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1
Putyatin, Vladislav Evgenievich. « Mathematical models for derivative securities markets ». Thesis, University of Southampton, 1998. https://eprints.soton.ac.uk/50648/.
Texte intégralRésumé :
The classical Black-Scholes analysis determines a unique, continuous, trading strategy which allows one to hedge a financial option perfectly and leads to a unique price for the option. It assumes, however, that there are no transaction costs involved in implementing this strategy, and the stock market is absolutely liquid. In this work some new results are obtained to accommodate costs of hedging, which occur in practice, and market imperfections into the option pricing framework. In Part One transaction charges are dealt with by means of the mean-variance technique, originally developed by Markowitz. This approach is based on the minimisation of the variance of the outcome at expiry subject to spending at most a given initial endowment. Since "perfect" replication is no longer possible in this case, there will always be an unavoidable element of risk associated with writing an option. Therefore, the option price is now not unique. A mean-variance approach makes option pricing relatively easy and meaningful to an investor, who is supposed to choose a point on the mean-deviation locus. In the limit of zero transaction costs, the problem naturally reduces to the Black-Scholes valuation method, unlike alternative approaches based on the utility-maximisation. The stochastic optimisation problem obtained is dealt with by means of the stochastic version of Pontryagin's maximum principle. This technique is believed to be applied to this kind of problem for the first time. In general the resulting free-boundary problem has to be solved numerically, but for a small level of proportional transaction costs an asymptotic solution is possible. Regions of short term and long term dynamics are identified and the intermediate behaviour is obtained by matching these regions. The perturbation analysis of the utility-maximisation approach is also revised in this work, and amendments are obtained. In addition, the maximum principle is applied to the Portfolio Selection problem of Markowitz. The dynamical rebalancing technique developed in this work proves more efficient than the classical static approach, and allows investors to obtain portfolios with lower levels of risk. The model presented in Part Two is an attempt to quantify the concept of liquidity and establish relations between various measures of market performance. Informational inefficiency is argued to be the main reason for the unavailability of an asset at its equilibrium price. A mathematical model to describe the asset price behaviour together with arbitrage considerations enable us to estimate the component of the bid-ask spread arising from the outstanding information. The impact of the market liquidity on hedging an option with another option as well as the underlying asset itself is also examined. Although in the last case uncertainty cannot be completely eliminated from the hedged portfolio, a unique risk-minimising strategy is found.
2
Burth, Angela J. « Virtual military markets ». Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2005. http://library.nps.navy.mil/uhtbin/hyperion/05Sep%5FBurth.pdf.
Texte intégral
3
關惠貞 et Wai-ching Josephine Kwan. « Trend models for price movements in financial markets ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211513.
Texte intégral
4
Karoui, Lotfi. « Three essays on fixed income markets ». Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103203.
Texte intégralRésumé :
This thesis comprises three essays that explore several theoretical and empirical features of affine term structure models. In the first essay, we focus on the ability of continuous-time affine term structure models to capture time variability in the second conditional moment. Using data on US Treasury yields, we conclude that affine term structure models are much better at extracting time-series volatility from the cross-section of yields than argued in the literature. These models have nonetheless difficulty capturing volatility dynamics at the short end of the maturity spectrum, perhaps indicating some form of segmentation between long-maturity and short-maturity bonds. These results are robust to the choice of sample period, interpolation method and estimation method. In the second essay, we propose the use of the unscented Kalman filter technique for the estimation of affine term structure models using non-linear instruments. We focus on swap rates and show that the unscented Kalman filter leads to important reductions in bias and gains in precision. The use of the unscented Kalman filter results in substantial improvements in out-of-sample forecasts. Our findings suggest that the unscented Kalman filter may prove to be a good approach for a number of problems in fixed income pricing in which the relationship between the state vector and the observations is nonlinear, such as the estimation of term structure models using interest rate derivatives or coupon bonds, and the estimation of quadratic term structure models. The third essay provides a tractable framework for pricing defaultable securities with recovery risk. Pricing solutions are explored for a large family of discrete-time affine processes and a five-factor Gaussian model is estimated on BBB and B Standard and Poor's yield indices. This rich econometric setup allows the model to simultaneously capture two important stylized facts of defaultable securities: The positive correlation between the loss given default and the intensity of default, and the negative correlation between the intensity of default and the risk-free interest rate.
5
Babbar, Katia Amrit. « Aspects of stochastic implied volatility in financial markets ». Thesis, Imperial College London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.274925.
Texte intégral
6
Hasan, Ebrahim A. Rahman. « Strategic Genco offers in electric energy markets cleared by merit order ». Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=115916.
Texte intégralRésumé :
In an electricity market cleared by merit-order economic dispatch we identify necessary and sufficient conditions under which the market outcomes supported by pure strategy Nash equilibria (NE) exist when generating companies (Gencos) game through continuously variable incremental cost (IC) block offers. A Genco may own any number of units, each unit having multiple blocks with each block being offered at a constant IC.Next, a mixed-integer linear programming (MILP) scheme devoid of approximations or iterations is developed to identify all possible NE. The MILP scheme is systematic and general but computationally demanding for large systems. Thus, an alternative significantly faster lambda-iterative approach that does not require the use of MILP was also developed.
Once all NE are found, one critical question is to identify the one whose corresponding gaming strategy may be considered by all Gencos as being the most rational. To answer this, this thesis proposes the use of a measure based on the potential profit gain and loss by each Genco for each NE. The most rational offer strategy for each Genco in terms of gaming or not gaming that best meets their risk/benefit expectations is the one corresponding to the NE with the largest gain to loss ratio.
The computation of all NE is tested on several systems of up to ninety generating units, each with four incremental cost blocks. These NE are then used to examine how market power is influenced by market parameters, specifically, the number of competing Gencos, their size and true ICs, as well as the level of demand and price cap.
7
Wong, Chun-mei May, et 王春美. « The statistical tests on mean reversion properties in financial markets ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211975.
Texte intégral
8
董森 et Sen Dong. « Two essays on idiosyncratic volatility of stock markets ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2002. http://hub.hku.hk/bib/B31225937.
Texte intégral
9
Thai, Doan Hoang Cau Australian Graduate School of Management Australian School of Business UNSW. « Analysing tacit collusion in oligopolistic electricity markets using a co-evolutionary approach ». Awarded by:University of New South Wales. Australian Graduate School of Management, 2005. http://handle.unsw.edu.au/1959.4/22478.
