La première partie de cette thèse est consacrée aux problématiques liées à la modélisation markovienne de la courbe de variance forward. Elle est divisée en 3 chapitres. Dans le premier chapitre, nous présentons le cadre général de la modélisation de type HJM-Markov pour la courbe de variance forward. Nous revisitons le cadre affine-markovien modélisation et nous l'illustrons par l'exemple du modèle de Bühler. Dans le deuxième chapitre, nous proposons un nouveau modèle pour la courbe de variance forward qui combine les caractéristiques des deux versions (continue et discrète) du modèle de Bergomi 2008, sans se réduire ni à l'une ni à l'autre. Un des avantages de ce modèle est que les prix des futures et options sur VIX peuvent être exprimés comme des espérances de fonctions déterministes d'une variable aléatoire gaussienne, ce qui réduit le problème de la calibration à l'inversion de certaines fonctions monotones. Dans le troisième chapitre, on propose une méthode d'approximation pour les prix d'options européennes dans des modèles à volatilité stochastique de type multi-factoriels lognormal (comprenant le modèle présenté dans le deuxième chapitre, les modèles de Bergomi et le modèle de Scot 1987). Nous obtenons un développement d'ordre 3 de la densité du sous-jacent par rapport au paramètre de la volatilité de la volatilité. Nous présentons aussi une méthode de réduction de variance de type "variable de contrôle" pour la simulation par la méthode de Monte-Carlo qui utilise l'approximation explicite que nous obtenons de la fonction de répartition de la loi du sous-jacent. La deuxième partie de cette thèse est consacrée à l'étude des propriétés de monotonie des prix d'options européennes par rapport aux paramètres du CIR dans le modèle de Heston. Elle est divisée en deux chapitres. Dans le premier chapitre (cf. chapitre 4), nous donnons quelques résultats généraux sur le processus CIR. Nous montrons d'abord que les queues de distribution d'une combinaison du CIR et de sa moyenne arithmétique se comportent comme des exponentielles. Nous étudions ensuite les dérivées de la solution de ce processus par rapport aux paramètres de sa dynamique. Ces dérivées sont données comme solutions d'équations différentielles stochastiques, qu'on résout pour obtenir des représentations de ces dérivées en fonction des trajectoires du CIR. Le chapitre 5 est consacré à l'étude de la monotonie du prix d'un Put européen par rapport aux paramètres du CIR et à la corrélation dans le modèle de Heston. Nous montrons que, sous certaines conditions, les prix d'options européennes sont monotones par rapport aux paramètres du drift du CIR. Nous montrons ensuite que le paramètre de la volatilité de la volatilité joue le rôle de la volatilité si on prend la variance réalisée comme sous-jacent. En particulier, les prix d'options convexes sur la variance réalisée sont strictement croissants par rapport à la volatilité de la volatilité. Enfin, nous étudions la monotonie du prix du Put européen par rapport à la corrélation. Nous montrons que le prix du put du Put est croissant par rapport à la corrélation pour les petites valeurs du Spot et décroissant pour les grandes valeurs. Nous étudions ensuite les points de changement de monotonie pour les courtes et longues maturités

Most farmers in South Africa use standard insurance to protect their crops against natural disasters such as hail or strong winds. However, no South African insurance contracts exist to compensate for too much or too little rain (although floods are covered), or which will pay out if temperatures were too high or too low for a certain period of time for the relevant crop. Weather derivatives - which farmers may employ to ensure crops against adverse temperatures - do exist, but these are mostly available in foreign markets in the form of Heating Degree Days contracts and Cooling Degree Day contracts and are used chiefly by energy companies. Some South African over-the-counter weather derivatives are available, but trading in these is rare and seldom used. The goal of this dissertation is to establish a pricing equation for weather derivatives specifically for use in the South African market. This equation will be derived using a similar methodology to that employed for credit default swaps. The premium derived will be designed to compensate grape farmers from losses arising from two different climatic outcomes - in this case temperature and precipitation. These derivatives will be region and crop specific and the formulation will be sufficiently flexible as to allow for further climatic possibilities (which may be added at a later stage). These weather derivative premiums will then be compared to standard crop insurance to establish economic viability of the products and recommendations will be made regarding their usage. The possibility of the simultaneous use of these derivatives and standard crop insurance for optimal crop coverage will also be explored and discussed. / Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2011.

