Hedging has been one of the most important topics in finance. How to effectively hedge the exposed risk draws significant interest from both academicians and practitioners. In a complete financial market, every contingent claim can be hedged perfectly. In an incomplete market, the investor can eliminate his risk exposure by superhedging. However, both perfect hedging and superhedging usually call for a high cost. In some situations, the investor does not have enough capital or is not willing to spend that much to achieve a zero risk position. This brings us to the topic of partial hedging. In this thesis, we establish the risk measure based partial hedging model and study the optimal partial hedging strategies under various criteria. First, we consider two of the most common risk measures known as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). We derive the analytical forms of optimal partial hedging strategies under the criterion of minimizing VaR of the investor's total risk exposure. The knock-out call hedging strategy and the bull call spread hedging strategy are shown to be optimal among two admissible sets of hedging strategies. Since VaR risk measure has some undesired properties, we consider the CVaR risk measure and show that bull call spread hedging strategy is optimal under the criterion of minimizing CVaR of the investor's total risk exposure. The comparison between our proposed partial hedging strategies and some other partial hedging strategies, including the well-known quantile hedging strategy, is provided and the advantages of our proposed partial hedging strategies are highlighted. Then we apply the similar approaches in the context of reinsurance. The VaR-based optimal reinsurance strategies are derived under various constraints. Then we study the optimal partial hedging strategies under general risk measures. We provide the necessary and sufficient optimality conditions and use these conditions to study some specific hedging strategies. The robustness of our proposed CVaR-based optimal partial hedging strategy is also discussed in this part. Last but not least, we propose a new method, simulation-based approach, to formulate the optimal partial hedging models. By using the simulation-based approach, we can numerically obtain the optimal partial hedging strategy under various constraints and criteria. The numerical results in the examples in this part coincide with the theoretical results.

Thesis (M.Sc. (Computer Science))--North-West University, Potchefstroom Campus, 2008.

My thesis explores the conceptual underpinnings of the acclaimed Mexican conditional cash transfer (CCT) program Oportunidades as a way of engaging broader debates about how anti-poverty policy is evolving in the wake of the World Bank’s mid-1990s legitimacy crisis. I am interested in the behaviours and attitudes—or “subjectivities”—that Oportunidades attempts to cultivate amongst participants. Whereas the majority of CCT studies tend to focus on measuring the extent to which the programs “mold” beneficiaries into the categories of being prescribed by the program, my thesis is concerned with specifying and critically examining these categories. I use a hybrid neo-Gramscian, governmentality and critical feminist theoretical framework to probe how Oportunidades beneficiaries are constructed within World Bank and Mexican government discourse, as well as in external program evaluations. I argue that Oportunidades is underpinned by an agent-centred conception of poverty and that the program promotes a kind of gendered market-conducive subjectivity amongst beneficiaries. I conclude by exploring some of the implications of the CCT model. Ma thèse explore les fondements conceptuels du Oportunidades, un programme de transferts conditionnels de fonds (TMC) Mexicain acclamé. J’utilise les TMC comme une ouverture pour élargir le débat sur la manière dont la politique anti-pauvreté évolue dans le sillage de la crise de légitimité à laquelle la Banque Mondiale a fait face dans le milieu des années 1990. Je m'intéresse aux types de comportements et d'attitudes—ou «subjectivités»—que Oportunidades essaye de cultiver chez les participants. Alors que la majorité des études sur les TMC focalisent sur l’évaluation des succès du programme à modeler les participants afin qu’ils entrent dans les catégories de personnes prescrites par le programme, mon but est la spécification et l'examen critique de ces catégories. J'utilise un cadre théorique hybride qui combine néo-gramsciennes, la gouvernementalité et des théories féministes critiques pour enquêter sur la façon dont les bénéficiaires du programme Oportunidades sont construits à l’intérieur du discours de la Banque Mondiale, du gouvernement mexicain, ainsi que dans les évaluations externes du programme. Je soutiens qu’il y a, dans le programme Oportunidades, une conception sous-entendu de la pauvreté centrée sur les comportements des individus et que le programme promeut une subjectivité sexuée des bénéficiaires qui facilite leur participation au marché. Je conclus en explorant quelques implications du modèle TMC.

