The first chapter investigates how corporate governance influences firms’ capital structure behavior. Based on the premise that costs associated with deviations from the target capital structure are positively correlated to the extent of deviation, we hypothesize that the initial deviation from the target will be shorter for a firm with good corporate governance than for a firm with poor corporate governance. We also hypothesize that the former group will employ a higher speed of adjustment towards target than the latter group due primarily to the following reasons. First, a firm with well-placed governance system will adjust at a faster rate because longer it stays deviated, the higher the loss of value it faces. Second, firms with better governance structures enjoy lower adjustment costs. We develop three sets of measures for the quality of corporate governance and analyze how they influence a firm’s rebalancing behavior in presence of relevant control variables. Our results are consistent with the hypotheses. The second chapter explores investors’ reactions to new information on REITs and non-REITs option markets. The real estate market can be fairly volatile; what remains unclear is whether price changes are excessively volatile relative to fundamentals. This study attempts to examine the latter by using the methodology based on Stein (1989), which utilizes option data. The advantage of using option data rather than stock data to assess the reactions to information is that option valuation is not affected by changes in risk premium. Under volatility mean reversion, the changes in implied volatilities of long-term options should be less than those of short-term options. If not, an excessive reaction is suggested. Specifically, the study compares the changes in implied volatilities of options on REITs and non-REITs. Because real estate transactions typically involve a great degree of leverage, reactions can be greater for REITs than for non-REITs; on the other hand, there are several reasons that REITs are subject to potentially a lower degree of excessive reactions. Empirical results indicate that the reactions to information are stronger in non-REITs than in REITs. Moreover, we find that down markets are associated with stronger reactions, which we argue might be due to a leverage effect.

[pt] O presente estudo tem como objetivo testar a possibilidade de obtenção de retornos anormais de capital entre jan/2003 e dez/2012 para o mercado acionário brasileiro no curtíssimo prazo. Investigou-se, para tanto, a hipótese de reversão à média de curto prazo associada a uma seleção de ativos (ações) com base no critério de ordenamento decrescente do múltiplo P/VPA. Os ativos integrantes das carteiras vigentes do IBrX-100 foram ordenados de forma decrescente e em seguida estratégias contrárias com carteiras compradas em ações perdedoras e vendidas em ganhadoras foram montadas e testadas nos períodos subseqüentes. Evidências empíricas foram encontradas a favor da combinação de estratégias de valor e momento e, consequentemente, a favor da possibilidade de retornos anormais. Entretanto, o teste estatístico realizado felha em rejeitar a hipótese da significância dos resultados. Por fim, o trabalho investigou a existência de retornos residuais, expressos pelos Coeficientes de Jensen. Contudo, novamente o teste estatístico realizado não foi capaz de confirmar a significância dos resultados. / [en] The goal of this study is to test the possibility of obtaining abnormal capital returns between Jan/2003 and Dec/2012 for the Brazilian stock market in the very short run. We investigated, therefore, the hypothesis of mean reversion of returns associated with a selection of assets (shares) based on the criteria of descending order of P/BV ratio. Assets present in IBrX – 100 existing portfolios were ranked in decreasing order of P/BV ratio and then contrarian strategies were used with portfolios built by winner and loser stocks to test the abnormal returns in subsequent periods. Empirical evidences were found for the combination of Value and Momentum strategies and therefore for the possibility of abnormal returns. However, the statistical test performed fail to reject the hypothesis of significance of the results. Finally, the study investigated the existence of residua returns, expressed by Jensen Coeficients. However, once again the statistical test performed was not able to confirm the significance of the results.

