The first-to-default Credit Default Swap (CDS) with multiple assets is priced when the default barrier is changing over time, which is contrast to the assumption in most of the structural-form models. The survival function of each asset follows the lognormal distribution and the interest rate is constant over time in this article. We define the joint survival function of these assets by employing the normal and Student-t copula functions to characterize the dependence among different default probability of each asset. In addition, we investigate the empirical evidences in the pricing of CDS with two or three companies by changing the values of parameters in the model. The more interesting results show that the joint default probability increases as these assets are more positive correlated. Consequently, the price of the first-to-default CDS is much higher.

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.

Cette thèse s'intéresse à la gestion du risque climatique par l'utilisation des produits dérivés climatiques. Les travaux réalisés dans le cadre de cette thèse sont une contribution aux aspects statistiques, économétriques et financiers de la modélisation et de l'évaluation des produits dérivés climatiques. Un intérêt particulier a été accordé au contexte marocain aussi bien au niveau du volet qualitatif que quantitatif. En plus des développements théoriques que nous avons apportés (tests statistiques pour vérifier l'impact du climat sur l'économie, amélioration d'un modèle de prévision de la température moyenne quotidienne, confirmation du choix de la température moyenne, au lieu des températures extrêmes, comme sous-jacent pour les contrats basés sur la température, etc.), nous avons proposé des cas de gestion entre opérateurs économiques marocains exerçant des activités sensibles à l'aléa climatique avec des profils de risque différents en leur apportant des solutions de couverture basées sur l'utilisation de produits dérivés climatiques.

String-to-String Correction is the process of transforming some mutable string M into an exact copy of some other string (the target string T), using a shortest sequence of well-defined edit operations. The formal STRING-TO-STRING CORRECTION problem asks for the optimal solution using just two operations: symbol deletion, and swap of adjacent symbols. String correction problems using only swaps and deletions are computationally interesting; in his paper On the Complexity of the Extended String-to-String Correction Problem (1975), Robert Wagner proved that the String-to-String Correction problem under swap and deletion operations only is NP-complete for unbounded alphabets. In this thesis, we present the first careful examination of the binary-alphabet case, which we call Binary String-to-String Correction (BSSC). We present several special cases of BSSC for which an optimal solution can be found in polynomial time; in particular, the case where T and M have an equal number of occurrences of a given symbol has a polynomial-time solution. As well, we demonstrate and prove several properties of BSSC, some of which do not necessarily hold in the case of String-to-String Correction. For instance: that the order of operations is irrelevant; that symbols in the mutable string, if swapped, will only ever swap in one direction; that the length of the Longest Common Subsequence (LCS) of the two strings is monotone nondecreasing during the execution of an optimal solution; and that there exists no correlation between the effect of a swap or delete operation on LCS, and the optimality of that operation. About a dozen other results that are applicable to Binary String-to-String Correction will also be presented. / Graduate / 0984 / 0715 / tspreen@gmail.com

Conn., Yale Univ., Diss.--New Haven, 2003. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 3 Beitr.

Univ., Diss.--Frankfurt (Main), 2001.

