Utility Computing is one of the most discussed business models in the context of Cloud Computing. Service providers are more and more pushed into the role of utilities by their customer's expectations. Subsequently, the demand for predictable service availability and pay-per-use pricing models increases. Furthermore, for providers, a new opportunity to optimise resource usage offers arises, resulting from new virtualisation techniques. In this context, the control of service quality and profit depends on a deep understanding of the representation of the relationship between business and technique. This research analyses the relationship between the business model of Utility Computing and Service-oriented Computing architectures hosted in Cloud environments. The relations are clarified in detail for the entire service life cycle and throughout all architectural layers. Based on the elaborated relations, an approach to a delivery framework is evolved, in order to enable the optimisation of the relation attributes, while the service implementation passes through business planning, development, and operations. Related work from academic literature does not cover the collected requirements on service offers in this context. This finding is revealed by a critical review of approaches in the fields of Cloud Computing, Grid Computing, and Application Clusters. The related work is analysed regarding appropriate provision architectures and quality assurance approaches. The main concepts of the delivery framework are evaluated based on a simulation model. To demonstrate the ability of the framework to model complex pay-per-use service cascades in Cloud environments, several experiments have been conducted. First outcomes proof that the contributions of this research undoubtedly enable the optimisation of service quality and profit in Cloud-based Service-oriented Computing architectures.

Made available in DSpace on 2015-03-05T19:11:30Z (GMT). No. of bitstreams: 0 Previous issue date: 29 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / O propósito desta dissertação foi verificar se o Modelo de Precificação de Ativos de Capital baseado no Consumo (CCAPM) é consistente com os dados de quatro países latino-americanos: Brasil, Chile, Colômbia e México. Para alcançar este objetivo foi realizada uma regressão cross-sectional dos prêmios de risco médios sobre os betas de consumo de cada ativo em cada país analisado. Adicionalmente, de forma análoga a Lintner (1965) e Levy (1978), foi verificado se a variável ‘variâncias residuais’ mostrava-se estatisticamente significante nas regressões cross-sectional, o que seria inconsistente com o modelo. Os resultados empíricos, baseados em estimativas corrigidas para o problema dos erros nas variáveis, demonstram que há uma relação estatisticamente significativa entre os prêmios de risco médios e os betas de consumo nos países acima mencionados, com exceção do México. Apesar disto, o poder explicativo do modelo, dado pelo coeficiente de determinação R2 ajustado, foi muito baixo em todos os países. Quanto à v / The purpose of this thesis is to verify whether the Consumption based Capital Asset Pricing Model (CCAPM) is consistent with the data from four Latin-American countries: Brazil, Chile, Colombia, and Mexico. In order to reach this goal, a cross-sectional regression of the consumption betas on the mean excess returns of each asset is performed for each country analyzed. Also, similar to the studies of Lintner (1965) and Levy (1978), it is verified whether the variable ‘residual variance’ has statistical significance in the cross-sectional regressions, which would be inconsistent with the model. Empirical results showed that there is a statistical significant relationship between mean excess returns and consumption betas in the countries cited above, with exception of Mexico. Despite this, the explanatory power of the model, given by the adjusted coefficient of determination (R2), is very small in all countries. Concerning the variable ‘residual variance’, it is statistically significant for the Brazilian and Me

Este trabalho tem por objetivo principal aplicar o modelo de precificação de opções de taxas de juros proposto por Barbachan e Ornelas (2003), com base nos modelos de taxa de juro e avaliação de opções de Cox, Ingerssol e Ross (1985), para avaliação de opções de compra sobre o Índice de Taxa Média de Depósitos Interfinanceiros de Um Dia (IDI), negociadas na BM&FBovespa. Para estimação dos parâmetros deste modelo, foi empregado o método de Máxima Verossimilhança. Neste contexto, também fez-se uso da fórmula de precificação de opções proposta por Black (1976), adaptada para o mercado de derivativos brasileiros, conforme implementação verificada no trabalho de Gluckstern et al. (2002). Tal aplicação torna-se interessante, pois este modelo é amplamente utilizado pelo mercado brasileiro para avaliação de opções sobre o IDI. De forma a verificar a aderência dos preços teóricos gerados pelos modelos, em comparação aos preços de mercado, métricas de erro foram empregadas. De forma geral, nossos resultados mostraram que ambos os modelos apresentam erros sistemáticos de precificação, onde o modelo CIR subavalia os prêmios das opções e o modelo de Black superprecifica. No entanto, bons resultados foram encontrados ao avaliarmos opções in-the-money e out-of-money com o modelo de Black. / This work aims to apply the interest rate option pricing model proposed by Barbachan and Ornelas (2003), based on the interest rate model and option pricing model developed by Cox, Ingersoll and Ross (1985), to evaluate call options on the 1 day Brazilian Interfinancial Deposits Index - IDI, traded at BM&FBovespa. The Maximum Likelihood method was applied to estimate the model parameters. In this context, the option pricing formula proposed by Black (1976), adapted for the Brazilian derivative Market, was also used, according implementation verified in Gluckstern et al. (2002). This application becomes interesting because this model is widely used by the Brazilian Market to evaluate options on IDI. In order to verify the adherence of theoretical prices generated by the models, in comparison to the Market prices, error metrics were applied. In general, our results pointed out that both models presented systematic pricing errors, in which the CIR model underestimates the option prices and Black’s model overestimates. However, good results were found on the evaluation of options in-the-money and out-of-money with the Black’s Model.

