Submitted by JULIO SALVADOR (jcmsal@gmail.com) on 2013-02-28T05:12:24Z No. of bitstreams: 1 Dissertacao - Julio Salvador.pdf: 1362084 bytes, checksum: fbfc1ce4624c12d00ca89e9f7a442abf (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-02-28T12:48:44Z (GMT) No. of bitstreams: 1 Dissertacao - Julio Salvador.pdf: 1362084 bytes, checksum: fbfc1ce4624c12d00ca89e9f7a442abf (MD5) / Made available in DSpace on 2013-02-28T12:56:50Z (GMT). No. of bitstreams: 1 Dissertacao - Julio Salvador.pdf: 1362084 bytes, checksum: fbfc1ce4624c12d00ca89e9f7a442abf (MD5) Previous issue date: 2013-01-30 / Non-maturing liabilities make up a large part of the funding base of financial institutions. These liabilities, such as checking and savings accounts, while allowing their depositors to withdraw the full amount of their investments at any time, the balance remain in the financial institutions for long period of time. The lack of defined contractual maturity makes the risk management a difficult task. This study analyzes the implied maturity of savings deposits through a replicating portfolio model. As a result, it’s presented structures for allocating cash flows to manage market and liquidity risk of savings deposits. / Os depósitos sem vencimento formam grande parte da base de captação das instituições financeiras. Esses passivos, depósitos à vista ou de poupança, embora permitam que seus titulares saquem a qualquer momento o montante integral de suas aplicações, permanecem nas instituições financeiras por longos períodos de tempo. A falta de maturidade contratual definida torna o gerenciamento de riscos desses produtos uma difícil tarefa. Este estudo busca analisar as maturidades implícitas dos depósitos de poupança através de um modelo de carteira replicante. Como resultado, são apresentadas estruturas para alocação de fluxos de caixa para gestão de risco de mercado e liquidez dos depósitos de poupança.

Este trabalho analisa três estratégias de hedge de opção, buscando identificar a importância da escolha da estratégia para a obtenção de um bom desempenho do hedge. O conceito de hedge é analisado de forma retrospectiva e uma teoria geral de hedge é apresentada. Em seguida são descritos alguns estudos comparativos de desempenho de estratégias de hedge de opção e suas metodologias de implementação. Para esta análise comparativa são selecionadas três estratégias de hedge de opção de compra do tipo européia: a primeira utiliza o modelo Black-Scholes-Merton de precificação de opções, a segunda utiliza uma solução de programação dinâmica para hedge dinâmico multiperiódico e a terceira utiliza um modelo GARCH para precificação de opções. As estratégias são comentadas e comparadas do ponto de vista de suas premissas teóricas e por meio de testes comparativos de desempenho. O desempenho das estratégias é comparado sob uma perspectiva dinâmicamente ajustada, multiperiódica e autofinanciável. Os dados para comparação de desempenho são gerados por simulação e o desempenho é avaliado pelos erros absolutos médios e erros quadráticos médios, resultantes na carteira de hedge. São feitas ainda considerações a respeito de alternativas de estimação e suas implicações no desempenho das estratégias. / This work analyzes three option hedging strategies, to identify the importance of choosing a strategy in order to achieve a good hedging performance. A retrospective analysis of the concept of hedging is conducted and a general hedging theory is presented. Following, some comparative papers of hedging performance and their implementation methodologies are described. For the present comparative analysis, three hedging strategies for European options have been selected: the first one based on the Black-Scholes-Merton model for option pricing, the second one based on a dynamic programming solution for dynamic multiperiod hedging and the third one based on a GARCH model for option pricing. The strategies are compared under their theoric premisses and through comparative performance testes. The performances of the strategies are compared under a dynamically adjusted multiperiodic and self-financing perspective. Data for performance comparison are generated by simulation and performance is evaluated by mean absolute errors and mean squared errors resulting on the hedging portfolio. An analysis is also done regarding estimation approaches and their implications over the performance of the strategies.

