Thomas Merton (1915-1968), the American Cistercian, wrote numerous books and essays on spirituality, including both Christian and Eastern forms of mysticism, and such social concerns as racial injustice, the war in Vietnam, and the depersonalizing tendencies within a technical society. From his position of contemplative withdrawal he spoke a prophetic word to the world in which he lived, recognizing that his monastic, and eventually his eremitic life, was not so much a withdrawal from the world as it was his own place in the world. He provides, therefore, a living example of the close interrelationship between contemplation and action. Morton understood withdrawal to be movement away from the superficial and false attitudes one has of the world and of one's own self, Withdrawal is, for him, a movement away from the sharp distinction between subject and object, and a movement toward the understanding that God is the ground of all being and that all contingent beings, rooted in Him, are united. Withdrawal is the necessary prelude to effective social action, since withdrawal opens one to the truth of man's solidarity in God, who is ultimate Reality, and therefore provides the true basis for moral action. For Morton, moral theology is dependent upon ascetical theology. The closer one is to God, the closer one is to all of God's creation. Paul Tillich, too, saw the necessity for withdrawal, for an immediate apprehension of God, and for social action. Hence, it is not surprising that Tillich and Merton have numerous points of affinity. In fact, Tillich's theology can be interpreted as a theoretical statement of Merton's experience. Tillich's use of ontological language, especially his distinction between essence and existence, provides a methodical approach to the theology behind Merton's mysticism and social ethic. The purpose for withdrawal is to allow essence to become known under the conditions of existence, and one essence is know - how ever fragmentarily - it enriches existence for all, not only for the one who has experienced essentialization. Hence, even the mysticism of a hermit has an indirect effect on the entire world, and, in the case of Marton himself, a direct and explicit effect. Tillich, therefore, helps to explain Merton, and Merton's life-long attempt to balance the poles of individuality and participation provides an experiential example of Tillich's system.

In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. This is concluded visually not only by comparing the density functions but also by analyzing mean, variance, skewness and kurtosis of the log-returns. One technical contribution to the thesis is a suggested decision rule for initial guess of a maximum likelihood estimation of the MJD-modeled parameters.

A presente dissertação expõe o ambiente em que o Problema de Merton é construído e, baseando-se na bibliografia apresentada, constrói exemplos em softwares cujas especificidades podem colaborar na clareza da resolução. O software Matlab engloba as soluções numéricas, enquanto o software Maple é responsável pela solução de equações diferenciais ordinárias e parciais de forma simbólica. Apresenta-se modificações do Problema de Merton original como exercícios para melhor esclarecer os diferentes parâmetros abordados. Na seção final é apresentada a solução de viscosidade, uma alternativa quando a função valor não apresenta características desejáveis para a análise apresentada. / This dissertation explicit the environment which Merton’s problem is built, according to the presented bibliography, exemples are built in softwares whose specificity might help to clarify the solution. The Matlab software embraces numeric solutions, while Maple software is appropriate to solve ordinary and parcial differential equations in symbolic form. Some modifications are presented to Merton’s Problem as exercise to improve understanding on the variations adopted. On final section, viscosity solutions are presented as an alternative solution for when the value function does not possess the desirables properties that allow the analysis on focus.

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A presente dissertação expõe o ambiente em que o Problema de Merton é construído e, baseando-se na bibliografia apresentada, constrói exemplos em softwares cujas especificidades podem colaborar na clareza da resolução. O software Matlab engloba as soluções numéricas, enquanto o software Maple é responsável pela solução de equações diferenciais ordinárias e parciais de forma simbólica. Apresenta-se modificações do Problema de Merton original como exercícios para melhor esclarecer os diferentes parâmetros abordados. Na seção final é apresentada a solução de viscosidade, uma alternativa quando a função valor não apresenta características desejáveis para a análise apresentada. / This dissertation explicit the environment which Merton’s problem is built, according to the presented bibliography, exemples are built in softwares whose specificity might help to clarify the solution. The Matlab software embraces numeric solutions, while Maple software is appropriate to solve ordinary and parcial differential equations in symbolic form. Some modifications are presented to Merton’s Problem as exercise to improve understanding on the variations adopted. On final section, viscosity solutions are presented as an alternative solution for when the value function does not possess the desirables properties that allow the analysis on focus.

A presente dissertação expõe o ambiente em que o Problema de Merton é construído e, baseando-se na bibliografia apresentada, constrói exemplos em softwares cujas especificidades podem colaborar na clareza da resolução. O software Matlab engloba as soluções numéricas, enquanto o software Maple é responsável pela solução de equações diferenciais ordinárias e parciais de forma simbólica. Apresenta-se modificações do Problema de Merton original como exercícios para melhor esclarecer os diferentes parâmetros abordados. Na seção final é apresentada a solução de viscosidade, uma alternativa quando a função valor não apresenta características desejáveis para a análise apresentada. / This dissertation explicit the environment which Merton’s problem is built, according to the presented bibliography, exemples are built in softwares whose specificity might help to clarify the solution. The Matlab software embraces numeric solutions, while Maple software is appropriate to solve ordinary and parcial differential equations in symbolic form. Some modifications are presented to Merton’s Problem as exercise to improve understanding on the variations adopted. On final section, viscosity solutions are presented as an alternative solution for when the value function does not possess the desirables properties that allow the analysis on focus.

