本篇論文共分為兩部分，第一部份是以每年交易量非常大的外匯選擇權（FX Option）市場以及台指選擇權為例，以Brigo 及Mercurio這兩位學者於2000年提出的Lognormal Mixture model (簡稱LM model)為基礎，捕捉選擇權市場中典型的波動度微笑（Volatility smile）曲線之特性。第二部份係商品評價之應用，是以大陸地區發行的匯率連動結構型商品（Structure Notes）為主。 第一部份中我們分別採用LM 模型（Lognormal Mixture Model）、Shifting LM模型（Shifting Lognormal Mixture Model）及LMDM模型（Lognormal Mixture with Different Mean Model）等三種模型，用以衡量其實際上在外匯選擇權市場及台指選擇權中波動微笑曲線校準的準確性。結果顯示LM模型、Shifting LM模型及LMDM模型均能有效地反應並捕捉出選擇權市場中波動度微笑曲線之特性，而其中又以LMDM模型的效果最佳，其無論在波動度校準或是選擇權價格評價上的誤差均最小。 第二部分是以「中國銀行匯聚寶0709G掛鉤美元兌加元匯率之加元產品」的匯率連動結構型商品為例，以Garman and Kohlhagen（1983）外匯選擇權模型求出其封閉解並作發行商期初利潤分析，然後再用蒙地卡羅模擬法進行投資人期末報酬分析。此外，亦針對此種商品的敏感性與避險參數作分析。

本研究主要是以「外匯報酬三因子模型」為基礎，故先檢視在本樣本期間內(1985/2至2016/10) ，以雙分類法將37國主流貨幣分為9個投組後，外匯超額報酬解釋力，是否會因加入動能策略因子形成之三因子模型，而較原本兩因子模型(市場因子、利差策略因子)來的強？最終測得三因子模型在判斷係數及殘差等適切度表現較佳。 接著利用逐步迴歸分析法(限制所有自變數均須於90%信心水準內顯著)嘗試尋找獲利成因，主要挑選出不同面向之11種經濟成因因子(股價指數波動、投機活動、流動性、貨幣波動、落後短期利率、落後股利率、落後期限利差、落後違約利差、)落後避險基金套利資本、工業生產量及通膨率因子)來檢測可否解釋三因子模型中獲取報酬之利差、動能策略因子，並利用Fama-MacBeth兩步驟橫斷面迴歸法評估模型市場定價能力。結果發現定價能力均顯著，而利差交易策略之成因為股價指數波動因子(△EVOL)，因其可能連動匯率波動而呈現負相關；動能交易策略成因則為股價指數波動因子(△EVOL)及落後期限利差因子(△LTS)，主要因動能交易主要來自於市場資訊反應不完全，前者成因因子提供更大的動量執行交易策略、後者則因投資人在不同景氣循環下而有不同的投資反應，如景氣擴張的過度自信與樂觀、景氣衰退下產生行為財務領域中的處置效果，使兩成因與動能策略因子呈現正相關。 / This paper is based on the model of three-factors foreign exchange returns. So we test whether three-factors FX model which adds the factor of momentum can have stronger ability to explain currency excess return than two-factors FX model in the sampling period of February 1985 to October 2016. And the 37 kinds of currency are sorted by double sort method and become 9 portfolios. Finally, no matter coefficient of determination or residual error, three-factors FX model performs well. Further, we use stepwise LS regression (independent variable should have statistical significance in 90% confidence interval) to find which factor we choose can cause carry and momentum strategy profit in three-factors FX model. Next, using Fama-MacBeth two-step regression to estimate the asset pricing ability. The results represent that all contribution factors which get from stepwise LS method are significant. Carry trade strategy and △EVOL are negative correlation, because volatility of stock index will influence volatility of FX. And there have the positive correlation between momentum trade strategy and two factors(△EVOL and △LTS). Just because the profit from momentum strategy comes from the incomplete reaction of market information and △EVOL give more motive force. Besides, there have different investment reactions in diverse business cycle. Investors are over confident and optimistic during the period of recession and have disposition effect during the period of boom.

No description available.