[pt] O objetivo da presente dissertação é capturar o valor da flexibilidade que uma planta XTL oferece na entrada do sistema produtivo, onde podem ser utilizados diversos tipos de insumos como matéria-prima. A saída do sistema produtivo também permite que diferentes produtos sejam produzidos. Desta forma, o autor considera que a metodologia das opções reais é a mais indicada para se avaliar tais flexibilidades, sendo o objeto principal deste estudo a análise da opção de conversão (Input/Output Switch option) através da utilização do processo estocástico de reversão à média com saltos. Os resultados desta dissertação podem auxiliar a tomada de decisão dos gestores da área de petróleo e energia, onde outros projetos já foram avaliados através dessa mesma metodologia, no entanto, não existe qualquer interesse em comprovar a eficiência da teoria das opções reais frente às metodologias de avaliação financeira usuais. / [en] The objective of this dissertation is to value the operational flexibility that a GTL plant can offer at the entrance of the productive process where multiples inputs can be used as row material. Different products also can be produced. The real options theory is considered by the author as the most indicated financial methodology to value theses flexibilities and the main goal of the present study is to value the Input/Output switch option and the mean reversion with jumps stochastic process. The aim of this study is also to support manager´s investment decision from oil and energy field, where others projects has been already valuated with real options theory so the proof of the theory efficiency against traditional valuation methodologies is not object from this study.

[pt] O Presente trabalho tem como objetivo analisar a viabilidade econômica de uma planta XTL usando a teoria das Opções Reais. Esta metodologia é a mais adequada para avaliar a capacidade que este tipo de projeto dispões de trocar de input e/ou output, ou seja, eleger a cesta que maximiza o resultado final, de acordo com cada cenário. Essa política ótica permite avaliar a construção de uma planta com flexibilidades, com o investimento ocorrendo em um ambiente de incerteza, onde os preços (fatores de incerteza) serão considerados estocáticos e seguirão um Movimento de Reversão à Média. Os cálculos numéricos serão feitos através da simulação de Monte Carlo. A tecnologia, designada XTL, está dividida em duas etapas: um processo de gaseificação seguido de um processo GTL (gás-to- liquid). A gaseificação permite transformar sólidos, líquidos e gases em gás de síntese, que será usado como input do GTL. Já o GTL possibilita transformar o gás de síntese em líquidos de alta qualidade, tais como nafta, diesel, parafinas e lubrificantes. Por associação, esta dissertação faz parte de um projeto que visa aplicar a teoria de Opções Reais na avaliação de investimentos em Pesquisa e Desenvolvimento (P&D), com a finalidade de valorar e considerar as flexibilidades inerentes a este tipo de projeto. / [en] The present work has objective to analyze the investiment of a XTL plant using the Real Options Theory. This methodology is adjusted to evaluate the capacity that this project has to changes its input and/or output, in other words, to elect the option that maximizes payoff, in accordance with each scenario, allowing to evaluate the construction of a plant with flexibilities with the investiments happening in an environment of economical and/or technical uncertainties, where the prices (uncertainty factors) are stochastic and will follow the Mean Reversion Model, calculated by the Monte Carlo Simulation. The XTL technology is divided in two stages: a gasification process followed by a GTL (gas-to-liquid) process. The gasification process allows you to transform solids, liquids and gases into synthesis gas, that will be used as input of the GTL. The GTL makes possible to transform the syntesis gas into high quality liquids, such as naphtha, diesel, paraffins and lubrificants. This work is part of a project, with the objective to apply the Real Options Theory in the evaluation of investiments in Research and Development (R&D), aiming to price and consider the flexibilities that are inherent to this project.