Texte intégralRésumé :
Wholesale electricity markets now operate in many countries around the world. These markets determine a spot price for electricity as the clearing price when generators bid in energy at various prices. As the trading in a wholesale electricity market can be seen as a dynamic repeated game, it would be expected that profit maximising generators learn to engage in tacit collusion to profitably increase spot market prices. This thesis investigates this tacit collusion of generators in oligopolistic electricity markets. We do not follow the approach of previous work in game theory that presupposes firms' collusive strategies to enforce collusion in an oligopoly. Instead, we develop a co-evolutionary approach (extending previous work in this area) using a genetic algorithm (GA) to co-evolve strategies for all generators in some stylised models of an electricity market. The bidding strategy of each generator is modelled as a set of bidding actions, one for each possible discrete state of the state space observed by the generator. The market trading interactions are simulated to determine the fitness of a particular strategy. The tacitly collusive outcomes and strategies emerging from computational experiments are thus obtained from the learning or evolutionary process instead of from any pre-specification. Analysing many of those emergent collusive outcomes and strategies. we are able to specify the mechanism of tacit collusion and investigate how the market environment can affect it. We find that the learned collusive strategies are similar to the forgiving trigger strategies of classical supergame theory (Green and Porter, 1984). Also using computational experiments, we can determine which characteristics of the market environment encourage or hinder tacit collusion. The findings from this thesis provide insights on tacit collusion in an oligopoly and policy implications from a learning perspective. With modelling flexibility, our co-evolutionary approach can be extended to study strategic behaviour in an oligopoly considering many other market characteristics.
10
Lee, Kelvin. « A study of supply function equilibria in electricity markets / ». Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=112573.
Texte intégralRésumé :
Deregulation is a growing trend and the electricity industry has not escaped its reaches. With worldwide experiences spanning only thirty years, there is substantial interest in analyzing current and future market designs so that market power cannot be used to increase the price of electricity significantly.This thesis analyzes market power in electricity markets through the notion of Nash equilibrium (NE) and, more specifically, through Supply Function Equilibrium (SFE). We will examine how SFE can be modified to incorporate capacity constraints on generators and generating companies (gencos) controlling more than one generator for a Poolco electricity market with marginal pricing.
A genco's supply function is assumed to be of the form gi=l-aibi . Gaming is done either with ai or bi only, while keeping the other parameter at true cost. Gaming with both variables cannot be analyzed since the problem would have too many degrees of freedom. For each possible generator output level (minimum output, maximum output, or in between), analytical methods are employed to determine all candidate Nash equilibria. Then, simulations are performed over the range of possible genco offers to determine whether these candidates meet the complete set of Nash equilibrium criteria, specifically whether any genco can or cannot improve its profit by gaming.
For various inelastic demand levels, study cases indicate that there are either no Nash equilibria or only one. In the multi-unit genco case, the price of electricity is found to be higher than in the case where each genco owns only one generator, illustrating the effect of market concentration on the price. Whether capacity constraints are considered or not, the price of electricity appears to be higher if gencos are allowed to game with bi instead of ai.
The inclusion of capacity constraints on generators and the consideration of the multi-unit genco case will allow for better genco modeling in a Poolco market with marginal pricing. In turn, this will lead to more accurate analysis of the effects of current and possible rules and regulations on the price of electricity.
11
Liu, Chung-shu. « Objectives and incentives in financial markets ». Diss., Virginia Tech, 1994. http://hdl.handle.net/10919/40155.
Texte intégralRésumé :
This dissertation is a collection of papers investigating objectives and incentives in financial markets.
The first essay (Chapter 2) deals with the endogenous determination of credit history, credit-worthiness, loans and efforts by borrowers over time. A financial market with adverse selection and moral hazard is analyzed. Facing the adverse selection, lenders are not able to offer separate contracts to different types of borrowers. However, knowing borrowers' credit histories, lenders are able to assign different credit worthiness to borrowers that have different credit histories, and offer different contracts to different groups. It is shown that if borrowers' credit rating is too low, they make low effort to repay their debts. As a borrower acquires a good credit history and has his credit-rating upgraded above a certain point, it becomes worthwhile for him to choose high effort. A low quality borrower may make high effort in early periods in order to build up a good credit history and obtain better terms in the future contracts then shift back to the low effort even though his project continues to succeed when he approaches the end of his life.Ph. D.
12
Jin, Zengxiang, et 金增祥. « Price discovery in the property forward and spot markets ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38957759.
Texte intégral
13
Mittoo, Usha Rani. « Academic information and financial markets : an empirical investigation of market learning from the size anomaly ». Thesis, University of British Columbia, 1988. http://hdl.handle.net/2429/29023.
Texte intégralRésumé :
This dissertation examines the impact of academic information on the capital markets.
A test of market learning from academic information is performed by examining
the impact of published research about the size anomaly on the underlying asset pricing process.
A theoretical framework to examine the effect of events that affect the equilibrium
pricing process is first developed in a simple economy with one single risky asset. A learning model based on Bayesian updating is proposed and its empirical implications are derived. The model predicts a change in the asset prices in the case of market learning. The predictions about the learning path depend on the assumed information structure. The key hypotheses are motivated through an illustrative
case in a multi-asset economy where there is more information available concerning large firms than about small firms.
The econometric model of switching regimes is used to analyze the hypothesized
structural change in the mean returns associated with the size variable. We postulate two regimes, one prior to and another after the incorporation of research information on the size anomaly. We find evidence of a switch in regimes with estimated mean switch located in 1983. The estimated average size premium has declined from approximately 13.6% per annum in the first regime to about -2.8% per annum in the second regime. More importantly, the switch in 1983 is not explained
by any of the hypothesized economic factors that explain a large part of the stochastic variation in the size effect in the periods prior to 1983. We also find evidence of a switch in regimes when the seasonal January size effect is excluded. The evidence also suggests an increase in the trading volume associated with the information arrival.
Our evidence strongly suggests that the market has undergone a change in its underlying equilibrium pricing process after the discovery of the size anomaly. The evidence supports the hypothesis that academic research relating to the size anomaly has provided useful information to the investors and the market has learnt from this information.Business, Sauder School of
Graduate
14
Sun, Yi, et 孙毅. « Path-dependent valuation of generators in the capacity, energy and carbon markets ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B45876332.
Texte intégral
15
Kleinow, Torsten. « Testing continuous time models in financial markets ». Doctoral thesis, [S.l. : s.n.], 2002. http://deposit.ddb.de/cgi-bin/dokserv?idn=965412091.
Texte intégral
16
Liu, Youfei, et 劉有飛. « Network and temporal effects on strategic bidding in electricity markets ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B36895763.
Texte intégral
17
Hakim, Abdul. « Modelling the interactions across international stock, bond and foreign exchange markets ». UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.