L'objectif de cette recherche est de bâtir un répertoire descriptif généralisé des structures interrogatives directes du français. Le travail est pluridisciplinaire : linguistique, informatique, documentation. La partie linguistique consiste à dresser un répertoire descriptif formel dans lequel toutes les propriétés pertinentes concernent l'interrogation. Ces propriétés doivent être suffisamment abstraites pour que n'importe quel formalisme puisse les incorporer au besoin. L'implémentation sous forme d'un répertoire vise ensuite l'incorporation des contraintes apportées par la description linguistique. Enfin, nous proposons une consultation de bases de données à visée linguistique, qui est reliée par interface à l'analyse informatique.

Submitted by Rafael Fernandes Santos (fernandes.s.rafa@gmail.com) on 2017-03-17T18:37:53Z No. of bitstreams: 1 RAFAEL FERNANDES REVISÃO v5 Arthur.pdf: 1011335 bytes, checksum: 84d175672e25f360d8a50ee49efed09c (MD5) / Approved for entry into archive by Fabiana da Silva Segura (fabiana.segura@fgv.br) on 2017-03-17T18:39:15Z (GMT) No. of bitstreams: 1 RAFAEL FERNANDES REVISÃO v5 Arthur.pdf: 1011335 bytes, checksum: 84d175672e25f360d8a50ee49efed09c (MD5) / Made available in DSpace on 2017-03-20T11:04:27Z (GMT). No. of bitstreams: 1 RAFAEL FERNANDES REVISÃO v5 Arthur.pdf: 1011335 bytes, checksum: 84d175672e25f360d8a50ee49efed09c (MD5) Previous issue date: 2017-02-24 / This study addresses the practice of cash flow hedge operations within organizations, what are the main economic variables linked to the decision, instruments used, costs and benefits associated with the operation of an importing nature chemical company in Brazil. This issue is relevant because in an environment of high interest rates and exchange rate volatility it becomes increasingly challenging to make a decision regarding a currency protection model that minimizes its operational cost. The objective of this study is to identify a hedge model that minimizes the operational costs involved in this activity, taking into account the nature of the operation and the characteristics of the company’s cash flow. To achieve this, a study was conducted based on a quantitative experimental research approach that aimed to simulate the exchange rate hedge operations of the company using two types of financial instruments and comparing the costs of this simulation with the model that is being used in the last three years. The results contribute to the improvement of the management of the currency hedge in the company in question, through the proposed simulation and understanding of the main variables that can affect the price of the derivatives in order to reduce the operational cost of this activity in comparison with the current scenario. / Este trabalho aborda a prática de operações de hedge de fluxo de caixa dentro das organizações, quais são as principais variáveis econômicas atreladas à decisão, instrumentos utilizados, custos e benefícios, associados à operação de uma empresa química de natureza importadora no Brasil. Tal questão é relevante pois em um ambiente de altas taxas de juros e volatilidade cambial torna-se cada vez mais desafiador a tomada de decisão com relação à um modelo de proteção cambial que minimize o seu custo operacional. O objetivo deste trabalho é identificar um modelo de hedge que minimize os custos operacionais envolvidos nesta atividade, levando em consideração a natureza da operação e as características do fluxo de caixa da companhia em questão. Para atingí-lo foi realizado um estudo, pautado em uma abordagem de pesquisa do tipo quantitativa experimental visando simular as operações de proteção cambial do fluxo de caixa da companhia utilizando dois tipos de instrumentos financeiros e comparando os custos advindos dessa simulação com o modelo que vem sendo utilizado nos últimos três anos. Os resultados contribuem para a melhoria da gestão do hedge cambial na empresa em questão, através da simulação proposta e do entendimento das principais variáveis que podem afetar o preço dos derivativos visando reduzir o custo operacional desta atividade em comparação com o cenário atual.

