Dissertations / Theses on the topic 'Derivatives'
To see the other types of publications on this topic, follow the link: Derivatives.
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Derivatives.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Diallo, Nafi C. "The valuation of credit default swaps." Link to electronic thesis, 2005. http://www.wpi.edu/Pubs/ETD/Available/etd-011106-122357/.
Full text
2
Paiva, Rafael Bianchini Abreu. "Natureza jurídica, regulação e tutela dos instrumentos derivativos." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/2/2132/tde-06082015-151224/.
Full textAbstract:
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.
3
Souza, Enio Bonafé Mendonça de. "Mensuração e evidenciação contábil do risco financeiro de derivativos." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-05032015-182918/.
Full textAbstract:
O grande diferencial da contabilidade enquanto ciência do controle financeiro são as técnicas que garantem a integridade das informações apresentadas, basicamente através da identidade débito/crédito. O que se faz nesta tese é mostrar como uma nova forma de registro dos derivativos, respeitando-se os princípios contábeis, é capaz de propiciar uma estimativa mais clara e precisa dos riscos financeiros envolvidos nas posições de balanço. É feita uma Decomposição Contábil das transações com derivativos, abrindo-se cada operação em ativo e passivo, com a diferença de ambos sendo o resultado a valor justo do mesmo. Posteriormente, uma nova Decomposição de Riscos abre ativo e passivo em seus fatores primitivos de risco, evidenciando a exposição a riscos por tipo de fator. Finalmente uma reagregação global de todas as decomposições realizadas por fatores de risco gera a DRF-Demonstração de Riscos Financeiros, que evidencia de forma sintética toda exposição a riscos envolvida nas transações carregadas no balanço patrimonial. É mostrado como a DRF evidencia de forma mais clara a eficácia de hedges carregados no balanço, para fins gerenciais internos e para fins do usuário externo. Também ficam evidentes os montantes de exposição em cada fator de risco de mercado. A grande vantagem deste procedimento é que são obtidas as exposições a risco nos derivativos de forma automaticamente conciliada com os registros contábeis.The great advantage of accounting as a science of financial control are the techniques that guarantee the integrity of the information presented, primarily through the identity debit / credit. This thesis shows a new form to recognize and record derivatives while preserving accounting principles and providing a much more clear and precise estimate of the financial risks involved in the balance sheet items. An Accounting Decomposition is made over derivative transactions by spreading up each one of them into an asset and a liability; the difference being the fair value result of the transaction. Subsequently, a new Risks Decomposition opens up assets and liabilities in their primitive risk factors, highlighting the risk exposures by each type. Finally, a global reaggregation of all decompositions performed by risk factors generates the SFR-Statement of Financial Risks, showing synthetically the exposures to all risks involved in the transactions carried in the balance sheet. It is presented how the SFR shows effectiveness of hedges applied on the balance sheet more clearly, either, for internal management and for external user purposes. Also, it turns evident the amount of exposure to each market risk factor. The greatest advantage of this procedure is to obtain the risk exposures of derivatives automatically and straightly reconciled with accounting records.
4
Twarog, Marek B. "Pricing security derivatives under the forward measure." Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-053007-142223/.
Full text
5
Teimouri, Ilia. "On aspects of infinite derivatives field theories & infinite derivative gravity." Thesis, Lancaster University, 2018. http://eprints.lancs.ac.uk/90105/.
Full textAbstract:
In this thesis some essential aspects of an infinite derivative theory of gravity are studied. Namely, we considered the Hamiltonian formalism, where the true physical degrees of freedom for infinite derivative scalar models and infinite derivative gravity are obtained. Furthermore, the Gibbons-Hawking-York boundary term for the infinite derivative theory of gravity was obtained. Finally, we considered the thermodynamical aspects of the infinite derivative theory of gravity over different backgrounds. Throughout the thesis, our methodology is applied to other modified theories of gravity as a check and validation. Infinite derivative theory of gravity is a modification to the general theory of relativity. Such modification maintains the massless gravi- ton as the only true physical degree of freedom and avoids ghosts. Moreover, this class of modified gravity can address classical singularities.
6
Syz, Juerg M. "Property derivatives /." Zürich, 2008. http://opac.nebis.ch/cgi-bin/showAbstract.pl?sys=000254907.
Full text
7
Xu, Wei. "Weather derivatives." Doctoral thesis, Humboldt-Universität zu Berlin, Landwirtschaftlich-Gärtnerische Fakultät, 2008. http://dx.doi.org/10.18452/15815.
