Este trabalho visa a discutir aspectos centrais dos instrumentos derivativos, que têm ganhado importância crescente desde os anos 70, principalmente depois da crise do subprime em 2008. No Capítulo I, procura-se resgatar o debate sobre a natureza jurídica dos derivativos, tendo em vista sua função econômica. A partir deste ponto de partida, extraem-se conclusões práticas, como a não aplicabilidade das normas relativas à evicção, vícios redibitórios e teoria da imprevisão ou resolução por onerosidade excessiva. Ao fim, é proposta uma classificação dos derivativos. O objetivo do Capítulo II é destacar os principais aspectos da regulação dos derivativos. A partir da função econômica, legisladores e reguladores do mundo todo têm encontrado a necessidade de limitar a esfera de autonomia contratual, determinando o que pode ser negociado, de que forma e o modo como se deve dar a liquidação das obrigações. O Capítulo III visa a discutir os resultados da pesquisa de jurisprudência não enquadrados nos temas dos Capítulos I e II. Com isso, há maior transparência quanto aos resultados da pesquisa de jurisprudência e, ao mesmo tempo, discute-se possíveis pontos de atenção para a regulação. Por fim, o Apêndice descreve a metodologia utilizada na pesquisa de jurisprudência. / This paper aims to discuss key aspects of derivative instruments. Their importance has been increasing since the 70s, especially after the subprime crisis in 2008. Chapter I seeks to present the debate on the legal nature of the derivatives, highlighting its economic function. From this discussion, we found some practical conclusions, such as non-applicability of eviction, latent defects and rebus sic stantibus clause. In the end, we present a classification of derivatives. Chapter II highlights the main aspects of derivatives regulation. Due to their importance, legislators and regulators have been limiting contractual autonomy, determining what and in which way people can contract and settlement of obligations by clearinghouses or CCPs. Chapter III aims to discuss derivatives case law that have not fit the themes of Chapters I and II. It is a way of, at the same time, disclosing case law research findings and discussing possible improvements in regulation. Finally, the Appendix describes the methodology used in the case law research.

Cerrado is the second largest Brazilian biome and originally corresponded to 24% of the national territory, and since the 1970´s has been under agriculture and cattle activities. Soybean and maize are two of the most important grain-crops found in this region, with an estimated production of approximately 223 millions of tons in the Brazilian 2016/17 harvest. Changes in soil physical properties due to soil management affect productivity. Possible changes in climatic variables may also affect agricultural productivity, either per unit area (land productivity) or per unit of water volume (water productivity). One option for studying the relation between land and water productivity and how they are affected by soil hydraulic properties and climatic factors is by using an agro-hydrological model. In this study, the aim was to quantify aspects of the soil water balance and to make estimates of land and water productivity for soybean in a clay soil and maize in a medium texture in the Cerrado region using SWAP simulations for different irrigation strategies. Effects on agricultural productivity of a climatic prevision with increasing the air temperature and rainfall reduction for the years 2016-2040 were also simulated. Results show that an increase of soil porosity, resulting from a conservation tillage management, leads to a higher infiltration capacity and is shown to increase land and water productivity, when associated to irrigation scenarios. Higher water productivities were observed with only supplementary irrigation. Predicted climate changes will lead to a decrease of approximately 20% by the end of the years 2016-2040 in land productivity, under rainfed conditions. / O Cerrado é o segundo maior bioma brasileiro que originalmente, correspondia a 24% do território nacional, e desde os anos 1970 tem sido utilizado para atividades ligadas à agricultura e pecuária. Soja e milho são duas das mais importantes culturas graníferas encontradas nesta região, com uma estimativa de produtividade de aproximadamente 223 milhoes de toneladas na safra brasileira de 2016/17. Mudanças nas propriedades físicas do solo devido ao manejo do solo afetam a produtividade agrícola. Possíveis mudanças de variáveis climáticas também poderão afetar a produtividade agrícola, tanto por unidade de área (produtividade de terra) ou por unidade de volume de água (produtividade de água). Uma opção para estudar as relações entre a produtividade de água e de terra e como elas são afetadas pelas propriedades hidraulicas do solo e pelos fatores climáticos é pela utilização de um modelo agro-hidrológico. Neste trabalho, o objetivo foi quantificar os aspectos do balanço hídrico do solo e realizar estimativas da produtividade de água e de terra para soja em um solo argiloso e para milho em um solo de textura média, na região do Cerrado, utilizando simulações com o modelo SWAP para diferentes manejos de irrigação. Os efeitos na produtividade agrícola de uma previsão climática com aumento da temperatura do ar e redução da precipitação para os anos 2016-2040 foram também simulados. Os resultados mostram que um aumento na porosidade do solo, resultante de um manejo conservacionista do solo, leva a uma maior infiltração e resulta num aumento na produtividade da terra e da água, quando associado a cenários de irrigação. As maiores produtividades da água foram observadas com irrigação suplementar. As mudanças climáticas previstas levarão a uma diminuição de aproximadamente 20% na produtividade da terra ao final dos anos 2016-2040, em áreas não irrigadas.

