[pt] Esta dissertação procura estudar os critérios de análise de investimentos baseados na metodologia do Valor Presente Líquido e de Opções Reais seguindo o processo estocástico de Reversão à Média fazendo uso de um caso prático na indústria de petróleo. O estudo de caso é a análise de viabilidade do desenvolvimento de um campo de petróleo onde as etapas de pesquisa e estudos já foram realizadas e que possue 3 alternativas de desenvolvimento à escolher. A partir deste estudo de caso será possível comparar através de uma ferramenta gerencial chamada de back-testing as análises de viabilidade realizadas. A dissertação tem como objetivo confirmar, com os resultados obtidos no back- testing, a geração de valor na utilização da teoria de opções reais que através da sua metodologia busca maximizar o valor do projeto pela inclusão de flexibilidades gerenciais neste caso uma opção de esperar até 2 anos. / [en] This dissertation compares the criteria of investments analysis based on the methodology of the Discounted Cash Flow and of Real Options Models following a Mean Reversion stochastic process making use of a real case in the oil industry. This case study is about the viability of the development of an oil field where all the stages of research have already been carried out, with 3 alternatives of development to choose. From the results of this case study it will be possible to compare with the aid of a managerial tool called back- testing the Discounted Cash Flow with the Real Option Method. The dissertation has the goal to confirm, with the backtesting results, the generation of value created by the use of real options theory which maximizes the value of the project with the addition of managerial flexibilities represented by an option to wait up to 2 years.

該篇文章中提出一個新的交易方式：條件機率交易模型conditional probability trading model。 這個模型應用了三個主要的基本假設： （1）總體經濟因子和股價指數間有相關性。因此可以透過總經指標來衡量股市應有的合理價位。 （2）股價具有回歸均數的特質。亦即股價一旦過度偏離基本價值，理論上會傾向回復到基本價值之上。 （3）股價指數相對於基本價值線的距離，將會影響偏態係數的大小。 根據以上三個性質，試圖建構出一個能夠捕捉股價指數變動的模型，並用以進行交易模擬，觀察其是否能獲取正報酬。 / The trading strategy, conditional probability trading model(CPTM), is presented in this article. We’ve tried to develop a new trading strategy which is built up by the combination of the properties which includes 1)the relationship between macroeconomic factors and stock market. 2) mean reversion and 3) conditional skewness. The conclusion implies that we may successfully find out a method to combine fundamental and technical analysis, if this method is proved effective. The former hypothesis is assumed that the different level of stock market index may stand for a specific condition of macroeconomic environment. Meanwhile, a better fundamental economic condition could reasonably create a higher stock market index, vice versa. By observing the fundamental value, we can figure out the market ,currently, is over-priced or under-priced. Next, we construct a trading model which is graphed like Bollinger bands. According to specific rules, it provides buying or selling signals. In some special situations, it can also forecast the turning points of the stock market precisely. 3) Skewness also plays a very important role in CPTM, because one of the hypothesis assumes that overpriced /underpriced stock market probably accompanies with left-skewed / right-skewed distribution of daily stock return. The hypothesis of dynamically adjusted skewness implies the concept that over-priced/under-priced stock market has higher propensity to decline/rise. To judge the trading timing is the core value in this model.

NJ, Rutgers State Univ. of New Jersey, Diss.--Newark, 2005. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 2 Beitr.