Most farmers in South Africa use standard insurance to protect their crops against natural disasters such as hail or strong winds. However, no South African insurance contracts exist to compensate for too much or too little rain (although floods are covered), or which will pay out if temperatures were too high or too low for a certain period of time for the relevant crop. Weather derivatives - which farmers may employ to ensure crops against adverse temperatures - do exist, but these are mostly available in foreign markets in the form of Heating Degree Days contracts and Cooling Degree Day contracts and are used chiefly by energy companies. Some South African over-the-counter weather derivatives are available, but trading in these is rare and seldom used. The goal of this dissertation is to establish a pricing equation for weather derivatives specifically for use in the South African market. This equation will be derived using a similar methodology to that employed for credit default swaps. The premium derived will be designed to compensate grape farmers from losses arising from two different climatic outcomes - in this case temperature and precipitation. These derivatives will be region and crop specific and the formulation will be sufficiently flexible as to allow for further climatic possibilities (which may be added at a later stage). These weather derivative premiums will then be compared to standard crop insurance to establish economic viability of the products and recommendations will be made regarding their usage. The possibility of the simultaneous use of these derivatives and standard crop insurance for optimal crop coverage will also be explored and discussed. / Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2011.

Handelshögskolan, Diss.--Stockholm, 2007. / Enth. 3 Beitr.

Zugl.: München, Univ., Diss., 2009 / Hergestellt on demand

Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. More recently, the problem has been brought into light by the World Bank, expressing concerns about the crucial role of debt financing activities in the current and upcoming threats caused by climate change. A commonly used credit derivative in debt financing is credit default swaps (CDS), which is an agreement between two parties to exchange the credit risk of a reference entity. The buyer of the contract makes fixed periodic payments to the seller of the contract, who collects the premiums in exchange for making the protection buyer whole in the case of a defaulting reference entity. This thesis aims to minimize the greenhouse gas emission exposure for two CDS indices, iTraxx Main and CDX.IG, each consisting of 125 equally weighted constituents, or companies. The CDS indices are widely used high liquid fixed income instruments. In 2017, iTraxx Main had a monthly trading volume of $330-440 billion notional, and CDX.IG a corresponding volume of $200-275 billion. In order to rate the greenhouse gas emissions of the constituents, the ECOBAR model was used. The model utilizes a discrete ranking score system, where the aim is to obtain as low score as possible. To minimize the ECOBAR score for the baskets, Markowitz Modern Portfolio Theory was used, implemented by using a quadratic programming algorithm. By optimizing the portfolios while retaining a low tracking error and high correlation toward the CDS indices, underlying investment properties were retained. We show that one can construct replicated portfolios of the CDS indices that have significantly lower ECOBAR scores than the indices themselves, whilst still maintaining a low tracking error and high correlation with the actual indices. When constructing baskets of fewer constituents, one can replicate the indices with merely 10-30 constituents, without worsening the tracking error or correlation substantially, and obtain an even lower ECOBAR score for the respective portfolios.