Este trabalho tem por objetivo principal aplicar o modelo de precificação de opções de taxas de juros proposto por Barbachan e Ornelas (2003), com base nos modelos de taxa de juro e avaliação de opções de Cox, Ingerssol e Ross (1985), para avaliação de opções de compra sobre o Índice de Taxa Média de Depósitos Interfinanceiros de Um Dia (IDI), negociadas na BM&FBovespa. Para estimação dos parâmetros deste modelo, foi empregado o método de Máxima Verossimilhança. Neste contexto, também fez-se uso da fórmula de precificação de opções proposta por Black (1976), adaptada para o mercado de derivativos brasileiros, conforme implementação verificada no trabalho de Gluckstern et al. (2002). Tal aplicação torna-se interessante, pois este modelo é amplamente utilizado pelo mercado brasileiro para avaliação de opções sobre o IDI. De forma a verificar a aderência dos preços teóricos gerados pelos modelos, em comparação aos preços de mercado, métricas de erro foram empregadas. De forma geral, nossos resultados mostraram que ambos os modelos apresentam erros sistemáticos de precificação, onde o modelo CIR subavalia os prêmios das opções e o modelo de Black superprecifica. No entanto, bons resultados foram encontrados ao avaliarmos opções in-the-money e out-of-money com o modelo de Black. / This work aims to apply the interest rate option pricing model proposed by Barbachan and Ornelas (2003), based on the interest rate model and option pricing model developed by Cox, Ingersoll and Ross (1985), to evaluate call options on the 1 day Brazilian Interfinancial Deposits Index - IDI, traded at BM&FBovespa. The Maximum Likelihood method was applied to estimate the model parameters. In this context, the option pricing formula proposed by Black (1976), adapted for the Brazilian derivative Market, was also used, according implementation verified in Gluckstern et al. (2002). This application becomes interesting because this model is widely used by the Brazilian Market to evaluate options on IDI. In order to verify the adherence of theoretical prices generated by the models, in comparison to the Market prices, error metrics were applied. In general, our results pointed out that both models presented systematic pricing errors, in which the CIR model underestimates the option prices and Black’s model overestimates. However, good results were found on the evaluation of options in-the-money and out-of-money with the Black’s Model.

