Derivatives market is one of the fastest growing parts of the financial market. It was reflected in a sharp increase in trading volumes over the last decade, growth in number of participants and the development of new products. These products, which were devoloped in 80's and 90's sometimes refer to "new derivatives products". The aim of this diploma thesis is analyze selected new derivatives products, concretely barrier options and electricity futures.

In the present study I deal with a pricing of derivatives especially with the European option. In the first chapter there are described basic principles of pricing financial derivatives. I focus on the options strategies from the simplest to the more difficult one. The second chapter is dedicated to the Binomial pricing model. It is introduced its derivation, application, its pro and con. Next chapter contains a description of Black-Scholes model. Again it is explained derivation of this model and its properties. At the end of this chapter it is described relationship between Binomial and Black-Scholes models. The forth chapter is consisted of an analysis of real data of stocks company Philip Morris International, Lehman brothers Holding and American Insurance Group. I focus on the relationship between shares and options in time of the financial crisis. Last chapter is dedicated to the description of software concerning options which was created in Microsoft Excel and which is part of this study.

Unlike traditional stock exchanges, where bonds, shares and financial derivatives are traded, on the betting exchanges there are traded probabilistic estimates of the results of sporting or social events. The market price of bets, namely the market implied probability is influenced by estimate of the outcome. The specificity of betting exchanges is also a short period to maturity of contracts, and the possibility to trade with the estimated result of one real world event in several sub-markets simultaneously. In theoretical analysis, we have defined the bet, the underlying asset, and the binary betting contract, which is traded on betting exchanges. We have described some practical aspects of trading. Properties of the probabilistic contracts are demonstrated on several examples. Finally, we constructed the mathematical model of a tennis match, which is based on a binomial valuation model. This allows us to compare the market price of a contract with the price recommended by the model.

Electrical impedance tomography (EIT) is an emerging medical imaging technique that aims to reconstruct the internal conductivity distribution of a subject from electrical measurements obtained on the skin. In this thesis we explore the promising application of EIT to the respiratory monitoring of humans. We pay particular focus to the forward problem, highlighting the need to have an accurately known external boundary shape and electrode positions on a reconstruction model. A theoretical study of uniqueness results of EIT with an unknown external boundary shape is presented. A novel sensitivity study of the external boundary shape is presented as well as results from a reconstruction algorithm to account for errors in electrode position with simulated data in 3D. We also demonstrate results of a shape correction algorithm from a pilot study of lung EIT with data collected using the fEITER system, and MR images used to inform the external boundary shape of healthy subjects. After image co-registration of the resulting dynamic 3D EIT reconstruction images with the lung-segmented MR image, we outline a novel mutual information performance criterion to measure the quality of reconstructed images. We also outline the computation of the forward problem of the complete electrode model in 3D using high order polynomial finite elements and present convergence results in 2D for the continuum, point and complete electrode model. Our numerical study demonstrates that the convergence rate of the forward problem is independent of the polynomial approximation order for the complete electrode model and there is no global convergence for the point electrode model in the energy norm. Reconstructed conductivity images can be difficult to interpret at the bedside. Moreover clinicians would like clinically meaningful indices, such as regional lung compliance, to determine the pathologies of patients in real time. By modelling the respiratory system as a coupled time dependent system of simple mechanical functional units, we propose a novel methodology to couple mechanical ventilation and EIT. The mechanical properties of the lungs are estimated through an inverse coefficient problem on coupled ODEs, with the measurable data being the time series of pressure at airway opening and interior air volume data. We present results with simulated data as well as a discussion on extensions and limitations to the mechanical models. Finally we present a theoretical discussion of anisotropic EIT. It is well known that any diffeomorphism fixing points on the boundary gives rise to a conductivity with the same electrical measurements on the skin, generating a large class of conductivities that are electrically equivalent. We define novel classes of anisotropic media with constraints on their eigenspace: prescribed eigenvalues, prescribed orthogonal coordinates, prescribed eigenvectors, fibrous and layered conductivities. By drawing analogies with elasticity theory, we discuss how these constraints on the eigenspace restrict the set of diffeomorphisms fixing points on the boundary, and present two uniqueness results for anisotropic conductivities with prescribed eigenvalues and prescribed eigenvectors.