Texte intégralRésumé :
[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging markets which have different characteristics from the developed ones. Addressing the issues, the thesis intends to investigate the nature of volatility, conditional correlations, and the impact of currency risks in international portfolio, both in developed and emerging markets. Chapter 2 provides literature review on volatility spillovers, conditional correlations, and forecasting both VaR and conditional correlations using GARCH-type models. Attention is made on the estimated models, type of assets, regions of markets, and tests of forecasts. Chapter 3 investigates the nature of volatility spillovers across intemational assets, which is important in determining the nature of portfolio's volatility when most assets are seems to be connected. ... The impacts of incorporating volatility spillovers and asymmetric effect on the forecast performance of conditional correlation will also be examined in this thesis. The VARMA-AGARCH of McAleer, Hoti and Chan (2008) and the VARMA-GARCH model of Ling and McAleer (2003) will be estimated to accommodate volatility spillovers and asymmetric effect. The CCC model of Bollerslev (1990) will also be estimated as benchmark as the model does not incorporate both volatility spillovers and asymmetric effects. Given the information about the nature of conditional correlations resulted from the forecasts using a rolling window technique, Section 2 of Chapter 4 investigates the nature of conditional correlations by estimating two multivariate GARCH models allowing for time-varying conditional correlations, namely the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). Chapter 5 conducts VaR forecast considering the important role of VaR as a standard tool for risk management. Especially, the chapter investigates whether volatility spillovers and time-varying conditional correlations discussed in the previous two chapters are of helps in providing better VaR forecasts. The BEKK model of Engle and Kroner (1995) and the DCC model of Engle (2002) will be estimated to incorporate volatility spillovers and conditional correlations, respectively. The DVEC model of Bollerslev et al. (1998) and the CCC model of Bollerslev (1990) will be estimated to serve benchmarks, as both models do not incorporate both volatility spillovers and timevarying conditional correlations. Chapter 6 concludes the thesis and lists somc possible future research.
18
Celebi, Emre. « MODELS OF EFFICIENT CONSUMER PRICING SCHEMES IN ELECTRICITY MARKETS ». Thesis, University of Waterloo, 2005. http://hdl.handle.net/10012/811.
Texte intégralRésumé :
Suppliers in competitive electricity markets regularly respond to prices that change hour by hour or even more frequently, but most consumers respond to price changes on a very different time scale, i. e. they observe and respond to changes in price as reflected on their monthly bills. This thesis examines mixed complementarity programming models of equilibrium that can bridge the speed of response gap between suppliers and consumers, yet adhere to the principle of marginal cost pricing of electricity. It develops a computable equilibrium model to estimate the time-of-use (TOU) prices that can be used in retail electricity markets. An optimization model for the supply side of the electricity market, combined with a price-responsive geometric distributed lagged demand function, computes the TOU prices that satisfy the equilibrium conditions. Monthly load duration curves are approximated and discretized in the context of the supplier's optimization model. The models are formulated and solved by the mixed complementarity problem approach. It is intended that the models will be useful (a) in the regular exercise of setting consumer prices (i. e. , TOU prices that reflect the marginal cost of electricity) by a regulatory body (e. g. , Ontario Energy Board) for jurisdictions (e. g. , Ontario) where consumers' prices are regulated, but suppliers offer into a competitive market, (b) for forecasting in markets without price regulation, but where consumers pay a weighted average of wholesale price, (c) in evaluation of the policies regarding time-of-use pricing compared to the single pricing, and (d) in assessment of the welfare changes due to the implementation of TOU prices.
19
Yang, Wenling. « M-GARCH Hedge Ratios And Hedging Effectiveness In Australian Futures Markets ». Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2000. https://ro.ecu.edu.au/theses/1530.
Texte intégralRésumé :
This study deals with the estimation of the optimal hedge ratios using various econometric models. Most of the recent papers have demonstrated that the conventional ordinary least squares (OLS) method of estimating constant hedge ratios is inappropriate, other more complicated models however seem to produce no more efficient hedge ratios. Using daily AOIs and SPI futures on the Australian market, optimal hedge ratios are calculated from four different models: the OLS regression model, the bivariate vector autoaggressive model (BVAR), the error-correction model (ECM) and the multivariate diagonal Vcc GARCH Model. The performance of each hedge ratio is then compared. The hedging effectiveness is measured in terms of ex-post and ex-ante risk-return traHe-off at various forcasting horizons. It is generally found that the GARCH time varying hedge ratios provide the greatest portfolio risk reduction, particularly for longer hedging horizons, but hey so not generate the highest portfolio return.
20
Fournié, Guillaume. « The potential for silent circulation of highly pathogenic avian influenza viruses subtype H5N1 to be sustained in live bird markets : a survey of markets in northern Viet Nam and Cambodia and mathematical models of transmission ». Thesis, Royal Veterinary College (University of London), 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.559027.
Texte intégral
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Golab, Anna. « An investigation into the volatility and cointegration of emerging European stock markets ». Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2013. https://ro.ecu.edu.au/theses/572.
Texte intégralRésumé :
This dissertation examines the interaction between European Emerging markets including cointegration, volatility, correlation and spillover effects. This study is also concerned with the process of the enlargement of the European Union and how this affects the emerging markets of newcomers. The twelve emerging markets studied are Bulgaria, the Czech Republic, Cyprus, Estonia, Hungry, Latvia, Lithuania, Malta, Poland, Romania, Slovakia and Slovenia, which are all progressing very rapidly in their reforms and domestic economic stability.
The majority of prior studies on stock market comovements and integration have concentrated on mature developed markets or the advanced emerging markets of the Czech Republic, Hungary and Poland whilst the behaviour and interrelationship of other Central and Eastern European equity markets has been neglected. This study fills that gap.
There are two key aspects investigated in this study. Firstly the cointegration between studied emerging markets and secondly the volatility and spillover effects.
The cointegration analysis examines the short and long run behaviour of the twelve emerging stock markets and assesses the impact of the EU on stock market linkages as revealed by the time series behaviour of their stock market indices. The adopted time- series framework incorporates the Johansen procedure, Granger Causality tests, Variance Decompositions and Impulse Response analyses. The cointegration results for both pre- and post- EU periods confirm the existence of long run relationships between markets. Granger Causality relationships are indentified among the most advanced emerging markets. The Variance Decomposition analyses find evidence of regional integration amongst the markets. Furthermore, the Impulse Response function illustrates that the shocks in returns for all twelve markets persist for very short time periods.
The volatility and spillover analysis applies several univariate models of Autoregressive Conditional Heteroscedasticity, including GARCH, GJR and EGARCH. The models used in the analysis of cross market effects include CCC, diagonal BEKK, VARMA GARCH and VARMA AGARCH. Overall, the econometric analysis using these models shows stock market integration during the pre-EU period, however interdependence of the markets is established for the post-EU period. The results provide important information on the impact of the accession of new countries to the EU, with clear evidence of stability in Central and Eastern Europe markets and integration within the region.