This diploma thesis analyses various approaches to calculate risk-free interest rate. In the beginning it deals with the term risk-free asset a various types of bases we could start calculating from. The paper suggests using spot rates and searches for alternative interest rates on the market. These are subsequently applied to real data coming from Czech market. Specifically they are the bootstrapping method and also the method of deriving risk-free interest rate from interest swap rate. Closing thoughts are dealing with various problems an appraiser may encounter while calculating risk-free rate. For example the problem of using nominal/real rates, nonexistent long-term government bonds or the presence of a default risk for particular government. This diploma thesis closes with a decision tree that could serve as a lead for appraiser in the process of estimating risk-free interest rate.

Abstract SWAP-70 originally identified as a signaling protein exclusively expressed in B-cells has been recently described in other cells of the hematopoietic system, such as mast cells and dendritic cells. Here we describe a novel role of SWAP-70 in hematopoiesis, specifically in regulation of erythropoiesis. SWAP-70 protein expression is detected at the stage of the hematopoietic stem cell (HSC). Its expression persists throughout several stages of multipotent and myeloid progenitors. In erythroid development SWAP-70 is found from early committed to erythroid lineage precursors, burst-forming unit erythroid (BFU-E) and colony-forming unit erythroid (CFU-E); however its expression declines with erythroid maturation and it is lastly detectable at the basophilic erythroblast stage. The protein’s deficiency leads to 3-fold increase in HSC numbers in the bone marrow (BM). The lack of SWAP-70 does not affect intermediate myeloid progenitors and the first erythroid committed progenitor, BFU-E. Hematopoietic tissues (BM and spleen) of Swap-70-/- mice carry 2-times less CFU-Es, thus SWAP-70 appears to be important at this stage. Swap-70-/- mice have the same frequencies of later erythroid progenitors, Ter-119+ erythroblasts, in the BM but fewer in the spleen. BM and splenic Ter-119+ erythroid Swap-70-/- compartment (basophilic, polychromatic and orthochromatic erythroblasts) exhibit an altered profile that is characterized by the delayed maturation of cells at the polychromatic stage. SWAP-70 deficiency is not critical for steady state erythropoiesis and does not influence blood homeostasis. Yet SWAP-70 is essential for proper stress response in conditions of anemia. Swap-70-/- mice have normal steady state hematocrite level but fail to restore it after induced anemia, thus showing sluggish blunted response to erythropoietic stress. In resting conditions Swap-70-/- early erythroid progenitors (CFU-Es) exhibit aberrant preactivation of the integrin VLA-4, which supports homotypic and heterotypic interaction within the erythroid niche, and are hyperadhesive to fibronectin. Similarly, Swap-70-/- basophilic erythroblasts are hyperadhesive to splenic tissue. Based on our data and our initial observations we propose a novel function of SWAP-70 in the c-kit signaling pathway and integrin-mediated, i.e. VLA-4, interactions that are important for HSC and erythroid progenitor maintanence and differentiation. Better understanding of mechanisms governing red blood cell development and homeostasis is of high relevance in the context of treatment of anemia, a very common blood disorder, which leads to a wide range of clinical complications and is the most common cancer-associated morbidity.