Made available in DSpace on 2016-07-27T14:20:00Z (GMT). No. of bitstreams: 1 LOHANNA NOLETO BUENO.pdf: 675950 bytes, checksum: eef661d4fe786305a2109f56731cedc5 (MD5) Previous issue date: 2013-04-01 / This study aimed at functionally assess reports that indicating negative emotional states of two people diagnosed, by psychiatric medicine, as major depressive episode. Participated in this study a male person, 25 years old and one female, aged 23, who used antidepressant medications. The research was conducted in experimental therapeutic context. To evaluate the antecedents and the consequences of the reports of negative emotional states of the participants, we applied three methods such as (a) indirect functional evaluation, (b) functional evaluation through direct observation and (c) experimental functional evaluation, with using the experimental design of reversion with the first participant and reversion-replication, within follow-up for the second participant. This design was used to control the procedures during interventions in order to reduce reports of negative emocional states, to express in front of people for the first participant and to increase the frequency of desired behaviors for social interaction with second participant s husband. Another class of target behavior was to look away, however none specific consequence was scheduled, since the goal was to assess if the intervention s efficacy was extended to other classes. The results showed that reports of negative emotional states was reduced in its frequency, under differential reinforcement alternative effect (DRA). They also demonstrated the increasing frequency of expressing in front of people, as well as the desired behaviors for social interaction with the husband. The results also showed that the behavior of look away reduced frequency even if not have been applied an specific consequence for that behavior class. Consequently, they also demonstrated the importance of the procedures applied, such as functional assessment interviews and direct observation of target behaviors. The results indicated that depressive behaviors are a function of social environment and absense of appropriate repertoire for dealing with aversive events, when of the impossibility of liberation of other reinforcing agents. Therefore, besides having advanced the researche, the results corroborate with the literature of the area and its implications. / Este estudo objetivou avaliar funcionalmente relatos indicativos de estados emocionais negativos de duas pessoas diagnosticadas, pela medicina psiquiátrica, com episódio depressivo maior. Participou deste estudo uma pessoa do sexo masculino, de 25 anos e uma pessoa do sexo feminino, de 23 anos, que faziam uso de medicamentos antidepressivos. A pesquisa foi desenvolvida em contexto terapêutico experimental. Para avaliar os antecedentes e consequentes de relatos de estados emocionais negativos dos participantes, foram empregados procedimentos de (a) avaliação funcional indireta, (b) avaliação funcional por meio de observação direta e (c) avaliação funcional experimental com o uso do delineamento de reversão para o primeiro participante e reversão-replicação, seguido por follow-up para o segundo participante. Esse delineamento foi utilizado para o controle dos procedimentos durante as intervenções para a redução de relatos de estados emocionais negativos, expressar diante das pessoas para o primeiro participante e para aumentar a frequência de comportamentos desejados para a interação social com o esposo do segundo participante. Outra classe de comportamento-alvo foi o desviar os olhos, porém nenhuma consequência específica foi programada, uma vez que o objetivo era avaliar se a eficácia da intervenção se estenderia para outras classes. Os resultados demonstraram que os relatos de estados emocionais negativos reduziram de frequência sob o efeito do reforçamento diferencial alternativo (DRA). Demonstraram, também, que o comportamento de expressar diante das pessoas aumentou de frequência, assim como os comportamentos desejados para a interação com o esposo. Os resultados apontaram, também, que o comportamento de desviar o olhar reduziu de frequência mesmo não tendo sido aplicada uma consequência específica para essa classe. Apontaram, ainda, para a relevância dos procedimentos adotados, como as entrevistas de avaliação funcional, bem como da observação direta dos comportamentos-alvo. Os resultados indicaram serem os comportamentos depressivos função do ambiente social e da falta de repertórios apropriados para lidar com eventos aversivos, quando da impossibilidade da liberação de outros agentes reforçadores. Por conseguinte, além de ter avançado nas pesquisas, os resultados corroboraram com a literatura da área e suas implicações.