Full textAbstract:
Wetter stellt für die Landwirtschaft einen Hauptunsicherheitsfaktor dar. Angesichts der Kli-maveränderung gilt es als wahrscheinlich, dass Wetterschwankungen und die Häufigkeit extremer Wetterereignisse in Zukunft zunehmen werden. Vor diesem Hintergrund spielt die Entwicklung von Wetterrisikomanagementinstrumenten eine wichtige Rolle zur Einkom-mensstabilisierung in der Landwirtschaft sowohl in entwickelten Volkswirtschaften als auch in Entwicklungsländern. Seit Mitte der neunziger Jahre werden auf Finanzmärkten sogenannte Wetterderivate angebo-ten, die den Austausch von Wetterrisiken zwischen Marktteilnehmern ermöglichen. Zielsetzung der vorliegenden Arbeits ist es, die Einsatzmöglichkeiten von Wetterderivaten in der Landwirtschaft zu untersuchen. Dazu sind verschiedene methodische Vorarbeiten zu leisten. Erstens, wird ein statistisches Modell benötigt, das die Unsicherheit des betrachteten Wetterereignisses (z.B. Temperatur oder Niederschlag) beschreibt. Zweitens, muss der Zusammenhang zwischen Wetter und landwirtschaftlicher Produkti-on abgebildet werden. Drittens, schließlich bedarf es eines theoretischen Modells, um das Wetterderivat zu bepreisen. Liegen die genannten Modellkomponenten vor, kann die Hedgingeffektivität eines Wetterde-rivats aus Sicht eines landwirtschaftlichen Produzenten bestimmt werden. Dies geschieht in der vorliegenden Arbeit beispielhaft für Getreideproduzenten in Deutschland. Es zeigt sich, dass die Hedgigeffektivität und damit die Zahlungsbereitschaft für Wetterderivate produkt- und regionsspezifisch ist. Angesichts eines ausgeprägten Basisrisikos ist es unwahrscheinlich, dass Wetterderivate in Deutschland eine breite Anwendung durch Landwirte erfahren werden. Ihr Anwendungspotenzial bei landwirtschaftlichen Versicherern und Rückversicheren er-scheint dagegen höher, da diese mit Hilfe von Wetterderivaten einen Teil ihres systematischen Risikos aus landwirtschaftlichen Ertragsversicherungen auf den Kapitalmarkt transferieren können.Weather is a major factor of uncertainty for agriculture. The effects of climate change means that it is likely that in the future there will be increased fluctuations in weather patterns and extreme meteorological events will become more regular. In this context, the development of weather risk management instruments plays an important role in the stabilising of incomes in the agricultural sector, both in developed economies as well as in developing countries. Since the mid-nineties, so-called weather derivatives have been emerged on the market which enables participants in the market to exchange weather risks. This work aims to investigate the implementation possibilities of weather derivatives in agriculture. A range of methodological preliminary investigations will be carried out. First of all it is necessary to find a statistical model which describes the uncertainty of observed weather events (e.g. temperature or precipitation). Secondly, the relationship between weather and agricultural production needs to be mapped. Thirdly, a theoretical model needs to be devised which is capable of pricing the weather derivatives. The hedging effectiveness of a weather derivative can be determined from the point of view of an agricultural producer using the model components described above. This study will use the example of grain producers in Germany. It will demonstrate that hedging effectiveness and with it willingness to pay for weather derivatives depends on the product and region. A pronounced basis risk means that it is unlikely that weather derivatives will be widely used by farmers in Germany. Their application potential for agricultural insurers and reinsurers, however, seems greater, since they can use weather derivatives to transfer a part of their systematic risk from agricultural income insurance onto the capital market.
8
Castigliego, Claudio <1987>. "Credit derivatives." Master's Degree Thesis, Università Ca' Foscari Venezia, 2014. http://hdl.handle.net/10579/4461.
Full text
9
Guerrero, Leon. "Valuation of Over-The-Counter (OTC) Derivatives with Collateralization." Master's thesis, University of Central Florida, 2013. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5751.
