This diploma thesis deals with comparison of the properties of chokeberry spreads of different origins, composition and different production technologies. The theoretical part contains a brief description of the chokeberry – Aronia melanocarpa, an overview of the most important substances contained in the chokeberry and examples of the use of aronia, not only in the food industry. Furthermore, the legislative requirements for the production of spreads and the production technology itself are described. In this thesis is also described a new patented technology of spread production using HTD technology. Another part of the theoretical part is a literature review of the determination of anthocyanins in chokeberry by HPLC method. The experimental part describes the laboratory procedures used for determination of dry matter, carbohydrates by HPLC with ELSD detector, anthocyanin dyes, total phenolic compounds and antioxidant activity. Another part of the work was a questionnaire survey and sensory analysis of selected chokeberry spreads. The panel members prefered the Lowicz chokeberry spread, for which was determined 29,39% dry matter, 15,15 mg.g-1 anthocyanins, 9,20 mg.g-1 total phenolic compounds, 158,42 mg.g-1 fructose and 151,26 mg.g-1 glucose and the antioxidant activity was determined to be 5,94 mg.g-1.

Since the introduction of derivatives into the modern financial market, volatility based tradingstrategies have emerged as important tools for asset managers. Since the financial crisis apopular trading strategy has been dispersion trading, however few published studies ofdispersion trading exist. This thesis aim to perform a study of how dispersion strategies performand their characteristics. This is achieved by finding basic common dispersion trading strategies,isolate and evaluate their attributes to then draw conclusions in general about dispersion trading.Three basic dispersion strategies are found based on vanilla option spreads and their performanceis back-tested. It was found that the strategies delivered positive return with low marketcorrelation and acceptable risk. It is also found that transaction costs is a key-factors tosuccessfully use dispersion trading. Thus it is a vital factor to consider when creating adispersion based trading strategy. An interesting topic for further research is how trading signalssuch as the implied correlation and the implied volatility spread can be used to increaseprofitability. As well to model market impact from dispersion trading.

This thesis investigates the robustness and stability of total return series for credit bond index investments. Dueto the challenges which arise for financial institutes and investors in achieving these objectives, we aim to createa forecasting model which matches the statistical properties of historical data, while remaining robust, stable andeasy to calibrate. To reach this goal, we implement autoregressive time-series models for credit spreads, a Vasicekmodel for the interest rate and use transformations to create total return series. We find that our autoregressivemodel performs well in terms of robustness and stability, while being statistically accurate for the Investment GradeIndex. The High Yield model has good statistical accuracy, but is lacking in stability and robustness. / Denna avhandling undersöker robustheten och stabiliteten hos totalavkastningsserier för investeringar ikreditobligationsindex. På grund av de utmaningar som uppstår för finansiella institut och investerare i att uppnådessa mål, syftar vi till att skapa en prognosmodell som matchar de statistiska egenskaperna hos historiska datasamtidigt som den förblir robust, stabil och enkel att kalibrera. För att nå detta mål implementerar vi autoregressivatidsserie-modeller för kreditspridningar, en Vasicek-modell för räntan och använder transformationer för att skapatotalavkastningsserier. Vi finner att vår autoregressiva modell för Investment Grade Indexet presterar bra gällanderobusthet och stabilitet samtidigt som den är statistiskt korrekt. High Yield modellen är statistiskt korrekt, men ärmindre bra gällande stabilitet och robusthet.

In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative during the financial crisis. This fact indicates the benefit of hedging the stock portfolios with gold futures while we have stress in the financial markets. The results from hedging effectiveness suggest that all the commodity/stock portfolios provide better diversification benefits than the stock portfolios. In average, including CRB, BCOM and GOLD futures to the stock portfolios have the highest hedging effectiveness ratios. Chapter 2 investigates the impact of global and local variables on the Sovereign bond spreads for 22 developed countries in North America, Europe and Pacific Rim Regions, using monthly data from January 2010 to March 2015. There are a few main findings of this chaper. First, the global factors are considerably more important in déterminant the sovereign bond spreads for all the regions. Second, for the bond spread of each region over its local government bond, the countries’ domestic fundamentals are found to be more influential determinants of the spreads, compared to the spread over US government bond as a safe haven government bond. Third, the bond spreads in the Eurozone area is less influenced by the global factors compared to the other regions. Fourth, the sovereign bond spreads of all regions are positively related to the US corporate high yield spreads as a proxy of market sentiment and the log of VIX index as measurement for the investor risk aversion. The coefficient of the log of VIX index shows the strong power of the stock market implied volatility on determining the yield spreads in the fixed income market.