O objetivo dessa tese é contribuir para o entendimento da precipitação de compostos intermetálicos e da reversão da martensita por meio de modelos cinéticos, tanto em experimentos isotérmicos no aço maraging 350 (350B) como em estudos não-isotérmicos nos aços maraging 300 (300A), maraging 350 (350C). Além da cinética das transformações de fase, foram estudadas também as mudanças da microestrutura e dos mecanismos de endurecimento decorrentes de tratamentos térmicos de envelhecimento para o aço maraging 350B. Para estas finalidades, foram usadas diversas técnicas complementares de caracterização microestrutural, como microscopia ótica (MO), microscopia eletrônica de varredura (MEV) com espectroscopia por dispersão de energia de raios X (EDS), microdureza Vickers, difração de raios X (DRX) e ferritoscopia. Já a calorimetria exploratória diferencial (DSC) foi usada para estudar a precipitação de compostos intermetálicos e reversão da martensita em experimentos não-isotérmicos. Os resultados dos experimentos não-isotérmicos de DSC com os aços maraging 300 e 350 evidenciaram que a precipitação ocorre em duas etapas. A primeira relacionada à difusão de soluto no volume com energia de ativação próxima da difusão do níquel e molibdênio na ferrita, enquanto a segunda acontece por meio da difusão de soluto ao longo das discordâncias com energia de ativação menor que a difusão do níquel e do molibdênio na ferrita. Observou-se também que a reversão da martensita pode ocorrer em duas etapas. A primeira etapa foi associada à difusão de soluto, enquanto a segunda foi relacionada ao mecanismo de cisalhamento. Já as observações microestruturais, por meio de microscopia óptica e de microscopia eletrônica de varredura, evidenciaram que a austenita revertida formou-se nas regiões de interface, como os contornos de grão, contornos de pacote e contornos de ripas da estrutura martensítica para temperaturas a partir de 520 °C, enquanto a austenita revertida encontrada no interior das ripas da martensita formou-se a partir de 560 °C. O estudo da cinética de precipitação e do comportamento da curva de envelhecimento em um aço maraging 350 (350B), para tratamentos isotérmicos entre 440 e 600 °C, mostrou que as medidas de microdureza podem ser muito úteis para estudos dessa natureza nesses aços. A análise cinética da precipitação, realizada por meio do ajuste dos dados experimentais aos modelos JMAK e Austin-Rickett, mostrou que eles se ajustam bem a esses modelos com coeficiente de correlação próximo de 1. Entretanto, a interpretação dos valores de n, obtidos pela equação Austin-Rickett, mostrou que eles têm maior concordância com as mudanças microestruturais observadas nos aços maraging, em estudos anteriores, se comparados com aqueles estimados por meio da equação JMAK. A interpretação das constantes n, usando a equação Austin-Rickett, permitiu estabelecer diversas etapas para a precipitação. Na primeira ocorre a precipitação nas discordâncias para 440 °C, seguida pelo crescimento de cilindros longos e finitos em comparação com a distância de separação deles para 480 °C e, por fim, o crescimento de precipitados partindo de dimensões pequenas com taxa de nucleação zero para 520 e 560 °C. Já o estudo do comportamento da curva de envelhecimento para diversos tempos entre 440 e 600 °C em aço maraging 350 (350B) mostrou que esse aço apresenta uma etapa de endurecimento e outra de amolecimento. Essa etapa de endurecimento, comumente atribuída à formação de fases intermetálicas coerentes e semicoerentes, pode subdividir-se em dois estágios para as temperaturas de envelhecimento de 440 e 480 ºC ou apresentar um único estágio para 520 e 560 ºC. Já a etapa de amolecimento é associada não somente ao mecanismo clássico de superenvelhecimento em que a queda na resistência mecânica ocorre em virtude da perda de coerência e do engrossamento de precipitados, mas também como consequência da formação de austenita revertida a partir da martensita, especialmente, para temperaturas entre 520 e 600 ºC. / The purpose of this thesis is to contribute to the understanding of precipitation of intermetallic compounds and reversion of martensite through kinetic models, as in isothermal experiments in maraging 350 steel (350B) as in non-isothermal studies in maraging steels 300 (300A) maraging 350 (350C). In addition to kinetics of phase transformation, they were also investigated both the changes of the microstructure and the mechanisms