Cette thèse porte sur les choix des investisseurs de long terme en matière de gestion de portefeuille ainsi que sur les primes de risque offertes par le marché financier Français. Les travaux réalisés dans cette thèse se proposent d’apporter un éclairage ainsi que des arguments en faveur des placements à caractère long, risqué et productifs.En matière de gestion de portefeuille, ce travail apporte plusieurs réponses en matière d’allocation d’actifs et de stratégies optimales d’investissement. Tout d’abord, et en se basant sur des indices boursiers actions et obligataires, il s’avère que le marché français est efficient au sens faible et que l’hypothèse de marche aléatoire n’y est pas rejetée. Ce premier résultat implique que les rentabilités anormales que l’on peut mesurer sur ce marché émanent de facteurs de risque à rémunérer et non pas d’anomalies. Ainsi, dans le deuxième article, on démontre une prime de valeur persistante au sein du marché Français sur la période étudiée. Par contre, la prime de taille n’est observable que pour les titre à ratio valeur comptable sur valeur de marché très faibles ou très élevés ainsi que pour les titres ayant une rentabilité cumulée passée élevée. Aussi, investir dans les entreprises à momentum élevé mène toujours à des rentabilités meilleures quelle que soit la taille de l’entreprise considérée. On confirme également que la bonne spécification du portefeuille de marché est sine qua non pour une évaluation correcte des actifs financiers. Dans le troisième article, et dans une optique multi-périodiques de gestion de portefeuille, l’écart-type des rentabilités annualisées des actifs risqués décroit lorsqu’on allonge la période de détention ce qui implique que les gestionnaires de portefeuille tendent à biaiser les allocations vers des actifs plus sûrs et négligent par cela un manque à gagner. Ce travail démontre également que détenir un portefeuille d’actions de petites capitalisations s’avère un placement optimal pour les investisseurs ayant un horizon long. Ces résultats mettent en lumière des règles prudentielles inefficaces du point de vue des assurés d’une part, et, mettent en évidence la nécessité de mesures visant à relancer les marchés pour les petites entreprises et de faciliter leur accès au financement direct d’autre part. / This thesis focuses on long term investments and risk premiums within the French financial market. The results bring evidence supporting placements in long term, risky and productive assets. In terms of portfolio management, this thesis brings several answers regarding the optimal allocation strategies. The first article demonstrates that the French financial market is weak form efficient since we could not reject the random walk hypothesis based on the variance ratio methodology. This first contribution implies that abnormal returns are resulting from risk factors and not from anomalies. Thus, the second article revisits famous asset pricing models and highlights optimal portfolio strategies. We find that value and momentum premiums are persistent in the French market. However, size premium is only observable in extreme book to market and momentum strategies. Moreover, we show that market portfolio choice is sine qua non to models performances and that the latest is surprisingly increasing in times of distress. The third article considers the term structure of risk-return tradeoff. Based on a VAR model, we find that excess annualized standard deviation of stocks excess returns with respect to bonds and bills decreases as we lengthen investment horizon which means that investors may bias their portfolios towards safe assets and neglect additional return. Furthermore, we measured the time diversification effect among stock portfolios by distinguishing small and big capitalizations and prove that it is more profitable to hold small capitalizations than big capitalizations stocks in the long run. These results shed light on inefficient prudential rules from the viewpoint of policyholders on one hand, and, on the other hand, highlight the necessity of implementing measures to revive the markets for small enterprises and facilitate their access to direct financing through the market.

Este trabalho tem por objetivo principal aplicar o modelo de precificação de opções de taxas de juros proposto por Barbachan e Ornelas (2003), com base nos modelos de taxa de juro e avaliação de opções de Cox, Ingerssol e Ross (1985), para avaliação de opções de compra sobre o Índice de Taxa Média de Depósitos Interfinanceiros de Um Dia (IDI), negociadas na BM&FBovespa. Para estimação dos parâmetros deste modelo, foi empregado o método de Máxima Verossimilhança. Neste contexto, também fez-se uso da fórmula de precificação de opções proposta por Black (1976), adaptada para o mercado de derivativos brasileiros, conforme implementação verificada no trabalho de Gluckstern et al. (2002). Tal aplicação torna-se interessante, pois este modelo é amplamente utilizado pelo mercado brasileiro para avaliação de opções sobre o IDI. De forma a verificar a aderência dos preços teóricos gerados pelos modelos, em comparação aos preços de mercado, métricas de erro foram empregadas. De forma geral, nossos resultados mostraram que ambos os modelos apresentam erros sistemáticos de precificação, onde o modelo CIR subavalia os prêmios das opções e o modelo de Black superprecifica. No entanto, bons resultados foram encontrados ao avaliarmos opções in-the-money e out-of-money com o modelo de Black. / This work aims to apply the interest rate option pricing model proposed by Barbachan and Ornelas (2003), based on the interest rate model and option pricing model developed by Cox, Ingersoll and Ross (1985), to evaluate call options on the 1 day Brazilian Interfinancial Deposits Index - IDI, traded at BM&FBovespa. The Maximum Likelihood method was applied to estimate the model parameters. In this context, the option pricing formula proposed by Black (1976), adapted for the Brazilian derivative Market, was also used, according implementation verified in Gluckstern et al. (2002). This application becomes interesting because this model is widely used by the Brazilian Market to evaluate options on IDI. In order to verify the adherence of theoretical prices generated by the models, in comparison to the Market prices, error metrics were applied. In general, our results pointed out that both models presented systematic pricing errors, in which the CIR model underestimates the option prices and Black’s model overestimates. However, good results were found on the evaluation of options in-the-money and out-of-money with the Black’s Model.

