 / Chapter 5.3 --- Towards a workable algorithm --- p.58 / Chapter 6 --- Numerical Result --- p.69 / Chapter 6.1 --- Case I Generalized Wiener Process --- p.69 / Chapter 6.2 --- Case II Geometric Brownian Motion --- p.76 / Chapter 6.3 --- Case III Ornstein-Uhlenbeck Process --- p.83 / Chapter 7 --- Conclusion --- p.91 / Bibliography --- p.96

Wu, Tao. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 56-61). / Abstracts in English and Chinese. / Chapter 1 --- Background and Organization --- p.7 / Chapter 2 --- Parallel Talbot method for solving partial integro- differential equations --- p.9 / Chapter 2.1 --- Introduction --- p.9 / Chapter 2.2 --- Initial-boundary value problem --- p.11 / Chapter 2.3 --- Spatial discretization and semidiscrete problem --- p.12 / Chapter 2.4 --- Parallel Talbot method --- p.15 / Chapter 2.4.1 --- Φ-functions and Talbot quadrature --- p.15 / Chapter 2.4.2 --- Control on nonnormality and feasibility con- straints --- p.18 / Chapter 2.4.3 --- Optimal parameterization of parabolic Talbot contour --- p.22 / Chapter 2.5 --- Numerical experiments --- p.26 / Chapter 2.6 --- Conclusion --- p.32 / Chapter 3 --- Memory-reduction Monte Carlo method for pricing American options --- p.37 / Chapter 3.1 --- Introduction --- p.37 / Chapter 3.2 --- Exponential Levy processes and the full-storage method --- p.39 / Chapter 3.3 --- Random number generators --- p.41 / Chapter 3.4 --- The memory-reduction method --- p.43 / Chapter 3.5 --- Numerical examples --- p.45 / Chapter 3.5.1 --- Black-Scholes model --- p.46 / Chapter 3.5.2 --- Merton's jump-diffusion model --- p.48 / Chapter 3.5.3 --- Variance gamma model --- p.50 / Chapter 3.5.4 --- Remarks on the efficiency of the memory-reduction method --- p.52 / Chapter 3.6 --- Conclusion --- p.53 / Chapter 3.7 --- Appendix --- p.54

This thesis considers the effect of stochastic skew in the interest rate cap and currency option markets, where we observe obvious stochastic variation of skew of implied volatility curve over time. To develop option pricing models consistent with empirical evidence, we adopt the Wishart process to model both stochastic volatility and stochastic skew of the asset return and to price options in both markets. As an affine model, the model is analytically tractable. Some distributional properties of the models are studied. The key feature of our model is that, when compared with the multi-factor Heston model, which generates stochastic skew through its volatility processes, the Wishart process contains not only volatility processes, but also volatility-unrelated processes which provide extra freedom to model the variation of skew that is not captured by the volatility processes. Numerical experiments demonstrate that the Wishart model has greater flexibility to model stochastic skew than the multi-factor Heston model in both the interest rate cap market and currency option market. Finally, results of calibration to market data and model estimation demonstrate the superiority of the Wishart model to the multi-factor Heston model in the interest rate cap market. / Ng, Hon Yip. / Advisers: Kwai-Sun Leung; Duan Li. / Source: Dissertation Abstracts International, Volume: 73-09(E), Section: A. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 89-98). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

This Paper empirically investigates the behavior of Africa’s stock price volatility over time in ten African equity markets. It also attempts to establish the existence of a relationship between volatility and expected returns in the chosen equity markets. The effect of volatility on the stock prices is also investigated, together with establishing variations in the stock return volatility risk premia. Lastly, an investigation of whether volatility is transmitted from international markets to African markets is also undertaken. The sample period starts from November 1998 until December 2016. The preliminary empirical results show a mixed finding in the mean-variance tradeoff theory. Based on the GARCH-type models, the empirical results show that volatility of stock returns show the characteristics of volatility clustering, leptokurtic distribution and leverage effects over time for all the Africa equity markets. A weak relationship between volatility and expected returns is also found in all the African equity markets studied. The results also showed that as volatility increases, the returns correspondingly decrease by a factor of the coefficient for most of the equity markets. These results negate the theory of a positive risk premium on stock indices. It was also observed that stock return volatility risk premia have variations over time. The study also established that there was volatility transmission from the international markets into Africa equity markets. / MT2017

