The phenomenon of isolated value in each blockchain system has become adistinct issue of the blockchain field. To address this problem, the demandof cross-chain intercommunication came up. In a narrow sense, cross-chainrefers to the process of asset interoperability between relatively independentblockchains. In this thesis, we mainly analyze the design principles, technicaldifficulties, and solutions of cross-chain intercommunication in this narrowsense. With the introduction of distributed ledger technology(DLT), we describethe interaction with other ledgers as the fundamental problem of currentblockchain technology.The implementation of cross-chain is mainly manifested as asset swap and assettransfer. So far, there are many existing application scenarios and projectsadopted from these manifestation. This paper will focus on these two implementations,illustrate their principles, locate the realization difficulties, andput forward corresponding possible solutions. Then we elaborated on eightpopular cross-chain projects underlying mechanism listed with three maincategories. A detailed comparison according to their interoperability level,consensus algorithm and application scenarios of the overall overview of 20cross-chain projects is presented as a table in the Appendix A.During the implementation process, we performed a simple atomic swap crosschainframework based on Hash Time Lock Contract between Bitshares andEthereum, then compare the performance with a wallet application presentby Ripple using Interledger Protocol. These two applications are representedthe two different use case of cross-chain realization.With limited number of projects to test out, our conclusion was reached aftera discussion with the relative merits of the two approaches. Interledger protocolhas a better solution from the aspects of the decentralization, scalability,and whether it supports traditional ledgers. / Fenomenet isolerat värde i varje blockchain-system har blivit en distinkt frågaom blockchainfält. För att hantera detta problem kom kravet på interkommunikationmellan kedjor upp. I en smal mening hänvisar tvärkedjantill processen för interoperabilitet mellan tillgångar mellan relativt oberoendeblockchains. I denna avhandling analyserar vi huvudsakligen designprinciper,tekniska svårigheter och lösningar för interkommunikation mellan kedjor ien smal bemärkelse. Med introduktionen av distribuerad huvudboksteknologi(DLT) beskriver vi interaktionen med andra bokar som det grundläggandeproblemet med den nuvarande blockchain-tekniken.Tvärkedjans implementeringsform manifesteras huvudsakligen som tillgångsbyteoch överföring av tillgångar. Hittills finns det många befintliga applikationsscenarier och Pro projekt som antagits från dessa manifestation. Dettadokument kommer att fokusera på dessa två implementeringar, illustrera derasprinciper, lokalisera förståelsessvårigheterna och lägga fram motsvarandemöjliga lösningar. Sedan utarbetade vi åtta populära tvärkedjeprojekt underliggandemekanism listade med tre huvudkategorier. En detaljerad jämförelseberoende på deras driftskompatibilitetsnivå, konsensusalgoritm och tillämpningsscenarierav den övergripande översikten över 20 tvärkedjeprojekt presenterassom en tabell i Appendix A.Under genomförandeprocessen genomförde vi en enkel atomisk swap Cross-Chain ram baserad på hash Time lock kontrakt mellan Bitshares och Ethereum,sedan jämföra prestanda med en plånbok program som finns med Ripplemed Interledger Protocol. Dessa två applikationer föreställs de två olika användningsfallenav Cross-Chain genomförande.Med begränsade projekt att testa, nåddes vår slutsats efter en diskussion medrelativa fördelar med två metoder praktiskt taget. Interledger-protokollet haren bättre lösning med avseende på decentralisering, skalbarhet och huruvidadet stöder traditionella bokar.

Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. To calculate the CVA, one needs the risk-neutral Probability of Default (PD) for the counterparty, which is the centre in this type ofderivative.The traditional method for calculating risk-neutral probabilities of default involves constructingcredit curves, calibrated using the credit derivative Credit Default Swap (CDS). However,liquidity issues in CDS trading present a major challenge, as the majority of counterpartieslack liquid CDS spreads. This poses the difficult question of how to model risk-neutral PDwithout liquid CDS spreads.The current method for generating proxy credit curves, introduced by the Japanese BankNomura in 2013, involves a cross-sectional linear regression model. Although this model issufficient in most cases, it often generates credit curves unsuitable for larger counterpartiesin more volatile times. In this thesis, we introduce two Long Short-Term Memory (LSTM)models trained on similar entities, which use CDS spreads as input. Our introduced modelsshow some improvement in generating proxy credit curves compared to the Nomura model,especially during times of higher volatility. While the result were more in line with the tradedCDS-market, there remains room for improvement in the model structure by using a moreextensive dataset. / Ända sedan 2008 års finanskris har styrande finansiella organ ökat kraven för mätning ochprissättning av konkursrisk inom derivat. Ett område av särskilt högt intresse för detta arbete ärmotpartskreditrisker (CCR). I detta är Kreditvärdesjustering (CVA) den huvudsakliga metodenför prissättning av konkursrisk inom finansiella derivat och för att kunna få fram ett värde avCVA behövs en risk-neutral konkurssannolikhet (PD).En av de traditionella metoderna för att räkna ut denna sannolikhet är genom att skapakreditkurvor som sedan är kalibrerade utifrån CDS:ar. Detta handlade derivat (CDS) finns baraför ett mindre antal företag över hela världen vilket gör att en majoritet av marknaden saknaren tillräckligt handlad CDS. Lösning på detta är att ta fram proxy CDS för ett motsvarande bolag.Idag görs detta framförallt med en tvärsnitts-regressionsmodell som introducerades 2013 avden japanska banken Nomura. Den skapar i många fall rimliga kurvor men ett problem den harär att den oftare gör proxyn lägre än vad den borde vara.I detta arbete introducerar vi istället en LSTM modell som tränas på liknande företag. Resultatetav detta är att vi får en bättre modell i många fall för att skapa en proxy kurva men som delvishar liknande brister som Nomura modellen. Men med fortsatta undersökningar inom områdetsamt med mer data kan detta skapa en mer exakt och säkrare proxy modell.

