Submitted by Fabio Sobreira Campos da Costa (fabio.sobreira@ufpe.br) on 2016-06-14T13:27:03Z No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Hugo_Andrade_Doutorado.pdf: 3065927 bytes, checksum: 2eeb9c1ecb93e60c146992117b01cbb6 (MD5) / Made available in DSpace on 2016-06-14T13:27:03Z (GMT). No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Hugo_Andrade_Doutorado.pdf: 3065927 bytes, checksum: 2eeb9c1ecb93e60c146992117b01cbb6 (MD5) Previous issue date: 2013-02-07 / CNPq / Nesta Dissertac¸ ˜ao estudamos a dinˆamica energ´etica das buscas aleat ´orias aplicadas ao problema de foraging, em que animais buscam por comida ou parceiros em ambientes escassos. Discutiremos, inicialmente, um modelo estat´ıstico de caminhadas aleat ´orias utilizando as distribuic¸ ˜oes de L´evy para os tamanhos dos passos de busca, as quais tˆem sido reportadas na literatura como estrat´egias de eficiˆencia ´otima para o problema. Em seguida vamos incluir no modelo ganhos e perdas de energia na caminhada aleat ´ oria de busca, e abordaremos a dinˆamica energ´etica do processo de busca unidimensional com extremos absorventes. Vamos discutir a transic¸ ˜ao de fase que o buscador experimenta de um estado ativo (“vivo”), t´ıpico de ambientes com abundˆancia de recursos, para um estado est´atico absorvente (“morto”), onde a busca ´e encerrada pela falta de energia oriunda do encontro de recursos. Obteremos os expoentes cr´ıticos relativos a essa transic¸ ˜ao atrav´es de abordagens te ´ oricas, tais como o m´etodo de primeira passagem para o estado de energia nula, e num´ericas, baseadas na hip´otese de escala. Mostraremos a independˆencia destes expoentes com a forma funcional da func¸ ˜ao gasto de energia. Por fim, faremos uma breve revis˜ao da literatura sobre a equac¸ ˜ao de Fokker-Planck canˆonica e tamb´em sobre as suas vers˜oes utilizando derivadas fracion´arias, numa prepararac¸ ˜ao para uma futura abordagem, durante o programa de Doutorado, do problema da busca aleat´oria envolvendo difus˜oes anˆomalas (por exemplo, superdifus˜ao) via equac¸ ˜oes diferenciais. / In this work we study the energy dynamics of random searches applied to the foraging problem, in which animals search for food or mates in scarce environments. Firstly, we discuss a statistical model of random search walks using the L´evy distribution of step lengths, which has been reported in the literature as an optimal solution to the problem. In the sequence we include in the model energy gains and losses during the search walk, and discuss the energy dynamics of the search process in a one dimensional space with absorbing boundaries. We discuss the phase transition that the searcher experiences from an active (“alive”) state, typical of environments abundant in resources, to a static absorbed (“dead”) one, in which the search is terminated due to the lack of energy obtained from the encounters.We obtain the critical exponents for this transition through both theoretical (such as the first-passage method to the state of zero energy) and numerical approaches, based on the scale hypothesis.We show the independence of the exponents with the functional form of the energy cost. Finally, we provide a brief review of the literature on the canonical Fokker-Planck equation and also on its version using fractional derivatives, in a preparation for a future approach of the random search problem involving anomalous diffusion (e.g., superdiffusion) through differential equations during the Ph.D. program.

A cornerstone in the theory of optimal stopping for the maximum process is a result known as Peskir’s maximality principle. It has proved to be a powerful tool to solve optimal stopping problems involving the maximum process under the assumption that the driving process X is a time-homogeneous diffusion. In this thesis we adapt Peskir’s maximality principle to allow for X a spectrally negative L´evy processes, thereby providing a general method to approach optimal stopping problems for the maximum process driven by spectrally negative L´evy processes. We showcase this by explicitly solving three optimal stopping problems and the capped versions thereof. Here capped version means a modification of the original optimal stopping problem in the sense that the payoff is bounded from above by some constant. Moreover, we discuss applications of the aforementioned optimal stopping problems in option pricing in financial markets whose price process is driven by an exponential spectrally negative L´evy process. Finally, to further highlight the applicability of our general method, we present the solution to the problem of predicting the time at which a positive self-similar Markov process with one-sided jumps attains its maximum or minimum.

