Submitted by Larissa Cestari (larissacestari@oi.com.br) on 2013-04-18T18:52:58Z No. of bitstreams: 1 DISSERTAÇÃO - PDF.pdf: 3273063 bytes, checksum: 5c1f8049678413b93f972cfe8c8ae5fc (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2013-04-18T19:00:19Z (GMT) No. of bitstreams: 1 DISSERTAÇÃO - PDF.pdf: 3273063 bytes, checksum: 5c1f8049678413b93f972cfe8c8ae5fc (MD5) / Approved for entry into archive by Rafael Aguiar (rafael.aguiar@fgv.br) on 2013-05-10T15:34:00Z (GMT) No. of bitstreams: 1 DISSERTAÇÃO - PDF.pdf: 3273063 bytes, checksum: 5c1f8049678413b93f972cfe8c8ae5fc (MD5) / Made available in DSpace on 2013-05-14T13:35:37Z (GMT). No. of bitstreams: 1 DISSERTAÇÃO - PDF.pdf: 3273063 bytes, checksum: 5c1f8049678413b93f972cfe8c8ae5fc (MD5) Previous issue date: 2013-03-25 / This dissertation analyzes the political opposition movement against João Goulart‟s administration (1961 - 1964), led by the Paulista liberal elite, simultaneously involving business segments and political leaders affiliated to the União Democrátic a Nacional (UDN). To understand such movement, I chose to examine the newspaper Notícias Populares , founded in 1963 by the national president of UDN, the Paulista entrepreneur Herbert Levy, as part of his strategy against Goulart. The newspaper aimed at re aders from the urban popular classes in São Paulo. The goal of this dissertation is to understand the role played by Notícias Populares in the political struggle of the period, which implies also the analysis of the perception of the popular classes by the sector represented by Levy in the beginning of the 1960s. / Esta dissertação tem como tema mais amplo o movimento político de oposição ao governo João Goulart (1961-64) promovido pela elite liberal paulista, que englobava, ao mesmo tempo, segmentos do empresariado e lideranças políticas filiadas à União Democrática Nacional (UDN). Para entender esse movimento, elegi como objeto de estudo o jornal Notícias Populares, criado, em 1963, como parte das estratégias empreendidas por Herbert Levy, empresário paulista, e, à época, presidente nacional da UDN, contra o governo Goulart. O jornal era voltado para leitores oriundos das classes populares urbanas de São Paulo. O objetivo desta dissertação é compreender o papel desempenhado por Notícias Populares na luta política do período, o que implica, também, analisar a percepção dos setores representados por Herbert Levy sobre o papel das classes populares no início dos anos de 1960.

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Thesis (MSc)--Stellenbosch University, 2011. / ENGLISH ABSTRACT: Barrier options are options whose payoff depends on whether or not the underlying asset price hits a certain level - the barrier - during the life of the option. Closed-form solutions for the prices of these path-dependent options are available in the Black-Scholes framework. It is well{known, however, that the Black-Scholes model does not price even the so-called vanilla options correctly. There are a number of popular asset price models based on exponential Lévy dynamics which are all able to capture the volatility smile, i.e. reproduce market-observed prices of vanilla options. This thesis investigates the potential model risk associated with the pricing of barrier options in several exponential Lévy models. First, the Variance Gamma, Normal Inverse Gaussian and CGMY models are calibrated to market-observed vanilla option prices. Barrier option prices are then evaluated in these models using Monte Carlo methods. The prices obtained are then compared to each other, as well as the Black-Scholes prices. It is observed that the different exponential Lévy models yield barrier option prices which are quite close to each other, though quite different from the Black-Scholes prices. This suggests that the associated model risk is low. / AFRIKAANSE OPSOMMING: Versperring opsies is opsies met 'n afbetaling wat afhanklik is daarvan of die onderliggende bateprys 'n bepaalde vlak - die versperring - bereik gedurende die lewe van die opsie, of nie. Formules vir die pryse van sulke opsies is beskikbaar binne die Black-Scholes raamwerk. Dit is egter welbekend dat die Black-Scholes model nie in staat is om selfs die sogenaamde vanilla opsies se pryse korrek te bepaal nie. Daar bestaan 'n aantal populêre bateprysmodelle gebaseer op eksponensiële Lévy-dinamika, wat almal in staat is om die mark-waarneembare vanilla opsie pryse te herproduseer. Hierdie tesis ondersoek die potensiële modelrisiko geassosieer met die prysbepaling van versperring opsies in verskeie eksponseniële Lévy-modelle. Eers word die Variance Gamma{, Normal Inverse Gaussian- en CGMY-modelle gekalibreer op mark-waarneembare vanilla opsiepryse. Die pryse van versperring opsies in hierdie modelle word dan bepaal deur middel van Monte Carlo metodes. Hierdie pryse word dan met mekaar vergelyk, asook met die Black-Scholespryse. Dit word waargeneem dat die versperring opsiepryse in die verskillende eksponensiële Lévymodelle redelik na aan mekaar is, maar redelik verskil van die Black-Scholespryse. Dit suggereer dat die geassosieerde modelrisiko laag is.

