Trois pays d’Amérique latine – la Bolivie, l’Équateur et le Venezuela – ont dénoncé la Convention pour le règlement des différends relatifs aux investissements entre États et ressortissants d’autres États. Cette « vague » de dénonciations témoigne d’un rejet du système d’arbitrage, créé par la Convention de Washington, considéré comme déséquilibré, antidémocratique, onéreux et discriminatoire. Aux yeux de l’Amérique latine, l’arbitrage CIRDI serait conçu pour bénéficier exclusivement aux investisseurs au détriment des États hôtes des investissements. Dans ce travail de recherche, l’approche de l’Amérique latine relative à la Convention de Washington sera présentée en deux étapes. D’abord, les évolutions liées au cadre économique et juridique latino-américain, des prémices de la Convention en 1964, jusqu’á son adoption définitive dans les années 90, seront analysées. Puis seront abordées les principales critiques émises actuellement contre le système d’arbitrage CIRDI. Quels sont les facteurs déterminants du changement dans les politiques en matière d’investissements étrangers en Amérique latine ? Les pays, qui ont dénoncé la Convention de Washington, ont-ils des raisons suffisamment valables de rejeter l’arbitrage transnational en matière d’investissements ? Le CIRDI a-t-il failli dans l’accomplissement de ses fonctions ? Ce travail de recherche vise à répondre à ces questions en analysant la Convention de Washington sous un angle latino-américain. / Three countries in Latin America - Bolivia, Ecuador and Venezuela - have denounced the Convention on the Settlement of Investment Disputes between States and Nationals of other States. This "wave" of denunciations reflects a negative perception of the arbitration system created by the ICSID Convention, which is described as unbalanced, undemocratic, expensive and discriminatory. In Latin America’s view, ICSID arbitration was created to benefit only to investors at the expense of investments’ host states. This research focuses on the Latin America’s approach on the Washington Convention addressing it in two stages. First, the Latin American economic and legal framework in the early discussions on the draft of the Convention in 1964 and its subsequent adoption in the 1990s will be addressed. Secondly, the subjects that currently arouse the main criticisms to the ICSID arbitration system will be detailed. What are the reasons of change in foreign investment policies in Latin America? Do the countries that denounced the Washington Convention have acceptable reasons for rejecting investments’ transnational arbitration? Did ICSID failed in the performance of its duties? This research aims to answer these questions by analyzing the Washington Convention from the Latin American perspective.

Faculty of Commerce, Law and Management University Of Witwatersrand 07 September 2016 / The purpose of this study is to identify whether the Law of One Price theory holds across bitcoin exchanges in different countries given the uniquely defining characteristics of bitcoin. This was explored using Johansen’s Cointegration to extract the economic relationship between the time series sampled. It was demonstrated in the results that the Law does not always hold, however this was dependent on which bitcoin exchange is being used. Prices across the same bitcoin exchanges were likely to hold because of similar transaction costs and the ease of trading. For the time series where the Law of One price did not hold, the explanatory factors could include the bitcoin market illiquidity and purposeful disequilibrium. Bitcoin is a fairly new concept and has been press-worthy in the finance, economic and technological spheres. In South Africa, awareness of the digital currency is low, as is an understanding of its features and the impact on the economy as well as society as a whole. This study therefore aims to explore bitcoin in a finance context, in terms of the Law of One Price, while briefly gaining an understanding of the digital currency itself. / MT2017

by Ip Chai-si. / Title also in Chinese. / Summary in Chinese. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1980. / Bibliography: leaf 73.

by Wong Yue Yan, Henry, Wan Sau Chun. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1988. / Bibliography: leaves 87-89.