This study has important implications for investors wishing to diversify across national markets, such as the implications of growing asset correlations, if they are displayed, and whether investors should diversify outside the Central and Eastern European countries. It could be argued that the former Eastern block economies constitute emerging markets which typically offer attractive risk adjusted returns for international investors. Moreover, stock market comovement is of considerable interest to policy makers from a perspective of the effects on the macroeconomy, the planning of monetary policy and impact of the degree of stock market comovements on the stability of international monetary policy.
22
Jaramba, Toddy. « Volatility transmission across South African financial markets : does the bull – bear distinction matter ? » Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1013396.
Texte intégralRésumé :
The volatility transmission in financial markets has important implications for investment decision making, portfolio diversification and overall macroeconomic stability. This paper analyses volatility transmission across four South African financial markets that is the stock, bond, money and foreign exchange markets, using daily data for the period 2000-2010. It also shows whether the volatilities in the SA financial markets present a different behaviour in bull and bear market phases. The effects of the international markets volatility to the local markets volatility was also looked at in this study. To obtain estimates of market volatility, the study experimented with various volatility models that include the GARCH, EGARCH and TARCH. To examine volatility interaction and the transmission of volatility shocks, a VAR model was estimated together with block exogeneity, impulse response and variance decomposition. The study found that there is limited volatility transmission across the SA financial markets. The study also found that the money market is the most exogenous of all markets since the other three financial markets volatility is insignificant to the money market (see impulse response results). For the bond market, volatility transmission was characterized with a decreasing trend. With regard to international markets volatility, it concluded that, the shocks in the international markets will eventually affect the movement in the local markets. The results also highlighted that, world and local markets are important in accelerating the volatility transmission in SA financial markets depending on whether they are in their bull or bear phases. In the case of South Africa, the study found that volatility transmission across markets is higher during bear market periods than bull market periods. Basing on the study results which show that the volatility transmission is limited across SA financial markets, the implication to local and international investors is that there is a greater potential for diversifying risk by investing in different South African financial markets.
23
Thupayagale, Pako. « Essays in long memory : evidence from African stock markets ». Thesis, St Andrews, 2010. http://hdl.handle.net/10023/883.
Texte intégral
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Niklewski, Jacek. « Multivariate GARCH and portfolio optimisation : a comparative study of the impact of applying alternative covariance methodologies ». Thesis, Coventry University, 2014. http://curve.coventry.ac.uk/open/items/a8d7bf49-198d-49f2-9894-12e22ce2d7f1/1.
Texte intégralRésumé :
This thesis investigates the impact of applying different covariance modelling techniques on the efficiency of asset portfolio performance. The scope of this thesis is limited to the exploration of theoretical aspects of portfolio optimisation rather than developing a useful tool for portfolio managers. Future work may entail taking the results from this work further and producing a more practical tool from a fund management perspective. The contributions made by this thesis to the knowledge of the subject are that it extends literature by applying a number of different covariance models to a unique dataset that focuses on the 2007 global financial crisis. The thesis also contributes to the literature as the methodology applied also enables a distinction to be made in respect to developed and emerging/frontier regional markets. This has resulted in the following findings: First, it identifies the impact of the 2007–2009 financial crisis on time-varying correlations and volatilities as measured by the dynamic conditional correlation model (Engle 2002). This is examined from the perspective of a United States (US) investor given that the crisis had its origin in the US market. Prima facie evidence is found that economic structural adjustment has resulted in long-term increases in the correlation between the US and other markets. In addition, the magnitude of the increase in correlation is found to be greater in respect to emerging/frontier markets than in respect to developed markets. Second, the long-term impact of the 2007–2009 financial crisis on time-varying correlations and volatilities is further examined by comparing estimates produced by different covariance models. The selected time-varying models (DCC, copula DCC, GO-GARCH: MM, ICA, NLS, ML; EWMA and SMA) produce statistically significantly different correlation and volatility estimates. This finding has potential implication for the estimation of efficient portfolios. Third, the different estimates derived using the selected covariance models are found to have a significant impact on the calculated weights and turnovers of efficient portfolios. Interestingly, however, there was no significant difference between their respective returns. This is the main finding of the thesis, which has potentially very important implications for portfolio management.
25
Rici, Emerson Tadeu Gonçalves. « Modelos matemáticos em finanças : desenvolvimento histórico-científico e riscos associados às premissas estruturais ». Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/96/96133/tde-28042008-110735/.
Texte intégralRésumé :
Este trabalho tem como objetivo estudar as origens dos estudos ligados à gestão do risco e suas aplicações no mercado de capitais, incluindo o mercado brasileiro. São destacadas importantes características estatísticas desses estudos, algumas premissas probabilísticas básicas e o questionamento do uso indiscriminado dos modelos matemáticos desenvolvidos para Finanças. Apresentamos alguns tipos de distribuições estatísticas que podem ser aplicadas ao mercado de capitais. Esta pesquisa apresenta, também, características de sistemas complexos, da Teoria da Utilidade de Bernoulli, da Teoria da Utilidade Esperada (TUE) de Von Neumann e Morgenstern (1944), da Hipótese de Mercados Eficientes (HME) organizado/sistematizado por Eugene Fama (1970), da Racionalidade Limitada, estudada por Simon (1959), das Finanças Comportamentais, tratada por Kahneman e Tverski (1979) e do uso de modelos, apresentado por Merton, (1994). É feito um estudo empírico, a título de ilustração, contemplando o mercado brasileiro, representado pelo índice BOVESPA (Ibovespa), comparado com resultados obtidos por Gabaix (2003), em estudo realizado no mercado americano, a fim de verificar a distribuição de probabilidade do retorno. Esta realização empírica é realizada no intento de reforçar a importância da reflexão acerca do uso indiscriminado dos modelos e das quebras de suas premissas.The objective of this work is to study the origins of the research related to risk and its implications to capital markets, including the Brazilian market. Important statistical characteristics, several basic probabilistic premises and the questioning of indiscriminate use of mathematical models developed by accountants and analysts in finances had been highlighted. There had been shown some kinds of statistical distribution which can be applied to capital markets. This research also presents characteristics of complex systems, Utility Theory, studied by Von Neumann and Morgenstern (1944), Efficient Markets Hypothesis (EMH), organized/systematized by Eugene Fama (1970), Limited Rationality, studied by Simon (1959), Behavioral Finance, dealt by Kahneman and Tveski (1979) and model\'s use by Merton (1994). In order to illustrate the work, there had been made an empirical study, contemplating Brazilian market and comparing it to Garbaix\'s (2003) results, obtained by American market study. This was made in order to verify the market return probability distribution to reinforce the importance of reflection in indiscriminate usage of models and its premises crack.
26
Fielden, Thomas Robert. « Modeling Market and Regulatory Mechanisms for Pollution Abatement with Sharp and Random Variables ». PDXScholar, 2011. https://pdxscholar.library.pdx.edu/open_access_etds/282.