Asset pricing models are well established and have been used extensively by practitioners both for pricing options as well as for hedging them. Though Black-Scholes is the original and most commonly communicated asset pricing model, alternative asset pricing models which incorporate additional features have since been developed. We present three asset pricing models here - the Black-Scholes model, the Heston model and the Merton (1976) model. For each asset pricing model we test the hedge effectiveness of delta hedging, minimum variance hedging and static hedging, where appropriate. The options hedged under the aforementioned techniques and asset pricing models are down-and-out call options, lookback options and cliquet options. The hedges are performed over three strikes, which represent At-the-money, Out-the-money and In-the-money options. Stock prices are simulated under the stochastic-volatility double jump diffusion (SVJJ) model, which incorporates stochastic volatility as well as jumps in the stock and volatility process. Simulation is performed under two ’Worlds’. World 1 is set under normal market conditions, whereas World 2 represents stressed market conditions. Calibrating each asset pricing model to observed option prices is performed via the use of a least squares optimisation routine. We find that there is not an asset pricing model which consistently provides a better hedge in World 1. In World 2, however, the Heston model marginally outperforms the Black-Scholes model overall. This can be explained through the higher volatility under World 2, which the Heston model can more accurately describe given the stochastic volatility component. Calibration difficulties are experienced with the Merton model. These difficulties lead to larger errors when minimum variance hedging and alternative calibration techniques should be considered for future users of the optimiser.

The objective of this thesis is to review the two popular mathematical models of the financialderivatives market. The models are the classical Black–Scholes–Merton and the Continuoustime Markov chain (CTMC) model. We study the CTMC model which is illustrated by themathematician Ragnar Norberg. The thesis demonstrates how the fundamental results ofFinancial Engineering work in both models.The construction of the main financial market components and the approach used for pricingthe contingent claims were considered in order to review the two models. In addition, the stepsused in solving the first–order partial differential equations in both models are explained.The main similarity between the models are that the financial market components are thesame. Their contingent claim is similar and the driving processes for both models utilizeMarkov property.One of the differences observed is that the driving process in the BSM model is the Brownianmotion and Markov chain in the CTMC model.We believe that the thesis can motivate other students and researchers to do a deeper andadvanced comparative study between the two models.

Yes / Following the global financial crisis, the measurement of counterparty credit risk has become an essential part of the Basel III accord with credit value adjustment being one of the most prominent components of this concept. In this study, we extend the Merton structural credit risk model for counterparty credit risk calculation in the context of calculating the credit value adjustment mainly by estimating the probability of default. We improve the Merton model in a variance-convoluted-gamma environment to include default dependence between counterparties through a linear factor decomposition framework. This allows one to tackle dependence through a systematic common component. Our set-up allows for easier, faster and more accurate fitting for the credit spread. Results confirm that use of the variance-gamma-convolution clearly solves the vanishing credit spread problem for short time-to-maturity or low leverage cases compared to a Brownian motion environment and its modifications. / Ahmet Sensoy gratefully acknowledges support from Turkish Academy of Sciences under its Outstanding Young Scientist Award Programme (TUBA-GEBIP). Frank J. Fabozzi acknowledges the financial support from EDHEC Business School.

Göran Streiffert: Om akademins frihet och nytta: en studie av tjugo års forskningspolitik. Uppsala universitet: Institutionen för idéhistoria, masteruppsats, vårterminen 2024. This thesis is a study of the research and innovation policies of three Swedish governments at the beginning of the 21st century. I examine five of the research propositions the governments presented during the first two decades of the century with the aim to chart and analyse the governments ambitions to transform the universities in accordance with the concept of knowledge society. Each research proposition presents the overall direction and orientation for the ensuing four years.  Allocations of resources and changes of laws are generally proposed in separate propositions. My focus is to describe how the transformation has affected the liberties and the productive outcomes of the universities. My starting point is two separate and conflicting norm systems which I explain in the thesis. My account demonstrates how the governments try to balance between two conflicting interests: to maintain the liberty of the university and gain the commercial and welfare benefits created by the researchers and teachers at the universities.  One conflict of interest that is constantly neglected in the propositions is that the normative structure for science, described by the sociologist Robert K. Merton, is not compatible with cooperation between scientists and commercial or political interests as research design and results could be affected. In what looks like concerted efforts by the three governments, they identify some issues, i.e. that basic research is regarded to differ from applied research, with the latter having more immediate applications for markets. The governments argue that the discrepancy between basic and applied research is small and should be neglected.  I argue that profound conflicts of interests and competing targets regarding the transformation of the universities to fit commercial and political standards of the knowledge society neither have been identified nor problematised in the propositions.