Historiquement, l'arbitre et le juge sont un vieux couple. Cette union légale procède de l'assistance technique que ce dernier porte à l'arbitre. Les nombreux dysfonctionnements que connaissent les justices étatiques des États membres de l'OHADA poussent ces derniers à réorganiser cette institution phare des États. A l'instar des États-Unis, du Canada ou encore de la France, les États membres de l'OHADA peuvent également opter pour une déjudiciarisation qui, délesterait le juge étatique de toutes ses tâches supplémentaires, dont celles relevant de l'arbitrage, spécifiquement pour les États de cet espace juridique. Dans cette hypothèse, il s'agira de bâtir un système arbitral totalement affranchi de toute intrusion du juge étatique. Ces travaux s'inscrivent donc dans une logique de droit prospectif, l'objectif étant à terme de présenter un droit de l'arbitrage totalement émancipé de l'apport du juge et ainsi, véritablement conférer à cette justice privée son caractère indépendant tant vanté. / Historically, the referee and the judge are an old couple. This legal union proceeds from the technical assistance that the judge brings to the referee. The numerous issues faced by the state courts of the OHADA member states are forcing them to reorganize this all important institution. Just like in the United States, Canada or France, the OHADA member states can also opt for a judicial injunction, which would relieve the state judges of additional duties, including those related to arbitration specifically for the member States of this legal environment. In regard to this, it will be useful to build an arbitral system completely free from any intrusion of the state judge. This work is therefore part of a prospective-law approach, the ultimate goal being to present a right for arbitration totally liberated from the contribution of the judge and thus, truly confer to this private justice it’s independent character.

Total valuation adjustment (XVA) is a new technique which takes multiple material financial factors into consideration when pricing derivatives. This paper explores how funding costs and counterparty credit risk affect pricing the American option based on no-arbitrage analysis. We review previous studies of European option pricing with different funding costs. The conclusions help to compute the no- arbitrage price of the American option in the model with different borrowing and lending rates. Another model with counterparty credit risk is set up, and this pricing approach is referred to as credit valuation adjustment (CVA). A defaultable bond issued by the counterparty is used to hedge the loss from the option's default. We incorporate these two models to assess the XVA of an American option. The collateral, which protects the option investors from default, is considered in our benchmark model. To illustrate our results, numerical experiments are designed to demonstrate the relationship between XVA and parameters, which include the funding rates, bond's rate of return, and number of periods.

Choy Man Wah Minnie. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 83). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Analysis of APT using SEM --- p.3 / Chapter 2.1 --- The APT model --- p.3 / Chapter 2.2 --- The structural equation model approach --- p.5 / Chapter 3 --- Incorporating stochastic constraints into the SEM analysis of APT --- p.8 / Chapter 3.1 --- Introduction --- p.8 / Chapter 3.2 --- Bayesian analysis of stochastic constraints --- p.9 / Chapter 3.3 --- Three types of structures for T I --- p.10 / Chapter 3.3.1 --- Case 1: T = (σ2Imxm --- p.10 / Chapter 3.3.2 --- "Case 2: r is a diagonal matrix with diagonal elements σ2j for = 1， …,m" --- p.13 / Chapter 3.3.3 --- Case 3: Γ is a general positive definite matrix --- p.14 / Chapter 3.4 --- Estimation of parameters using the Mx program --- p.16 / Chapter 4 --- Empirical study on Hong Kong stock market --- p.17 / Chapter 4.1 --- Information of data --- p.17 / Chapter 4.2 --- Source of data --- p.17 / Chapter 4.3 --- Lisrel model with exact constraints --- p.19 / Chapter 4.3.1 --- The resultant model --- p.20 / Chapter 4.4 --- Lisrel model with stochastic constraints --- p.21 / Chapter 4.4.1 --- Result --- p.22 / Chapter 5 --- Simulation study --- p.35 / Chapter 5.1 --- Simulation design --- p.35 / Chapter 5.2 --- Simulation procedure --- p.40 / Chapter 5.3 --- Simulation result --- p.41 / Chapter 5.3.1 --- Sample size --- p.41 / Chapter 5.3.2 --- Analysis methods (constraints) --- p.42 / Chapter 5.3.3 --- Factor loadings --- p.43 / Chapter 5.3.4 --- Factor correlation matrix --- p.43 / Chapter 5.3.5 --- Risk premia --- p.43 / Chapter 5.3.6 --- Overall result --- p.44 / Chapter 6 --- Conclusion and discussion --- p.45 / Appendices --- p.46 / Chapter A --- Simulation result - Mean --- p.47 / Chapter B --- Simulation result - Bias --- p.56 / Chapter C --- Simulation result - RMSE --- p.65 / Chapter D --- Mx input script --- p.74 / Chapter D.l --- Stochastic constraints Case 1 --- p.74 / Chapter D.2 --- Stochastic constraints Case 2 --- p.77 / Chapter D.3 --- Stochastic constraints Case 3 --- p.80 / Bibliography --- p.83