In this dissertation, we introduce novel exponential jump-diffusion models for pricing options. Firstly, the normal convolution gamma mixture jump-diffusion model is presented. This model generalizes Merton's jump-diffusion and Kou's double exponential jump-diffusion. We show that the normal convolution gamma mixture jump-diffusion model captures some economically important features of the asset price, and that it exhibits heavier tails than both Merton jump-diffusion and double exponential jump-diffusion models. Secondly, the normal convolution double gamma jump-diffusion model for pricing options is presented. We show that under certain configurations of both the normal convolution gamma mixture and the normal convolution double gamma jump-diffusion models, the latter exhibits a heavier left or right tail than the former. For both models, the maximum likelihood procedure for estimating the model parameters under the physical measure is fairly straightforward; moreover, the likelihood function is given in closed form thereby eliminating the need to embed a probability density function recovery procedure such as the fast Fourier transform or the Fourier-cosine expansion methods in the parameter estimation procedure. In addition, both models can reproduce the implied volatility surface observed in the options data and provide a good fit to the market-quoted European option prices.

The target of the diploma thesis ?Methods and possibilities of drama education as a separate school subject at first degree of elementary school? is to find out what is teacher´s and pupil´s idea of drama education as a separate school subject, based on their opinions and available literature. The first part focuses on common opinion from literature which targets low-aged pupils. It points out drama education as a separate school subject, not as a method of teaching. The second part searches for ideas of teachers and pupils from the first degree of elementary school about drama education as a separate school subject, using questionnaire form at three different schools. The third part describes personal proposition of drama education as a separate school subject at first degree of elementary school, based on literature, evaluated questionnaires and personal experiences.

(in English): The thesis "Eva Perón and Argentina between 1945 and 1952" provides a chronological overview of the historical events that influenced or could have influenced Eva Perón. The prime objective of this thesis is to show the consecutive events taking place in Argentina during the period of the so-called Peronist government. In the process, it outlines elements of the legacy that Eva Perón leaves behind on the current-day political scene in Latin America. The first chapters serve as an introduction and are dedicated to the childhood of Eva Perón and to the events characterizing Argentina in the first third of the twentieth century. The main part of the thesis consists of a detailed description of the life of one of the most important women of the twentieth century, together with an outline of Argentina's history of the relevant timeframe. The chapters are structured in chronological order and divided into several subtitles.

This PhD thesis aims to study financial processes which have semi-heavy-tailed marginal distributions and may exhibit memory. The traditional Black-Scholes model is expanded to incorporate memory via an integral operator, resulting in a class of market models which still preserve the completeness and arbitragefree conditions needed for replication of contingent claims. This approach is used to estimate the implied volatility of the resulting model. The first part of the thesis investigates the semi-heavy-tailed behaviour of financial processes. We treat these processes as continuous-time random walks characterised by a transition probability density governed by a fractional Riesz- Bessel equation. This equation extends the Feller fractional heat equation which generates a-stable processes. These latter processes have heavy tails, while those processes generated by the fractional Riesz-Bessel equation have semi-heavy tails, which are more suitable to model financial data. We propose a quasi-likelihood method to estimate the parameters of the fractional Riesz- Bessel equation based on the empirical characteristic function. The second part considers a dynamic model of complete financial markets in which the prices of European calls and puts are given by the Black-Scholes formula. The model has memory and can distinguish between historical volatility and implied volatility. A new method is then provided to estimate the implied volatility from the model. The third part of the thesis considers the problem of classification of financial markets using high-frequency data. The classification is based on the measure representation of high-frequency data, which is then modelled as a recurrent iterated function system. The new methodology developed is applied to some stock prices, stock indices, foreign exchange rates and other financial time series of some major markets. In particular, the models and techniques are used to analyse the SET index, the SET50 index and the MAI index of the Stock Exchange of Thailand.