Full textAbstract:
Collateralization in over-the-counter (OTC) derivatives markets has grown rapidly over the past decade, and even faster in the past few years, due to the impact of the recent financial crisis and the particularly important attention to the counterparty credit risk in derivatives contracts. The addition of collateralization to such contracts significantly reduces the counterparty credit risk and allows to offset liabilities in case of default. We study the problem of valuation of OTC derivatives with payoff in a single currency and with single underlying asset for the cases of zero, partial, and perfect collateralization. We assume the derivative is traded between two default-free counterparties and analyze the impact of collateralization on the fair present value of the derivative. We establish a uniform generalized derivative pricing framework for the three cases of collateralization and show how different approaches to pricing turn out to be consistent. We then generalize the results to include multi-asset and cross-currency arguments, where the underlying and the derivative are in some domestic currency, but the collateral is posted in a foreign currency. We show that the results for the single currency, multi-asset case are consistent with those obtained for the single currency, single asset case.M.S.
Masters
Mathematics
Sciences
Mathematical Science; Industrial Mathematics
10
Junior, Daphnis Theodoro da Silva. "O conteúdo informacional dos contratos futuros de Ibovespa." Universidade de São Paulo, 2006. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-10042007-123346/.
Full textAbstract:
A Hipótese de Eficiência de Mercado (HEM) pode ser sumarizada por esta definição: ?A market in which prices always ?fully reflect? available information is called ?efficient?.? (Fama, 1970). Nesta tese é investigada a existência de conteúdo informacional, sobre o comportamento futuro do índice Bovespa a vista, nas posições de contratos futuros de índice Bovespa em aberto carregadas de um dia para o outro pelos diferentes tipos de participantes desse mercado. Por meio do uso da metodologia de cointegração de Johansen e da abordagem de modelagem GETS, foi encontrado conteúdo informacional, mas seu poder explicativo não é alto, situando-se entre 10 e 20 %.The Efficient Market Hypothesis (EMH) can be summarized by this definition: ?A market in which prices always ?fully reflect? available information is called ?efficient?.? (Fama,1970). In this dissertation is investigated the existence of information content, regarding the future behavior of spot Bovespa index, in the open positions of futures contracts of Bovespa index carried overnight by the different types of participants of this market. Using Johansen?s cointegration framework and the GETS modeling approach, was found some information content, but the explanation power is not high, lying between 10 to 20%.
11
Vomasta, Daniel. "Diarylethene derivatives and their applications : Salen derivatives in molecular recognition." kostenfrei, 2009. http://epub.uni-regensburg.de/13393/.
Full text
12
Yazicioglu, Emre Yusuf. "Transformation Of Cyclohexanone Derivatives To Bicyclic Furan And Pyrrole Derivatives." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/12605269/index.pdf.
Full textAbstract:
Tetrahydrobenzofurans and tetrahydroindoles are two very valuable classes of substances which have wide usage areaeither as starting materials for drug substances or many other compounds which have fused heterocyclic rings in their structures and pharmacophore for many complex natural products
syntheses of derivatives of these compounds with different substitution patterns, is an exciting challenge for many scientists. Benzofuran and tetrahydroindole derivatives, which are potent bioactive substances, are synthesized from various cyclohexanone derivatives that are allylated by Stork-enamine or Mn(OAc)3 mediated allylation methods. Allylated ketones are later transformed to benzofuran derivatives upon treatment with base or tetrahydroindole derivatives upon treatment with primary amines.
13
Leung, Seng Yuen. "Analysis of counterparty risks and derivative pricing under stochastic volatility /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?MATH%202004%20LEUNG.
Full textAbstract:
Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2004.Includes bibliographical references (leaves 120-131). Also available in electronic version. Access restricted to campus users.
14
Carnelos, Marcos Ricardo. "Derivativos de crédito: aplicação para o mercado brasileiro." Pontifícia Universidade Católica de São Paulo, 2007. https://tede2.pucsp.br/handle/handle/9323.
Full textAbstract:
Made available in DSpace on 2016-04-26T20:48:49Z (GMT). No. of bitstreams: 1
Marcos Ricardo Carnelos.pdf: 425491 bytes, checksum: af0e9c611cb4dca4d99f0e8cc5c928f8 (MD5)
Previous issue date: 2007-10-30The aim of this work is to analyze the dynamic of the evolution of new financial products called credit derivatives. The purpose of this analysis is to provide a better comprehension of the transformation process of the financial products, mainly those related to management of credit portfolios, as well as, to show the advantages that these products can offer to the Brazilian market. The focus of this work is on the national market, which is at its early stage of development, still having little liquidity, however, the international market of these products is very large and every day new products are developed. The work also shows the applicability of different kinds of credit derivatives and the way these products should be handled
Esse trabalho objetivou analisar a dinâmica da evolução de uma nova classe de instrumentos financeiros chamados de derivativos de crédito. Essa análise tem como objetivo fornecer uma melhor compreensão do processo de transformação dos produtos financeiros, principalmente aqueles relacionados ao gerenciamento de carteiras de crédito, bem como analisar as vantagens que tais produtos podem oferecer para o mercado brasileiro. O foco desse trabalho é o mercado nacional, entretanto é possível verificar que embora o mercado mundial desses instrumentos seja grande e a cada dia desenvolvem-se novos produtos, no Brasil esses instrumentos estão em fase inicial de desenvolvimento, tendo ainda pouca liquidez. O trabalho mostra também a aplicabilidade dos diferentes tipos de derivativos de crédito e de que forma esses instrumentos devem ser tratados
15
Ehlers, Philippe Serge. "Pricing credit derivatives." Zürich : ETH, 2007. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=17274.