Este trabalho analisa três estratégias de hedge de opção, buscando identificar a importância da escolha da estratégia para a obtenção de um bom desempenho do hedge. O conceito de hedge é analisado de forma retrospectiva e uma teoria geral de hedge é apresentada. Em seguida são descritos alguns estudos comparativos de desempenho de estratégias de hedge de opção e suas metodologias de implementação. Para esta análise comparativa são selecionadas três estratégias de hedge de opção de compra do tipo européia: a primeira utiliza o modelo Black-Scholes-Merton de precificação de opções, a segunda utiliza uma solução de programação dinâmica para hedge dinâmico multiperiódico e a terceira utiliza um modelo GARCH para precificação de opções. As estratégias são comentadas e comparadas do ponto de vista de suas premissas teóricas e por meio de testes comparativos de desempenho. O desempenho das estratégias é comparado sob uma perspectiva dinâmicamente ajustada, multiperiódica e autofinanciável. Os dados para comparação de desempenho são gerados por simulação e o desempenho é avaliado pelos erros absolutos médios e erros quadráticos médios, resultantes na carteira de hedge. São feitas ainda considerações a respeito de alternativas de estimação e suas implicações no desempenho das estratégias. / This work analyzes three option hedging strategies, to identify the importance of choosing a strategy in order to achieve a good hedging performance. A retrospective analysis of the concept of hedging is conducted and a general hedging theory is presented. Following, some comparative papers of hedging performance and their implementation methodologies are described. For the present comparative analysis, three hedging strategies for European options have been selected: the first one based on the Black-Scholes-Merton model for option pricing, the second one based on a dynamic programming solution for dynamic multiperiod hedging and the third one based on a GARCH model for option pricing. The strategies are compared under their theoric premisses and through comparative performance testes. The performances of the strategies are compared under a dynamically adjusted multiperiodic and self-financing perspective. Data for performance comparison are generated by simulation and performance is evaluated by mean absolute errors and mean squared errors resulting on the hedging portfolio. An analysis is also done regarding estimation approaches and their implications over the performance of the strategies.

The Mycobacterium genus contains major human pathogens, like Mycobacterium tuberculosis and Mycobacterium leprae, which are the causative agents of Tuberculosis and Leprosy, respectively. They have evolved as successful human pathogens by adapting to the adverse conditions prevailing inside the host, which include host immune activation, nutrient depletion, hypoxia, and so on. During such adaptation for the survival and establishment of persistent infection inside the host, the pathogen, like M. tuberculosis, regulates its cell division. It is known that M. tuberculosis enters a state of non-replicating persistence (NRP) inside the host, to establish latent infection, which helps the survival of the pathogen under adverse host conditions such as hypoxia and nutrient depletion. The pathogen can reactivate itself, to come out of the NRP state, and establish active infection at a later stage, when conditions are suitable for its proliferation. The altered physiological state of the latent bacterium makes it tolerant to drugs, which are only effective against proliferating tubercle bacilli. In view of this unique behavioural physiology of tubercle bacilli, it is important to study the process of cell division and how it is regulated in the NRP and actively growing states. The work reported in the thesis is an attempt to understand these aspects of mycobacterial cell division. iii Chapter 1. Introduction: This chapter gives a detailed introduction to bacterial cell division and its regulation in various organisms, like Escherichia coli, Bacillus subtilis, Caulobacter crescentus, and others. In the background of this information, the major studies on mycobacterial cell division and its regulation are presented. Chapter 2. Materials and Methods: This chapter describes in detail all the materials and methods used in the experiments, which are presented in the four data chapters, 3-6. Chapter 3. Ultrastructural Study of the Formation of Septal Partition and Constriction in Mycobacteria and Delineation of its Unique Features: Mycobacteria have triple-layered complex cell wall, playing an important role in its survival under adverse conditions in the host. It is not known how these layers in the mother cell participate during cell division. Therefore, the ultrastructural changes in the different envelope layers of Mycobacterium tuberculosis, Mycobacterium smegmatis, and Mycobacterium xenopi, during the process of septation and septal constriction, were studied, using Transmission and Scanning Electron Microscopy. The unique aspects of mycobacterial septation and constriction were identified and were compared with those of E. coli and Bacillus subtilis septation. Further, based on all these observations, models were proposed for septation in M. tuberculosis and M. smegmatis. Chapter 4. Identification of Asymmetric Septation and Division in Mycobacteria and Its Role in Generating Cell Size Heterogeneity: Bacterial populations are known to harbour phenotypic heterogeneity that helps survival under stress conditions, as this heterogeneity comprises subpopulations that have differential susceptibility to stress conditions. The iv heterogeneity has been known to lead to the requirement for prolonged drug treatment for the elimination of the tolerant subpopulation. Hence, it is important to study the different mechanisms, which operate to generate population heterogeneity. Therefore, in this chapter, studies were carried out to find out whether asymmetric septation and division occur in mycobacteria to generate cell size heterogeneity. Subpopulations of mycobacterial mid-log phase cells of M. tuberculosis, M. smegmatis, and M. xenopi were found to undergo asymmetric division to generate cell size heterogeneity. The asymmetric division and the ultrastructure and growth features of the products of the division were studied. Chapter 5. Study of Mycobacterial Cell Division Using Growth-Synchronised Cells: In this chapter, different stages of cell septation and constriction were studied using growth-synchronised M. smegmatis cells. Phenethyl alcohol (PEA), which has been found to reversibly arrest mycobacterial cells, was used for growth synchronisation. The growth-synchronised mycobacterial cells, which were released from PEA block, were studied at different stages of septation and septal constriction, at the ultrastructural and molecular levels. Chapter 6. Identification of the Stage of Cell Division Arrest in NRP Mycobacteria: The exact stage at which the NRP tubercle bacilli are arrested in cell division is currently unknown. In Wayne’s in vitro model for hypoxia-responsive tubercle bacilli, gradual depletion of oxygen leads to hypoxic stress, inducing the bacilli to enter non-replicating persistence (NRP) state. Using this model, the stage of cell division arrest in M. tuberculosis was characterised at the ultrastructural and molecular levels. Hypoxia-stressed M. smegmatis was used as an experimental system for contrast. The thesis concludes with salient findings, a bibliography, and the list of publications.