本文建構一個兩國並結合銀行之 DSGE 模型，旨在瞭解銀行資本與放款利差於國際景氣傳遞過程的機制。中間財廠商必須向銀行融通資金以購買資本財。本文假設廠商償還資金時存在違約衝擊，即銀行不一定能完全回收貸放總額。銀行資本水準又會影響放款利差的高低，進而改變廠商生產決策。本文以此機制連結金融與實質部門探討當違約衝擊發生時，除了對本國的影響之外，又會如何衝擊外國經濟體系。本文發現，本國違約衝擊的確會導致兩國景氣同時步入衰退，成功地捕捉兩國之產出、投資與放款呈現下降的現象。此外，本國若採行緊縮性貨幣政策，外國經濟體系也會遭受威脅。 / The objective of this study is to investigate the international transmission mechanism of the role of banking sector. We propose a Dynamic Stochastic and General Equilibrium model of a two-country two-bank world with nominal rigidity. Bank lends funds to entrepreneurs to purchase capital. The banking capital position has influence on loan rate spreads which can affect the real economic activities. Financial impact is originated from entrepreneur defaulting on their borrowings. The calibration results show that a country-specific financial shock causes international crisis. Furthermore, a negative monetary policy shock also drives simultaneous recession across countries.

This dissertation consists of five separate and self-contained essays. They have been written as distinct papers. Although there is a fair amount of overlap and cross-reference in analysis and discussion, the intention is that potential readers should be able to read them separately. Essay 1: An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange.This essay describes and analyzes the trading structure at the Stockholm Stock Exchange. In the empirical part, we report stylized facts based on intraday transaction and order book data, focusing on the intraday behavior of returns, trading activity, order placement and bid/ask spread, on the importance of the tick size and finally on some characteristics of the limit order book. Our main empirical conclusions are that a) the intraday U-shape in trading activity found in earlier U.S. studies on the whole also pertains to the Stockholm Stock Exchange, b) the limit order placement also follows an intraday U-shape, c) there is no distinct intraday pattern in returns, d) the volatility and bid/ask spread seems to be higher at the beginning of the trading day, e) the tick size is economically important, and f) the price impact of an order is a nonlinear function of its quantity, implying price inelastic demand and supply. Essay 2: An Empirical Analysis of the Trading Structure at the Stockholm Options and Forwards Exchange, OM.We first describe and analyze the trading structure at the Stockholm Options and Forward Exchange, OM Stockholm. It is characterized by some interesting market microstructure features, such as a high degree of transparency in a fully computerized trading system and a possibility to submit combination orders. We also present empirically results from tests on the intra- and interday trading volume of the OMX index derivatives, both in terms of number of contracts traded and in terms of number of transactions. There is evidence of a high degree of intraday variation in trading volume and some interday variation. The extension of trading hours of the underlying stocks, during the studied period should, according to modern trade concentration models, affect the distribution of trading across the day. Although no formal test of the models is possible with this data set, we are able to shed some supportive additional light on all of these models. Essay 3: Tick Size, Market Liquidity and Trading Volume: Evidence from the Stockholm Stock Exchange. (This essay was co-authored with Patrik Sandås.)The regulated tick size at a securities exchange puts a lower bound on the bid/ask spread. We use cross-sectional and cross-daily data from the Stockholm Stock Exchange to assess if this lower bound is economically important and if it has any direct effect on market depth and traded volume. We find a) strong support that the tick size is positively correlated to market depth and c) some support that it is negatively related to traded volume. We identify different groups of agents to whom a lower tick size would be beneficial and to whom it would be detrimental. Essay 4: An Analysis of the Lead-Lag Relationship between the OMX Index Forwards and the OMX Cash Index.This essay investigates the intraday lead-lag structure in returns between on the one hand the OMX cash index and on the other hand the OMX index forwards and the OMX synthetic index forwards in Sweden. The data set includes 22 months of data, from December 1991, to September 1993. It is divided into three sub-periods. The main conclusion is that there is a high degree of bidirectional interdependence, with both series Granger causing each other. Using a Sims-test, we find that the forwards as well as synthetic forwards lead the cash index with between fifteen and thirty minutes, while the cash index leads the forwards with about ten to fifteen minutes.. This implies a longer lead from the cash index to the forwards than in previous studies. The large interdependence could possibly be due to higher transaction costs, lower liquidity in the forward market and the specific trading environments used for Swedish securities. Essay 5: Order Flow Dynamics: Evidence from the Helsinki Stock Exchange. (This essay was co-authored with Kaj Hedvall.)This essay investigates the dynamics of the order flow in a limit order book. In contrast to previous studies, our data set from the Helsinki Stock Exchange encompasses the entire order book structure, including the dealer identities. This enables us to focus on the order behavior of individual dealers. We classify the events in the order book and study the structure of subsequent events using contingency tables. In specific, the structure of subsequent events initiated by the same dealer is compared to the overall event structure. We find that order splitting is more frequent than order imitation. Furthermore, if the spread increases as a result of a trade, other dealers quickly restore the spread, by submitting new limit orders. One conclusion is therefore that there exists a body of potential limit orders outside the formal limit order book and that there is a high degree of resiliency in our limit order book market. As a logical consequence, a large dealer strategically splits his order, in order for the market to supply additional liquidity. One interpretation of our results is that a limit order book market can accommodate larger orders than is first apparent by the outstanding limit orders. Another interpretation is that a limit order book structure gives room for informed traders to successively trade on their information. A third interpretation is that prices only slowly incorporate new information. / Diss. Stockholm : Handelshögskolan, 1994