This study is an empirical verification of the theories of the economics of information at the cattle producer's market in the U.S. Western Region. Weekly data on producer's price quotations were obtained from CATTLEFAX for 1973 through 1981. The three major objectives of the research are: first, to determine whether price dispersion exists in the cattle producer's market in the Western Region: second, if significant price dispersion are shown to exist, to determine the nature of the regional price distribution; and third, if price dispersion do exist, to determine the implications of the dispersion relative to competitive structure, efficient informational flows, and relative informational content of said distribution. Price dispersion exists in the cattle producer's market of the Western Region. It is the buyers who "establish" prices and sellers act as price takers. Where heavy trading occurs, information of prices is more efficiently transmitted resulting in a more symmetrical distribution. The composition of the market is relatively stable. however, imperfect information results in splitting the market into high price and low price favoring the better informed. Utah producers are rational in their pricing decisions. Price dispersion can be attributed to the lag in obtaining price information and asymmetry in efficiency of information gathering.

The purpose of this thesis is to study the effect of lower milk support prices trigger ed by chronic surplus production problems and to offer alter native management strategies for dairymen caught in the cash flow squeeze precipitated by resulting cuts in the producer price of milk. Historical dairy policy is reviewed and recommendations are offered for consideration in developing dairy policy over the next decade. FLIPSIM V, a powerful, firm-level computerized simulation model is employed to predict the probable outcome of employing alternative management strategies designed to improve profitability for individual dairymen. The study focuses on a typical farm devised from survey data to be representative of Utah's dairy industry. A five-year planning horizon is simulated.

The Federal Reserve has increased nominal interest rates since early 2016. It is expected that commodity prices will drop in response to this monetary intervention. The overshooting hypothesis explains that commodity prices are more flexible than manufacturing prices and therefore are more volatile. In this situation, it is expected that agricultural commodities decline significantly (i.e., overshoot) and gradually return to their long-run equilibrium. This adjustment behavior has implications for income stability and financial viability of farmers. This research contributes to the overshooting literature by including the energy sector in the overshooting model. The interlinks between energy and other sectors in the economy as well as the vast resource allocation to biofuel production in recent decades demand more attention to the impact of energy on the dynamic adjustment path of relative prices’ reaction to monetary shocks. We assume energy prices have independent adjustment path and include the links between the energy and agricultural sectors through biofuel production in our model. Our theoretical model shows that by including energy prices in the model, agricultural prices and the exchange rate overshoot less than the prediction of prior studies. This happens because we expect that flexible energy prices share the burden of the shock with other flexible prices in the model. We also describe how an increasing share of biofuels in the total fuel consumption will reduce the flexibility of energy prices. In our empirical analysis, we use monthly data from January 1975 to December 2017 for three producer price indexes (i.e., agricultural commodities, energy, and industrial goods), exchange rates, and money supply to test the overshooting hypothesis. We found the series to be nonstationary and cointegrated of the order one, I(1). Thus, we estimated a vector error correction model to identify the short run adjustment parameters while maintaining the long-run relationships between the variables. We identify and control for three possible structural breaks in the data that coincide with two economic crises and the biofuel production era. We also estimated the empirical model using a sub-sample from January 1975 to March 1999 and compared the results with the findings in previous studies. Our empirical results confirm the theoretical expectation that agricultural commodities adjust faster than manufacturing prices. The analysis of the impulse response functions shows that after a money supply shock, agricultural prices were the most responsive, followed by energy prices and exchange rates. In both full sample and the sub-sample, the volatility of prices and exchange rates happen during the first 5 to 10 months. The sluggish adjustment of manufacturing prices was evident from the corresponding impulse response functions. The empirical evidence rejects the long-run money neutrality, consistent with the findings of previous empirical studies. Compared to previous models, our empirical model shows that including energy prices will reduce the extent to which agricultural commodities overshoot. Therefore we expect the disturbances to the farm income variability, in response to monetary policy, to be less than what prior model would have estimated. In this regard, energy prices are a stabilizing factor in this model. We find that increased share of biofuel from total fuel consumption would positively affect the overshooting of agricultural prices. So, higher biofuel mandates could reduce the flexibility of the energy prices and therefore have an adverse effect on the farm price stability.