Barrier options are becoming more popular, mainly due to the reduced cost to hold a barrier option when compared to holding a standard call/put options, but exotic options are difficult to price since the payoff functions depend on the whole path of the underlying process, rather than on its value at a specific time instant. It is a path dependent option, which implies that the payoff depends on the path followed by the price of the underlying asset, meaning that barrier options prices are especially sensitive to volatility. For basic exchange traded options, analytical prices, based on the Black-Scholes formula, can be computed. These prices are influenced by supply and demand. There is not always an analytical solution for an exotic option. Hence it is advantageous to have methods that efficiently provide accurate numerical solutions. This study gives a literature overview and compares implementation of some available numerical methods applied to barrier options. The three numerical methods that will be adapted and compared for the pricing of barrier options are: • Binomial Tree Methods • Monte-Carlo Methods • Finite Difference Methods / Thesis (MSc (Applied Mathematics))--North-West University, Potchefstroom Campus, 2013

The uncertainty attached to future movements of interest rates is an essential part of the Financial Decision Theory and requires an awareness of the stochastic movement of these rates. Several approaches have been proposed for modeling the one-factor short rate models where some lead to arbitrage-free term structures. However, no definite consensus has been reached with regard to the best approach for interest rate modeling. In this work, we briefly examine the existing one-factor interest rate models and calibrate Vasicek and Hull-White (Extended Vasicek) Models by using Turkey&#039 / s term structure. Moreover, a trinomial interest rate tree is constructed to represent the evolution of Turkey&rsquo / s zero coupon rates.

Os modelos logísticos trinomiais podem ser interpretados como uma extensão natural do modelo logístico binomial para situações em que a resposta admite apenas três resultados. Introduzimos inicialmente os modelos logísticos trinomiais e discutiremos em seguida alguns aspectos inferenciais, tais como estimação e testes. Medidas de qualidade do ajuste são também apresentadas. Contudo, o principal foco deste trabalho é a apresentação de métodos de diagnóstico. Mostramos que as técnicas usuais de diagnóstico desenvolvidas para o modelo logístico binomial podem ser adaptadas para o caso trinomial. O desenvolvimento de métodos diretos para o modelo logístico trinomial é mais complexo do ponto de vista computacional, embora seja sempre possível. Discutimos alguns desses métodos, dentre os quais, o desenvolvimento de resíduos, de métodos para detectar pontos de alavanca, métodos de deleção de pontos e influência local. Comparamos os métodos adaptados com alguns métodos diretos através de exemplos. / The trinomial logistic models can be interpreted as a natural extension of the traditional binomial logistic model to situations in which the response allows only three possible results. We firts introduce the trinomial logistic modles and then some inferential aspects, such as estimation and hypothesis testing are discussed. Good-of-fit measures are also given. However, the aim of this work is the presentation of some diagnostic procedures for trinomial logistic models. We show that methods developed for binomial logistic models can adapted straightforward for trinomial models. The developement of direct methods, even though possible, in general requires more complex calculation. Some of these direct methods, suchs as evaluation of residuals, measures of high leverage points, deletion methods and local influence are apresented. Coparisons between adapted and direct methods are made via examples with real data.

本研究係利用財務理論定價模型之實質選擇權擴張情境模式，以三項式選擇權評價方法，評估現行上市的不動產投資信託商品（REITs）的合理價值。並選定富邦一號與二號、國泰一號與二號、新光一號等5檔REITs商品進行評價分析。 　　經研究結果，其中有4檔REITs評價價值與其2010年財報淨值非常接近；此外，並有其中3檔REITs的評價價值，相對於財報的每股淨值，更為接近實際股票市場交易的最高價格，證明本研究的三項式選擇權評價模型可適用於REITs商品的評價方法。 / This paper employs the Trinomial Real Option Pricing Model for the valuation of Real Estate Investment Trusts (REITs). The following five REITs in Taiwan (or T-REITs) are selected for empirical analysis: Fubon No.1 and No.2 REITs, Cathay No.1 and No.2 REITs, and Shin Kong No.1 REITs. Results show that the values of four T-REITs values from the valuation model are very close to their book value in the end of 2010, and three T-REITs values are also similar to their highest prices in the exchange market. Conclusions of this study imply that the Trinomial Real Option Pricing Model may serve as a good approach for the valuation of REITs prices.