of hardening due to aging heat treatments for the maraging steel 350B. For these purposes, we used several complementary techniques for microstructural characterization, such as optical microscopy (OM), scanning electron microscopy (SEM) with energy dispersive X-ray spectroscopy (EDS), Vickers hardness, X-ray diffraction (XRD) and feritscope, while differential scanning calorimetry (DSC) was used to study the precipitation of intermetallic compounds and reversion of martensite in non-isothermal experiments. The results of the non-isothermal DSC experiments with the maraging steel 300 and 350 showed that precipitation occurs in two steps. First stage related to the diffusion of solute in bulk with activation energy next to nickel diffusion and molybdenum in the ferrite, while second stage occurs through the solute diffusion along dislocations with lower activation energy than the diffusion of nickel and molybdenum in ferrite. It was also observed that the reversion of the martensite can occur in two steps. First stage was associated with the solute diffusion, while the second stage is related to the shear mechanism. Microstructural observations by optical microscopy and scanning electron microscopy showed that austenite reverted was formed in the interface regions, such as grain boundaries, packet boundaries and lath boundaries of martensitic structure for temperatures from the 520 °C, while the reverted austenite found within the martensite laths formed from 560 °C. Study of the kinetics of precipitation and aging hardening behavior in a 350 maraging steel (350B), by isothermal treatments between 440 and 600 °C, showed that the microhardness measurements can be very useful for such studies in these steels. Kinetics of precipitation analysis was carried out by adjusting the experimental data to JMAK and Austin-Rickett models. It showed that they fit well to these models with a correlation coefficient close to 1. However, the interpretation of the n values, obtained by Austin-Rickett equation, they have showed higher agreement with the observed microstructural changes in the maraging steel, in previous studies, when compared with those estimated by JMAK equation. The interpretation of the constants, using the Austin-Rickett equation, revealed several steps to precipitation. In the first precipitates on dislocations for 440 °C followed by growth of long and finite cylinders in comparison with the distance their separation for 480 °C and, finally, the growth of precipitates starting from small dimensions with nucleation rate zero for 520 and 560 °C. Study of aging hardening behavior curve for various times between 440 and 600 °C in maraging steel 350 (350B) showed that the steel has a hardening step and another softening. This step of hardening, commonly attributed to the formation of intermetallic phases coherent and semicoerentes, it can be divided into two stages to the aging temperatures of 440 and 480 °C or present a single stage 520 and 560 °C. Since the softening stage is associated not only to classic overaging mechanism in which a drop in mechanical strength occurs due to loss of coherence and precipitate coarsening, but also as a consequence of austenite formation reverted from the martensite especially to temperatures between 520 and 600 °C.

Abstract Refining grain size is known to enhance mechanical properties also in austenitic stainless steels. To better understand the background of these properties, various reversion-treated structures were created in AISI 301LN (18Cr-7Ni-0.15N) steel and the microstructural features affecting flow behaviour and strength under monotonic and cyclic straining were investigated. Fully and partially reversed microstructures were produced using prior cold rolling thickness reductions in the range of 32–63% and both resistant and induction heating. Some selected reversed structures were also strengthening rolled to 20% reduction. The resultant microstructures were characterised using different research equipment and methods and their mechanical properties determined by microhardness, tensile and fatigue tests. The main interest was focused on the microstructural features of low-temperature reversed structures and the stability of austenite in them. Effective grain refinement was achieved after 56–63% rolling reduction. Depending on the reduction and annealing conditions, the reversed structures consisted of various amounts of submicron- and