This thesis deals with the collation of the automotive and wheel tractor transport system with interchangeable superstructures and their use in the business of primary agricultural production in terms of technical parameters, analysis of the use of individual bodies, analysis of investment and operating costs and by comparing the two systems on the basis of the identified parameters. Comparasion was the truck Tatra Phoenix 158 with the superstructures for the transport of powdery and bulky materials, spreaders, manure spreaders and superstructure designed for the transport of heavy materials with tractors transport system John Deere 8320 and tandem semi-trailer Fliegl with manure and conveyor superstructure ASW 268 in the Agricultural cooperative Cizova. In the performance collation of both systems when transporting silage and achieve the highest mass performance at the tractors transport system and it 14,39 t.h-1 which is aganist automotive system less about 5.94 t.h-1. On the other hand fuel consumption to distance traveled, weight and the cycle was recorded the lowest consumption of the lorry Tatra. The economic collation showed that the truck Tatra Phoenix 158 has a lower cost on the distance travelled, the transported amount of cargo and per tonne-kilometre compared to tractors transport system. The cost of the distance travelled makes 90,24 CZK.km-1 which is beside tractor system lower of 100 CZK.km-1. The value of the cost of the transported amount of cargo by lorry moves on 92,10 CZK.t-1 but tractor system has this value lower of 24.83 CZK.t-1.The lowest difference between the costs experienced in the evaluation of the cost per tonne-kilometre where the truck Tatra reached the cost of 9.42 CZK.tkm1 which is compared with tractors transport system, the lower of 3.28 CZK.tkm-1.

Submitted by Rodrigo Trintino Ibelli (rtrintino@gmail.com) on 2015-09-03T14:07:52Z No. of bitstreams: 1 Rodrigo Ibelli - Dissertação MPFE 2015.pdf: 3255284 bytes, checksum: 0de3609857bb415d5d0cbb497ca4bcc9 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Rodrigo, boa tarde Seu trabalho foi rejeitado por não estar de acordo com as normas da ABNT. Estaremos encaminhando por e-mail o que deverá ser alterado. Att on 2015-09-03T17:24:46Z (GMT) / Submitted by Rodrigo Trintino Ibelli (rtrintino@gmail.com) on 2015-09-04T12:56:55Z No. of bitstreams: 1 Dissertaçao Rodrigo Trintino - MPFE 2015.pdf: 3252833 bytes, checksum: f36bd64ae587c8593a352f10e413b4b9 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Encaminhado por e-mail. on 2015-09-04T13:40:06Z (GMT) / Submitted by Rodrigo Trintino Ibelli (rtrintino@gmail.com) on 2015-09-04T15:35:27Z No. of bitstreams: 1 Rodrigo Ibelli - Dissertaçao MPFE 2015.pdf: 3252967 bytes, checksum: 704103711c8bcb1cb74c851713c144b3 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-04T15:36:29Z (GMT) No. of bitstreams: 1 Rodrigo Ibelli - Dissertaçao MPFE 2015.pdf: 3252967 bytes, checksum: 704103711c8bcb1cb74c851713c144b3 (MD5) / Made available in DSpace on 2015-09-04T21:12:42Z (GMT). No. of bitstreams: 1 Rodrigo Ibelli - Dissertaçao MPFE 2015.pdf: 3252967 bytes, checksum: 704103711c8bcb1cb74c851713c144b3 (MD5) Previous issue date: 2015-08-12 / A stock swap transaction is an alternative way for a company who want to enter into a long position on its own stocks or who intend to set up a repurchase program without having to dispose of cash or contract a loan, or even hedging against increases on its stock prices. In this swap transaction the company receives the return on its own stock, whilst paying a fixed or floating interest rate. However, this kind of swap presents wrong-way risk, that is, a positive dependence between the underlying asset and the counterparty’s default probability, which must be considered by dealers when pricing this kind of swap contracts. In this work we propose a model for incorporating dependence between default probabilities and the counterparty’s exposure in the calculation of the CVA for these kind of swaps. We use a Cox process to model default times, given that the stochastic default intensity follows a CIR model, and assuming that the factor driving the underlying stock price and the factor driving the default intensity are jointly given by a bivariate standard Gaussian distribution. We analyze the impact on CVA of incorporating wrong-way risk in this kind of swap transaction with different counterparties, and for different maturities and dependence levels. / Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.

