Este trabalho pretende analisar as particularidades dos contratos de longo prazo que levam a exigir-se dos contratantes uma postura diferenciada quanto à cooperação que eles devem entre si, para que a execução do contrato ocorra de forma eficiente. Analisamos, também, o dever de cooperação decorrente da boa-fé objetiva, suas peculiaridades e forma de aplicação aos contratos de longo prazo, sempre considerando os novos paradigmas dos contratos, associados com o papel e a importância dos contratos à sociedade e à economia. De fato, as contratações duradouras possuem características que as distinguem das relações instantâneas, com especial destaque para seu caráter relacional e incompleto, que demonstram que a postura das partes deve ser mais próxima e leal e, por isso, a cooperação tem forte importância. A boa-fé objetiva determina o dever de cooperação por meio de sua função de criação de regras de conduta. Na prática, o dever de cooperação que deve ser mais intenso para os contratos de longo prazo se concretiza por meio dos deveres anexos de conduta, que só serão conhecidos e individualizados em cada contratação individualizada. Considerados tais aspectos que justificam a maior intensidade da cooperação nos contratos de longo prazo e demonstram como a cooperação se verificará por meio dos deveres anexos de conduta, analisamos os casos de descumprimento de tais deveres por meio do conceito da violação positiva do contrato, em oposição à mora ou inadimplemento, que se relacionam ao descumprimento da própria prestação e suas consequências às relações contratuais, especialmente às de longo prazo. / This thesis has the purpose of analyzing the particularities of the long term contracts that lead to require the contracting parties to adopt a different conduct concerning cooperation between them, so that the performance of the contract may occur in an efficient fashion. We also intend to analyze the cooperation duty arising out of the goodfaith principle, its characteristics and its application to the long term contracts, always taking into consideration the news standards of the Contract Law associated with the role of the contracts to the society and economy. Indeed, the long term contracts have certain particularities that make them different from the spot relationships, in special their relational character and incompleteness, which show that the parties conduct shall be loyal and faithful and, thus, cooperation has a very important task. The principle of good-faith sets forth the duty to cooperate by means of its function of creating conduct rules. In practical terms, the duty to cooperate which shall be more intense for long term contracts is observed by means of the implied or ancillary duties, which are only known and individualized in each particular and concrete contract. Bearing in mind such aspects that justify a more intense cooperation in long term contracts and demonstrate that cooperation will mean, in practice, the compliance with ancillary or implied duties, we analyze the cases of violation of the duty to cooperate in opposition to the breaches of the contract obligations themselves and the consequences of such violation to the contractual relationship, especially to the long term contracts.