Thesis (M.Sc. (Computer Science))--North-West University, Potchefstroom Campus, 2008.

Current and future legislation demands ever decreasing levels of pollution from gas turbine engines, and with combustor performance playing a critical role in resultant emissions, a need exists to develop a greater appreciation of the fundamental causes of unsteadiness. Particle Image Velocimetry (PIV) provides a platform to enable such investigations. This thesis presents the development of PIV measurement methodologies for highly turbulent flows. An appraisal of these techniques applied to gas turbine combustors is then given, finally allowing a description of the increased understanding of the underlying fluid dynamic processes within combustors to be provided. Through the development of best practice optimisation procedures and correction techniques for the effects of sub-grid filtering, high quality PN data has been obtained. Time average statistical data at high spatial resolution has been collected and presented for generic and actual combustor geometry providing detailed validation of the turbulence correction methods developed, validation data for computational studies, and increased understanding of flow mechanisms. These data include information not previously available such as turbulent length scales. Methodologies developed for the analysis of instantaneous PIV data have also allowed the identification of transient flow structures not seen previously because they are invisible in the time average. Application of a new `PDF conditioning' technique has aided the explanation of calculated correlation functions: for example, bimodal primary zone recirculation behaviour and jet misalignments were explained using these techniques. Decomposition of the velocity fields has also identified structures present such as jet shear layer vortices, and through-port swirling motion. All of these phenomena are potentially degrading to combustor performance and may result in flame instability, incomplete combustion, increased noise and increased emissions.

The purpose of this study was to investigate the fundamental characteristics of a chelating surfactant in terms of solution behaviour, chelation of divalent metal ions, and interaction in mixtures with different foaming agents and divalent metal ion, as well as examining its prospects in some practical applications. Chelating surfactants are functional molecules, with both surface active and chelating properties, which are water soluble and therefore suitable for chelation in many aqueous environments. The dual functionality offers the possibility to recover the chelating surfactant as well as the metals. The DTPA (diethylenetriaminepentaacetic acid)-based chelating surfactant 4-C12-DTPA (2-dodecyldiethylenetriaminepentaacetic acid) was synthesized at Mid Sweden University. In the absence of metal ions, all eight donor atoms in the headgroup of 4-C12-DTPA are titrating and the headgroup charge can be tuned from +3 to -5 by altering the pH. The solution properties, studied by surface tension measurements and NMR diffusometry, were consequently found strongly pH dependent. pH measurements of chelating surfactant solutions as a function of concentration was used to extract information regarding the interaction between surfactants in the aggregation process. Small differences in the conditional stability constants (log K) between coordination complexes of DTPA and 4-C12-DTPA, determined by competition measurements utilizing electrospray ionization mass spectrometry (ESI-MS), indicated that the hydrocarbon tail only affected the chelating ability of the headgroup to a limited extent. This was further confirmed in hydrogen peroxide bleaching of thermomechanical pulp (TMP) treated with 4-C12-DTPA. Interaction parameters for mixed systems of 4-C12-DTPA and different foaming agents were calculated following the approach of Rubingh’s regular solution theory. The mixtures were also examined with addition of divalent metal ions in equimolar ratio to the chelating surfactant. Strong correlation was found between the interaction parameter and the phase transfer efficiency of Ni2+ ions during flotations. Furthermore, a significant difference in log K between different metal complexes with 4-C12-DTPA enabled selective recovery of the metal ion with the highest log K. The findings in this study contribute to the understanding of the fundamental characteristics of chelating surfactants, which can be further utilized in practical applications.