Made available in DSpace on 2010-04-20T20:58:06Z (GMT). No. of bitstreams: 3 DenisioAugustoLDelfino20042007.pdf.jpg: 11453 bytes, checksum: aa80c5c82fba73664fb61aa5b1a385fd (MD5) DenisioAugustoLDelfino20042007.pdf.txt: 118171 bytes, checksum: efc22da651bf354d0e820d4e5830bf61 (MD5) DenisioAugustoLDelfino20042007.pdf: 860877 bytes, checksum: 176c9b5aede2aba87c80d7594432985c (MD5) Previous issue date: 2007-04-20T00:00:00Z / The law of one price states that all identical assets, traded in different markets, must have only one price. In this dissertation, we aim to examine whether the Brazilian sovereign credit risk, traded in the international financial market, is priced similarly in the traditional bonds market as well as in the new and growing credit derivatives market. In addition to that, we make use of the Price Discovery analysis to study which of the two markets moves more rapidly in response to changes in the credit conditions in the Brazilian economy. As for the empirical analysis, we make use of time series econometrics, more specifically cointegration analysis and vector error correction. Our findings corroborate the theoretical prediction related to the law of one price, i.e., the Brazilian credit risk, either in the bonds market or in the credit derivatives market, move together in the long run. Our results also show that the majority of price discovery occurs in the credit derivatives market. / A lei do preço único afirma que o mesmo ativo negociado em diferentes mercados deve apresentar preços equivalentes. Este trabalho busca verificar se o risco de crédito soberano brasileiro negociado no mercado internacional é precificado de forma semelhante tanto nos tradicionais mercados de títulos quanto no novo e crescente mercado de derivativos de crédito. Adicionalmente, utiliza-se a análise de Price Discovery para examinar qual dos mercados se move mais rapidamente em resposta às mudanças nas condições de crédito da economia brasileira. A análise empírica é feita por meio de modelos de séries de tempo, mais especificamente análise de cointegração e vetor de correção de erros. Os resultados confirmam a predição teórica da lei do preço único de que o risco de crédito brasileiro, tanto nos mercados de títulos quanto no mercado de derivativos de crédito, movem-se juntos no longo prazo. Por fim, a maior parte do Price Discovery ocorre no mercado de derivativos de crédito.