Denna uppsats behandlar vilka faktorer som påverkar svenska fastighetsbolags syn på ränteswappar och huruvida coronapandemin, IFRS regelverket, den nya referensräntan Swestr eller bolagens rating har någon betydelse i detta. Studien undersöker vidare hur stor efterfrågan på räntederivat tidigare har varit, samt hur framtidsutsikterna ser ut gällande användandet av ränteswappar. För att besvara studiens problemformulering har en kvalitativ metod använts, där fem semistrukturerade intervjuer med både fastighetsbolag och en bank varit utgångspunkten till arbetets slutsats. Studiens resultat visar att samtliga tillfrågade fastighetsbolag har en egen räntesäkringsstrategi och egna preferenser vad gäller räntederivat. Idag använder en klar majoritet av svenska fastighetsbolag ränteswappar i sina räntesäkringsstrategier, men studien tyder på att mindre aktörer på marknaden eventuellt i framtiden kommer söka sig till simplare lösningar. Vidare visar studien att varken coronapandemin, IFRS regelverket eller Swestr påverkar fastighetsbolagens förhållningssätt till ränteswappar. Däremot kan det externa ratingbetyget indirekt ha en koppling till hur ett fastighetsbolag väljer att hedga sig mot räntefluktuationer.  Studiens område är fortsatt vagt undersökt och ämnet kommer förbli intressant att forska vidare på i framtiden. / This study deals with the factors that affect Swedish real estate companies´ views on interest rate swaps and whether the corona pandemic, the IFRS regulations, the new reference interest rate Swestr or the companies external rating have any significance in this. The study further examines how the demand for interest rate swaps has changed and how the future looks like. To fulfill the purpose of the study, a qualitative method has been used, with five semi-structured interviews with both real estate companies and a bank. The collected answers have formed the basis of this paper's conclusion.  The results of the study show that all real estate companies surveyed have their own interest rate hedging strategy, and their own preferences on interest rate derivatives. A majority of Swedish real estate companies use interest rate swaps today in their interest rate hedging strategies, but this study indicates that smaller real estate corporations in the market may seek more simple solutions in the future. Furthermore, the study indicates that neither the coronavirus pandemic, the IFRS regulations nor Swestr has an impact in the real estate companies´ approach towards interest rate swaps. On the other hand, the external rating can indirectly be a reason why real estate companies choose to hedge with interest rate derivatives against interest rate fluctuations. The field of study is still vaguely researched and the subject will remain interesting to research in the future.

The agricultural sector plays an important role in the South African economy through job creation and earning foreign exchange. The role of agricultural co-operatives increased substantially over the last few decades. The research focuses firstly on the identification of derivative instruments in the market and their applicability to mitigate financial risks co-operatives experience. Secondly, research is conducted about the extent to which co-operatives use these derivatives to hedge financial risks. The research shows that most co-operatives are exposed to financial risks through different activities. It is, however, evident that although the derivative instruments are available, not all co-operatives make use of these instruments. Recommendations for further research include the development of a risk management framework and determining the different economic factors that have an influence on the use of derivatives by South African agricultural co-operatives. / Business Management / M.Comm.

The agricultural sector plays an important role in the South African economy through job creation and earning foreign exchange. The role of agricultural co-operatives increased substantially over the last few decades. The research focuses firstly on the identification of derivative instruments in the market and their applicability to mitigate financial risks co-operatives experience. Secondly, research is conducted about the extent to which co-operatives use these derivatives to hedge financial risks. The research shows that most co-operatives are exposed to financial risks through different activities. It is, however, evident that although the derivative instruments are available, not all co-operatives make use of these instruments. Recommendations for further research include the development of a risk management framework and determining the different economic factors that have an influence on the use of derivatives by South African agricultural co-operatives. / Business Management / M.Comm.