Credit default swaptions (CDS options) are credit derivatives that are widely used by finan-cial institutions such as banks and hedging companies to manage their credit risk. These options are usually priced using Black-Scholes model, but the assumptions underlying this model do not always hold especially when solving complex financial problems. The proposed solution is to use numerical methods such as finite difference method (FDM) to approximate the solution of the Black-Scholes PDE in cases where closed form solutions cannot be obtained. The pricing of swaptions are important in financial markets, hence we specifically discuss the pricing of interest rate swaptions, CDS options, commodity swaptions and energy swap-tions using Black-Scholes model. Simple parabolic PDE known as heat equation given at (Higham, 2004) forms a foundations to understand the application of FDM when solving a PDE. Since, Black-Scholes PDE is also a parabolic equation it is transformed to a form of a heat equation (diffusion equation) by applying change of variables technique. FDM, specifically Crank-Nicolson method can be applied to the heat equation but in this dissertation it is applied directly to the Black-Scholes PDE to approximate its solution. Therefore, it is preferable to use Crank-Nicolson method because it is known to be second- order accurate, unconditionally stable, very flexible, suitable and can accommodate varia- tions in financial problems, (Duffy, 2008). The stability of this method is investigated using a matrix approach because it accommodates the effect of boundary conditions. To test the convergence of Crank-Nicolson method, it is compared with the Black-Scholes method used in (Tucker and Wei, 2005) to price CDS options. Conclusively the results obtained by Crank-Nicolson method to price CDS options are similar to those obtained using Black-Scholes method. / Thesis (MSc (Risk Analysis))--North-West University, Potchefstroom Campus, 2013.

Credit default swaptions (CDS options) are credit derivatives that are widely used by finan-cial institutions such as banks and hedging companies to manage their credit risk. These options are usually priced using Black-Scholes model, but the assumptions underlying this model do not always hold especially when solving complex financial problems. The proposed solution is to use numerical methods such as finite difference method (FDM) to approximate the solution of the Black-Scholes PDE in cases where closed form solutions cannot be obtained. The pricing of swaptions are important in financial markets, hence we specifically discuss the pricing of interest rate swaptions, CDS options, commodity swaptions and energy swap-tions using Black-Scholes model. Simple parabolic PDE known as heat equation given at (Higham, 2004) forms a foundations to understand the application of FDM when solving a PDE. Since, Black-Scholes PDE is also a parabolic equation it is transformed to a form of a heat equation (diffusion equation) by applying change of variables technique. FDM, specifically Crank-Nicolson method can be applied to the heat equation but in this dissertation it is applied directly to the Black-Scholes PDE to approximate its solution. Therefore, it is preferable to use Crank-Nicolson method because it is known to be second- order accurate, unconditionally stable, very flexible, suitable and can accommodate varia- tions in financial problems, (Duffy, 2008). The stability of this method is investigated using a matrix approach because it accommodates the effect of boundary conditions. To test the convergence of Crank-Nicolson method, it is compared with the Black-Scholes method used in (Tucker and Wei, 2005) to price CDS options. Conclusively the results obtained by Crank-Nicolson method to price CDS options are similar to those obtained using Black-Scholes method. / Thesis (MSc (Risk Analysis))--North-West University, Potchefstroom Campus, 2013.