Full text
16
Prostakova, Irina, and Alexander Tazov. "Energy Derivatives Pricing." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16174.
Full textAbstract:
In this paper we examine energy derivatives pricing. The previous studies considered the same source of uncertainty for the spot and the futures prices. We investigate the problem of futures pricing with two independent sources of risk. In general the structure of the oil and gas futures markets is closely related to some stock indices. Therefore, we develop a model for the futures market and compound derivatives with pricing in accordance with the correspondent index. We derive a framework for energy derivatives pricing, compute the price of the European call option on futures and corresponding hedging strategy. We calculate the price of the European call option adjusted for an index level, study the American put option on futures and corresponding hedging strategies.
17
Detlefsen, Kai. "Equity derivatives markets." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2007. http://www.gbv.de/dms/zbw/561396701.pdf.
Full text
18
Oviedo-Helfenberger, Rodolfo Alejandro. "Essays on derivatives." Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85194.
Full textAbstract:
This dissertation comprises three essays that study three distinct derivative contracts. The first essay proves, in a model-free framework, that early exercise of futures-style options on futures, whether calls or puts, is suboptimal. The result is robust to transaction costs, liquidity constraints and collateral requirements. Assuming a frictionless market, three additional model-free results are obtained: (i) put-call parity, (ii) equality of time values of puts and calls with the same strike and expiration, and (iii) positivity of time value before expiration. The second essay develops a new invoice price formula for Treasury bond futures contracts as a more effective alternative to the current conversion factor system. The equilibrium "cheapest to deliver" and futures price at expiration are identified. The empirical part of the essay documents that the new function dramatically improves the ability of the futures invoice price to approximate the market prices of the corresponding deliverable bonds. The third essay offers a regression-based empirical study of the determinants of credit default swap premia. Leverage, volatility and interest rates are found to account for a large percentage of the variation of premia. A principal components analysis of the regression residuals finds no evidence of a missing factor. The results achieved for credit default premia more closely corroborate structural models of credit risk than those obtained by Collin-Dufresne et al. (2001) for corporate bond yield spreads.
19
Al-Qallaf, Fawzia Abbas. "Tricylic pinane derivatives." Thesis, University of Liverpool, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.367303.
Full text
20
Simandiras, Emmanuel D. "Analytic energy derivatives." Thesis, University of Cambridge, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.257217.
Full text
21
Carr, Justin P. "Modeling Volatility Derivatives." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/1117.
Full textAbstract:
"The VIX was introduced in 1993 by the CBOE and has been commonly referred to as the fear gauge due to decreases in market sentiment leading market participants to purchase protection from declining asset prices. As market sentiment improves, declines in the VIX are generally observed. In reality the VIX measures the markets expectations about future volatility with asset prices either rising or falling in value. With the VIX gaining popularity in the marketplace a proliferation of derivative products has emerged allowing investors to trade volatility. In observance of the behavior of the VIX we attempt to model the derivative VXX as a mean reverting process via the Ornstein-Uhlenbeck stochastic differential equation. We extend this analysis by calibrating VIX options with observed market prices in order to extract the market density function. Using these parameters as the diffusion process in our Ornstein-Uhlenbeck model we derive futures prices on the VIX which serves to value our target derivative VXX."
22
Anderson, David George. "Novel SiH2X2 derivatives." Thesis, University of Edinburgh, 1987. http://hdl.handle.net/1842/11859.
Full text
23
Fox, Mark Alexander. "Icosahedral carborane derivatives." Thesis, Durham University, 1991. http://etheses.dur.ac.uk/1186/.
Full text
24
Seemann, Harald. "Applications of credit derivatives opportunities and risks involved in credit derivatives." Hamburg Diplomica-Verl, 2007. http://d-nb.info/988193566/04.