medium-sized austenite grains and retained phases. All the reversed structures showed non-homogenous, often bimodal grain size distribution. It was demonstrated that the stability of austenite was much reduced after annealing at temperatures ≤ 850 °C, which was attributed to precipitation occurring at these low temperatures. Fine grain size itself promoted higher stability, but the coarsest retained austenite was stable due to its special orientation. Therefore, medium-sized grains of 3–10 μm, formed mainly from slightly deformed strain-induced martensite, appeared to be most unstable, the fraction being highest after the lowest reduction. The yield and fatigue strengths of the low-temperature reversion-treated structures were significantly higher than those of commercial 301LN. Fatigue strength corresponded to that of a 20% cold-rolled sheet. Strength was highly enhanced even after the lowest cold rolling reduction of 32%, for the lower strength of the coarser reversed grain structure was balanced by the higher fractions of strong retained austenite and martensite phases. / Tiivistelmä Austeniitin raekoon hienontamisen tiedetään parantavan merkittävästi ruostumattomien terästen mekaanisia ominaisuuksia. Hienorakeisten reversiorakenteiden muokkauslujittumiseen ja lujuuteen vaikuttavien tekijöiden yksityiskohtaista tutkimista varten tuotettiin AISI 301LN (18Cr-7Ni-0.15N) teräkseen 32–63% kylmävalssausreduktiota ja sen jälkeistä vastus- tai induktiokuumennusta käyttäen täysin sekä osittain reversoituneita mikrorakenteita. Lisäksi osa reversiorakenteista vielä lujitusvalssattiin 10–20% reduktioon saakka. Mikrorakenteiden karakterisointiin käytettiin monipuolisesti eri tutkimuslaitteita ja menetelmiä sekä mekaanisten ominaisuuksien määrittämiseen mikrokovuus-, veto- ja väsytyskokeita. Ensisijaisena tarkoituksena oli tutkia yksityiskohtaisesti matalassa reversiolämpötilassa muodostuneita mikrorakenteita sekä hienorakeisen austeniitin stabiilisuutta monotonisessa ja syklisessä kuormituksessa. Reversiokäsitellyissä rakenteissa esiintyi vaihteleva määrä hienoja (raekoko alle 1 μm) ja keskisuuria (raekoko 3–10 μm) austeniittirakeita mahdollisien karkeiden jäännösfaasien lisäksi kylmämuokkaustilasta ja lämpökäsittely-parametreista riippuen. Suuri muokkausaste edesauttoi selvästi raerakenteen hienontumista, mutta kaikki rakenteet olivat raekokojakaumaltaan epähomogeenisia. Työssä demonstroitiin kuinka alle 900 °C:ssa hehkutetut reversiorakenteet ovat huomattavasti epästabiilimpia kuin korkeammassa syntyneet verrokkirakenteet, minkä osoitettiin johtuvan krominitridien erkautumisesta. Raekoon hienontuminen itsessään suosii suurempaa stabiilisuutta, mutta karkeimmat muokkautuneet jäännösausteniittirakeet olivat stabiileja niiden orientaation takia. Täten keskisuuret rakeet olivat epästabiileimpia. Keskisuurien rakeiden osoitettiin syntyvän pääasiassa vähän muokkaantuneesta martensiitista, ja niitä esiintyi eniten 32% reduktiolla valssatuissa rakenteissa. Matalassa lämpötilassa syntyneiden reversiorakenteiden lujuus oli merkittävästi korkeampi kuin kaupallisen teräksen. Väsymislujuus vastasi noin 20% lujitettuvalssattua tuotetta. Hehkutusta edeltänyt kylmämuokkausaste vaikutti vain vähän reversiorakenteiden lujuuteen, sillä vaikka pienin muokkausaste johti karkeimpaan keskimääräiseen raekokoon, siinä lujuutta lisäsivät kovat jäännösfaasit.

Several existing pricing models of financial derivatives as well as the effects of volatility risk are analyzed. A new option pricing model is proposed which assumes that stock price follows a diffusion process with square-root stochastic volatility. The volatility itself is mean-reverting and driven by both diffusion and compound Poisson process. These assumptions better reflect the randomness and the jumps that are readily apparent when the historical volatility data of any risky asset is graphed. The European option price is modeled by a homogeneous linear second-order partial differential equation with variable coefficients. The case of underlying assets that pay continuous dividends is considered and implemented in the model, which gives the capability of extending the results to American options. An American option price model is derived and given by a non-homogeneous linear second order partial integro-differential equation. Using Fourier and Laplace transforms an exact closed-form solution for the price formula for European call/put options is obtained.