Thesis(MSc)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: The pricing of plain vanilla options, including early exercise options, such as Bermudan and American options, forms the basis for the calibration of financial models. As such, it is important to be able to price these options quickly and accurately. Empirical studies suggest that asset dynamics have jump components which can be modelled by exponential Lévy processes. As such models often have characteristic functions available in closed form, it is possible to use Fourier transform methods, and particularly, the Fast Fourier Transform, to price such options efficiently. In this dissertation we investigate and implement four such methods, dubbed the Carr- Madan method, the convolution method, the COS method and the Fourier spacetime stepping method. We begin by pricing European options using these Fourier methods in the Black-Scholes, Variance Gamma and Normal Inverse Gaussian models. Thereafter, we investigate the pricing of Bermudan and American options in the Black-Scholes and Variance Gamma models. Throughout, we compare the four Fourier pricing methods for accuracy and computational efficiency. / AFRIKAANSE OPSOMMING: Die prysbepaling van gewone vanilla opsies, insluitende opsies wat vroeg uitgeoefen kan word, soos Bermuda-en Amerikaanse opsies, is grondliggend vir die kalibrering van finansiële modelle. Dit is daarom belangrik dat die pryse van sulke opsies vinnig en akkuraat bepaal kan word. Empiriese studies toon aan dat batebewegings sprongkomponente besit, wat gemodelleer kan word met behulp van exponensiëele Lévyprosesse. Aangesien hierdie modelle dikwels karakteristieke funksies het wat beskikbaar is in geslote vorm, is dit moontlik om Fourier-transform metodes, en in besonders die vinnige Fourier-transform, te gebruik om opsiepryse doeltreffend te bepaal. In hierdie proefskrif ondersoek en implementeer ons vier sulke metodes, genaamd die Carr-Madan metode, die konvolusiemetode, die COS-metode en die Fourier ruimte-tydstap metode. Ons begin deur die pryse van Europese opsies in die Black-Scholes, Gammavariansie (Engels: Variance gamma) en Normaal Invers Gauss (Engels: Normal Inverse Gaussian)-modelle te bepaal met behulp van die vier Fourier-metodes. Daarna ondersoek ons die prysbepaling van Bermuda-en Amerikaanse opsies in die Black-Scholes en Gammavariansiemodelle. Deurlopend vergelyk ons die vier Fourier-metodes vir akkuraatheid en berekeningsdoeltreffendheid.

An understanding of the spatio-temporal dynamics of marine predator populations is essential for the sustainable management of marine resources. Tagging studies are providing ever more information about the movements and migrations of marine predators and much has been learned about where these predators spend their time. However little is known about their underlying motivations, making it difficult to make predictions about how apex predators will respond to changing environments. While much progress has been made in behavioural ecology through the use of optimality models, in the marine environment the necessary costs and benefits are difficult to quantify making this approach less successful than with terrestrial studies. One aspect of foraging behaviour that has proved tractable however is the optimisation of random searches. Work by statistical physicists has shown that a specialised movement, known as Lévy flight, can optimise the rate of new prey patch encounters when new prey patches are beyond sensory range. The resulting Lévy flight foraging (LFF) hypothesis makes testable predictions about marine predator search behaviour that can be addressed with the theoretical and empirical studies that form the basis of this thesis. Results presented here resolve the controversy surrounding the hypothesis, demonstrating the optimality of Lévy searches under a broader set of conditions than previously considered, including whether observed Lévy patterns are innate or emergent. Empirical studies provide robust evidence for the prevalence of Lévy search patterns in the movements of diverse marine pelagic predators such as sharks, tunas and billfish as well as in the foraging patterns of albatrosses, overturning a previous study. Predictions from the LFF hypothesis concerning fast moving prey are confirmed leading to simulation studies of ambush predator’s activity patterns. Movement analysis is then applied to the assessment of by-catch mitigation efforts involving VMS data from long-liners and simulated sharks.