Submitted by Cristina Tessari (tinatessari@gmail.com) on 2016-06-09T13:51:42Z No. of bitstreams: 1 DissertationEPGE_CristinaTessari2016.pdf: 1264081 bytes, checksum: 14e65157457bfe8deea5353bb192a0af (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-06-29T14:03:25Z (GMT) No. of bitstreams: 1 DissertationEPGE_CristinaTessari2016.pdf: 1264081 bytes, checksum: 14e65157457bfe8deea5353bb192a0af (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-06-29T14:06:59Z (GMT) No. of bitstreams: 1 DissertationEPGE_CristinaTessari2016.pdf: 1264081 bytes, checksum: 14e65157457bfe8deea5353bb192a0af (MD5) / Made available in DSpace on 2016-06-29T14:07:23Z (GMT). No. of bitstreams: 1 DissertationEPGE_CristinaTessari2016.pdf: 1264081 bytes, checksum: 14e65157457bfe8deea5353bb192a0af (MD5) Previous issue date: 2016-03-22 / We use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock returns. Since there is evidence that lagged skewness alone does not adequately forecast skewness, we estimate a cross-sectional model of expected skewness that uses additional predictive variables. Then, we sort stocks each month according to their idiosyncratic moments, forming quintile portfolios. We find a negative relationship between higher idiosyncratic moments and next-month stock returns. The trading strategy that sells stocks in the top quintile of expected skewness and buys stocks in the bottom quintile generates a significant monthly return of about 120 basis points. Our results are robust across sample periods, portfolio weightings, and to Fama and French (1993)’s risk adjustment factors. Finally, we identify a return reversal of stocks with high idiosyncratic skewness. Specifically, stocks with high idiosyncratic skewness have high contemporaneous returns. That tends to reverse, resulting in negative abnormal returns in the following month. / In the first chapter, we test some stochastic volatility models using options on the S&P 500 index. First, we demonstrate the presence of a short time-scale, on the order of days, and a long time-scale, on the order of months, in the S&P 500 volatility process using the empirical structure function, or variogram. This result is consistent with findings of previous studies. The main contribution of our paper is to estimate the two time-scales in the volatility process simultaneously by using nonlinear weighted least-squares technique. To test the statistical significance of the rates of mean-reversion, we bootstrap pairs of residuals using the circular block bootstrap of Politis and Romano (1992). We choose the block-length according to the automatic procedure of Politis and White (2004). After that, we calculate a first-order correction to the Black-Scholes prices using three different first-order corrections: (i) a fast time scale correction; (ii) a slow time scale correction; and (iii) a multiscale (fast and slow) correction. To test the ability of our model to price options, we simulate options prices using five different specifications for the rates or mean-reversion. We did not find any evidence that these asymptotic models perform better, in terms of RMSE, than the Black-Scholes model. In the second chapter, we use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock returns. Since there is evidence that lagged skewness alone does not adequately forecast skewness, we estimate a cross-sectional model of expected skewness that uses additional predictive variables. Then, we sort stocks each month according to their idiosyncratic moments, forming quintile portfolios. We find a negative relationship between higher idiosyncratic moments and next-month stock returns. The trading strategy that sells stocks in the top quintile of expected skewness and buys stocks in the bottom quintile generates a significant monthly return of about 120 basis points. Our results are robust across sample periods, portfolio weightings, and to Fama and French (1993)’s risk adjustment factors. Finally, we identify a return reversal of stocks with high idiosyncratic skewness. Specifically, stocks with high idiosyncratic skewness have high contemporaneous returns. That tends to reverse, resulting in negative abnormal returns in the following month.

Submitted by Jerckns Cruz (jerckns@hotmail.com) on 2009-12-11T03:37:02Z No. of bitstreams: 1 tese_Jerckns Cruz.pdf: 208471 bytes, checksum: 6be3209c95745116ae6d8db9f6c2ea1b (MD5) / Approved for entry into archive by Gisele Gammaro(gisele.gammaro@fgv.br) on 2009-12-14T15:03:00Z (GMT) No. of bitstreams: 1 tese_Jerckns Cruz.pdf: 208471 bytes, checksum: 6be3209c95745116ae6d8db9f6c2ea1b (MD5) / Made available in DSpace on 2009-12-14T15:03:09Z (GMT). No. of bitstreams: 1 tese_Jerckns Cruz.pdf: 208471 bytes, checksum: 6be3209c95745116ae6d8db9f6c2ea1b (MD5) / The theory of Behavioral Finance emerges as a new approach to the financial market, arguing that some events are better explained if the restrictions of investor’s rationality are relaxed. Concepts of psychology and limits to arbitrage are used to model market inefficiencies, bringing up the idea that market can be systematically beaten. This paper proposes a new model, of simple implementation, to explore the abnormal returns from the momentum and mean reversion strategies simultaneously. The idea of a long term momentum effect stronger than the short term effect is introduced, but the empirical results show that the Brazilian market dynamics reject this concept. The model fails to achieve riskless positive returns. / A teoria de Finanças Comportamentais surge como uma nova abordagem ao mercado financeiro, argumentando que alguns eventos podem ser mais bem explicados se as restrições da racionalidade do investidor são relaxadas. Conceitos de psicologia e limites à arbitragem são usados para modelar as ineficiências, criando a idéia de ser possível ganhar sistematicamente do mercado. Este trabalho propõe um novo modelo, simplista na sua implementação, para aproveitar os retornos anormais advindos de estratégias de momentum e reversão à média simultaneamente. A idéia de um efeito momentum de longo prazo mais forte que o de curto prazo é introduzida, mas os resultados empíricos mostram que a dinâmica do mercado brasileiro rejeita este conceito. O modelo falha em conseguir retornos positivos e livres de risco.