Texte intégralRésumé :
This dissertation is motivated by the problem of uncertainty and sensitivity in business- class models such as the carbon emission abatement policy model featured in this work. Uncertain model inputs are represented by numerical random variables and a computational methodology is developed to numerically compute business-class models as if sharp inputs were given. A new description for correlation of random variables is presented that arises spontaneously within a numerical model. Methods of numerically computing correlated random variables are implemented in software and represented. The major contribution of this work is a methodology for the numerical computation of models under uncertainty that expresses no preference for unlikelihood of model input combinations. The methodology presented here serves a sharp contrast to traditional Monte Carlo methods that implicitly equate likelihood of model input values with importance of results. The new methodology herein shifts the computational burden from likelihood of inputs to resolution of input space.
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Shao, Haimei. « Price discovery in the U.S. bond market trading strategies and the cost of liquidity ». Doctoral diss., University of Central Florida, 2011. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5032.
Texte intégralRésumé :
The world bond market is nearly twice as large as the equity market. The goal of this dissertation is to study the dynamics of bond price. Among the liquidity risk, interest rate risk and default risk, this dissertation will focus on the liquidity risk and trading strategy. Under the mathematical frame of stochastic control, we model price setting in U.S. bond markets where dealers have multiple instruments to smooth inventory imbalances. The difficulty in obtaining the optimal trading strategy is that the optimal strategy and value function depend on each other, and the corresponding HJB equation is nonlinear. To solve this problem, we derived an approximate optimal explicit trading strategy. The result shows that this trading strategy is better than the benchmark central symmetric trading strategy.ID: 029809224; System requirements: World Wide Web browser and PDF reader.; Mode of access: World Wide Web.; Thesis (Ph.D.)--University of Central Florida, 2011.; Includes bibliographical references (p. 101-103).
Ph.D.
Doctorate
Mathematics
Sciences
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Veraart, Luitgard Anna Maria. « Mathematical models for market making, option pricing and systemic risk ». Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.613365.
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Mazzotta, Stefano. « Three essays on volatility ». Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85189.
Texte intégralRésumé :
This dissertation is in the form of one survey paper and three essays on the topic of volatility. The unifying feature that permeates the entire thesis is the focus on the measurement and use of conditional second moment of equities and currencies as a measure of risk for asset pricing and policy purposes in the context of international markets.The survey examines selected papers from the international finance literature and from the volatility literature with a focus on the theoretical and empirical relationship between first and second unconditional and conditional moments of domestic and international asset returns. It then specifically proposes several areas for investigation related to international finance topics. The first essay investigates the importance of asymmetric volatility when computing the risk premium of international assets. The results indicate that conditional second moment asymmetry is significant and time-varying. They also show that, if the price of risk is time-varying, the world market and foreign exchange risk premia estimated without allowing for time-varying asymmetry are less consistent with the data. Furthermore, they imply that asymmetry is more pronounced when the business condition is such that investors require higher compensation to bear risk.
In the second essay we start from the consideration that financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this essay is then to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset consisting of over 10 years of daily data on over-the-counter currency option prices. We find that the implied volatilities explain a large share of the variation in realized volatility. Finally, we find that wide-range interval and density forecasts are often misspecified whereas narrow-range interval forecasts are well specified.
In the third essay we examine whether the information contained in various measures of correlation among exchange rates can be used to assess future currency co-movement. We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns based correlations measures, it tends to provide the most consistent results across currencies. Predictions that use both implied and returns-based correlations generate the highest adjusted R2's, explaining up to 42 per cent of the realized correlations.
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Blix, Magnus. « Essays in mathematical finance : modeling the futures price ». Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-534.
Texte intégralRésumé :
This thesis consists of four papers dealing with the futures price process. In the first paper, we propose a two-factor futures volatility model designed for the US natural gas market, but applicable to any futures market where volatility decreases with maturity and varies with the seasons. A closed form analytical expression for European call options is derived within the model and used to calibrate the model to implied market volatilities. The result is used to price swaptions and calendar spread options on the futures curve. In the second paper, a financial market is specified where the underlying asset is driven by a d-dimensional Wiener process and an M dimensional Markov process. On this market, we provide necessary and, in the time homogenous case, sufficient conditions for the futures price to possess a semi-affine term structure. Next, the case when the Markov process is unobservable is considered. We show that the pricing problem in this setting can be viewed as a filtering problem, and we present explicit solutions for futures. Finally, we present explicit solutions for options on futures both in the observable and unobservable case. The third paper is an empirical study of the SABR model, one of the latest contributions to the field of stochastic volatility models. By Monte Carlo simulation we test the accuracy of the approximation the model relies on, and we investigate the stability of the parameters involved. Further, the model is calibrated to market implied volatility, and its dynamic performance is tested. In the fourth paper, co-authored with Tomas Björk and Camilla Landén, we consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures price curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a finite dimensional Markovian state space model, and we give general necessary and sufficient conditions, in terms of the volatility structure, for the existence of a finite dimensional realization. We study a number of concrete applications including the model developed in the first paper of this thesis. In particular, we provide necessary and sufficient conditions for when the induced spot price is a Markov process. We prove that the only HJM type futures price models with spot price dependent volatility structures, generically possessing a spot price realization, are the affine ones. These models are thus the only generic spot price models from a futures price term structure point of view.Diss. Stockholm : Handelshögskolan, 2004
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Wang, Ying, et 王瑩. « A study of mutual fund flow and market return volatility ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B26843572.
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Jitsuchon, Somchai. « Three applications of market incompleteness and market imperfection ». Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0026/NQ38906.pdf.
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Emeny, Matthew. « The book-to-market effect and the behaviour of stock returns in the Australian equity market ». Title page, contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ECM/09ecme533.pdf.
Texte intégralRésumé :
"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-reaction. An alternative explanation IS offered, relying on the dynamic behavior of firms and the process by which investors value the stocks of these firms.
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Li, Cheng. « Three aspects of mathematical models for asymmetric information in financial market ». Thesis, London School of Economics and Political Science (University of London), 2016. http://etheses.lse.ac.uk/3347/.