Submitted by Cristiane Shirayama (cristiane.shirayama@fgv.br) on 2011-06-03T16:41:12Z No. of bitstreams: 1 66080100251.pdf: 1071566 bytes, checksum: 633248672cb6ac94f704bfeda06b29d3 (MD5) / Approved for entry into archive by Vera Lúcia Mourão(vera.mourao@fgv.br) on 2011-06-03T16:46:36Z (GMT) No. of bitstreams: 1 66080100251.pdf: 1071566 bytes, checksum: 633248672cb6ac94f704bfeda06b29d3 (MD5) / Approved for entry into archive by Vera Lúcia Mourão(vera.mourao@fgv.br) on 2011-06-03T17:00:17Z (GMT) No. of bitstreams: 1 66080100251.pdf: 1071566 bytes, checksum: 633248672cb6ac94f704bfeda06b29d3 (MD5) / Made available in DSpace on 2011-06-03T18:49:55Z (GMT). No. of bitstreams: 1 66080100251.pdf: 1071566 bytes, checksum: 633248672cb6ac94f704bfeda06b29d3 (MD5) Previous issue date: 2011-02-11 / Nos últimos anos, o mercado brasileiro de opções apresentou um forte crescimento, principalmente com o aparecimento da figura dos High Frequency Traders (HFT) em busca de oportunidades de arbitragem, de modo que a escolha adequada do modelo de estimação de volatilidade pode tornar-se um diferencial competitivo entre esses participantes. Este trabalho apresenta as vantagens da adoção do modelo de volatilidade estocástica de Heston (1993) na construção de superfície de volatilidade para o mercado brasileiro de opções de dólar, bem como a facilidade e o ganho computacional da utilização da técnica da Transformada Rápida de Fourier na resolução das equações diferenciais do modelo. Além disso, a partir da calibração dos parâmetros do modelo com os dados de mercado, consegue-se trazer a propriedade de não-arbitragem para a superfície de volatilidade. Os resultados, portanto, são positivos e motivam estudos futuros sobre o tema. / In recent years, the Brazilian option market has grown considerable, especially with the emergence of the High Frequency Traders (HFT) in search of arbitrage opportunities, so that the appropriate choice of a volatility estimation model should become a competitive differentiator among these participants. This paper presents the advantages of adopting the Heston stochastic volatility model on the construction of the volatility surface for the Brazilian US Dollar option market, as well as the easiness and the computational gain by applying the Fast Fourier Transform technique on the models differential equations resolution. Furthermore, from calibration of the model parameters to market data, it is possible to bring the no-arbitrage property to the volatility surface. The results, therefore, are positive and motivate further studies on the subject.

Diploma project is aimed to load force vector decomposition to x, y and z direction for complicated Skoda car parts. The methodology of decomposition is based on measuring of car parts deformation by strain gauges and mathematical identifation of force compoments by neural network (ANN). ANN will be trained by results of FE model simulations or by calibration on real car parts.

Der photorefraktive Effekt in Bariumtitanat-Kristallen ist Gegenstand zahlreicher Forschungsarbeiten. Der Grund sind die großen elektrooptischen Koeffizienten dieses Materials, die nur von wenigen, kommerziell noch nicht erhältlichen Kristallen übertroffen werden, z.B. von tetragonalem Kalium-Tantalat-Niobat. Beleuchtet man diese Materialien mit Laserstrahlen, treten einzigartige Effekte auf. So erzeugen z.B. photorefraktive parametrische Verstärkungsprozesse charakteristische kreis- oder linienförmige Streulichtfiguren. Faszinierende Möglichkeiten bieten diese parametrischen Prozesse bei der Verstärkung und Phasenkonjugation von Lichtwellen. In dieser Arbeit werden alle 57 photorefraktiven parametrischen Prozesse, die in den untersuchten Materialien auftreten können, zunächst phänomenologisch analysiert. Das Lösen der gekoppelten Wellengleichungen filtert aus der Vielzahl der Prozesse diejenigen heraus, die eine besonders effiziente Wechselwirkung einfallender Lichtwellen versprechen. Für diese Prozesse werden anschließend explizit Verstärkungsfaktoren berechnet. Durch die Berücksichtigung elastooptischer, piezoelektrischer und raumladungsbegrenzender Effekte können die Einfallswinkel der Lichtstrahlen und die Orientierungen der Kristalle für die Signalstrahlverstärkung und die Phasenkonjugation optimiert werden. Auf der Basis dieser theoretischen Vorarbeiten gelingt im experimentellen Teil dieser Arbeit zum ersten Mal die Verstärkung eines Laserstrahls durch einen photorefraktiven parametrischen Prozeß. Die Verstärkung beträgt in einem 3,2 Millimeter dicken Bariumtitanat-Kristall 9000. Eine Besonderheit der angewandten Verstärkungsprozesse ist die sehr geringe räumliche Bandbreite. Die daraus folgende große Winkelselektivität verspricht viele Anwendungsmöglichkeiten in der optischen Meßtechnik, schränkt den Einsatz zur Bildverstärkung jedoch erheblich ein. Ebenfalls zum ersten Mal wird die Phasenkonjugation durch einen phototrefraktiven parametrischen Prozeß demonstriert. Die Intensitäten der erzeugten phasenkonjugierten Wellen entsprechen denen der verstärkten Signalstrahlen. Es lassen sich also Reflektivitäten bis zu 9000 realisieren. Zudem kann durch eine spezielle Konfiguration mit frequenzverstimmten Signalstrahlen ein prinzipielles Problem der photorefraktiven Wellenmischung gelöst werden: Die Verstärkung sehr schwacher Signalstrahlen. Durch die neu entwickelte Methode der Rauschunterdrückung gelingt es, Lichtwellen mit Leistungen unter einem Nanowatt um mehrere Größenordnungen zu verstärken. Zum Abschluß werden die parametrischen Prozesse noch in Kalium-Tantalat-Niobat untersucht. Bei diesen ersten Untersuchungen gelingt der Nachweis von fünf Prozessen. Die beobachteten ausgeprägten Effekte und die gemessenen riesigen elektrooptischen Koeffizienten zeigen, daß tetragonale Kalium-Tantalat-Niobat-Kristalle ebenfalls sehr interessant für die photorefraktive Wellenmischung sind.