In this thesis, we consider the pricing problem of an American put option. We introduce a new market model for the evolution of the underlying asset price. Our model adds a new parameter to the well known Heston model. Hence we name our model the extended Heston model. To solve the American put pricing problem we adapt the idea developed by Fouque et al. (2000) to derive the asymptotic formula. We then connect the idea developed by Medvedev and Scaillet (2010) to provide an asymptotic solution for the leading order term P0. We do numerical analysis to gain insight into the accuracy and validity of our asymptotic approximation formula.

This study examines the relationship between mean reversion and a black swan event on the Swedish stock market. The data is taken from the Mid Cap and the Large Cap and then compared with the OMXS index. The purpose is to try and find evidence of mean reversion on both lists and if a black swan event will interfere with the mean reverting behaviour. The results we could find was that there is mean reversion on the market for our time period 2005-2022. We could also find evidence of mean reversion during the three black swan events, 2008 financial crisis, Brexit, and Covid-19 pandemic.

TCTP est une petite protéine globulaire (20~kDa) qui interagit avec de nombreux partenaires et qui est impliquée dans diverses fonctions cellulaires et physiologiques, avec un rôle bien documenté dans la réversion tumorale qui est un phénomène rare et spontané où une cellule cancereuse perd tout ou partie de son phénotype malin et retrouve des caractéristiques associées aux cellules bénignes telles que la sensibilité à l'apoptose. Dans les cellules cancéreuses, TCTP inhibe la dégradation de MDM2, diminuant ainsi les niveaux de p53 et favorisant le maintien et la progression du cancer. TCTP contient également un motif BH3-like connu pour réguler les membres de la famille Bcl-2 et elle interagit directement avec Bcl-xL et Mcl-1 pour renforcer leurs propriétés anti-apoptotiques. Dans la structure TCTP, le motif BH3-like n'est pas facilement accessible pour une interaction avec un partenaire. Conformément à son importance dans le maintien de la tumeur, TCTP est une cible pharmacologique validée dans le traitement du cancer et fait l’objet d’essais cliniques en cours avec une molécule d'abord connue comme anti-depresseur, la sertraline. Cependant, on en sait peu sur la structure de TCTP en complexe avec ses partenaires, ce qui entrave le développement de médicaments et ne permet pas de comprendre comment TCTP peut s'adapter à une telle variété de partenaires. Ainsi, nous avons étudié le mécanisme moléculaire par lequel TCTP s'associe à des protéines et à des ligands en utilisant diverses méthodes biophysiques (RMN, SAXS, CD, SEC, DSF...). Nous avons démontré que la protéine TCTP se lie à Bcl-xL et à Mcl-1 dans le sillon de liaison des motifs BH3. Dans les complexes, la région BH3-like est engagée dans l'interface intermoléculaire et la structure centrale de TCTP est déstabilisée dans un état de globule fondu (molten-globule). Nous avons en outre montré que seule une forme mineure pré-existante de TCTP, à savoir TCTP*, est compétente pour les interactions avec les partenaires Bcl-xL et Mcl-1. Dans TCTP*, la région BH3-like est détachée du domaine structuré et elle est accessible aux protéines Bcl-xL/Mcl-1 tandis qu'on retrouve un état globule fondu dans la partie globulaire de TCTP*. Nous avons également collecté des données d'interaction préliminaires entre TCTP et la sertraline, des ARN, la protéine YB-1 se liant à l'ARN et le domaine N-terminal de MDM2. Enfin, nous avons caractérisé TCTP phosphorylé (pTCTP) au résidu S46 en utilisant la Plk-1 car cette modification a un impact sur les interactions et est un marqueur de l'aggressivité tumorale. En résumé, ces travaux ont établi la versatilité de TCTP en terme de structure et ont montré que cette versatilité est indispensable pour exercer ses fonctions cellulaires. En conséquence, ceci devrait être pris en compte dans les stratégies de développement de nouvelles molécules thérapeutiques ciblant TCTP. / TCTP is a small (20~kDa) globular protein that interacts with many partners with consequences in various cellular and physiological functions, with well-documented roles in tumoral reversion program. Cells that undergo such program spontaneously loose their malignant phenotype and recover characteristics associated with benign cells, such as apoptosis. In cancer cells, TCTP inhibits MDM2 degradation, thus decreasing p53 levels and favoring tumor maintenance and progression. TCTP also contains a BH3-like motif known to regulate Bcl-2 family members and TCTP directly interacts with Bcl-xL and Mcl-1 to reinforce their pro-survival properties. In TCTP structure, the BH3-like motif is not readily accessible for interaction. Consistently with its importance in tumor maintenance, TCTP is a validated pharmacological target in cancer treatment with ongoing clinical trials using the TCTP-targeting antidepressant drug sertraline. However, little is known about TCTP structure in complex with partners, thus impeding the development of drugs and the understanding of how TCTP could adapt to its myriad of partners. Thus, we investigated the molecular mechanism by which TCTP associates with proteins and ligands using various biophysical methods (NMR, SAXS, CD, SEC, DSF...). We have demonstrated that full length TCTP binds to Bcl-xL and Mcl-1 in their BH3-binding groove. In the complexes, the TCTP BH3-like region is engaged in the intermolecular interface and the core TCTP structure is destabilized into a molten-globule (MG) state. We further showed that only a minor pre-existing form of TCTP, namely TCTP*, is competent for interactions with the Bcl-2 protein partners. In TCTP*, the BH3-like region is unpinned and accessible to Bcl-xL/Mcl-1 proteins and the core structure is also in MG state. We also collected preliminary interaction data between TCTP and sertraline, RNA, the RNA binding YB-1 protein and the MDM2 N-terminal domain. Finally, we characterized the Plk-1-mediated S46 phosphorylated TCTP (pTCTP), a marker of tumor aggressivity and its interaction properties. Overall, this work established the structural versatility of TCTP that is mandatory to exert its cellular functions and this versatility should be taken into account in drug-design strategies targeting TCTP.