Full text
25
Seemann, Harald. "Applications of credit derivatives : opportunities and risks involved in credit derivatives /." Hamburg : Diplomica Verl, 2008. http://d-nb.info/988193566/04.
Full text
26
Duygu, Arife Nese. "Synthesis Of Camptothecin Derivatives." Phd thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/3/12606302/index.pdf.
Full textAbstract:
This study presents synthetic studies on camptothecin, a potent antitumor agent in order to improve its stability and solubility without reducing its activity. The study consists of the modification of camptothecin at 20-OH position a new strategy for the targeted and controlled release of the drug and modification at C-7 position to overcome the stability and solubility problems of the free drug.
In the first part of the study, the 20-OH functional group of camptothecin was replaced with an unsymmetrical benzoin derivative that is able to release the drug under photolysis at 350 nm. The new prodrugs synthesized possessed higher stability than the camptothecin itself. The in vitro irradiation of the prodrugs at 350 nm was satisfactory without any decomposition of the active substance.
The second part of the study comprises the studies on the modification of the 7th position of camptothecin, which is the most suitable position for the modification. In this part of the study, 7-amino and silyl substituted camptothecins were synthesized.Combination of camptothecin with some other drugs such as cisplatin was also investigated in this study. The synthetic efforts showed that the reactions are very promising and the combination studies can be studied as a major subject in the future.
27
Aydemir, Kadir. "Electrochromism With Selenophene Derivatives." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/12609341/index.pdf.
Full textAbstract:
SELENOPHENE DERIVATIVES FOR ELECTROCHROMIC APPLICATIONS
Aydemir, Kadir
M.S., Department of Chemistry
Supervisor: Prof. Dr. Levent Toppare
February 2008, 60 pages
A novel selenophene-based monomer1,4-di(selenophen-2-yl) benzene (DSB), synthesized via Stille coupling reaction of 1,4 dibromobenzene and tributyl (2-selenophenyl) stannane and corresponding conducting homopolymer (Poly (DSB)) was electrochemically synthesized in the presence of tetrabutylammoniumhexafluorophosphate (TBAPF6) as the supporting electrolyte in dichloromethane. The resulting conducting polymer was characterized by Cyclic Voltammetry (CV), Fourier Transform Infra Red Spectrometry (FTIR) and Ultraviolet&ndash
Visible Spectrometry (UV-Vis Spectrometry). Spectroelectrochemistry analysis and kinetic studies of Poly (DSB) revealed &ndash
* transition (max) at 340 nm with almost zero percent transmittance (T%) concurrently with striking and rapid (0.6 s) absorbance change at near infrared region (1250 nm) with 35% percent transmittance, indicating that Poly (DSB) is a very suitable near infrared electrochromic material. Copolymer of selenophene with ethylenedioxythiophene (EDOT) was potentiostatically synthesized. Poly (selenophene-co-EDOT) was characterized by Cyclic Voltammetry, FTIR and UV-Vis Spectrometry. During spectroelectrochemistry studies, &ndash
* transition (max) was observed at 555 nm with a switching time of 1.4 s and 39% transmittance. Polaron and bipolaron bands were observed at 851 nm and 1299 nm, respectively. Switching time at 1299 nm was 1.8 s with a percent transmittance of 72. Copolymer of DSB with EDOT (Poly (DSB-co-EDOT)) was synthesized and characterized. max, polaron and bipolaron bands were observed at 457 nm, 696 nm and 1251 nm, respectively. A rapid switching time (0.2 s) with 12% transmittance was observed at 696 nm. At the near infrared region (1251 nm), satisfactory percent transmittance (35%) and a moderate switching time (1.75 s) were observed.
28
Krkic, Milos. "Valuing exotic energy derivatives." Thesis, Imperial College London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.416650.
Full text
29
Brown, R. James. "Novel functionalised tetrathiafulvalene derivatives." Thesis, Nottingham Trent University, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.396328.
Full text
30
Gandhi, U. P. "Diffusion in cellulose derivatives." Thesis, Cardiff University, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.376555.
Full text
31
Homan, Christopher David. "Phosphorus derivatives of carbohydrates." Thesis, University of Newcastle Upon Tyne, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.239564.
Full text
32
Aas, Roar. "Risk management using derivatives." Thesis, Heriot-Watt University, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262000.
Full text
33
Fish, Richard James. "RANTES derivatives and CCR5." Thesis, University of York, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.369362.
Full text
34
Rüther, Henrique. "Credit derivatives in Brazil." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/39511.