Binary measurement systems (BMS) are widely used in both manufacturing industry and medicine. In industry, a BMS is often used to measure various characteristics of parts and then classify them as pass or fail, according to some quality standards. Good measurement systems are essential both for problem solving (i.e., reducing the rate of defectives) and to protect customers from receiving defective products. As a result, it is desirable to assess the performance of the BMS as well as to separate the effects of the measurement system and the production process on the observed classifications. In medicine, BMSs are known as diagnostic or screening tests, and are used to detect a target condition in subjects, thus classifying them as positive or negative. Assessing the performance of a medical test is essential in quantifying the costs due to misclassification of patients, and in the future prevention of these errors. In both industry and medicine, the most commonly used characteristics to quantify the performance a BMS are the two misclassification rates, defined as the chance of passing a nonconforming (non-diseased) unit, called the consumer's risk (false positive), and the chance of failing a conforming (diseased) unit, called the producer's risk (false negative). In most assessment studies, it is also of interest to estimate the conforming (prevalence) rate, i.e. probability that a randomly selected unit is conforming (diseased). There are two main approaches for assessing the performance of a BMS. Both approaches involve measuring a number of units one or more times with the BMS. The first one, called the "gold standard" approach, requires the use of a gold-standard measurement system that can determine the state of units with no classification errors. When a gold standard does not exist, is too expensive or time-consuming, another option is to repeatedly measure units with the BMS, and then use a latent class approach to estimate the parameters of interest. In industry, for both approaches, the standard sampling plan involves randomly selecting parts from the population of manufactured parts. In this thesis, we focus on a specific context commonly found in the manufacturing industry. First, the BMS under study is nondestructive. Second, the BMS is used for 100% inspection or any kind of systematic inspection of the production yield. In this context, we are likely to have available a large number of previously passed and failed parts. Furthermore, the inspection system typically tracks the number of parts passed and failed; that is, we often have baseline data about the current pass rate, separate from the assessment study. Finally, we assume that during the time of the evaluation, the process is under statistical control and the BMS is stable. Our main goal is to investigate the effect of using sampling plans that involve random selection of parts from the available populations of previously passed and failed parts, i.e. conditional selection, on the estimation procedure and the main characteristics of the estimators. Also, we demonstrate the value of combining the additional information provided by the baseline data with those collected in the assessment study, in improving the overall estimation procedure. We also examine how the availability of baseline data and using a conditional selection sampling plan affect recommendations on the design of the assessment study. In Chapter 2, we give a summary of the existing estimation methods and sampling plans for a BMS assessment study in both industrial and medical settings, that are relevant in our context. In Chapters 3 and 4, we investigate the assessment of a BMS in the case where we assume that the misclassification rates are common for all conforming/nonconforming parts and that repeated measurements on the same part are independent, conditional on the true state of the part, i.e. conditional independence. We call models using these assumptions fixed-effects models. In Chapter 3, we look at the case where a gold standard is available, whereas in Chapter 4, we investigate the "no gold standard" case. In both cases, we show that using a conditional selection plan, along with the baseline information, substantially improves the accuracy and precision of the estimators, compared to the standard sampling plan. In Chapters 5 and 6, we investigate the case where we allow for possible variation in the misclassification rates within conforming and nonconforming parts, by proposing some new random-effects models. These models relax the fixed-effects model assumptions regarding constant misclassification rates and conditional independence. As in the previous chapters, we focus on investigating the effect of using conditional selection and baseline information on the properties of the estimators, and give study design recommendations based on our findings. In Chapter 7, we discuss other potential applications of the conditional selection plan, where the study data are augmented with the baseline information on the pass rate, especially in the context where there are multiple BMSs under investigation.