Ziel dieser Arbeit war es, die mechanistischen Abläufe bei der Papierleimung mit ASA besser zu verstehen und weiter aufzuklären, um vor allem Wechselwirkungen mit Füllstoffen und anderen chemischen Additiven zu minimieren. Dazu sollten analytische Verfahrensmethoden entwickelt werden, welche die bilanztechnische Verfolgung von ASA und dessen Reaktionsprodukten ermöglichen, um anschließend den Einfluss und die Wechselwirkungen verschiedenster Parameter auf die ASA-Leimung untersuchen zu können. Weiterhin sollte bei Untersuchungen zur Emulgierung versucht werden, die wichtigsten Einflussgrößen auf die Partikelgröße, Stabilität und Hydrolyse des ASA aufzuzeigen. Im ersten Teil der Arbeit konnten bei den Untersuchungen zur Emulgierung wichtige Einflussgrößen auf die Partikelgröße, Stabilität und Hydrolyse von ASA-Emulsionen aufgeklärt werden. Weiterhin wurde eine Methode zur genauen Bestimmung der Reaktionskinetik der ASA-Hydrolyse sowie der Ablagerungsneigung entwickelt. Bei den Untersuchungen zur analytischen Bestimmung wurde über die NIR-Spektroskopie ein einfaches Analyseverfahren zur exakten quantitativen Bestimmung von ASA und AKD entwickelt. Es wurde gefunden, dass eine quantitative Erfassung von synthetischen Leimungsmitteln (ASA / AKD) mittels NIR in den Regionen der CH2-Schwingungen um 4300 cm-1 und 5750 cm-1 mit hoher statistischer Genauigkeit möglich ist. Der Methodenfehler für die Bestimmung von AKD liegt bei ± 0,010 % und bei ± 0,013 % für ASA. Dadurch ist eine wesentlich genauere Bewertung von Wechselwirkungen bei der Leimung als bisher möglich, da nicht nur die Leimungswirkung, sondern über NIR auch Menge und Art (gebunden / ungebunden) an Leimungsmittel in einer bisher nicht erreichbaren Messzeit betrachtet werden können. Mittels HPLC und Pyrolyse-GC/MS konnten die erstellten NIR-Kalibrationen erfolgreich validiert werden. Im letzten Teil der Arbeit wurden Wechselwirkungen von ASA mit Füllstoffen und chemischen Additiven aufgeklärt, sowie mechanistische Grundlagen zur Leimung mit ASA erarbeitet. Hier hat sich gezeigt, dass der Mechanismus der ASA-Leimung nicht nur, wie oft in der Literatur beschrieben, auf eine Veresterung mit den Hydroxylgruppen der Cellulose zurückzuführen ist. Vielmehr ist die optimale Wirkung von Leimungsmitteln sehr stark von deren Verteilung, Mobilität und Orientierung abhängig. Weiterhin konnte festgestellt werden, dass der größte Anteil des Leimungsmittels im Papier in ungebundener (hydrolisierter) Form vorliegt und somit zur Wanderung (Migration) durch das Papiergefüge befähigt ist. Trotzdem kann der hydrolisierte Anteil deutlich zur Hydrophobierung des Papiers beitragen, wenn dieser richtig orientiert und fein verteilt ist. Schlecht orientierte Leimungsmittel tragen nicht zur Leimung bei bzw. können diese sogar reduzieren. In der vorliegenden Arbeit wurden unter Einsatz moderner Methoden wichtige Grundlagen zur Papierleimung mit ASA erarbeitet. Dabei wurden insbesondere Beiträge zu den Themen Emulgierung, Hydrolyse- und Ablagerungsneigung, analytische Bestimmung, Wechselwirkungen sowie Mechanismen von ASA geleistet. Diese Ergebnisse zeigen Möglichkeiten auf, wie in Unternehmen der Papierindustrie zukünftig ASA-Leimungsmittel gezielter dosiert, Produktionsstörungen vermieden und Kosten reduziert werden können. / The purpose of this work was to develop a deeper understanding of the mechanisms in ASA sizing and to minimise interactions with fillers and other chemical additives. Therefore analytical test methods were developed, to enable a simple mass balance approach for ASA and its reaction products. Afterwards, the influence of various factors affecting ASA sizing and retention could be investigated and explained. Furthermore, the most important factors which influence particle size, stability, and hydrolysis of ASA emulsions had to be determined. In the first part of this work, studies regarding the emulsification of ASA were carried out. Here, the most important factors with regard to particle size, stability, and hydrolysis of ASA emulsions were investigated. Furthermore, a method for the exact determination of ASA hydrolysis as well as the agglomeration tendency was developed. For the investigations regarding