Submitted by Guilherme Candido (gui0488@hotmail.com) on 2018-03-07T00:37:23Z No. of bitstreams: 1 Dissertação - Guilherme Amaral Candido.pdf: 2626690 bytes, checksum: 1e894027eeaf3360d910fb69a4a1f0b2 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2018-03-07T23:11:03Z (GMT) No. of bitstreams: 1 Dissertação - Guilherme Amaral Candido.pdf: 2626690 bytes, checksum: 1e894027eeaf3360d910fb69a4a1f0b2 (MD5) / Made available in DSpace on 2018-03-08T13:03:44Z (GMT). No. of bitstreams: 1 Dissertação - Guilherme Amaral Candido.pdf: 2626690 bytes, checksum: 1e894027eeaf3360d910fb69a4a1f0b2 (MD5) Previous issue date: 2018-02-07 / Extensa literatura existe acerca de apreçamento de derivativos de crédito, em especial Credit Default Swaps, porém pouco foi discutido sobre o caso peculiar brasileiro, com convenções de taxas de juros e legislação específicas. Este trabalho foca na implementação de um modelo de intensidade, em particular o modelo padrão da ISDA, adaptado à um contrato de CDS no Brasil sobre um emissor corporativo. Spreads de Credit Default Swaps negociados no mercado offshore, yields de bonds e yields de debêntures foram utilizados como insumos para obtenção das taxas implícitas de intensidade de default e backtesting do modelo. Os dados utilizados compreendem o período de 2015 a 2017, englobando momentos de estresse relacionados à crise política brasileira. Algumas aplicações são, então, apresentadas, entre elas hedging, basis trading e estruturação de Credit Linked Notes. / Extensive literature exists on the pricing of credit derivatives, particularly Credit Default Swaps, yet little has been discussed about the distinctive Brazilian case, with specific legislation and interest rate conventions. This work aims to implement an intensity model, in particular the standard ISDA model, adapted to a CDS contract in Brazil on a corporate issuer. Spreads of Credit Default Swaps traded in the offshore market, offshore bond yields and local bond yields were used as inputs for obtaining the implicit hazard rates and for back testing the model. The data used cover the period from 2015 to 2017, including relevant moments of stress related to the Brazilian political crisis. Some applications are then presented, including hedging, basis trading and Credit Linked Notes structuring.

Submitted by Guilherme Almeida (gribalmeida@yahoo.com.br) on 2010-06-08T17:36:26Z No. of bitstreams: 1 Dissertação Final.pdf: 295042 bytes, checksum: 8605c5a79af832a043b920088d6f45bb (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2010-06-16T18:54:46Z (GMT) No. of bitstreams: 1 Dissertação Final.pdf: 295042 bytes, checksum: 8605c5a79af832a043b920088d6f45bb (MD5) / Made available in DSpace on 2010-06-18T13:44:59Z (GMT). No. of bitstreams: 1 Dissertação Final.pdf: 295042 bytes, checksum: 8605c5a79af832a043b920088d6f45bb (MD5) Previous issue date: 2010-05-26 / In this paper, we use the information from the credit default swap market to measure the main components of the oil and gas companies spread. Using nearly 20 companies of this industry with different ratings and nearly 80 bonds, the result was that the majority of the oil and gas spread is due to the default risk. We also find that the spread component related to the non-default is strongly as sociated with some liquidity measures of bond markets, what suggest that liquidity has a very important role in the valuation of fixed income assets. On the other side, we do not find evidence that the non-default component of the spread is related to tax matters. / Neste trabalho, utilizamos informações do mercado de credit default swap para medir os principais componentes do spread das empresas do setor de óleo e gás. Utilizando cerca de 20 empresas da indústria de óleo e gás composta por companhias de diversos ratings e aproximadamente 80 bonds, os resultados mostraram que a maior parte do spread corporativo do setor decorre do risco de inadimplemento. Também encontramos que o componente do spread não relacionado ao default é fortemente associado a algumas medidas de liquidez do mercado de bonds, sugerindo que a liquidez tem um papel importante na avaliação de títulos de renda fixa. Por outro lado, não encontramos evidências da importância de fatores tributários na explicação do componente do spread não relacionado à inadimplência.

This Diploma Thesis is dedicated to a proposal of a carrier swap bodies hooked up to a agrotruck 6x6 with a maximum technical weight 38000 kg and has been worked out in corporation with ZDT Nové Veselí company. The first section of the Thesis is occupied with legislation and then especially with a description of available agrotrucks and similar constuction solutions not just of the carrier swap bodies. In the following part of the Thesis the own carrier swap bodies construction proposal has been described, based on which the stress analysis has been done in the final part of the Thesis. Also the technical drawing forms an integral part of the Thesis.