Submitted by Thaís Saes Giuliani null (thais_saes@hotmail.com) on 2017-12-13T20:19:43Z No. of bitstreams: 1 Dissertação Thaís Saes Giuliani Ribeiro.pdf: 1429513 bytes, checksum: 6145616464ae520fc8e8d6211d5e63d2 (MD5) / Submitted by Thaís Saes Giuliani Ribeiro (thais_saes@hotmail.com) on 2017-12-14T11:25:03Z No. of bitstreams: 1 Dissertação Thaís Saes Giuliani Ribeiro.pdf: 1429513 bytes, checksum: 6145616464ae520fc8e8d6211d5e63d2 (MD5) / Approved for entry into archive by Elza Mitiko Sato null (elzasato@ibilce.unesp.br) on 2017-12-14T12:31:48Z (GMT) No. of bitstreams: 1 ribeiro_tsg_me_sjrp.pdf: 1429513 bytes, checksum: 6145616464ae520fc8e8d6211d5e63d2 (MD5) / Made available in DSpace on 2017-12-14T12:31:48Z (GMT). No. of bitstreams: 1 ribeiro_tsg_me_sjrp.pdf: 1429513 bytes, checksum: 6145616464ae520fc8e8d6211d5e63d2 (MD5) Previous issue date: 2017-11-30 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / Neste trabalho, mostramos como construir um processo estocástico de Markov e seu espaço de probabilidade a partir das probabilidades de transição e da distribuição inicial. Além disso, mostramos a convergência das matrizes de transição utilizando como ferramenta conhecimentos de Álgebra Linear. A aplicação das cadeias de Markov num contexto voltado para o Ensino Médio é mostrado no último capítulo, onde procuramos oferecer aos alunos a oportunidade de ter uma visão mais ampla de como a Matemática pode ser aplicada em outras áreas do conhecimento. / In this work, we show how to construct a stochastic Markov process and its probability space from the transition probabilities and the initial distribution. In addition, we show to investigate the convergence of the transition matrices using Linear Algebra knowledge as a tool. Application of Markov chains in a context focused on High School, it is shown in the last chapter, where we try to offer the students the opportunity to have a view of how mathematics can be applied in other areas of knowledge.

Submitted by Noeme Timbo (noeme.timbo@metodista.br) on 2018-02-28T19:05:22Z No. of bitstreams: 1 Ronaldi Carassini.pdf: 1393522 bytes, checksum: 668b3b6442930f4bc8cab980d41b9895 (MD5) / Made available in DSpace on 2018-02-28T19:05:22Z (GMT). No. of bitstreams: 1 Ronaldi Carassini.pdf: 1393522 bytes, checksum: 668b3b6442930f4bc8cab980d41b9895 (MD5) Previous issue date: 2017-08-09 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / Asset pricing models, such as the Capital Asset Pricing Model (CAPM), are still widely discussed within the finance area, including in the scientific community as well. These models are used theoretically and practically in the area of investments to predict the risk and return of securities and portfolios, as well as in corporate finance, to analyze the viability of investments. Despite the discussions on the subject, there is still no unanimity on what rate of return should be taken at the time of the investment option. Considering these discussions about the ideal model, the objective of this work is to analyze if the application of the conditional CAPM model is valid to explain the returns of the Brazilian stock market. To answer this question, we will use the model developed by Jagannathan and Wang (1996), which introduced the possibility that betas and risk premium vary over time. For the application of this model in the Brazilian market, 40 stocks with the highest liquidity index of the Brazilian market were selected, divided into 5 (five) portfolios, each portfolio containing 8 shares, during the period from 2008 to 2016. The empirical results of this study suggest that the betas model and the risk premium varying over time can, with some adaptations, satisfactorily explain the cross-sectional variation of the portfolio returns analysed in this research. This study intends contribute to the area of finance and also, to the literature of asset pricing. / Os modelos de precificação de ativos, como é o caso do CAPM (Capital Asset Pricing Model), ainda são muito discutidos dentro da área de finanças, inclusive também, na comunidade científica. Estes modelos são utilizados de forma teórica e prática na área de investimentos para prever o risco e o retorno de títulos e de carteiras, bem como em finanças corporativas, para analisar a viabilidade dos investimentos. Apesar das discussões sobre o tema, ainda não existe uma unanimidade sobre qual taxa de retorno deva ser tomada na hora da opção pelo investimento. Considerando estas discussões acerca do modelo ideal, o objetivo deste trabalho é analisar se a aplicação do modelo CAPM Condicional é válida para explicar os retornos do mercado acionário brasileiro. Para responder a esta questão, utilizar-se-á o modelo desenvolvido por Jagannathan e Wang (1996), o qual introduziu a possibilidade de os betas e o prêmio de risco variarem ao longo do tempo. Para a aplicação deste modelo no mercado brasileiro, foram selecionadas 40 ações com maior índice de liquidez do mercado brasileiro, divididas em 5 (cinco) portfólios, contendo cada portfólio 8 ações, durante o período de 2008 à 2016. Os resultados empíricos deste estudo, sugerem que o modelo com os betas e o prêmio de risco variando ao longo do tempo, conseguem com algumas adaptações, explicar de forma satisfatória a variação cross-sectional dos retornos dos portfólios analisados nesta pesquisa. Com este estudo pretende-se contribuir para a área de finanças e também, para a literatura de precificação de ativos.