Texte intégralRésumé :
The thesis consists of three parts. The first part studies the Glosten-Milgrom model [25] where the risky asset value admits an arbitrary discrete distribution. In contrast to existing results on insider model, the insiders optimal strategy in this model, if it exists, is not of feedback type. Therefore, a weak formulation of equilibrium is proposed. In this weak formulation, the inconspicuous trade theorem still holds, but the optimality for the insiders strategy is not enforced. However, the insider can employ some feedback strategies whose associated expected profit are close to the optimal value, when the order size is small. Moreover, this discrepancy converges to zero when the order size diminishes. The second part extends Peng’s monotone convergence result [37] to backward stochastic differential equations (BSDEs in short) driven by marked point processes. We apply this result to give a stochastic representation to the value function of the insiders problem in the previous part. The last part studies an optimal trading problem in limit order market with asymmetry information. The market consists of a strategic trader and a group of noisy traders. The strategic trader has private prediction on the fundamental value of a risk asset, and aims to maximise her expected profit. Both types of market participants are allowed to place market and limit orders. We aim to find a trading strategy for the strategic trader who uses both limit and market orders. This is formulated as a stochastic control problem that we characterise in terms of a HJB system. We also provide a numerical algorithm to obtain its solution and prove its convergence. Finally, we consider an example to illustrate the optimal trading strategy of the strategic trader.
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Li, Na. « Stochastic Models of Stock Market Dynamics ». Thesis, Uppsala universitet, Analys och tillämpad matematik, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-144307.
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Mikaelyan, Anna. « Analitical study of the Schönbucher-Wilmott model of the feedback effect in illiquid markets ». Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3587.
Texte intégralRésumé :
This master project is dedicated to the analysis of one of the nancialmarket models in an illiquid market. This is a nonlinear model. Using analytical methods we studied the symmetry properties of theequation which described the given model. We called this equation aSchonbucher-Wilmott equation or the main equation. We have foundinnitesimal generators of the Lie algebra, containing the informationabout the symmetry group admitted by the main equation. We foundthat there could be dierent types of the unknown function g, whichwas located in the main equation, in particular four types which admitsricher symmetry group. According to the type of the function gthe equation was split up into four PDEs with the dierent Lie algebrasin each case. Using the generators we studied the structure ofthe Lie algebras and found optimal systems of subalgebras. Then weused the optimal systems for dierent reductions of the PDE equationsto some ODEs. Obtained ODEs were easier to solve than the correspondingPDE. Thereafter we proceeded to the solution of the desiredSchonbucher-Wilmott equation. In the project we were guided by thepapers of Bank, Baum [1] and Schonbucher, Wilmott [2]. In these twopapers authors introduced distinct approaches of the analysis of thenonlinear model - stochastic and dierential ones. Both approaches leadunder some additional assumptions to the same nonlinear equation - the main equation.
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Pucek, Ludvig, et Viktor Sonebäck. « Hierarchical clustering of market risk models ». Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-208307.
Texte intégralRésumé :
This thesis aims to discern what factors and assumptions are the most important in market risk modeling through examining a broad range of models, for different risk measures (VaR0.01, S0:01 and ES0:025) and using hierarchical clustering to identify similarities and dissimilarities between the models. The data used is daily log returns for OMXS30 stock index and Bloomberg Barclays US aggregate bond index (AGG) from which daily risk estimates are simulated. In total, 33 market risk models are included in the study. These models consist of unconditional variance models (Student's t distribution, Normal distribution, Historical simulation and Extreme Value Theory (EVT) with Generalized Pareto Tails (GPD)) and conditional variance models (ARCH, GARCH, GJR-GARCH and EGARCH). The conditional models are used in filtered and unfiltered market risk models. The hierarchical clustering is done for all risk measures and for both time series, and a comparison is made between VaR0:01 and ES0:025. The thesis shows that the most important assumption is whether the models have conditional or unconditional variance. The hierarchy for assumptions then differ depending on time series and risk measure. For OMXS30, the clusters for VaR0:01 and ES0:025 are the same and the largest dividing factors for the conditional models are (in descending order): Leverage component (EGARCH or GJR-GARCH models) or no leverage component (GARCH or ARCH) Filtered or unfiltered models Type of variance model (EGARCH/GJR-GARCH and GARCH/ARCH) The ES0:01 cluster shows that ES0:01 puts a higher emphasis on normality or non-normality assumptions in the models. The similarities in the different clusters are more prominent for OMXS30 than for AGG. The hierarchical clustering for AGG is also more sensitive to the choice of risk measure. For AGG the variance models are generally less important and more focus lies in the assumed distributions in the variance models (normal innovations or student's t innovations) and the assumed final log return distribution (Normal, Student's t, HS or EVT-tails). In the lowest level clusters, the transition from VaR0:01 to ES0:025 result in a smaller model disagreement.Denna uppsats syfte är att utröna vilka faktorer och antaganden som är de viktigaste i marknadsriskmodellering genom att undersöka en mängd modeller, för riskmåtten (VaR0.01, S0:01 and ES0:025 ) och genom hierarkisk klustring identifiera likheter och skillnader mellan modellerna Datan som används är dagliga log-returns för OMXS30 och Bloomberg Barclays US aggregate bond index (AGG) från vilka dagliga riskestimat simuleras. Totalt används 33 marknadsriskmodeller i denna studie. Dessa modeller består av mod- eller med obetingad varians (Student’s t-fördelning, normalfördelning, historisk simulering och extremevärdeteori med Generalized Pareto svansar i fördelningen (GPD)) och modeller med betingad varians (ARCH, GARCH, GJR-GARCH och EGARCH). De betingade vari-ansmodellerna används som filtrerade och ofiltrerade modeller. Den hierarkiska klustringen görs för alla riskmått och för båda tidsserierna. En jämförelse görs mellan VaR0:01 och ES0:025. Denna studie visar att det viktigaste antagande är om modellerna har betingad eller obetingad varians. Sedan skiljer hierarkin gällande vilka antaganden som är viktigast beroende på tidsserie och riskmått. För OMXS30 är klustrena för VaR0.01 och ES0.025 likadana och de viktigaste faktorerna i modelleringen är (i sjunkande ordning): Leverage-komponent (EGARCH or GJR-GARCH models) eller ingen leverage-komponen(GARCH or ARCH) Filtrerad eller ofiltrerad modell Typ av variansmodellering (EGARCH/GJR-GARCH and GARCH/ARCH) Klustret för ES0:01 visar att ES0:01 sätter en större vikt vid antagandet om normalfördelning eller inte normalfördelning i modellerna. Likheterna i de olika klustrena är mer framträdande för OMXS30 än för AGG. Klustren för AGG är även mer känsliga för valet av riskmått. För AGG är de olika valen av varians-modell generellt sett mindre viktiga och fokus ligger istället på den antagna fördelningen i variansmodellerna (normalfördelade eller Student t-fördelade) och den antagna slutgiltiga fördelningen (normal, Student’s t, historisk simulering eller EVT). I de lägsta nivåern i klustrena resulterar bytet från VaR0:01 till ES0:025 i en mindre spridning mellan modellerna.
38
Cheung, Ming-yan William, et 張明恩. « Market microstructure of an order driven market ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B3203782X.