Au cours de chimiothérapies, les cellules cancéreuses parviennent fréquemment à échapper aux effets toxiques des médicaments en développant des mécanismes de chimiorésistance qui résultent souvent de la présence d’un système d’efflux de ces médicaments. Cette chimiorésistance est corrélée à un phénomène appelé « phénotype MDR » pour (MultiDrug Resistance) et associé à la surexpression d’ATPases membranaires appartenant aux transporteurs ABC (ATP Binding Cassette). Le transporteur ABCG2 fait partie de cette grande famille de protéines. Un alignement de séquence a permis l’identification chez ABCG2 une séquence spécifique (LSGGE) très semblable à la séquence signature (VSGGE) de tous les transporteurs ABC. La mutation ponctuelle des résidus de cette séquence en alanine a produit une perte importante de fonction des mutants L352A et S353A, observée au niveau du transport et de l’activité ATPasique. Des relations structure-activité établies à partir de différents composés de la famille des flavonoïdes ont permis d’identifier MBLI 97, boéravinone G, MHT et ABI comme des composés puissants et spécifiques, capables d’abolir la résistance à de multiples drogues et chimiosensibiliser la croissance cellulaire. Le ciblage de séquences spécifiques et l'utilisation d'inhibiteurs spécifiques de ces transporteurs constituent des stratégies destinées à contrer la chimiorésistance et augmenter l’efficacité des traitements chimiothérapeutiques. / During chemotherapy, cancer cells frequently succeed to escape the toxic effects of drugs by developing mechanisms of chemoresistance which often result from the presence of an efflux system of these drugs. Such a chemoresistance is correlated to the MDR (MultiDrug Resistance) phenotype and associated to overexpression of membrane ATPases belonging to the ABC (ATP-Binding Cassette) transporters. The ABCG2 transporter belongs to this large family of proteins. Sequence alignment allowed the identification of a specific (LSGGE) sequence in ABCG2, which is quite similar to the canonical sequence signature (VSGGE) of all ABC transporters. Point mutation of these residues into alanine produced a loss of function in L352A and S353A mutants, as observed in transport and on ATPase activity. Structure-activity relationships drawn from some compounds among the family of flavonoids allowed the identification of MBLI 97, boeravinone G, MHT and ABI as potent and ABCG2-specific inhibitors, able to revert multidrug resistance and chemosensitize cell growth. The study of specific sequences and use of specific inhibitors of these transporters constitute strategies to abolish cancer cell chemoresistance and to increase the efficiency of chemotherapeutic treatments.