Submitted by Elimar Veloso Conceição null (eli_fisica@hotmail.com) on 2018-09-12T14:33:29Z No. of bitstreams: 1 Dissertação_Elimar_Valuation_rev_27_08_2018_REVISADA_bancafinal.pdf: 2725779 bytes, checksum: 6720ea56f43ebf29faa7b75f0342a1a4 (MD5) / Approved for entry into archive by Neli Silvia Pereira null (nelisps@fcav.unesp.br) on 2018-09-13T11:18:22Z (GMT) No. of bitstreams: 1 conceicao_ev_me_jabo.pdf: 2725779 bytes, checksum: 6720ea56f43ebf29faa7b75f0342a1a4 (MD5) / Made available in DSpace on 2018-09-13T11:18:22Z (GMT). No. of bitstreams: 1 conceicao_ev_me_jabo.pdf: 2725779 bytes, checksum: 6720ea56f43ebf29faa7b75f0342a1a4 (MD5) Previous issue date: 2018-08-27 / Objetivo: Valorar um projeto de inovação oriundo da estratégia de diversificação de produtos, considerando as incertezas e a flexibilidade como fontes de valor ao projeto. Metodologia / Procedimentos de Pesquisa: É apresentado um estudo de caso, valorado por meio de opções reais, com a possibilidade de inclusão de novas informações, modeladas pelo Teorema de Bayes, as quais possibilitam ajustar às probabilidades iniciais do projeto. Resultados e Discussões: Espera-se que os resultados apontem para o efeito da nova informação e implicações na criação de valor para a empresa. Implicações Gerenciais: Demonstrar à comunidade, aos profissionais de mercado e acadêmicos a necessidade de uma abordagem mais profunda e sistêmica para o uso de estratégias de investimento, considerando fatores endógenos e exógenos à firma. Conclusões e Limitações da Pesquisa: Ao analisar um projeto de inovação com elevado nível de incerteza, variáveis probabilísticas podem não ser suficientes para mensurar o desempenho futuro do investimento. Assim, o conhecimento tácito, criado a partir de todo o conhecimento acumulado pelos tomadores de decisão, fornecem informações que podem e devem ser utilizadas para a avaliação do investimento. O presente estudo não considerou o valor da sinergia criada pela implementação deste novo projeto na estrutura organizacional, nem foram utilizados profissionais externos para a projeção dos fluxos de caixa. Originalidade: A originalidade reside em avaliar um projeto de inovação com a utilização de opções reais em conjunto com uma abordagem bayesiana em uma indústria de autopeças agrícolas, permitindo com isto, o incremento de novas informações, sem a utilização de métodos estocásticos para a determinação da volatilidade. / Objective: Value an innovation project from the product diversification strategy, considering the uncertainties and flexibility as sources of value to the project. Methodology / Research Procedures: We present a case study, evaluated through real options, with the possibility of including new information, modeled by Bayes' Theorem, in which they can adjust the probabilities of the initials of the project. Results and discussions: The results are expected to point to the effect of new information and implications on value creation for the company. Management Implications: Demonstrate to the community, market professionals and academics the need for a more profound and systemic approach to the use of investment strategies, considering factors that are endogenous and exogenous to the firm. Conclusions and Limitations of the Research: When analyzing an innovation project with a high level of uncertainty, probabilistic variables may not be sufficient to measure the future performance of the investment, thus, tacit knowledge, created from all the knowledge accumulated by decision makers, provides information that can and should be used for the evaluation of the investment. The present study did not consider the value of the synergy created by the implementation of this new project in the organizational structure, nor were external professionals used for the projection of cash flows. Originality: The originality lies in evaluating an innovation project with the use of real options together a bayesian approach in an agricultural autoparts industry, allowing with this, the increment of new information, without the use of stochastic methods to determine the volatility.