Submitted by Maykon Nascimento (maykon.albani@hotmail.com) on 2015-12-14T18:37:06Z No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Essays on life cycle voluntary disclosure and the cost of capital of brazilian companies.pdf: 1743467 bytes, checksum: 506c8fe8bffb13d82c87125c7dd355fb (MD5) / Approved for entry into archive by Morgana Andrade (morgana.andrade@ufes.br) on 2016-01-07T11:31:23Z (GMT) No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Essays on life cycle voluntary disclosure and the cost of capital of brazilian companies.pdf: 1743467 bytes, checksum: 506c8fe8bffb13d82c87125c7dd355fb (MD5) / Made available in DSpace on 2016-01-07T11:31:23Z (GMT). No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Essays on life cycle voluntary disclosure and the cost of capital of brazilian companies.pdf: 1743467 bytes, checksum: 506c8fe8bffb13d82c87125c7dd355fb (MD5) Previous issue date: 2015 / CAPES / Esta dissertação investiga como os estágios do ciclo de vida impactam no disclosure voluntário, no custo de capital próprio e também na relação entre eles. Utilizando uma amostra de empresas não-financeiras entre 2008 e 2014, e seguindo o modelo de Gebhardt et al. (2001) para desenvolver o Custo de Capital Implícito (ICC), usando a base de dados I/B/E/S, da Thomson Reuters®, encontra-se que, em média, as empresas são beneficiadas com a redução do custo de capital por meio da melhora no nível de evidenciação voluntária. Usando a métrica de ciclo de vida de Dickinson (2001), encontra-se que o nível de disclosure voluntário cresce até atingir o estágio de maturidade e então esse nível decresce. Ainda, o ICC se difere significativamente entre os estágios de ciclo de vida. Contudo, não são encontradas diferenças significativas entre os estágios de crescimento, maturidade e shake-out, embora o nível de ICC diminua depois de sair do estágio inicial e ele cresça novamente no estágio de declínio. Finalmente, encontra-se que a melhora no nível de disclosure voluntário nos estágios de crescimento e maturidade é mais bem compensada com uma redução maior no nível de custo de capital. Os resultados para o disclosure voluntário são robustos usando uma série de testes de sensibilidade, muito embora os resultados não tenham se mantido para o custo de capital usando proxies diferentes. / This thesis investigates how life cycle stages impact on voluntary disclosure, cost of equity capital and also on the relationship between them. Using a sample of non-financial Brazilian listed firms covered by analysts between 2008 and 2014, and following the model by Gebhardt et al. (2001) to develop the Implied Cost of Capital (ICC) using I/B/E/S database, from Thomson Reuters®, I find that companies on average are benefitted by the reduction of the cost of capital via improvement in voluntary information level. Using Dickinson’s (2001) life cycle measure, I find that voluntary disclosure level grows until reaching the maturity phase and then it declines. Moreover, the ICC significantly differs across life cycle stages. However, I do not find differences among growth, maturity and shake-out, although the level of the ICC fades out after leaving the initial stage and it increases again in decline stage. Finally, I find that the improvement of voluntary disclosure level in growth and maturity stages is better compensated with more reduction in cost of capital. The results for voluntary disclosure are shown to be robust using a series of sensitivity tests, however the expectation about cost of capital did not hold using different proxies.

Magister Scientiae - MSc / The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant. / South Africa

Constraint programming (CP) is a technology in which a combinatorial problem is modelled as a conjunction of constraints on variables ranging over given initial domains, and optionally an objective function on the variables. Such a model is given to a general-purpose solver performing systematic search to find constraint-satisfying domain values for the variables, giving an optimal value to the objective function. A constraint predicate (also known as a global constraint) does two things: from the modelling perspective, it allows a modeller to express a commonly occurring combinatorial substructure, for example that a set of variables must take distinct values; from the solving perspective, it comes with a propagation algorithm, called a propagator, which removes some but not necessarily all impossible values from the current domains of its variables when invoked during search. Although modern CP solvers have many constraint predicates, often a predicate one would like to use is not available. In the past, the choices were either to reformulate the model or to write one's own propagator. In this dissertation, we contribute to the automatic design of propagators for new predicates. Integer time series are often subject to constraints on the aggregation of the features of all maximal occurrences of some pattern. For example, the minimum width of the peaks may be constrained. Automata allow many constraint predicates for variable sequences, and in particular many time-series predicates, to be described in a high-level way. Our first contribution is an algorithm for generating an automaton-based predicate description from a pattern, a feature, and an aggregator. It has previously been shown how to decompose an automaton-described constraint on a variable sequence into a conjunction of constraints whose predicates have existing propagators. This conjunction provides the propagation, but it is unknown how to propagate it efficiently. Our second contribution is a tool for deriving, in an off-line process, implied constraints for automaton-induced constraint decompositions to improve propagation. Further, when a constraint predicate functionally determines a result variable that is unchanged under reversal of a variable sequence, we provide as our third contribution an algorithm for deriving an implied constraint between the result variables for a variable sequence, a prefix thereof, and the corresponding suffix.

The aim of this diploma thesis is to analyze and implement selected option pricing models using statistical software. The first chapter introduces theoretical basics of options as financial instruments ideal for hedging and speculation. The second chapter constitutes the core part of this thesis since it unveils theoretical concepts of risk-neutral pricing and at the same time analyze some basic, as well as highly sophisticated option pricing models. In addition, each model is accompanied by a practical example of their effective implementation. The final chapter characterize the most widely used option trading strategies and defines the ideal expected market development linked to each strategy.