Texte intégral
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Siu, Kin-bong Bonny, et 蕭健邦. « Expected shortfall and value-at-risk under a model with market risk and credit risk ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37727473.
Texte intégral
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Mkhwanazi, MA (Mpendulo Armstrong). « Efficient Monte Carlo simulations of pricing captions using Libor market models ». Master's thesis, University of Cape Town, 2013. http://hdl.handle.net/11427/9114.
Texte intégralRésumé :
Includes bibliographical references.The cap option (caption) is one of common European exotic options discussed in literature. This (interest rates) exotic option has no closed form solution and its accurate pricing and hedging in a volatile market is a challenge for traders. The reason for this is that, comparatively, the behaviour on an individual interest rate is more complex than that of a stock price. To price any interest rate product, it is essential to develop an interest rates model describing the behaviour of the entire zero coupon yield curve. The equity and yield curve, respectively, relate to the difference in the dynamics of a scalar variable and vector variable. Moreover, captions are second order with respect to the discount bonds in that they are options on caps (which are also options on bonds). These reasons make it of particular interest to study efficient numerical solutions to price captions. Monte Carlo simulation provides a simple method for pricing this option, and a suitable interest rate model to use is the Libor market model. The approach of describing the behaviour of the entire zero coupon yield curve, in the era post the 2007 credit crunch crisis, is what is called a standard single-curve market practice, and Part l of this work is based on it. . After introducing the framework for option pricing in the interest rate market, the theory and implementation procedure for Monte Carlo simulation using Libor market models is described. A detailed analysis of the results is presented together with a sensitivity analysis, and finally suggestions for efficient pricing of captions are given. In Part II we review the recent financial market evolution, triggered by the credit crunch crisis towards double-curve approach. Unfortunately, such a methodology is not easy to build. In practice an empirical approach to price and hedge interest rate derivatives has prevailed in the market. Future cash flows are generated through multiple forwarding yield curves associated to the underlying rate tenors, and their net present value is calculated through discount factors front a single discounting yield curve.
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Ganjbakhsh, Omid. « St[r]ategic offers in an oligopolistic electricity market under pay-as-bid pricing ». Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=112570.
Texte intégralRésumé :
Marginal pricing is the traditional pricing method in pool based electricity markets, however pay-as-bid is an alternative that has been the focus of recent studies. One way of comparing the outcomes of these two pricing schemes is by examining their market equilibria. These equilibria have been analyzed in depth for both pricing methods under the assumption of a perfect market. Marginal pricing market equilibria has also been examined under oligopolistic markets, however, the same attention has not been given to oligopolies based on pay-as-bid pricing.In this thesis, we study the possible outcomes of an oligopolistic electricity market under pay-as-bid pricing. For this purpose, we introduce, develop and test a new concept called defensive Nash equilibrium, which combines the risk adverseness of power suppliers with the traditional notion of Nash equilibrium. The test cases studied compare market outcomes between pay-as-bid and marginal pricing under various market power assumptions.
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Lin, Lebin. « Data Mining and Mathematical Models for Direct Market Campaign Optimization for Fred Meyer Jewelers ». Wright State University / OhioLINK, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=wright1483558398637535.
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Mutengwa, Tafadzwa Isaac. « An analysis of the Libor and Swap market models for pricing interest-rate derivatives ». Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1005535.
Texte intégralRésumé :
This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular caplets and swaptions using the LIBOR market model (LMM) developed by Brace, Gatarek, and Musiela (1997) and Swap market model (SMM) developed Jamshidan (1997), respectively. Today, in most financial markets, interest rate derivatives are priced using the renowned Black-Scholes formula developed by Black and Scholes (1973). We present new pricing models for caplets and swaptions, which can be implemented in the financial market other than the Black-Scholes model. We theoretically construct these "new market models" and then test their practical aspects. We show that the dynamics of the LMM imply a pricing formula for caplets that has the same structure as the Black-Scholes pricing formula for a caplet that is used by market practitioners. For the SMM we also theoretically construct an arbitrage-free interest rate model that implies a pricing formula for swaptions that has the same structure as the Black-Scholes pricing formula for swaptions. We empirically compare the pricing performance of the LMM against the Black-Scholes for pricing caplets using Monte Carlo methods.
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Yiu, Fan-lai, et 姚勳禮. « Applicability of various option pricing models in Hong Kong warrants market ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3126590X.
Texte intégral
45
« Essays on dynamic markets with heterogeneous agents ». Thesis, 2007. http://hdl.handle.net/2152/3128.
Texte intégral
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Nezami, Narajabad Borghan 1979. « Essays on dynamic markets with heterogeneous agents ». 2007. http://hdl.handle.net/2152/13315.
Texte intégral
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« Cross market monitoring on financial markets ». 2001. http://library.cuhk.edu.hk/record=b5890653.
Texte intégralRésumé :
by Lee Yue, Wefield.Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.
Includes bibliographical references (leaves 105-111).
Abstracts in English and Chinese.