Le droit de retour légal est celui en vertu duquel une personne succède à des biens qui avaient été remis gratuitement au défunt décédé sans postérité. Il s’agit d’une institution ancienne dont le fondement premier était traditionnellement la conservation des biens dans la famille. Apparu en droit romain, appliqué dans l’ancien droit français, le retour légal fut inséré in extremis dans le Code Napoléon, à côté du droit de retour de nature conventionnelle qu’il est loisible aux parties de stipuler. Des trois cas de retour prévus en 1804, deux furent supprimés par la loi du 3 janvier 1972. Il fallut attendre la loi du 3 décembre 2001 pour qu’à l’article 757-3 un nouveau droit de retour légal soit instauré au bénéfice des frères et soeurs qui, du fait de la réforme, se trouvaient primés par le conjoint dans la dévolution ab intestat. Puis la loi du 23 juin 2006 instaura à son tour à l’article 738-2 un droit de retour légal au profit des père et mère qui venaient de perdre leur qualité d’héritier réservataire. Dans ces deux cas, on observe que l’instauration du droit de retour légal constitue une contrepartie, pour les uns de leur exclusion de la dévolution par le conjoint, pour les autres de la perte du bénéfice de la réserve : fonction originale pour un droit de retour légal. Si les fondements des textes nouveaux ne sont pas évidents à mettre en lumière, leurs régimes novateurs soulèvent également de nombreuses difficultés d’applications et d’interprétations. Naguère, le retour légal organisait la dévolution successorale d’un bien en fonction de son origine dont il résultait une dualité de succession. Aujourd’hui, le retour légal n’organise plus que la dévolution successorale d’une portion de bien en tenant compte de son origine et l’on doute qu’il constitue dans tous les cas une succession anomale impliquant une dualité de succession. Ces incertitudes engagent à se demander s’il est possible de déroger au retour légal et comment. Au-delà de la dérogation conventionnelle, la modification et même l’abrogation des textes doivent être envisagées. / The statutory reversion right is the right under which a person inherits assets which were returned free of charge to the deceased who died leaving no descendants. It is an old institution which primary basis is, traditionally, the preservation of assets in the family. Established in Roman law, applied in old French law, statutory reversion was inserted in extremis in the Napoleonic code (the French civil code) next to the conventional reversion right which can be stipulated by the two parties within the framework of a transfer contract inter vivos. Out of the three cases provided in 1804, two were removed by the law of January 3, 1972. But it was not until December 3, 2001 that was established, in article 757-3 of the Civil Code, a new statutory reversion right in favour of the brothers and sisters, who, as a consequence of the reform, were superseded by the spouse in the transfer under intestate succession. Then the law of June 23, 2006 established, in turn, in article 738-2 of the Civil Code, a statutory reversion right in favour of the father and mother who had just lost their qualification of rightful heirs. In both cases, we can notice that the establishment of the statutory reversion right constitutes a counterpart, on one hand according to the exclusion for transfer by the spouse, on the other hand, the loss of the benefit of reservation: a particular role for the statutory reversion right. If the bases of the new texts are not easily highlighted, their innovative schemes also raise numerous difficulties of application and interpretation. Formerly, statutory reversion established transmission of property by inheritance according to its origin from which a duality in terms of inheritance resulted. Nowadays, statutory reversion only establishes transmission of property by inheritance of a portion of goods, taking into account its origin, and this raises some doubt as to whether it shall constitute, in all cases, an anomalous succession implying duality in terms of inheritance. This results in uncertainties which lead to wonder if it is possible to derogate from the statutory reversion and how this could be done. Beyond variation by agreement, the modification and even the repeal of texts must be considered.