the analytical determination, a fast and easy-to-use method for the quantification of ASA and AKD has been developed. The investigations have shown that a quantitative determination of synthetic sizing agents (ASA / AKD) is possible using NIR spectroscopy. With the help of multivariate data analysis and PLS regression, mainly the region of the CH2-bands around 4300 cm-1 and 5750 cm-1 were evaluated. The prediction error (RMSEP) for the determination of AKD is 0.01 %, and 0.013 % for ASA. Even an analysis of the percentage of bound and unbound ASA / AKD is possible by NIR spectroscopy of extracted paper samples. Thus, a fast and detailed investigation of mechanisms as regards sizing is possible. The developed NIR methods were validated using HPLC and Pyrolysis-GC/MS. In the last part of the work, interactions of ASA with fillers and chemical additives were investigated, and mechanisms of ASA sizing were studied. It was shown that the mechanism of ASA sizing - as often described in the literature - can not only be attributed to the esterification with the hydroxyl groups of the cellulose. In fact, the optimal effect of sizing agents is much more dependant on a fine distribution, mobility and orientation of ASA molecules. It was observed that the main part of the ASA is present in an unbound (hydrolysed) form and therefore is able to migrate through the paper structure. However, the hydrolysed ASA can significantly contribute to sizing when it is finely distributed and well orientated. Sizing agents orientated in the opposite do not contribute to sizing but they can even decrease the existing sizing level. To summarize, it can be concluded that, in this work important fundamentals as regards ASA sizing were developed using modern test methods. Thereby important contributions were made to the topics of emulsification, hydrolysis- and emulsion-stability, analytical determination, interactions and mechanisms of ASA. These results show possibilities how ASA sizing agents can be used more effectively, process disturbances avoided, and costs reduced.

近年來，能源商品的價格隨著國際政治情勢、國際金融環境以及景氣循環的影響產生劇烈波動，基於避險的需求，衍生性商品交易量也逐漸增加。然而，在評價能源衍生性商品的過程中，即期價格動態模型的選擇對於訂價與避險的結果有著顯著的影響，如何選擇一個適當的動態模型以評價能源商品便成為本文研究的目標。在指數與股價選擇權的評價模型中，大多以Black and Scholes (1973)提出的選擇權評價模型作為基礎，但Black-Scholes模型是否適用於評價能源市場的選擇權價格卻是有待商榷。Schwartz (1997)提出以均數回歸模型 (Mean Reversion Model)描述能源即期價格，發現比Black-Scholes模型中所假設的即期價格動態模型更能描述能源市場即期價格的波動。本研究也考慮能源市場遇到重大事件而造成即期價格產生劇烈波動的情況，因此在模型中加入跳躍項以捕捉價格跳躍的現象。另外，能源商品的需求與季節變化有高度相關性，因此本文亦考量即期價格的變動會受到季節性的變動影響，在模型中加入季節性函數，以補捉季節性的價格變化。基於前述模型考量，本研究在各種描述能源商品即期價格特性的動態模型之下，推導各個模型的期貨選擇權定價公式，進一步測試各模型在金融風暴與非金融風暴期間的訂價誤差與避險誤差，以提供投資人或避險需求者於原油期貨選擇權模型選用上之參考。 / In recent years, the price of energy commodities has fluctuated with the international political situation and the international financial environment. For the sake of hedging demands, the trading volume of derivatives has been gradually increasing. In the process of valuation of energy derivatives, choices of the spot price dynamics model have a significant impact on pricing and hedging. Therefore, how to choose an appropriate dynamic model to evaluate the energy commodities has been main purpose of this study. Two main models are tested in this paper. One is the option pricing model supposed by Black and Scholes (1973), and another is the mean reversion model supposed by Schwartz (1997). This study also considered the volatility of the spot price in the energy market in case of major events, so the researcher adds the jump to explore the mean reversion model. In addition, the demand for energy commodities is highly correlated with seasonal variations. The vibration of spot price often affected by the seasonal variations is considered in the research. Therefore, the researchers also take the seasonal function into the research to capture the seasonal price changes. Based on considerations described above, the pricing formula for each model of futures option is evaluated in the research. The researcher further tests the pricing errors and hedging errors of each model during the financial crises and non-financial crises in order to provide the investors and hedging demanders with some suggestions about selecting oil futures option models.