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This master's thesis deals with the topic of cellular automata and their utilization in the research of self-replication, especially with the focus on self-replicating loops. It also shows several possible approaches how to optimize the replication process. The first part is focused on theoretical aspects of cellular automata. It acquaints the readers with the questions of self-replication in the cellular automata and present some of the existing self-replicating loops, starting with the widely known Langton's loop. The second part presents the optimization of the replication process considering two selected variants of self-repricating loops - Byl's loop and Chou-Reggia loop. Two approaches are introduced together with their possible combination. The first approach is based on multiple self-replication. The second one is based on the reduction of the number of steps of the cellular automaton needed to create a copy of the loop.

The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. In this thesis someof the topics within the subject are investigated, where the greatest focus inon the modeling of the deposit volumes. The main objective is to providethe bank with an analysis of the majority of the topics that needs to be cov-ered when modeling non-maturing deposits. This includes short-rate model-ing using Vasicek’s model, deposit rate modeling using a regression approachand a method proposed by Jarrow and Van Deventer, volume modeling usingSARIMA, SARIMAX and a general additive model, a static replicating port-folio based on Maes and Timmerman’s to model the behaviour of the depositaccounts and finally a liquidity risk model that was suggested by Kalkbrenerand Willing. All of these models have been applied on three different accounttypes: private transaction accounts, savings accounts and corporate savingsaccounts.The results are that, due to the current market, the static replicating portfoliodoes not achieve the desired results. Furthermore, the best volume model forthe data provided is a SARIMA model, meaning the effect of the exogenousvariables are seemingly already embedded in the lagged volume. Finally, theliquidity risk results are plausible and thus deemed satisfactory. / Intresset för att modellera inlåningsvolymer utan en kontrakterad förfallodaghar ökat markant sedan finanskrisen 2008. Inte bara sett utifrån ett perspek-tiv att uppfylla krav som ställs av tillsynsmyndigheter, men också sett utifrånbankens investerings-och finansieringsperspektiv.Målet med det här arbetet är att förse banken med en analys av majoritetenav de olika områdena som man behöver ta hänsyn till när man ska model-lera inlåningar utan förfallodatum, men med ett fokus på volymmodellering.I den här rapporten modelleras räntor (kortränta och kontoränta), kontovoly-merna, kontobeteendet samt likviditetsrisken. Detta görs med hjälp av Vasicekför korträntan, en regressionsmetod samt en metod som föreslagits av Jarrowoch Van Deventer för kontoräntan, SARIMA, SARIMAX och en generell ad-ditiv regressionsmetod för volymerna, en statisk replikeringsportfölj baseradpå Maes och Timmermans modell för att imitera kontona och slutligen så mo-delleras likviditetsrisken med ett ramverk som föreslagits av Kalkbrener ochWilling. Alla dessa nämnda modeller appliceras, där det är möjligt, på de treolika kontotyperna: privatkonton, sparkonton samt företagssparkonto.Resultatet är att räntemodelleringen samt replikeringsportföljen inte ger ade-kvata resultat på grund av den rådande marknaden. Vidare så ger en SARIMA-modell den bästa prediktionen, vilket gör att slutsatsen är att andra exogenavariabler redan är inneslutna i den fördröjda volymvariabeln. Avslutningsvisså ger likviditetsmodellen tillfredsställande resultat och antas vara rimlig.