Abstract --- p.I
Abstract (Chinese) --- p.II
Acknowledgement --- p.III
Table of Content --- p.IV
List of Figures --- p.VII
List of Tables --- p.VIII
Chapter 1 --- Introduction --- p.1
Chapter 1.1 --- Background --- p.1
Chapter 1.2 --- Motivation --- p.2
Chapter 1.3 --- Organization --- p.4
Chapter 2 --- Literature Review --- p.5
Chapter 2.1 --- Market Monitoring --- p.5
Chapter 2.1.1 --- Regulatory Framework --- p.5
Chapter 2.1.2 --- Surveillance Technology --- p.6
Chapter 2.2 --- Cross Market Relationship --- p.7
Chapter 2.3 --- Knowledge Management --- p.9
Chapter 2.3.1 --- From Data and Information to Knowledge --- p.9
Chapter 2.3.2 --- From Knowledge to Knowledge Management --- p.10
Chapter 3 --- Market Activities and Market Surveillance --- p.13
Chapter 3.1 --- Overview of Market Structure --- p.13
Chapter 3.1.1 --- Monetary Market --- p.13
Chapter 3.1.2 --- Stock and its Derivatives Market --- p.14
Chapter 3.1.3 --- Futures --- p.19
Chapter 3.2 --- Cross-Market Activities and Manipulation --- p.20
Chapter 3.3 --- Monitoring and Surveillance --- p.22
Chapter 3.4 --- Stock Monitoring Systems --- p.23
Chapter 4 --- Financial Knowledge Management (FKM) Model --- p.27
Chapter 4.1 --- Introduction --- p.27
Chapter 4.2 --- Knowledge Management cycle --- p.28
Chapter 4.2.1 --- Information Collection --- p.29
Chapter 4.2.2 --- Information Storage --- p.29
Chapter 4.2.3 --- Knowledge Generation --- p.30
Chapter 4.2.4 --- Knowledge Dissemination --- p.30
Chapter 4.3 --- The 4 levels of FKM --- p.31
Chapter 5 --- Level 1: Range Detection --- p.32
Chapter 5.1 --- Basic idea --- p.32
Chapter 5.2 --- Detection cycle --- p.32
Chapter 5.3 --- Mathematical Model --- p.32
Chapter 5.4 --- Knowledge generation --- p.34
Chapter 6 --- Level 2: Momentum Detection --- p.36
Chapter 6.1 --- Basic idea --- p.36
Chapter 6.2 --- Detection cycle --- p.36
Chapter 6.3 --- Mathematical Model --- p.37
Chapter 6.4 --- Knowledge generation --- p.38
Chapter 7 --- Level 3: Case Detection --- p.40
Chapter 7.1 --- Basic Idea --- p.40
Chapter 7.2 --- Technical Analysis --- p.40
Chapter 7.3 --- Details and Characteristics of Chart Patterns --- p.41
Chapter 7.3.1 --- Continuation and Reversal Patterns --- p.41
Chapter 7.3.2 --- Bar Charts --- p.42
Chapter 7.3.3 --- Different Patterns --- p.42
Chapter 7.4 --- Mathematical Model --- p.54
Chapter 7.4.1 --- Smoothing of Data 一 Exponential Smoothing --- p.55
Chapter 7.4.2 --- Recognition of Different Patterns --- p.57
Chapter 7.4.3 --- Detection Cycle --- p.59
Chapter 7.5 --- Knowledge generation --- p.60
Chapter 8 --- Level 4: Scenario Detection --- p.62
Chapter 8.1 --- Basic idea --- p.62
Chapter 8.2 --- Detection cycle --- p.65
Chapter 8.2.1 --- RETRIEVE --- p.66
Chapter 8.2.2 --- REUSE --- p.75
Chapter 8.2.3 --- REVISE --- p.76
Chapter 8.2.4 --- RETAIN --- p.82
Chapter 8.3 --- Knowledge Generation --- p.82
Chapter 9 --- Experiments and Research Findings --- p.85
Chapter 9.1 --- Experiments on Monitoring and Detection --- p.85
Chapter 9.1.1 --- Precision and Recall --- p.85
Chapter 9.1.2 --- Architecture of FKM --- p.86
Chapter 9.1.3 --- Experiment and Result Analysis --- p.88
Chapter 9.2 --- Evaluation of Knowledge Management --- p.89
Chapter 9.2.1 --- Evaluation Design --- p.90
Chapter 9.2.2 --- Result Analysis --- p.91
Chapter 10 --- Conclusion and Future Work --- p.94
Chapter 10.1 --- Conclusion --- p.94
Chapter 10.2 --- Future Direction --- p.95
Appendix I A Survey on Investors of Hong Kong --- p.96
Appendix II Theories on Cross-Market Relation --- p.99
Appendix III Mathematical Model for Patterns --- p.102
Bibliography --- p.105
48
Anthropelos, Michail 1980. « Agents' agreement and partial equilibrium pricing in incomplete markets ». 2008. http://hdl.handle.net/2152/18014.
Texte intégralRésumé :
We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers with non-traded random endowments, we provide necessary and sufficient conditions for the negotiation to be successful, i.e., for the trade to occur. We, also, study the asymptotic case where the size of the claim is small compared to the random endowments and give a full characterization in this case. We, then, study a partial-equilibrium problem for a bundle of divisible claims and establish its existence and uniqueness. A number of technical results on conditional indifference prices are provided. Finally, we generalize the notion of partial-equilibrium pricing in the case where the agents' risk preferences are modelled by convex capital requirements.text
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« Inventory and procurement management in the presence of spot markets ». Thesis, 2009. http://library.cuhk.edu.hk/record=b6074945.
Texte intégralRésumé :
In the first model, we study the optimal procurement strategy in a two-period framework when both the spot market and the forward contract are considered. The forward contract is agreed upon in the first period, and is then delivered in the second period, when the spot market is also available. This is followed by production and demand. The objective of the buyer is to minimize his expected cost. We study the problem for two scenarios: the buyer cannot and can sell to the spot market. Through our analysis, when the buyer can not sell to the spot market, there exists a threshold forward price, under which the buyer will enter into the forward contract. This threshold is lower than the expected spot price. Furthermore, we analytically show that the optimal order quantities via forward contract increase in the mean of the spot price, but decrease in the variability of the spot price. However, the buyer only speculates using the forward contract when he can sell to spot market.In the second model, we consider a problem in which a buyer makes procurement decisions when he faces periodic random demand and two supply sources, one is a long-term contract supplier and the other is a spot market. When he procures from the contract supplier, a fixed unit price is charged and a predetermined minimum quantity for each period must be committed, and when he procures from the spot market, a stochastic spot price plus a fixed setup cost is charged. The spot price is only realized at the beginning of each period. We show that the optimal policy consists three different (s, S) type policies. More important, we identify certain conditions under which there exist monotone properties between the policy parameters and the current spot price for a general Markov spot price process. Then, we can divide the price space into three regions, each of which corresponds to a specific policy, for each period. We also conduct numerical analysis to gain more insights into how the spot market impacts the buyer's performance. We find the buyers benefits from a more volatile market.
The last model extends the second model by incorporating an important feature that is widely seen; i.e., the procurement from the contract supplier should fulfill a total order quantity commitment (TOQC). The TOQC requires the buyer to procure no less than the predetermined commitment during the contract period, which we call the planning horizon. Thus, in each period, the buyer trades off between the possible lower cost now (by procuring from the spot market) and the reduced cost in the future (by reducing the remaining commitment). Two types of commitment contracts are considered: a minimal TOQC contract and a definite quantity contract. Our analysis characterizes an optimal procurement policy which depends on the spot price in each period and an optimal virtual remaining commitment level. Such a structured policy can be viewed as a combination of some policies of base-stock type, each of which can be computed through an equivalent system without any commitment. Moreover, some of these equivalent systems are of simple multiple-period newsvendor type. This greatly simplifies the computation of the optimal policies. We also numerically analyze how the TOQC and the spot market affects the buyer's performance.
This research develops mathematical models for inventory and procurement management in the presence of spot markets. More specifically, we consider those models by incorporating different types of supply contracts. Particular attention is paid to the quantity flexible contracts. This research is an attempt to understand how firms should adopt their operating policies in the presence of fluctuating commodity prices. In this thesis, we mainly consider the following three models.
Xue, Weili.
Adviser: Youhua Chen.
Source: Dissertation Abstracts International, Volume: 72-11, Section: B, page: .
Thesis (Ph.D.)--Chinese University of Hong Kong, 2009.
Includes bibliographical references (leaves 122-134).
Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
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