Full textAbstract:
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2007.Includes bibliographical references (p. 40-42).
The amounts outstanding of credit derivatives have grown exponentially over the past years, and these financial intruments that allow market participants to trade credit risk have become very popular in Europe and in the United States. Although the Central Bank of Brazil passed regulation in 2002 allowing the trade of credit derivatives in the domestic market, almost nothing happened in this arena, and the credit derivatives market in Brazil barely exists. This thesis aims at investigating why such a market has not developed in one of the largest economies of the world. The thesis starts by explaining the mechanism of one of the most popular credit derivatives - the credit default swap (CDS). Then, since bonds and CDS are closely related, the thesis provides short descriptions of the Brazilian market for government issued bonds and corporate bonds. Subsequently we assess the Brazilian regulation for credit derivatives and start to find some reasons why the market has not been developed. We then approach a real life example of estimating the CDS premium for a local company using the no-arbitrage argument and compare the results with the premium of the offshore CDS available for the same company.
(cont.) We find that the credit rating upgrades do not explain the changes in the domestic credit spread for the chosen company. Moreover, we observe that the domestic credit spread behaved very differently from the offshore CDS for the same entity, what suggests that more research on this direction would be interesting. Subsequently we address the benefits and risks provided by credit derivatives and examine the current situation of the market for these financial instruments in Mexico and Korea. We found that the Central Bank of Brazil imposed restrictions to some market participants in the credit derivatives market and allowed only two products to be traded: CDS and total return swaps. These restrictions, together with a not very liquid corporate bond market and the lack of reforms granting for example stronger rights to secured and unsecured debt holders may be the reason why the credit derivatives market did not flourish in Brasil.
by Henrique Rüther.
S.M.
35
Eve, Tom S. C. "Biotransformations of hydroxylamine derivatives." Thesis, University of Edinburgh, 2007. http://hdl.handle.net/1842/14813.
Full textAbstract:
The results presented herein represent a programme focussed towards producing a deracemisation system for hydroxylamines. A number of different avenues have been explored. The use of a number of biocatalytic systems was investigated in an attempt to construct a one-pot system. These included a novel application of monoamine N and laccase enzymes. The enantioselective oxidation of hydroxylamine ethers by MAO-N was a novel discovery. A further development is the engineering of a MAO-N variant which displayed improved catalytic activity for a model hydroxylamine ether substrate compared with the parental enzyme. A second research programme lead to the discovery of the applicability of a laccase:mediator system to the oxidation of hydroxylamines. Investigations into oxime reduction systems with reaction conditions that were complementary to the biocatalytic systems were performed.
36
Larsson, John. "Hedging of Weather Derivatives." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-413720.
Full text
37
Geirsson, Gunnlaugur. "Deep learning exotic derivatives." Thesis, Uppsala universitet, Avdelningen för systemteknik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-430410.
Full textAbstract:
Monte Carlo methods in derivative pricing are computationally expensive, in particular for evaluating models partial derivatives with regard to inputs. This research proposes the use of deep learning to approximate such valuation models for highly exotic derivatives, using automatic differentiation to evaluate input sensitivities. Deep learning models are trained to approximate Phoenix Autocall valuation using a proprietary model used by Svenska Handelsbanken AB. Models are trained on large datasets of low-accuracy (10^4 simulations) Monte Carlo data, successfully learning the true model with an average error of 0.1% on validation data generated by 10^8 simulations. A specific model parametrisation is proposed for 2-day valuation only, to be recalibrated interday using transfer learning. Automatic differentiation approximates sensitivity to (normalised) underlying asset prices with a mean relative error generally below 1.6%. Overall error when predicting sensitivity to implied volatililty is found to lie within 10%-40%. Near identical results are found by finite difference as automatic differentiation in both cases. Automatic differentiation is not successful at capturing sensitivity to interday contract change in value, though errors of 8%-25% are achieved by finite difference. Model recalibration by transfer learning proves to converge over 15 times faster and with up to 14% lower relative error than training using random initialisation. The results show that deep learning models can efficiently learn Monte Carlo valuation, and that these can be quickly recalibrated by transfer learning. The deep learning model gradient computed by automatic differentiation proves a good approximation of the true model sensitivities. Future research proposals include studying optimised recalibration schedules, using training data generated by single Monte Carlo price paths, and studying additional parameters and contracts.
38
Pejčochová, Kristina. "Development of Derivatives Reporting." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-113116.
