Thesis (PhD)--Macquarie University, Division of Economic and Financial Studies, Dept. of Statistics, 2008. / Bibliography: p. 73-77. / Introduction -- Lévy processes used in option pricing -- Option pricing for Lévy processes -- Option pricing based on empirical characteristic functions -- Performance of the five models on historical data -- Conclusions -- References -- Appendix A. Proofs -- Appendix B. Supplements -- Appendix C. Matlab programs. / Pricing problems of financial derivatives are among the most important ones in Quantitative Finance. Since 1973 when a Nobel prize winning model was introduced by Black, Merton and Scholes the Brownian Motion (BM) process gained huge attention of professionals professionals. It is now known, however, that stock market log-returns do not follow the very popular BM process. Derivative pricing models which are based on more general Lévy processes tend to perform better. --Carr & Madan (1999) and Lewis (2001) (CML) developed a method for vanilla options valuation based on a characteristic function of asset log-returns assuming that they follow a Lévy process. Assuming that at least part of the problem is in adequate modeling of the distribution of log-returns of the underlying price process, we use instead a nonparametric approach in the CML formula and replaced the unknown characteristic function with its empirical version, the Empirical Characteristic Functions (ECF). We consider four modifications of this model based on the ECF. The first modification requires only historical log-returns of the underlying price process. The other three modifications of the model need, in addition, a calibration based on historical option prices. We compare their performance based on the historical data of the DAX index and on ODAX options written on the index between the 1st of June 2006 and the 17th of May 2007. The resulting pricing errors show that one of our models performs, at least in the cases considered in the project, better than the Carr & Madan (1999) model based on calibration of a parametric Lévy model, called a VG model. --Our study seems to confirm a necessity of using implied parameters, apart from an adequate modeling of the probability distribution of the asset log-returns. It indicates that to precisely reproduce behaviour of the real option prices yet other factors like stochastic volatility need to be included in the option pricing model. Fortunately the discrepancies between our model and real option prices are reduced by introducing the implied parameters which seem to be easily modeled and forecasted using a mixture of regression and time series models. Such approach is computationaly less expensive than the explicit modeling of the stochastic volatility like in the Heston (1993) model and its modifications. / Mode of access: World Wide Web. / x, 111 p. ill., charts

[Truncated abstract] This thesis examines informational efficiency and price discovery processes within the Perth housing market for the period 1988-2000 by utilising a rich source of Western Australian Valuer General’s Office (VGO) data. Fama’s (1970) classification of market efficiency as potentially weak form, semi-strong, or strong form has been a dominant paradigm in tests of market efficiency in many asset markets. While there are some parallels, the results of tests in this thesis suggest there are also limitations in applying this paradigm to housing markets. The institutional structure of housing markets dictates that a deeper recognition of important housing market characteristics is required. Efficiency in housing markets is desirable in that if prices provide accurate signals for purchase or disposition of real estate assets this will facilitate the correct allocation of scarce financial resources for housing services. The theory of efficient markets suggests that it is desirable for information diffusion processes in a large aggregate housing market to facilitate price corrections. In an efficient housing market, these processes can be observed and will enable housing units to be exchanged with an absence of market failure in all price and location segments. Throughout this thesis there is an emphasis on disaggregation of the Perth housing market both by price and location criteria. Results indicate that the Perth housing market is characterised by varying levels of informational inefficiency in both price and location segments and there are some important pricing-size influences.