Through the critical discourse analysis of Anglophone Caribbean literature as a polyrhythmic performance, this research sets out to examine the claim that, in a world in a state of constant flux, emerging Caribbean voices are offering a challenging perspective on how to negotiate identity away from the binary constructs of centre and margin. It argues that the Caribbean writer, as a self-conscious producer of alternative discourses, offers an innovative and transcultural vision of the self. This research consists of three stages which integrate critical discourse and literary analysis with colonial/postcolonial and socio-cultural theories. Firstly, it investigates the power of language as an operation of discourse through which to apprehend reality within a binary system of representation. It then examines how the concept of discourse, as a site of contestation and meaning, enables the elaboration of a Caribbean counter-discourse. Finally, it explores the role, within the Caribbean text, of literary techniques such as narrative fragmentation, irony, dialogism, intertextuality, ambivalence and the carnivalesque to challenge, disrupt the established order and offer new perspectives of being. My study of Anglophone Caribbean texts highlights the power of language and the authority of the ‘book’ as subtle, insidious tools of domination and colonisation. It also demonstrates how, by allowing hitherto marginalised voices to write themselves into being, Caribbean writers enable linear narratives and monolithic visions of reality to be contested and other perspectives of understanding and of meaning to be uncovered. It exposes the plurality and the interweaving of discourses in the Caribbean text as a liberating, dynamic force which enables new subject positions and realities to emerge along the lines of similarity and difference. At a time when the issue of identity is one of the central problems in the world today, the research argues that this celebration of the plural, the fluid and the ambivalent offers new ways of being away from the stultifying perspective of essentialist forms.

Vergütungspflicht bei der Vervielfältigung von Urheberwerken - die tschechische und deutsche Regelung im europäischen Kontext Abstrakt Die Vervielfältigung zu privaten Zwecken ist eine der Schranken vom Recht des Urhebers, das Werk zu nutzen. Auf der Grundlage eines Konzepts, das in den 1960er Jahren in Deutschland entstanden ist, ist eine solche Vervielfältigung nur dann möglich, wenn dem Urheber für einen solchen Eingriff in seine wirtschaftlichen Interessen Vergütung gewährt wird. Wie auch in anderen Bereichen des Urheberrechts ist es auch im Falle des Systems der Vergütungen notwendig, ein Gleichgewicht zwischen den Interessen des Urhebers und der gesamten Gesellschaft zu finden. Ein weiteres typisches Zeichen im Zusammenahng mit dem Institut der Vergütungen ist die technologische Entwicklung, die auch der Motor bei der Einführung des Systems der Vergütungen in den 1960er Jahren war. Die Arbeit widmet sich im ersten Kapitel den Gründen für die Einführung des Systems der Vergütungen und den Möglichkeiten seiner Ausgestaltung. Das heißt der Einführung der Vergütungspflicht im Zusammenhang mit bestimmten Geräten, Trägern und dem Angebot einiger Dienstleistungen zu zahlen. Der Problematik der Vergütung wird eine große Aufmerksamkeit sowohl seitens der Fach- wie seitens der breiten Öffentlichkeit gewidmet -...

Recent nancial crises have highlighted the sensitivity and vulnerability of nancial markets to in ation, which reduces the value of money and a ects the net returns of nancial instruments. In response to this, investors who are concerned with maintaining their investment's purchasing power rather than its market value are resorting to in ation linked (IL) products to hedge their in ation risk. Consequently, the in ation market has been rapidly growing for the last decade and has further great potential growth worldwide. It is highly probable that in ation linked derivatives will eventually be as common as conventional products. Another cause of the in ation market boost is the growing extension of the time frame of nancial transactions, which has generated an increase in in ation expectation; since 1980 the average time to maturity of long-dated transactions went from one decade to three decades. This is, in part, due to the ageing population in the developed world. This research investigates some alternative models in order to improve the match between model prices and observed prices in the American and South African in ation markets. It takes into account the relative illiquidity of IL products. The main tools used are L evy distributions, macroeconomic factors, no-arbitrage and pricing kernel models. L evy processes can replicate the behaviour of the return innovations of a wide range of nancial securities. Adding a stochastic time change to the L evy process randomises the market clock, thus generating stochastic volatilities, higher stochastic return moments and eventually stochastic skewness. These are observed stylised facts most conventional models do not achieve. Moreover, in contrast to the hidden factor approach, each L evy process component and its stochastic time change can readily be assigned an economic meaning. This explicit economic mapping facilitates the interpretation of current models and provides a more intuitive approach to building new models that capture other observed behaviours. Finally, L evy processes also provide tractable formulas for derivative pricing and market estimations. In general, in ation is a consequence of macroeconomic factors. Exogenous dynamics of the most signi cant of these factors are used to deduce the endogenous in ation dynamics in some of the considered models. In these cases, the calibration of the pricing kernel models requires little historical data on IL derivatives. In fact, the required macroeconomic historical data is easily available because of the current national and international legislation.

The main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Levy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We will use each of the three models to price real world stock data through software simulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2013.