Full textAbstract:
This thesis aims to summarise the theoretical principles, concepts and considerations pertaining to accounting for and reporting of derivatives and to describe and analyse the development of major accounting standards dealing with related issues. Sections 1 and 2 provide a basic overview of derivative instruments'categorisation, mechanics, valuation and uses. Section 3 studies the principles that ensure the provision of useful financial information, with specific focus on financial instruments. Sections 4, 5 and 6 trace the development of US and international accounting standards pertaining to derivatives and financial instruments in general. The focus of the thesis lies with their measurement, recognition and disclosure.
39
Foukal, Viktor. "Pricing of Power Derivatives." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-207052.
Full textAbstract:
The main target of this thesis is to summarize and demonstrate the main characteristic of power markets and trying to find out electricity spot model. Thesis starts with definition of market subjects, typology of traded contracts and description of market development with focus on South Easter Europe. Thesis continues with development of consumption function and theoretical concepts of Demand/Capacity ratio which is used in short term/spot modeling and serve to identify a risk of potential increase in volatility. After deriving fundamental models I will continue with stochastic model - Volatility Regime model with Jump diffusion. I used all these knowledge and observed patterns in order to evaluate illiquid power options with daily settlement.
40
Gökçen, Murat Kasım Mir Rıfat. "Non-Integer Order Derivatives/." [s.l.]: [s.n.], 2007. http://library.iyte.edu.tr/tezler/master/matematik/T000637.pdf.
Full text
41
Herbertsson, Alexander. "Pricing portfolio credit derivatives." Göteborg : Göteborg University, 2007. https://gupea.ub.gu.se/dspace/bitstream/2077/4731/1/Herbertsson%20avhandl.pdf.
Full text
42
Mehraban, Nahid. "Synthesis of Phenothiazinium Derivatives." Digital Commons @ East Tennessee State University, 2012. https://dc.etsu.edu/etd/1464.
Full textAbstract:
Photodynamic Therapy (PDT) of cancer involves radiating photosensitizing drugs with light in tumors, which results in generating active singlet oxygen that kills cancer cells. Photosensitizers currently used in PDT are of low quantum yield and require high energy radiation, normally laser. Therefore there is always need for more effective PDT drugs. In this project we synthesized new derivatives of phenothiazinium for potential applications in PDT. Phenothiazinium was synthesized and derivatized by linking it to side groups containing imidazole rings. These derivatives are also expected to catalyze certain hydrolytic reactions. Such ôhydrolase modelsö use molecular recognition based on ??? stacking between the phenothiazinium ring and aromatic rings of specific substrates, such as anthracene monophosphate, while imidazole groups catalyze the hydrolysis of the phosphate ester by general acid-base mechanism.
43
Fanah, Selorm J. "Synthesis of Phenothiazinium Derivatives." Digital Commons @ East Tennessee State University, 2015. https://dc.etsu.edu/etd/2563.
Full textAbstract:
Photodynamic therapy (PDT) employs photosensitizing drugs for treating cancer. Once introduced into the body and localized in tumor cells, these photosensitizers are irradiated with light to produce active singlet oxygen radicals which kill cancer cells. The current drugs used in PDT have low quantum yield and always require a high energy radiation (normally laser). There is always a need for more effective drugs that have a high quantum yield and can be activated by visible light, in order to eliminate side effects caused by laser radiations.
In this work we synthesized derivatives of phenothiazine and phenothiazinium chromophores from the commercially available phenothiazine (1). These derivatives include: 3,7-dibromophenothiazinium perbromide (2), N-acetyl phenothiazine (5), N-acetyl-3,7-dibromophenothiazine (6), 3,7-dinitrophenothiazine (10), N-acetyl-3,7-dinitrophenothiazine (11), N-acetyl-3,7-diaminophenothiazine (12), thionine chloride (15) and 3,7-phenothiaziniumdinitrile (14). Synthesis of 3,7-phenothiazinium dicarboxylic acid was attempted using 1 and 15 as starting materials by exploring various synthetic routes for carboxylic acids.
44
ametsetor, ebenezer, Emmanuel Onobun, and Ismail Kady. "Synthesis of Hydroxytyrosol Derivatives." Digital Commons @ East Tennessee State University, 2018. https://dc.etsu.edu/asrf/2018/schedule/64.