With the exception of holders of default-free instruments, a key risk run by investors is credit risk. To meet the need of investors to hedge this risk, the market uses credit derivatives. The South African credit derivatives market is still in its infancy and only the very simplistic instruments are traded. One of the reasons is due to the technical sophistication required in pricing these instruments. This dissertation introduces the key concepts of risk neutral probabilities, arbitrage free pricing, martingales, default probabilities, survival probabilities, hazard rates and forward spreads. These mathematical concepts are then used as a building block to develop pricing formulae which can be used to infer valuations to the most popular credit derivatives in the South African financial markets. / Operations Research / M.Sc. (Operations Research)

本研究透過聯合系統與獨特風險綜合評估違約的強度，假設市場上經濟變數或資訊影響系統之違約強度，然若直接考慮所有經濟變數到模型中將可能會有共線性或維度過高之疑慮，因此透過狀態空間模型來設定狀態變數以及經濟變數之關係並將萃取三大狀態變數分別用以描述市場實質活動面、通貨膨脹以及信用環境。另外，將透過結構式模型來計算獨特性風險大小，當個別潛在的變數低於一定數值將導致個別的違約事件發生。而因布朗運動可能無法描述或校準市場上違約之鋒態以及偏態，將進一步考慮Variance Gamma過程用以更準確描述真實違約狀況。最後透過結合以上兩個風險綜合評估下，考慮一個聯合違約模型來評價信用違約交換之信用價差。 / Systematic and idiosyncratic risks are supposed to jointly trigger the default events. This paper identifies three fundamental risks to capture the systematic movement: real activity, inflation, and credit environment. Since most macroeconomic variables fluctuate together, the state-space model is imposed to extract the three variables from macroeconomic data series. In the idiosyncratic part, the structural model is applied. That is, idiosyncratic default is triggered by the crossing of a barrier. For improvement of the underlying lognormal distribution, we assume the process for the potential variable of the firm follows a Variance Gamma process, sufficient dimensions of which can fit the skewed and leptokurtic distributions. Under the specific setting of combinations of the two risks (the so-called joint default model), we price credit default swaps.

The goal of this diploma thesis is to analyze the gold market and provide readers with the necessary information and context having an impact on the price of gold. The thesis consists of three chapters. First one deals in general with the commodity market and introduces the readers to commodity exchange issues such as trading commodities in commodity exchanges, motives of commodity trading as well as the specific characteristics of commodities. Second one concerns the detailed analysis of commodity investment tools that investors might use when they feel like getting an exposure to price movements of commodities. The last chapter gears towards an analysis of the gold market in today's super globalized world and depicts what fundamental factors have an impact on the price of gold. At last, I shall summarize existing pieces of knowledge and cast light on further gold price movements.

本論文主要目標為發展金融互換的定價模型。既是欲建立量化模型，首要 工作在於對量化對象 --- 金融互換工具的實際特性， 實務上的運作，有 瞭解與掌握，再輔以必要的數量基礎，方不致於`` 失真 '' 。本文共分 五章首章為緒論，第二章為對金融互換工具的全盤認識，試圖由金融互換 的契約切入，進而歸納分類要件，演化及最終種類，最後提出定價時的幾 個思維面向(Dimensions )。第三章為文獻回顧，指出金融互換定價模型 的基礎，為建立在具浮動利率金融工具的定價模型上。 第四章為發展理 論模型基礎及數值分析結果。第五章為結論。

違約事件受到系統性風險與獨特性風險的綜合影響。本研究建構一狀態相依公司信用模型，該模型能反映出系統環境對市場造成的影響與個別公司獨特因子帶來的個別衝擊。 本模型透過從總體環境中萃取出的狀態變數來捕捉系統性變化，另外透過Variance Gamma過程來描繪個別公司的獨特因子帶來的影響。Variance Gamma過程可藉由調整分配的鋒態及偏態來調整布朗運動無法反映出的分配，以更貼近真實的市場訊息。 與縮減試模型相較之下，本模型無需參考信評機構的信用評等資訊，僅依賴市場上公開且透明的資訊，並且與結構式模型相同的是其富有經濟意涵。我們可以透過本模型來同時生成公司流動性危機發生機率與預期流動性危機造成的損失，進而利用本模型評價出個別公司信用違約交換的價格。 關鍵字：信用違約交換；系統風險；獨特性風險；狀態空間模型；Variance Gamma 過程 / Systematic and idiosyncratic risks are thought to affect the default events. This study develops a state-dependent corporate credit model that reflects both systematic movement and idiosyncratic shocks. To capture the systematic movement, the model extracts state factors from macroeconomics data. For the idiosyncratic part, the model applied Variance Gamma Process in depicting the potential variable of the firm by altering the distribution’s skewness and kurtosis. The model contains abundant economic significance as structural-form model does. Comparing to the reduced-form model, it does not rely on the information provided by rating agency but use information that is transparent and public. One can generate a firm’s probabilities of liquidity crisis and expected liquidity shortfalls endogenously and concurrently by employing the model. Credit derivative such as Single-name CDS can be priced under the model.