L’objectif de la présente recherche portant sur l’évolution du droit des États à recourir à la force dans les relations nternationales est de montrer suivant une approche historique fondée sur le droit international que la pratique des États en la matière a changé. Effectivement, du droit de « faire la guerre » reconnu comme un droit souverain, passant par les premières tentatives de son encadrement au XIXe siècle, la rupture significative est venue en 1945 avec la création de l’ONU ; la Charte des Nations Unies ayant consacré un principe d’interdiction du recours à la force, exception faite de la légitime défense et de l’autorisation du Conseil de sécurité. Toutefois, aucune précision n’ayant été apportée sur la forme que doit prendre cette autorisation du Conseil de sécurité, dès 1966 comme dans l’affaire rhodésienne, ce dernier autorisait explicitement l’usage de « la force ». À partir de 1990, il prend de l’assurance avec la technique de l’autorisation et retient la formulation implicite d’« autorise les États Membres à user de tous les moyens nécessaires ». Cependant, il arrive qu’une résolution du Conseil ne soit ni n’explicite, ni implicite, mais des États interviennent, arguant de l’existence d’une autorisation implicite du fait de l’émergence des doctrines comme « guerre préventive », « guerre contre le terrorisme » ou encore « intervention humanitaire ». Des cas d’interventions menées en 1992 au Libéria, 1999 en Sierra Leone et au Kosovo et en 2003 contre l’Irak, sont illustrateurs. Ainsi, sur la base de l’interprétation des résolutions du Conseil, l’autorisation implicite tend à devenir la règle en matière de maintien de la paix et de la sécurité internationales. Dès lors, afin d’éviter de réduire le jus ad bellum à un unilatéralisme excessif, et en démontrant la conformité de l’autorisation implicite au régime juridique établi du recours à la force en droit international, nous invitons à la redéfinition de celle-ci. / The purpose of this research on the evolution of the right of States to use force in international relations is to show, following a historical approach based on international law, that State practice in this area has changed. Indeed, from the right to "make war" recognized as a sovereign right, passing through the first attempts of its leadership in the nineteenth century, the significant rupture came in 1945 with the creation of the UN; the United Nations Charter has enshrined the principle of the prohibition of the use of force,except for the self-defense and the authorization of the Security Council. However, since no details were given as to the form this authorization of the Security Council should take, as early as 1966, as in the Rhodesian case, the latter explicitly authorized the use of "force". From 1990, he gained confidence with the technique of authorization and retained the implicit formulation of "authorizes Member States to use all necessary means". Though, sometimes a resolution is neither explicit nor implicit, but states intervene,arguing the existence of an implied authorization because of the emergence of theories like"preventive war","war on terror" or "humanitarian intervention". Cases of interventions in 1992 in Liberia, 1999 in SierraLeone and Kosovo and in 2003 against Iraq are illustrators. So, based on the interpretation of Council resolutions, implied authorization tends to become the rule in the maintenance of international peace and security. Therefore, to avoid reducing the jus ad bellum to excessive unilateralism, and by demonstrating the conformity of the implied authorization with the established legal regime of the use of force in international law, we invite the redefinition of this one.