近年來因市場波動劇烈, 保險公司紛紛推出的「附保證投資型保單」, 給 予保戶在投資上的保證。然而, 附最低給付保證條件卻使得保險公司必須面 對更大的核保與財務風險。所以計算出附有最低保證條件商品的保費就顯 得格外地重要。 傳統附保證保單在訂價時,都是假設固定己知的脫退率,因為他們認為 脫退率的變化不會是影響保單價值的主因。但在Mary hardy 所著的《Investment Guarantees》一書中page 96 特別提到脫退風險: Withdrawals are more problematic. Withdrawals are, to some extent, related to the investment experience, and the withdrawal risk is, therefore, not fully diversifiable. 因此, 本文希望透過建立受經濟因子影響的解約率模型,來得到附保證保險 的風險價差。 本文考慮附保證滿期給付投資型商品(GMMB),並且使用 Heston (1993) 提出的財務市場模型以及參考Mercurio (1996,2001) 評價投資型保險之風 險承擔價差方法, 使用效用函數來描述保險契約雙方之風險趨避程度。同 時根據Kolkiewicz & Tan (2006) 假設受經濟因子的危險比率模型(hazard rate model), 來反映出資產的平均波動程度會影響保戶的脫退率。最後以 情境方式分別模擬5、10及15年到期的附保證最低滿期投資型保險之風險 價差。本研究推導之模型主要得出下列結果: (1) 保單期間愈長, 價差愈大。 (2) 價外賣權的價差高於價內。(3) 風險規避程度越高買賣價差越大。(4) 脫 退率受經濟影響愈深, 保單的買賣價差愈大。(5) 當保險公司所保證的價格 愈高時, 價差的影響愈大。 / With the fluctuation in the financial market in 2008, insurance company provided the consumers with equity-linked life insurances embedded guarantees. On the other hand, there are more risk in the financial literacy and underwriting performance of the insurance company. It is especially important to calculate the premium of the contract embedded investment guarantee properly . Traditional method of pricing the contract embedded investment guarantee was assumed that lapse rate was known, because product providers believed lapse rate was not a major factor to price the contract. However, Mary hardy’s ”Investment Guarantees” page 96 specifically mentions about the lapse rate risk: Withdrawls are more problematic. Withdrawals are, to some extent ,related to the investment experience, and the withdrawal risk is, therefore, not fully diversifiable. So this article will found the model of lapse rate dependent on economic factors and further get the fair value of one kind of a contract embedded guarantee: GMMB. We will build a financial model introduced by Heston (1993) and use the methodology provided by Mercurio (1996,2001) to price the risk bearing gap of a contract embedded guarantee with utility function to depict the risk averse level between investors . And we have lapse rates affected from the fluctuation of the implying asset which is the hazard rate model used by Kolkiewicz & Tan (2006). Finally, we will simulate a set of scenarios to present the Risk bearing spreads of equity-linked life insurance embedded guarantees whose term are 5、10 and 15 years. The following are the consequences I got: (1) The longer the duration, the larger the spread. (2) The spread out of money is larger than that in the money. (3) The higher the risk aversion, the larger the buy-ask spread. (4) The deeper the influence of economy on the lapse rate, the larger the buy-ask spread. (5) The higher guarantee price insurer offer, the deeper the spread affect.

Submitted by Giovanni Tondin Merlin (gtmerlin@hotmail.com) on 2014-03-10T16:45:40Z No. of bitstreams: 1 Spreads e Informalidade - Giovanni Merlin.pdf: 943568 bytes, checksum: 8fcba4354e975daa8939d6a2913f4c16 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-03-10T20:25:41Z (GMT) No. of bitstreams: 1 Spreads e Informalidade - Giovanni Merlin.pdf: 943568 bytes, checksum: 8fcba4354e975daa8939d6a2913f4c16 (MD5) / Made available in DSpace on 2014-03-10T21:18:20Z (GMT). No. of bitstreams: 1 Spreads e Informalidade - Giovanni Merlin.pdf: 943568 bytes, checksum: 8fcba4354e975daa8939d6a2913f4c16 (MD5) Previous issue date: 2014-02-21 / Este trabalho busca identificar os efeitos de mudanças nos spreads bancários sobre as distribuições de renda, riqueza e consumo, bem como o bem-estar da economia. Para tal, é desenvolvido um modelo de agentes heterogêneos com mercados incompletos e escolha ocupacional, no qual a informalidade de firmas e trabalhadores é um canal de transmissão relevante. O principal resultado encontrado é que reduções no spread para pessoa jurídica aumenta a proporção de empreendedores e trabalhadores formais na economia, de forma que o tamanho do setor informal diminui. Os efeitos sobre a desigualdade, no entanto, são ambíguos, e dependerão da dinâmica salarial e das transferências do governo. Reduções no spread para pessoa física levam a uma redução nos indicadores de desigualdade, em detrimento do consumo e bem-estar agregados. Calibrando o modelo para o Brasil para 2003-2012, é possível encontrar resultados em linha com a recente queda na informalidade e no diferencial salarial entre trabalhadores formais e informais. / This work looks to identify the effects of changes in banking spreads on income, wealth and consumption distributions, as well as welfare. For this purpose, a heterogeneous-agent incomplete-market model with occupational choice is developed, in which the informality, of firms and workers, is a relevant transmission channel. The main result found is that reductions on spreads for firms leads to a higher share of formal workers and entrepreneurs in the economy, reducing the size of the informal sector. The effect on inequality, however, are ambiguous, and depends on wages dynamics and government transfers. Cuts in spreads to individuals reduce inequality indicators, at the expense of consumption and aggregate welfare. Calibrating the model for Brazil, from 2003 to 2012, is possible to find results in line with the recent fall in informality and wage gap between formal and informal workers.