Full textAbstract:
Hydroxytyrosol is one of the most powerful known antioxidants. It is a naturally occurring polyphenol, most commonly produced in Olive tree, (Olea europaea). The remarkable antioxidant and pharmacological properties of hydroxytyrosol has made it an outstanding compound in the polyphenol family and of great interest to many researchers. Hydroxytyrosol has the ability to scavenge free radicals produced during cellular oxidative stress and helps to protect the integrity of cells in living systems. Despite its numerous biological and pharmacological uses, it is found in very low concentration in olive oil, this limits its biomedical applications. A novel method for synthesizing pure hydroxytyrosol from commercially less expensive precursor catechol was successfully developed in our lab. However, it is believed that the cellular uptake of hydroxytyrosol is slow because of its high hydrophilicity. Therefore, we plan in this ongoing research to synthesize less hydrophilic derivatives of hydroxytyrosol by introducing some hydrophobic groups (such as alkyl, acyl, …) to its molecular skeleton.
45
Peters, Steven Carlton. "Crosslinked amino acid derivatives." Title page, table of contents and abstract only, 1991. http://web4.library.adelaide.edu.au/theses/09PH/09php4831.pdf.
Full text
46
黃嘉寶 and Ka-po Wong. "Derivatives of 2,5-disubstituted C18 furanoid fatty esters." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31210041.
Full text
47
Lung, Chung Man. "Decomposition of current clinically-used artemisinin derivatives and preparation of polar artemisinin derivatives /." View abstract or full-text, 2006. http://library.ust.hk/cgi/db/thesis.pl?CHEM%202006%20LUNG.
Full text
48
Аванесова, І. А. "Правила випуску та обігу кредитних деривативів." Thesis, Українська академія банківської справи Національного банку України, 2008. http://essuir.sumdu.edu.ua/handle/123456789/60907.
Full textAbstract:
Надаються правила випуску та обігу кредитних деривативів розроблені автором відповідно до чинного українського законодавства.The rules for the issue and circulation of credit derivatives are developed by the author in accordance with the current Ukrainian legislation.
49
Xu, Qing. "Pricing multi-state lookback-style derivatives /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20XU.
Full text
50
Maiali, André Cury. "Controle ótimo estocástico a tempo discreto e espaço de estado contínuo aplicado a derivativos." Universidade de São Paulo, 2006. http://www.teses.usp.br/teses/disponiveis/3/3139/tde-15092006-155659/.
Full textAbstract:
Nesta tese abordamos o problema do hedging de mínima variância de derivativos em mercados incompletos usando a teoria de controle ótimo estocástico com critério quadrático de otimização. Desenvolvemos um modelo geral de apreçamento e hedging de derivativos em mercados incompletos, a tempo discreto, que é capaz de acomodar qualquer tipo de payoff com característica européia que dependa de n ativos de risco. Nesse modelo, o mercado pode apresentar diferentes modos de operação, o que foi formalizado matematicamente por meio de uma cadeia de Markov. Também desenvolvemos um modelo geral de apreçamento e hedging de derivativos em mercados incompletos, a tempo discreto e espaço de estados contínuo, que é capaz de acomodar qualquer tipo de payoff com característica européia que dependa de um ativo de risco cujos retornos sejam representados por um processo de difusão com saltos. Desenvolvemos, ainda, expressões analíticas fechadas para o apreçamento e hedging de uma opção de compra européia vanilla em duas situações: (1) quando os retornos do ativo de risco são representados por um processo de difusão com saltos, e (2) quando os retornos do ativo de risco são representados por um processo de Wiener. Por fim, realizamos simulações numéricas para o controle (hedging) de uma opção de compra européia vanilla quando os retornos do ativo de risco são representados por um processo de Wiener, e comparamos os resultados obtidos com a estratégia de controle derivada do modelo de Black & Scholes.In this thesis we approach the mean-variance hedging problem of derivatives in incomplete markets employing the theory of stochastic optimal control with quadratic optimization criteria. We developed a general derivatives pricing and hedging model in incomplete markets, in discrete time, capable of accommodating any type of European payoff contingent on n risky assets. In this model, the market may exhibit different operating modes, which were mathematically formalized by means of a Markov chain. We also developed a general derivatives pricing and hedging model in incomplete markets, in discrete time and continuous state space, capable of accommodating any type of European payoff contingent on one risky asset whose returns are described by a jump diffusion process. Even further, we developed closed-form analytical expressions for the pricing and hedging of a European vanilla call option in two situations: (1) when the risky asset returns are described by a jump diffusion process, and (2) when the risky asset returns are described by a Wiener process. Finally, we simulated the control (hedging) of a European vanilla call option when the risky asset returns are described by a Wiener process, and compared the results to those obtained with the control strategy derived from the Black & Scholes model.