Theaim of this master-thesis is to study the impact of uncertainty in the local-and implied volatility surfaces when pricing certain structured products suchas capital protected notes and autocalls. Due to their long maturities, limitedavailability of data and liquidity issue, the uncertainty may have a crucialimpact on the choice of valuation model. The degree of sensitivity andreliability of two different valuation models are studied. The valuation models chosen for this thesis are the local volatility model of Dupire and the implied volatility model of Black&Scholes. The two models are stress tested with varying volatilities within an uncertainty interval chosen to be the volatilities obtained from Bid and Ask market prices. The volatility surface of the Mid market prices is set as the relative reference and then successively scaled up and down to measure the uncertainty.The results indicates that the uncertainty in the chosen interval for theDupire model is of higher order than in the Black&Scholes model, i.e. thelocal volatility model is more sensitive to volatility changes. Also, the pricederived in the Black&Scholes modelis closer to the market price of the issued CPN and the Dupire price is closer tothe issued Autocall. This might be an indication of uncertainty in thecalibration method, the size of the chosen uncertainty interval or the constantextrapolation assumption.A further notice is that the prices derived from the Black&Scholes model areoverall higher than the prices from the Dupire model. Another observation ofinterest is that the uncertainty between the models is significantly greaterthan within each model itself. / Syftet med dettaexamensarbete är att studera inverkan av osäkerhet, i prissättningen av struktureradeprodukter, som uppkommer på grund av förändringar i volatilitetsytan. I dennastudie värderas olika slags autocall- och kapitalskyddade struktureradeprodukter. Strukturerade produkter har typiskt långa löptider vilket medförosäkerhet i värderingen då mängden data är begränsad och man behöver ta tillextrapolations metoder för att komplettera. En annan faktor som avgörstorleksordningen på osäkerheten är illikviditeten, vilken mäts som spreadenmellan listade Bid och Ask priset. Dessa orsaker ligger bakom intresset attstudera osäkerheten för långa löptider över alla lösenpriser och dess inverkanpå två olika värderingsmodeller.Värderingsmodellerna som används i denna studie är Dupires lokala volatilitetsmodell samt Black&Scholes implicita volatilitets modell. Dessa ställs motvarandra i en jämförelse gällande stabilitet och förmåga att fånga uppvolatilitets ändringar. Man utgår från Mid volatilitetsytan som referens ochuppmäter prisändringar i intervallet från Bid upp till Ask volatilitetsytornagenom att skala Mid ytan. Resultaten indikerar på större prisskillnader inom Dupires modell i jämförelsemot Black&Scholes. Detta kan tolkas som att Dupires modell är mer känslig isammanhanget och har en starkare förmåga att fånga upp förändringar isvansarna. Vidare notering är att priserna beräknade i Dupire är relativtbilligare än motsvarande från Black&Scholes modellen. En ytterligareobservation är att osäkerheten mellan värderingsmodellerna är av högre ordningän inom var modell för sig. Ett annat resultat visar att CPN priset beräknat iBlack&Scholes modell ligger närmast marknadspriset medans marknadsprisetför Autocallen ligger närmare Dupires. Detta kan vara en indikation påosäkerheten i kalibreringsmetoden eventuellt det valda osäkerhetsintervalletoch konstanta extrapolations antagandet.

No description available.

In this thesis a general framework and accompanying guidelines for how to classify financial instruments within the fair value hierarchy (included within IFRS 13) is presented. IFRS 13 introduces a broad and loosely defined regulation of how to classify a financial instrument which leaves room for misinterpretation and uncertainties. In this thesis the pricing of financial instruments and behaviour of the market data used as inputs in the models has been investigated. This is to give better insight into what is classified as significant market data, how it is used and how it is approximated. Instruments that have been investigated are autocalls, swaps, European options and Asian options. The result is presented as general recommendations for how to classify the specified instruments with clearer boarders introduced between the levels in the hierarchy. Methods and deductions introduced in the thesis could also further be implemented in classification of closely related financial instruments but has been limited in this thesis due to time restrictions.     Nyckelord på svenska IFRS, Finansiella instrument, Klassificering, Fair value, Fair value hierarchy, Autocall, Swap, Europeisk option, Asiatisk option, Implicit volatilitet, Korrelation, Marknadsaktivitet, Räntesatser / I denna uppsats är ett generellt ramverk och medföljande riktlinjer för hur man klassificerar finansiella instrument inom fair value hierarkin (inkluderad i IFRS 13) presenterat. IFRS 13 introducerar en bred och löst definierad regulation om hur klassificering finansiella instrument ska gå till som lämnar rum för feltolkningar och oklarheter. I denna uppsats har prissättningen av finansiella instrument och beteende av marknadsdata som används i modellerna undersökts. Detta ger en bättre inblick i vad som klassificeras som signifikant marknadsdata, hur den används och hur den kan approximeras. Instrument som har undersökts är autocalls, swaps, europeiska optioner och asiatiska optioner. Resultatet presenteras som allmänna rekommendationer för hur man klassificerar de angivna instrumenten med tydligare gränser som införts mellan nivåerna i hierarkin. Metoder och slutsatser som är presenterade i uppsatsen kan även vidare användas vid klassifikation av liknande finansiella instrument men har i denna avhandling begränsats på grund av tidsskäl.