Doctor of Philosophy / This dissertation presents the results of three empirical studies on price formation and liquidity in financial futures markets. The research entails three related areas: the effect of taxes on the prices of Australian stock index futures; the efficiency of the information transmission mechanism between the cash and futures markets; and the price and liquidity impact of large trades in interest rate and equity index futures markets. An overview of previous research identifies some important gaps in the existing literature that this dissertation aims to resolve for the benefit of arbitrageurs, investment managers, brokers and regulators.

<p>This paper’s objective is to investigate whether Modigliani and Miller (MM) I & II proposition from 1958 with regard to capital structure, is still valid among public Swedish firms.</p><p>We have chosen the 63 firms on the Stockholm Stock Exchange (OMX) that Affärsvärlden magazine’s general index (AFGX) has categorized as industrial firms. We based this selection on the assumption that these firms are relatively capital intense and have a clear focus on production and, therefore, mainly uses capital structure as a mean to finance their production and not as a means in itself.</p><p>To be able to fully evaluate these firms we have calculated the current key ratios based each firm’s annual report. To make the figures comparable across the entire population we adjusted them to each firm’s turnover.</p><p>The results we have reached concur with MM’s proposition I regarding capital structures independence of the firm value. However, proposition II that states that an increase in the debt/equity ratio is shown in a higher return of equity is not valid in this case.</p> / <p>Denna uppsats skall undersöka huruvida Modigliani och Millers (MM) första och andra proposition från 1958 gällande kapitalstruktur är tillämpbar bland dagens noterade industriföretag i Sverige.</p><p>Vi har valt hela populationen av de 63 noterade bolag på Stockholmsbörsen som tidningen Affärsvärldens General Index (AFGX) har kategoriserat som industriföretag. Detta urval har baserats på antagandet att företagen är kapitalintensiva och har en tydlig tillverkningsbasis där kapitalstrukturen inte är en huvudgren utan bara ett medel för den övriga verksamheten.</p><p>För att få full jämförbarhet mellan företagen har vi själva beräknat de aktuella nyckeltalen utifrån företagens egna årsredovisningar. Vi har sedan anpassat siffrorna till företagens storlek för att få jämförbara siffror över hela sektorn.</p><p>De resultat vi uppnått överensstämmer med MM:s proposition I om kapitalstrukturens oberoende av värdet på företaget. Däremot finner vi inget samband med proposition II, som menar att en ökande skuldsättningsgrad avspeglar sig i ett högre avkastningskrav i form av räntabilitet (avkastning på eget kapital).</p>

<p>I uppsatsen har vi undersökt köpoptioner med OMXS30 som underliggande, syftet var att se om det fanns möjligheter till att göra arbitrage. Detta innebär att de är felprissatta. Vi har i vår undersökning testat optioners nedre gräns och köp-sälj paritetsvillkoret. Resultaten tyder på att det finns ett antal tillfällen då marknaden inte är effektiv, antalet tillfällen skiljer sig åt under olika marknadsförhållanden. De slutsatser vi kan dra är att marknaden måste vara mogen och marknadens aktörer måste ha en tydlig bild om i vilken riktning marknaden är på väg för att vi ska kunna säga att optionspriserna är effektivt prissatta. När investerare agerar irrationellt och osäkerheten är hög ökar frekvensen av antalet felprissättningar på finansiella instrument, däribland optioner.</p>