Darbe nagrinėjami barjero pasirinkimo sandorių įkainojimo metodai. Barjero pasirinkimo sandorių išmokos sutampa su įprastinių pasirinkimo sandorių išmokomis, jei išpildoma papildoma barjero sąlyga, kurią reikia įvertinti. Įkainojimui naudojami diskretieji modeliai: binominis ir trinominis, tiriama jų konvergavimas į klasikinę Black-Scholes formulę. Dėl modelio diskretumo ir barjero sąlygos konvergavimas tam tikrais atvejais yra lėtas ir nemonotoniškas. Todėl siūloma pritaikyti adaptyviojo tinklelio algoritmą, smulkinant trinominio medžio tinklelį kritinėse srityse. Šiame darbe pateikiami rezultatai, gauti palyginus barjero pasirinkimo sandorio įkainojimo modelius. / In this paper we consider barrier options pricing models. Barrier options are standard call or put options except that they disappear or appear if the asset price crosses a predeterminant set of fixing dates. Barrier options are priced using continuous state Black-Scholes model and numerical approximation techniques, such as binomial and trinomial. Because of the the barrier condition and discreteness of these models the convergence to Black-Scholes model sometimes is slow. It is offered to apply adaptive mesh model grafting small sections of fine high-resolution lattice onto a tree in trinomial model. In this work we present the comparison of the models with some numerical results for barrier options.

Submitted by Jéssica Ventura da Silva null (ventura_jessica24@hotmail.com) on 2018-03-12T21:07:06Z No. of bitstreams: 1 Jessica_Ventura Dissertaçao.pdf: 1678176 bytes, checksum: df62ed33ac2d6f5dcd5513fb137e1125 (MD5) / Approved for entry into archive by Claudia Adriana Spindola null (claudia@fct.unesp.br) on 2018-03-13T11:48:39Z (GMT) No. of bitstreams: 1 silva_jv_me_prud.pdf: 1678176 bytes, checksum: df62ed33ac2d6f5dcd5513fb137e1125 (MD5) / Made available in DSpace on 2018-03-13T11:48:39Z (GMT). No. of bitstreams: 1 silva_jv_me_prud.pdf: 1678176 bytes, checksum: df62ed33ac2d6f5dcd5513fb137e1125 (MD5) Previous issue date: 2018-02-23 / Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) / Com o objetivo de determinar o comportamento das raízes de alguns tipos de equações trinomiais, que aparecem em determinados problemas relacionados à Matemática Financeira, esta dissertação apresenta o estudo de resultados clássicos que determinam regiões do plano complexo onde os zeros de um determinado polinômio estão localizados, bem como o estudo de resultados específicos sobre a distribuição das raízes de equações trinomiais no plano complexo, de acordo com seus argumentos e módulos. Uma vez que, a grande aplicação dos resultados sobre trinômios está relacionada à determinação da taxa de juros I de séries uniformes de pagamentos antecipadas, postecipadas e diferidas, este trabalho também apresenta o estudo das funções financeiras que envolvem juros compostos. Assim, por meio de toda teoria apresentada, determinamos uma região anelar do plano complexo onde estão localizadas as raízes das equações trinomiais e quadrinomiais relacionadas a determinação da taxa de juros I. Além disso mostramos, sob certas condições, que as raízes das equações trinomiais são simples e determinamos setores do plano complexo que contém exatamente uma raiz destas equações trinomiais. / In order to determine the behavior of the roots of some kinds of trinomial equations, which appear in certain problems related to Financial Mathematics, this work presents the study of classical results that determine regions of the complex plane where the zeros of a given polynomial are located, as well as the study of specific results on the distribution of the roots of trinomial equations in the complex plane, according to their arguments and modules. Since the large application of the results on trinomials is related to the determination of the interest rate I of a uniform series of payments, this work also presents the study of financial functions involving compound interest. Then using all presented theory, we determine an annular region of the complex plane where are located the roots of the trinomial and quadrinomial equations related to the determination of the interest rate I. Furthermore we show, under certain conditions, that the roots of the trinomial equations are simple and we determine the sectors of the complex plane that contain exactly one root of these trinomial equations. / FAPESP: 2015/23752-3