It is generally accepted in academic circles that the developed country capital markets with their advanced infra-structure, depth and liquidity are at a minimum Weak-Form efficient. Since the Weak-Form EMH proposes that current security prices immediately assimilate all historical information, it therefore also implies that technical analysis (which relies on charts and analysis of past price patterns to extrapolate future price movements) would be a futile exercise. Yet technical analysis has endured over time and is still an intensively and widely used investment analysis technique. This indicates a clear disconnect between technical analysis as employed by practitioners in the market and the technical analysis methodologies utilized by academics in prior Weak-Form EMH studies. The problem is prior technical analysis Weak-Form EMH studies were burdened with methodological weaknesses which severely handicapped the profit generating potential of technical analysis and suggest that previous Weak-Form EMH research findings were erroneous in being unable to reject the null Weak- Form market efficiency hypothesis. This study addresses the problem by eliminating prior methodological weaknesses and utilizing high frequency intra-day data, the combination of qualitative and quantitative techniques and volume signals to develop a portfolio of Intermarket Momentum technical analysis strategies that generate significant excess profits. The objective of this study is therefore to provide evidence that contrary to prior research findings, the developed country capital markets are not Weak-Form efficient. The results show that the portfolio of Intermarket Momentum trading strategies generated returns in excess of the market with a significantly positive Alpha of 8.52% that allowed the rejection of the Null Hypothesis and the acceptance of the Alternative Hypothesis that the developed country capital markets are not Weak-Form efficient, thereby refuting the widely accepted EMH. / Business Management / D.B.L.

The thesis evaluates and quantifies the residual shape risk on the Czech nat- ural gas market. The risk stems from insufficient liquidity of forward mar- ket, when energy supplier has to hedge his short shaped sales by standard baseload products available at wholesale market. Hence, energy supplier is always left with residual position, which has to be closed at spot market. We model the residual shape risk as a difference between spot and forward prices weighted by residual position, which is derived from the shape of innogy En- ergie, s.r.o. household portfolio. In order to do so we develop model for a spot price dynamics based on the daily index OTE. We price forward contracts as expected spot price at delivery. The spot price dynamics is modelled as a mean-reverting Ornstein-Uhlenbeck process, while assuming two different driving stochastic processes for innovations. First, we model them as a mixed jump diffusion process. Second, we estimate control model assuming innova- tions to come from the normal inverse Gaussian distribution. The residual shape risk is then evaluated by Monte Carlo simulation of spot price paths, which we use for hedging the portfolio shape. Five percent Value-at-Risk and the Expected Shortfall measures for the jump mixed diffusion process yield costs of 0.013 and 0.016 EUR/MWh,...

The current study examines the extent and magnitude by which global and regional shocks are transmitted to the volatility of returns in the stock markets of South Africa, Egypt, Nigeria, Botswana, Mauritius and Egypt. This is done so as to make inferences on the level of the domestic market‟s integration into the regional and world capital markets. By applying multivariate and univariate GARCH models, using weekly data from June 1995 to May 2010, the main empirical findings are threefold. Firstly, the volatility analytical framework finds statistically significant and time-varying volatility spillover effects from the regional and global markets to the South African market. Global shocks are generally stronger and account for up to 23.9 percent of the volatility of South Africa‟s equity market compared to weaker regional factors which account for less than 1 percent of domestic variance. Only in countries with strong bilateral trade and economic links with South Africa, such as Botswana and Namibia, is it found that regional factors are more dominant than global factors for domestic volatility. Compared to the other African markets, the joint influence of foreign shocks on domestic volatility is highest in South Africa and Egypt, two of Africa‟s largest and most developed markets. The results further demonstrate that for all the African markets the explanatory power of both regional and global factors for domestic volatility is not constant over time and tends to increase during turbulent market periods. Secondly, the analysis of the determinants of South frica‟s second moment linkages with the global market suggests that the volatility of the exchange rate plays a cardinal role in influencing the magnitude by which global shocks affect domestic volatility. The increased global integration in the second moments cannot be attributed to either increased trade integration, convergence in inflation rates or to convergence in interest rates between South Africa and the global markets. Lastly, tests were conducted to examine whether there have been contagion effects from the regional and global markets to South Africa from the 1997 Asian crisis and the 2007/8 global financial crisis. The results show no evidence of contagion during either the East Asian currency crisis or the recent global financial crisis to South Africa, while some African markets, such as Egypt, Mauritius and Botswana, exhibit contagion effects from either crisis. Overall, the empirical findings generally support the view that African markets are segmented both at the regional and global levels as domestic volatility is more influenced by local idiosyncratic shocks (the proportion not attributable to either global and regional factors). However, the volatility of South Africa, and to a lesser extent Egypt, remains relatively more open to global influence. This implies that the potential for gains from international portfolio diversification and the scope for success of policies aimed at the stabilisation of equity markets in these markets exist.