Since the 2008 crisis, the hedging instruments have gained popularity with financial institutions. This is the case of the total return swap that is used today by major institutions like Goldman Sachs or J.P. Morgan. Murex is a software provider for financial institutions. The company already had a total return swap product, the RTRS (for Risky Total Return Swap), but with the growing demand Murex decided to develop a new product, the BRS (Bond Return Swap). So now they have two bond total return swaps. This master thesis aims to analyze total return swap and highlight the improvement of the BRS. After a theoretical analysis of the total return swap, a test campaign is realized. For different types of bond and different configurations of total return swap, formulas are derived to be compared to the returned values. The results given by the RTRS are good on basic bonds. If the bond is more complex, for instance a bond with credit risk or an amortized bond, the values returned by the RTRS are not reliable if not wrong. On the other hand, the BRS performs well in every situation and positions itself as the best total return swap proposed by Murex. / Sedan finanskrisen 2008 har hedginginstrument blivit allt viktigare för finansinstitut. Detta är fallet med det så kallade Total Return Swaps (TRS) som används idag av stora institutioner såsom Goldman Sachs och J.P. Morgan. Murex är en mjukvaruleverantör som redan hade en TRS produkt, den RTRS (Risky Total Return Swap) . Men med den växande efterfrågan beslutade fretaget att utveckla en ny produkt, den så kallade BRS (Bond Return Swap). Så nu har de två TRS:ar. Denna uppsats syftar till att analysera Total Return Swap och belysa de förbättringar som tillförs av BRS. Efter en teoretisk genomgång av TRS realiseras en serie tester. För olika typer av obligationer och olika konstellationer av TRS härleds formler och jämförs deras värden. Resultaten från RTRS verkar vara bra på basobligationer. Om obligationen är mer komplex, till exempel en obligation med kreditrisk eller en amorterad obligation, är RTRS returnerade värden inte tillförlitliga om inte fel. Å andra sidan presterar BRS bra i alla situationer och positionerar sig som det bästa Total Return Swap som föreslagits av Murex.

International Telemetering Conference Proceedings / October 23-26, 2000 / Town & Country Hotel and Conference Center, San Diego, California / One of the beauties of mathematics is its ability to demonstrate the relationship between apparently unrelated subjects. And this is not only an aesthetic attribute. The insight obtained by seeing relations where they are not obvious often leads to elegant solutions to difficult problems. This paper will demonstrate a mathematical relation between telemetry and juggling. Any given pulse code modulation (PCM) format can be mapped onto a juggling pattern. The Inter-Range Instrumentation Group (IRIG) 106 Class I PCM formats are a subset of all juggling patterns while the Class II PCM formats are equivalent to the set of all juggling patterns (within some mathematically precise definitions). There are actually quite a few mathematical results regarding juggling patterns. This paper will also discuss how these topics relate to tessellations, bin packing, PCM format design, and dynamic spectrum allocation. One of the shortcomings of human nature is the tendency to get caught up in a particular topic or viewpoint. This is true of the telemetry community as well. It is hoped that this paper will increase the awareness that there are a variety of areas of theory outside of telemetry that may be applicable to the field.

In this letter we discuss the Credit Default Swap (CDS) market for European, Indian and US CDS entities during the financial crisis starting in 2007 using empirical First Significant Digit (FSD) distributions. We find out that on a time aggregated level the European and the US market obey empirical FSD distributions similar to the theoretical ones. Surprising differences are observed in the development of the FSD distributions between the US and the European market. While the FSD distribution of the US derivative market behaves nearly constant during the last financial crisis, we find huge fluctuations in the FSD distributions in the European market. One reason for these differences might be the possibility of a strategic default for US companies due to Chapter 11 and avoided contagion effects. / Series: Research Report Series / Department of Statistics and Mathematics

<p>Credit derivatives are very popular on financial markets in recent days.</p><p>The most liquid credit derivative is a credit default swap (CDS). In</p><p>this research we investigate methods for modeling and monitoring of the</p><p>price process of CDS. We study Hull and White model to calculate CDS</p><p>spread and have data for our analysis. We consider different methods for</p><p>monitoring of the price process of CDS. In particular we study CUSUM</p><p>method. And we calculate more commonly used perfomance measures</p><p>for this method.</p>

We consider asynchronous multiprocessors where processes communicate only by reading or writing shared memory. We show how to implement consensus, all comparison primitives (such as CAS and TAS), and load-linked/store-conditional using only a constant number of remote memory references (RMRs), in both the cache-coherent and the distributed-shared-memory models of such multiprocessors. Our implementations are blocking, rather than wait-free: they ensure progress provided all processes that invoke the implemented primitive are live. Our results imply that any algorithm using read and write operations, comparison primitives and load-linked/store-conditional, can be simulated by an algorithm that uses read and write operations only, with at most a constant-factor increase in RMR complexity.

We consider asynchronous multiprocessors where processes communicate only by reading or writing shared memory. We show how to implement consensus, all comparison primitives (such as CAS and TAS), and load-linked/store-conditional using only a constant number of remote memory references (RMRs), in both the cache-coherent and the distributed-shared-memory models of such multiprocessors. Our implementations are blocking, rather than wait-free: they ensure progress provided all processes that invoke the implemented primitive are live. Our results imply that any algorithm using read and write operations, comparison primitives and load-linked/store-conditional, can be simulated by an algorithm that uses read and write operations only, with at most a constant-factor increase in RMR complexity.