Os modelos logísticos trinomiais podem ser interpretados como uma extensão natural do modelo logístico binomial para situações em que a resposta admite apenas três resultados. Introduzimos inicialmente os modelos logísticos trinomiais e discutiremos em seguida alguns aspectos inferenciais, tais como estimação e testes. Medidas de qualidade do ajuste são também apresentadas. Contudo, o principal foco deste trabalho é a apresentação de métodos de diagnóstico. Mostramos que as técnicas usuais de diagnóstico desenvolvidas para o modelo logístico binomial podem ser adaptadas para o caso trinomial. O desenvolvimento de métodos diretos para o modelo logístico trinomial é mais complexo do ponto de vista computacional, embora seja sempre possível. Discutimos alguns desses métodos, dentre os quais, o desenvolvimento de resíduos, de métodos para detectar pontos de alavanca, métodos de deleção de pontos e influência local. Comparamos os métodos adaptados com alguns métodos diretos através de exemplos. / The trinomial logistic models can be interpreted as a natural extension of the traditional binomial logistic model to situations in which the response allows only three possible results. We firts introduce the trinomial logistic modles and then some inferential aspects, such as estimation and hypothesis testing are discussed. Good-of-fit measures are also given. However, the aim of this work is the presentation of some diagnostic procedures for trinomial logistic models. We show that methods developed for binomial logistic models can adapted straightforward for trinomial models. The developement of direct methods, even though possible, in general requires more complex calculation. Some of these direct methods, suchs as evaluation of residuals, measures of high leverage points, deletion methods and local influence are apresented. Coparisons between adapted and direct methods are made via examples with real data.

S-boxes are key components of many symmetric cryptographic primitives. Among them, some block ciphers and hash functions are vulnerable to attacks based on differential cryptanalysis, a technique introduced by Biham and Shamir in the early 90’s. Resistance against attacks from this family depends on the so-called differential properties of the S-boxes used. When we consider S-boxes as functions over finite fields of characteristic 2, monomials turn out to be good candidates. In this Master’s Thesis, we study the differential properties of a particular family of monomials, namely those with exponent 2ͭᵗ-1 In particular, conjectures from Blondeau’s PhD Thesis are proved. More specifically, we derive the differential spectrum of monomials with exponent 2ͭᵗ-1 for several values of t using a method similar to the proof Blondeau et al. made of the spectrum of x -<img src="http://www.diva-portal.org/cgi-bin/mimetex.cgi?%5Crightarrow" /> x⁷. The first two chapters of this Thesis provide the mathematical and cryptographic background necessary while the third and fourth chapters contain the proofs of the spectra we extracted and some observations which, among other things, connect this problem with the study of particular Dickson polynomials.