Submitted by Maria de Lourdes Mariano (lmariano@ufscar.br) on 2017-02-24T17:17:13Z No. of bitstreams: 1 REIS_Raphael_2015.pdf: 36675145 bytes, checksum: 3d5dcec15edaaf78d9fe698e288aafe8 (MD5) / Approved for entry into archive by Maria de Lourdes Mariano (lmariano@ufscar.br) on 2017-02-24T17:17:26Z (GMT) No. of bitstreams: 1 REIS_Raphael_2015.pdf: 36675145 bytes, checksum: 3d5dcec15edaaf78d9fe698e288aafe8 (MD5) / Approved for entry into archive by Maria de Lourdes Mariano (lmariano@ufscar.br) on 2017-02-24T17:17:34Z (GMT) No. of bitstreams: 1 REIS_Raphael_2015.pdf: 36675145 bytes, checksum: 3d5dcec15edaaf78d9fe698e288aafe8 (MD5) / Made available in DSpace on 2017-02-24T17:17:40Z (GMT). No. of bitstreams: 1 REIS_Raphael_2015.pdf: 36675145 bytes, checksum: 3d5dcec15edaaf78d9fe698e288aafe8 (MD5) Previous issue date: 2015-01-21 / Não recebi financiamento / In recent years, the Brazilian real estate market has faced structural changes, which has impacted the price of residences. As observed for the country, the city of Sorocaba also went through a real estate valuation process, which impacted in many ways different locations in the city. The formation of the price of residences, function of the cost of construction, also depends on external variables, commonly called urban amenities. Urban menities, even though they are part of the real price of residences, are not easily identified or valued by economic agents but are important, mainly for potential consumers of services since they have different perceptions of urban features that are priority. In this context, the objective of the study is to identify and quantify the impact of structural features and urban attributes in property prices in the city of Sorocaba, identifying if there is a regional distribution pattern of properties more and less valued as a result of these attributes. Additionally, this study spatializes the results by districts. The methodology used is the estimation of the values of the amenities is the hedonic pricing model. This methodology proposed by Rosen (1974), implies in practice, in the estimation of a "cost function", with property prices is the dependent variable and the amenities associated with it are independent variables. The data used were the property sales prices and structural characteristics of each property, accessibility variables (schools, hospitals, etc.) and neighborhood structure (population, income and crime). The results suggest that there are urban amenities that are considered by consumers in the formation of properties prices and that there is spatial dependence between the average real estate values in every area of influence of neighborhoods considered in the study. / Nos últimos anos o mercado imobiliário brasileiro tem enfrentado mudanças estruturais, as quais tem impactado o preço dos bens residenciais. Assim como o observado para o país, o município de Sorocaba também passou por um processo de valorização imobiliária, o qual atingiu de maneiras distintas as diferentes localidades do município. A formação do preço dos imóveis, além de ser função do custo de construção dos mesmos, também depende de variáveis externas, comumente chamadas de amenidades urbanas. As amenidades urbanas embora sejam parte da composição do preço dos imóveis não são facilmente identificadas ou valoradas pelos agentes econômicos mas são importantes principalmente para os consumidores potenciais dos serviços prestados uma vez que eles tem percepções diferentes das características urbanas que lhe são prioritárias. Neste contexto, o objetivo do estudo é identificar e quantificar o impacto das características estruturais e dos atributos urbanos nos preços dos imóveis no município de Sorocaba, identificando se existe algum padrão regional de distribuição dos imóveis mais e menos valorizados em decorrência desses atributos e , além disso, espacializando os resultados por regiões sorocabanas. A metodologia utilizada é a estimação dos valores das amenidades a partir do modelo de preços hedônicos. Essa metodologia, proposta por Rosen (1974), implica, na prática, na estimação de uma “função preço”, com os preços dos imóveis como variável dependente e as amenidades associadas a ele como variáveis independentes . Os dados utilizados foram os preços de venda dos imóveis, características estruturais de cada imóvel, variáveis de acessibilidade (escolas, hospitais, etc) e de estrutura do bairro (população, renda e crime). Os resultados sugerem que existem amenidades urbanas que são consideradas pelos consumidores na formação dos preços dos imóveis e que existe dependência espacial entre os valores médios dos imóveis em cada área de influência dos bairros considerados no estudo.