As atividades agrícolas promovem modificações na estrutura física do solo e nas interações que ocorrem no seu interior. As mudanças promovidas nestas atividades podem gerar alterações do processo hidrogeoquímico no solo. Este estudo tem por objetivo estudar o processo hidrológico e o transporte de espécies químicas em solos agrícolas do Sul do Brasil, quando submetidos à chuva de alta intensidade, em lisímetros de drenagem, que são dispositivos experimentais. Sete lisímetros instalados em quatro bacias hidrográficas situadas nos estados do Sul do Brasil foram utilizados nos experimentos, apresentando os mesmos procedimentos metodológicos de dimensionamento e instalação. Nestes, foram realizadas simulações, com diferentes intensidades de chuva, com monitoramento do escoamento superficial e o de drenagem, analisadas quimicamente para as espécies químicas amônio, nitrato, nitrito, fosfato, carbono orgânico e inorgânico total. Foram realizados 77 ensaios de simulação de chuva, com intensidades de chuva variando entre 30 e 140 mm h-1, correspondendo a um período de retorno da ordem de 1 a 1000 anos, respectivamente, correspondendo a chuvas extremas. As séries de dados geradas foram analisadas quanto às suas evoluções temporais e espaciais, magnitude e o processo de transporte envolvido. Os modelos SWAP - Soil, Water, Atmosphere, Plant Environment e ANIMO - Agricultural Nutrient Model foram aplicados às séries, visando avaliar o processo hidrogeoquímico representados. Os modelos são de base física e apropriados para uso em escala de lisímetro. A geração de escoamento superficial, as taxas de infiltração de água no solo e a drenagem interna, em eventos pluviométricos de alta intensidade são influenciadas pelas práticas de manejo e pelo estádio de desenvolvimento da cobertura vegetal e a própria intensidade da chuva. Para elevadas intensidades de chuva tem-se o aumento da água retida na superfície, com consequente alteração na carga hidráulica, proporcionando aumento das taxas de infiltração e do escoamento no perfil do solo. As simulações de chuvas intensas mostram que as concentrações de nitrato nas águas de escoamento superficial e de drenagem são mais elevadas do que aquelas de amônio, nitrito, fosfato, carbono orgânico total e carbono inorgânico. O modelo SWAP simulou adequadamente os componentes do balanço hídrico no lisímetro nas escalas de tempo diário e das chuvas simuladas. Os coeficientes de eficiência de Nash-Sutcliffe na calibração e na verificação, na escala diária, foram superiores a 0,8 para o escoamento de drenagem. Para o nitrato e o fosfato, o modelo ANIMO simulou corretamente as concentrações nas datas de coletas de amostras de águas do escoamento superficial e de drenagem da série de dados diários. Nos períodos dos ensaios de chuvas simuladas, o modelo SWAP apresentou coeficientes de eficiência da ordem de 0,8 para a calibração e verificação do escoamento de drenagem. As evoluções das vazões dos ramos de ascensão e das vazões máximas dos hidrogramas foram adequadamente reproduzidas. O modelo ANIMO simulou com boa precisão as variações temporais das concentrações de nitrato e de fosfato nos períodos de verificação e de calibração das séries de ensaios de simulação de chuva. / Agricultural activities promote modifications in the physical structure of the soil and the interactions that occur within. The changes promoted these activities can generate changes in hydrogeochemical processes in the soil. This study aims to the hydrological processes and transport of chemical species in agricultural soils in southern Brazil, when subjected to rain of high intensity in drainage lysimeters, are experimental devices. Seven lysimeters installed in four catchment areas in the southern states of Brazil were used in the experiments, which present the same methodology and manufacturing facility. In these were performed simulations with different rainfall intensities. Were monitored runoff, drainage and analyzed water samples collected for chemical species ammonium, nitrate, nitrite, phosphate, total organic and inorganic carbon. 77 tests were performed to simulate rain, precipitation intensities ranging between 30 and 140 mm h-1, corresponding to return period of about 1 to 1,000 years, respectively, corresponding to extreme rainfall. The datasets generated were analyzed for their spatial and temporal evolutions, their magnitudes and transport processes involved. The models SWAP - Soil, Water, Atmosphere, Environment and Plant and ANIMO - Agricultural Nutrient Model, was applied to the series, to evaluate the hydrogeochemical processes represented. The models are based on physical and suitable for use in lysimeter scale. The generation of runoff, infiltration rates and soil water drainage built in high intensity rainfall events are influenced by management practices and the development stage of the vegetation cover and the very intensity of precipitation. For high intensity rainfall has increased water retained in the surface, with a consequent change in hydraulic head, providing increased rates of infiltration and runoff in the soil profile. The simulations show that the heavy rainfall nitrate concentrations in water runoff and drainage are higher than those of ammonium, nitrite, phosphate, total organic carbon and inorganic carbon. The SWAP model adequately simulated the water balance components in the lysimeter and daily time scales of simulated rainfall. The coefficient of efficiency Nash-Sutcliffe calibration and verification in a daily were more than 0.8 drain for disposal. For nitrate and phosphate, the model correctly simulated ANIMO concentrations on the dates of sample collection of water runoff and drainage series of daily data. During periods of rainfall test, the model presented SWAP efficiency ratios on the order of 0.8 for calibration and verification of drainage outlets. The evolutions of the flow of arms to rise and peak flows of hydrographs were properly reproduced. The model adequately simulated ANIMO temporal variations in the concentrations of nitrate and phosphate during periods of verification and calibration of the test suites rainfall simulation.