>Magister Scientiae - MSc / In this thesis, we discuss methods for optimising the expected rate of return of a portfolio with minimal risk. As part of the work we look at the Modern Portfolio Theory which tries to maximise the portfolio's expected rate of return for a cer- tain amount of risk. We also use Quadratic Programming to optimise portfolios. Generally it is recognised that portfolios with a high expected return, carry higher risk. The Modern Portfolio Theory assists when choosing portfolios with the lowest possible risk. There is a nite number of assets in a portfolio and we therefore want to allocate them in such a way that we're able to optimise the expected rate of return with minimal risk. We also use the Markowian approach to allocate these assets. The Capital Asset Pricing Model is also used, which will help us to reduce our e cient portfolio to a single portfolio. Furthermore we use the Black-Litterman model to try and optimise our portfolio with a view to understanding the current market conditions, as well as considering how the market will perform in the future. An additional tool we'll use is Value at Risk. This enables us to manage the market risk. To this end, we follow the three basic approaches from Jorion [Value at Risk. USA: McGraw-Hills, 2001]. The Value at Risk tool has become essential in calcu- lating a portfolio's risk over the last decade. It works by monitoring algorithms in order to nd the worst possible scenarios within the portfolio. We perform several numerical experiments in MATLAB and Microsoft Excel and these are presented in the thesis with the relevant descriptions.

Value creation in any stock market is a highly discussed topic with an abundant amount of generalized models aiming to predict future returns. Although no such tool exists yet there are, however, acknowledged models from peer-reviewed journals that have received a lot of attention over the years in examining company performance. This thesis is therefore built on the well-known Fama-French three-factor model. The original Fama-French three-factor model is extended by adding a new size premium and a new value premium, both based upon the spread between the return on invested capital (ROIC) – the weighted average cost of capital (WACC). The purpose of this is to make the returns of a portfolio account for cash flow and debt on top of risk, size, and value premium for a company. This thesis finds that the ROIC-WACC spread adds explanatory power to the existing Fama and French three-factor model on the Swedish stock market. The research method of this study is quantitative and deductive. The considered period is six years between the years 2014 and 2020.

Property valuation is a critical concept for a variety of applications in the real estate market such as transactions, taxes, investments, and mortgages. However, there is little consistency in which method is the best for estimating the property value. This paper aims at investigating and comparing the differences in the Stockholm residential property valuation results among parametric hedonic pricing models (HPM) including linear and log-linear regression models, and Random Forest (RF) as the machine learning algorithm. The data consists of 114,293 arm-length transactions of the tenant-owned apartment between January 2005 to December 2014. The same variables are applied on both the HPM regression models and RF. There are two adopted techniques for data splitting into training and testing datasets, randomly splits and splitting based on the transaction years. These datasets will be used to train and test all the models. The performance evaluation and measurement of each model will base on four performance indicators: R-squared, MSE, RMSE, and MAPE.   The results from both data splitting circumstances have shown that the accuracy of random forest is the highest among the regression models. The discussions point out the causes of the models’ performance changes once applied on different datasets obtained from different data splitting techniques. Limitations are also pointed out at the end of the study for future improvements. / Fastighetsvärdering är ett kritiskt koncept för en mängd olika applikationer på fastighetsmarknaden som transaktioner, skatter, investeringar och inteckningar. Det finns dock liten konsekvens i vilken metod som är bäst för att uppskatta fastighetsvärdet. Denna uppsats syftar till att undersöka och jämföra skillnaderna i Stockholms fastighetsvärderingsresultat bland parametriska hedoniska prissättningsmodeller (HPM) inklusive linjära och log-linjära regressionsmodeller, och Random Forest (RF) som maskininlärningsalgoritm. Uppgifterna består av 114,293 armlängds-transaktioner för hyresgästen från januari 2005 till december 2014. Samma variabler tillämpas på både HPM-regressionsmodellerna och RF. Det finns två antagna tekniker för uppdelning av data i utbildning och testning av datamängder: slumpmässig uppdelning och uppdelning baserat på transaktionsåren. Dessa datamängder kommer att användas för att träna och testa alla modeller. Prestationsutvärderingen och mätningen av varje modell baseras på fyra resultatindikatorer: R-kvadrat, MSE, RMSE och MAPE. Resultaten från båda uppdelningsförhållandena har visat att noggrannheten hos slumpmässig skog är den högsta bland regressionsmodellerna. Diskussionerna pekar på orsakerna till modellernas prestandaförändringar när de tillämpats på olika datamängder erhållna från olika datasplittringstekniker. Begränsningar påpekas också i slutet av studien för framtida förbättringar.

The main goal of this dissertation was to obtain an understanding as to the true economic nature of employee share options and the problems surrounding the accounting thereof. The main conclusion of this study is that employee share options should be expensed in the income statement as and when the employee's services are performed. The reason is that employee share options are valuable financial instruments which the employer has used to compensate the employee for his services. It was also concluded that exercise date accounting and classification of outstanding employee share options as liabilities on the balance sheet is the most appropriate accounting treatment. Such accounting treatment trues up the accounting of employee share options with that of cash-settled share appreciation rights, which are economically equivalent transactions. The measurement of employee share options should be based on their fair value using an option-pricing model adapted for the specific features of employee share options. / Accounting / Thesis (M. Com. (Accounting Science))