An vielen verschiedenen Stellen der angewandten Statistik sind die zu untersuchenden Objekte abhängig von stetigen Parametern. Typische Beispiele in Finanzmarktapplikationen sind implizierte Volatilitäten, risikoneutrale Dichten oder Zinskurven. Aufgrund der Marktkonventionen sowie weiteren technisch bedingten Gründen sind diese Objekte nur an diskreten Punkten, wie zum Beispiel an Ausübungspreise und Maturitäten, für die ein Geschäft in einem bestimmten Zeitraum abgeschlossen wurde, beobachtbar. Ein funktionaler Datensatz ist dann vorhanden, wenn diese Funktionen für verschiedene Zeitpunkte (z.B. Tage) oder verschiedene zugrundeliegende Aktiva gesammelt werden. Das erste Thema, das in dieser Dissertation betrachtet wird, behandelt die nichtparametrischen Methoden der Schätzung dieser Objekte (wie z.B. implizierte Volatilitäten) aus den beobachteten Daten. Neben den bekannten Glättungsmethoden wird eine Prozedur für die Glättung der implizierten Volatilitäten vorgeschlagen, die auf einer Kombination von nichtparametrischer Glättung und den Ergebnissen der arbitragefreien Theorie basiert. Der zweite Teil der Dissertation ist der funktionalen Datenanalyse (FDA), speziell im Zusammenhang mit den Problemen, der empirischen Finanzmarktanalyse gewidmet. Der theoretische Teil der Arbeit konzentriert sich auf die funktionale Hauptkomponentenanalyse -- das funktionale Ebenbild der bekannten Dimensionsreduktionstechnik. Ein umfangreicher überblick der existierenden Methoden wird gegeben, eine Schätzmethode, die von der Lösung des dualen Problems motiviert ist und die Zwei-Stichproben-Inferenz basierend auf der funktionalen Hauptkomponentenanalyse werden behandelt. Die FDA-Techniken sind auf die Analyse der implizierten Volatilitäten- und Zinskurvendynamik angewandt worden. Darüber hinaus, wird die Implementation der FDA-Techniken zusammen mit einer FDA-Bibliothek für die statistische Software Xplore behandelt. / In many different fields of applied statistics an object of interest is depending on some continuous parameter. Typical examples in finance are implied volatility functions, yield curves or risk-neutral densities. Due to the different market conventions and further technical reasons, these objects are observable only on a discrete grid, e.g. for a grid of strikes and maturities for which the trade has been settled at a given time-point. By collecting these functions for several time points (e.g. days) or for different underlyings, a bunch (sample) of functions is obtained - a functional data set. The first topic considered in this thesis concerns the strategies of recovering the functional objects (e.g. implied volatilities function) from the observed data based on the nonparametric smoothing methods. Besides the standard smoothing methods, a procedure based on a combination of nonparametric smoothing and the no-arbitrage-theory results is proposed for implied volatility smoothing. The second part of the thesis is devoted to the functional data analysis (FDA) and its connection to the problems present in the empirical analysis of the financial markets. The theoretical part of the thesis focuses on the functional principal components analysis -- functional counterpart of the well known multivariate dimension-reduction-technique. A comprehensive overview of the existing methods is given, an estimation method based on the dual problem as well as the two-sample inference based on the functional principal component analysis are discussed. The FDA techniques are applied to the analysis of the implied volatility and yield curve dynamics. In addition, the implementation of the FDA techniques together with a FDA library for the statistical environment XploRe are presented.