The purpose of this study was to determine whether publicly disclosed violations by U.S corporations, resulting in convictions or settlements, erode shareholder investment in the offending organizations. This study was designed to assess whether or not the shareholders' reactions to corporations' violations were related to a decline in organizations' stock valuations across sectors. In addition, this study attempted to assess whether or not shareholder support, expressed by stock prices, declined more after a corporation was prosecuted or reached a settlement for violations, as compared to corporations that disclosed earnings disappointments. Also, this study investigated the stock prices of violating corporations compared to the non-offending corporations from within the same business sector, as well as considered the percentage decline for repeat offenders for violation two compared to violation one. Opposite to hypothesis, results showed that stock prices for the violating companies were significantly greater 12 months after the violation compared to the other months and no significant differences in percent decline between the eight sectors on any of the five decline measures. There were also no differences between violating companies and their matched companies. Companies with a violation had significantly greater stock prices overall than those without a violation.

This thesis attempts to analyze the market response of stock prices of major U.S. banks to the February, 1987 Brazilian loan default announcement. The study's general hypothesis is that the market revalued stock prices according to each bank's amount of Brazilian loan exposure. The first chapter examines the significance of the default announcement. A survey of related literature is presented in the second chapter. Chapter III specifies the methodological techniques involved in analysis of the data. Chapter IV reports the findings of the study. Conclusions about the results are drawn in Chapter V. The results indicate the market is efficient. They also suggest that individual exposure was the major determinant of bank stock price decline.

Thesis (M.A. Agricultural Management (Agricultural Economics)) -- University of Limpopo -- 2020 / Potato is the most important vegetable crop in South Africa in terms of contribution to the gross value of agricultural production, export earnings and contribution to food supply base and food security in the SACU region. Despite the importance of this commodity, very little is known about the nature of price transmission between different levels of potato value chain in South Africa. The study aims to determine the nature of price transmission in the South African potato market. The objectives of the study are to investigate the existence of long-run equilibrium relationship between producer, wholesale and retail prices; to determine characteristics of the relationship; and to determine the direction of price causality. The study made use of Error Correction Model and Granger Causality test. The Empirical results reveal the existence of price asymmetry in the South African potato value chain. Furthermore, the results show that retail prices are more responsive producer price increases than they are to producer price declines. The Granger causality test shows that prices in potato value chain are determined mainly at the wholesale level (i.e. at the National Fresh Produce Markets). The study recommends further research focusing on price transmission for other basic food commodities and that the government retains and strengthens the existing food price monitoring system. / Department of Agriculture, Forestry and Fisheries

Although the original intent of this study was to do a pre-and post-deregulation assessment of rail rates per ton-mile, the results using post-deregulation data show a significant decrease in rail rates between 1981 and 2000. While accounting for changes in shipment characteristics, savings for wheat, barley, com, oat, and soybean shippers were 63.80%, 69.17%, 49.07%, 67.97%, and 59.36%, respectively. Rate savings over time for an average 1981 shipment were 45%, 55%, 38%, 45%, and 36% for wheat, barley, com, oat, and soybean shippers, respectively. Analysis regarding the effects of deregulation of rail rates on com, soybean, and wheat on a regional basis shows that rail rates not only differ across commodities, but also among regions. In general, it was found that grain producers within regions that had higher levels of intermodal competition had lower rates than their counterparts with lower levels of intermodal competition. Distribution of benefits as a result of market-based pricing has varied among regions, and these variances are increasing over time.