Firms can use financial derivatives to hedge risks and thereby decrease the probability of bankruptcy and increase total expected tax shields. Firms also can adjust their operational policies in response to fluctuations in prices, a strategy that is often referred to as "operational hedging". In this paper, I investigate the relationship between the optimal financial and operational hedging strategies for a firm, which are endogenously determined together with its capital structure. This allows me to examine how operational hedging affects debt capacity and total expected tax shields and to make quantitative predictions about the relationship between debt issues and hedging policies. I also model the effects of asymmetric information about firms' investment opportunities on their financing and hedging decisions. First, I examine the case in which both debt and hedging contracts are observable. Then, I study the case in which firms' hedging activities are not completely transparent. The models are tested using a data set compiled from the annual reports of North American gold mining companies. Supporting evidence is found for the key predictions of the model under asymmetric information. / Business, Sauder School of / Graduate

Treatment of 4,5 bis-(diphenylphosphino)-cyclopenten-1,3 dione with thiophene carboxyaldehyde in dichloromethane, in the presence of molecular sieves results in a new heterocyclic compound, 2-(2-thienylidene)-4,5-bis(diphenylphosphino)-4-cyclopenten-1,3-dione (ligand), with a high yield. This product was characterized by using both IR and NMR spectroscopic techniques and the solid-state structure of the ligand was determined using X-ray crystallography. When the ligand was treated with the solvent stabilized intermediate of ReBr(CO)5 with THF, a monomeric metal complex, fac-BrRe(CO)3[2-(2-thienylidene)-4,5-bis(diphenylphosphino)-4-cyclopenten-1,3-dione] was the result. The solid-state structure of the monomeric metal complex was determined using X-ray crystallography. Photolysis and thermolysis studies of the complex will be further explored.

After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. In simple terms CCR is a mix of Market and Credit risk which defines the risk that your counter party will go into bankruptcy. CCR involves the risk factors used in market risk since all of the derivatives are based on underlying assets such as interest rate and currencies. The thesis will focus on how one can backtest individual risk factors driving the value of OTC derivatives. We will present different Monte Carlo simulation techniques that are being used to simulate and represent all possible future outcomes for the risk factors. In order to better understand the performance of a chosen model and how to adjust the calibration window for the ingoing parameters, two different approaches are presented,Quantitative Backtesting and Statistical Backtesting. As an extension to this, a portfolio of interest rate Swaps are backtested whose value are driven by the evolution of the underlying risk factors. The backtesting ofthe portfolio is done with netting. The time horizon for the backtesting procedureis 2010-2020 giving the user up to 261 independent observations with a forecast length of 14 days. Both of the backtesting methods provide the practitioner with a graphical results guiding the user to choose an appropriate model and calibration method for simulating the risk factors. We found that a combination of the two approaches provides the best result. Hence, no backtesting method is superior the other. Instead they complement each other and should be used simultaneously. Using the two backtesting methods one can find a model that perfectly fit the underlying distribution of risk factors, theoretically. However, one should be careful since there will always be uncertainty about the future and there is no guarantee that tomorrow will follow historical evolution exactly.

This diploma thesis deals with trading of electricity in the current conditions of the Czech Republic. First it defines the theoretical and legal aspects of the electricity market and introduces several basic terms related to the given topic such as producer, electricity dealer, end user etc. Then it analyses selected areas of an electricity dealer’s activities directed at optimization of his/her business strategy concerning electrical energy trading in the current conditions of the Czech energy market.

The thesis is about the use of Matlab Simulink software for subject Flight Mechanics II. User interface, which allow computing of aerodynamic derivations and state space matrices, was created. It also provides system for launching simulations of longitudinal aircraft movement in Simulink environment and results visualization. In the last part were suggested examples for practice lessons of the aforementioned subject. These lessons focus on mastering basic block programming and to understand concept of aircraft dynamics and controlling aircraft movement.

博士（経営） / 甲第735号 / 162 p. / 一橋大学