Knowledge of the properties of single molecule diffusion is important for controlling dynamic self-assembly of molecular structures. A powerful experimental technique for determining diffusion coefficients is the recording of diffusion-induced signal fluctuations by a locally fixed point-like probe. Here, the signal becomes modified, whenever a molecule enters a certain detection area on the surface under the probe. The technique is minimal invasive and has a very good time resolution, enabling the investigation of highly mobile molecules. Theories are necessary for the analysis of the fluctuations and the extraction of diffusion properties. In this thesis, three methods are presented, which are based on the autocorrelation function, the distribution of peak widths and the distribution of interpeak intervals. Analytical expressions are derived for the distributions and the autocorrelation function in case of molecules, which can be described by circular or rectangular shapes. For rectangular shaped molecules, rotational diffusion can influence the recorded fluctuations. To allow for a simultaneous determination of rotational and translational diffusion coefficients the analytical treatment is extended. Furthermore, new methods are developed to determine the diffusion tensor for anisotropic stochastic molecular motion, using either one linearly extended probe or two individual probes. Coarse-graining the signal recorded by a point-like probe, which repeatedly moves on a line or a circle, is suggested for experimental implementation. All facets of the evaluation methods are verified against kinetic Monte Carlo simulations. Applications to experimental data, recorded by a locally fixed scanning tunneling microscope tip, are demonstrated for copperphthalocyanine and PTCDA molecules diffusing on Ag(100).

This dissertation studies the role of sterling during the Bretton Woods period (1944-1971). The Bretton Woods system has often been described as a dollar system with sterling having lost its relevance as reserve currency. However, despite being a secondary reserve currency and having lost importance, sterling was the 'first line of defence for the dollar' as contemporaries put it. They frequently stressed the fact that a sterling crisis would have consequences on the stability of the Bretton Woods system but economic historians have never tested this empirically. This dissertation argues that sterling played an important role in the stability of the international monetary system. Foreign exchange market participants globally monitored sterling and US policymaker stepped in to avoid devaluation of the British currency. US support to sterling was mainly due to the fear of a British devaluation, which could trigger a run on the dollar. When the UK finally devalued the pound in 1967, it marked the beginning of an instable period for the international monetary system. The Gold Pool, a syndicate to defend the US gold parity, collapsed in 1968 and this prefigured the end of the Bretton Woods system. This dissertation presents new data along with novel archival material from seven archives across continents to demonstrate how contagion from sterling to the dollar occurred. Modern econometric methods are used to analyse a new dataset with over 80,000 observations of offshore exchange rates, central bank intervention and reserves. This evidence shows that a secondary reserve currency can still play a key role in the stability of the international monetary system.