La multiplication dans le corps de Galois à 2^m éléments (i.e. GF(2^m)) est une opérations très importante pour les applications de la théorie des correcteurs et de la cryptographie. Dans ce mémoire, nous nous intéressons aux réalisations parallèles de multiplicateurs dans GF(2^m) lorsque ce dernier est généré par des trinômes irréductibles. Notre point de départ est le multiplicateur de Montgomery qui calcule A(x)B(x)x^(-u) efficacement, étant donné A(x), B(x) in GF(2^m) pour u choisi judicieusement. Nous étudions ensuite l'algorithme diviser pour régner PCHS qui permet de partitionner les multiplicandes d'un produit dans GF(2^m) lorsque m est impair. Nous l'appliquons pour la partitionnement de A(x) et de B(x) dans la multiplication de Montgomery A(x)B(x)x^(-u) pour GF(2^m) même si m est pair. Basé sur cette nouvelle approche, nous construisons un multiplicateur dans GF(2^m) généré par des trinôme irréductibles. Une nouvelle astuce de réutilisation des résultats intermédiaires nous permet d'éliminer plusieurs portes XOR redondantes. Les complexités de temps (i.e. le délais) et d'espace (i.e. le nombre de portes logiques) du nouveau multiplicateur sont ensuite analysées: 1. Le nouveau multiplicateur demande environ 25% moins de portes logiques que les multiplicateurs de Montgomery et de Mastrovito lorsque GF(2^m) est généré par des trinômes irréductible et m est suffisamment grand. Le nombre de portes du nouveau multiplicateur est presque identique à celui du multiplicateur de Karatsuba proposé par Elia. 2. Le délai de calcul du nouveau multiplicateur excède celui des meilleurs multiplicateurs d'au plus deux évaluations de portes XOR. 3. Nous determinons le délai et le nombre de portes logiques du nouveau multiplicateur sur les deux corps de Galois recommandés par le National Institute of Standards and Technology (NIST). Nous montrons que notre multiplicateurs contient 15% moins de portes logiques que les multiplicateurs de Montgomery et de Mastrovito au coût d'un délai d'au plus une porte XOR supplémentaire. De plus, notre multiplicateur a un délai d'une porte XOR moindre que celui du multiplicateur d'Elia au coût d'une augmentation de moins de 1% du nombre total de portes logiques. / The multiplication in a Galois field with 2^m elements (i.e. GF(2^m)) is an important arithmetic operation in coding theory and cryptography. In this thesis, we focus on the bit- parallel multipliers over the Galois fields generated by trinomials. We start by introducing the GF(2^m) Montgomery multiplication, which calculates A(x)B(x)x^{-u} in GF(2^m) with two polynomials A(x), B(x) in GF(2^m) and a properly chosen u. Then, we investigate the rule for multiplicand partition used by a divide-and-conquer algorithm PCHS originally proposed for the multiplication over GF(2^m) with odd m. By adopting similar rules for splitting A(x) and B(x) in A(x)B(x)x^{-u}, we develop new Montgomery multiplication formulae for GF(2^m) with m either odd or even. Based on this new approach, we develop the corresponding bit-parallel Montgomery multipliers for the Galois fields generated by trinomials. A new bit-reusing trick is applied to eliminate redundant XOR gates from the new multiplier. The time complexity (i.e. the delay) and the space complexity (i.e. the logic gate number) of the new multiplier are explicitly analysed: 1. This new multiplier is about 25% more efficient in the number of logic gates than the previous trinomial-based Montgomery multipliers or trinomial-based Mastrovito multipliers on GF(2^m) with m big enough. It has a number of logic gates very close to that of the Karatsuba multiplier proposed by Elia. 2. While having a significantly smaller number of logic gates, this new multiplier is at most two T_X larger in the total delay than the fastest bit-parallel multiplier on GF(2^m), where T_X is the XOR gate delay. 3. We determine the space and time complexities of our multiplier on the two fields recommended by the National Institute of Standards and Technology (NIST). Having at most one more T_X in the total delay, our multiplier has a more-than-15% reduced logic gate number compared with the other Montgomery or Mastrovito multipliers. Moreover, our multiplier is one T_X smaller in delay than the Elia's multiplier at the cost of a less-than-1% increase in the logic gate number.

Cette thèse porte sur le traitement mathématique du problème de Hele-Shaw dans l’approximation de Stokes-Leibenson. À l’aide d’une transformation de type Helmholtz- Kirchhoff, nous explicitons une équation d’évolution du contour fluide valable pour tout type d’écoulement plan. Cette équation généralise des résultats précédents et permet alors d’établir un schéma numérique performant dit du quasi-contour, qui se réduit à un problème de Cauchy. Nous considérons ensuite l’étude du problème par transformations conformes menant à l’équation de Polubarinova-Galin. Dans le cas simple d’un contour représenté par un trinôme à coefficients réels, nous réussissons à expliciter la solution exacte du problème. Notons que les trajectoires des solutions exactes permettent de préciser la position de la frontière des domaines d’univalence décrits par les trinômes. Enfin, nous introduisons des paramètres de contrôle sous forme de coefficients d’un multipôle superposé à la source. Des conditions suffisantes de contrôlabilité sont établies et des résultats de contrôle optimal sont explicités pour les solutions binomiales et trinomiales. L’introduction de paramètres de contrôle permet de comprendre le lien qui relie les moments de Richardson à l’équation de Polubarinova-Galin. / This PhD thesis deals with the mathematical treatment of the Hele–Shaw problem in the Stokes–Leibenson approximation. By an Helmholtz–Kirchhoff transformation, we exhibited an evolutive equation of the fluid contour applicable to all type of planar fows. This equation generalizes previous results and also allows to state an efficient numerical scheme called quasi-contour’s, which is a simple Cauchy problem. We then consider the study of this problem using conformal transformations leading to the Polubarinova-Galin equation. In the simple case of a contour representing by a trinomial with real coefficients, we succeeded in exhibiting the exact solution of the problem. Notice that the trajectories of the exact solutions enable to precise the position of frontiers of univalent domains described by trinomials. Finally, we introduce control parameters under the form of coefficients of a multipole superposed to the source. Sufficient conditions of controllability are stated and results on optimal control established for the binomial and trinomial cases. Introduction of control parameters allows us to understand the link, which bound Richardson’s moments to the Polubarinova-Galin equation.