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Dissertations / Theses on the topic 'Derivatives'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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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/.

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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/.

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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 de

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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/.

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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 valo

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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/.

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5

Teimouri, Ilia. "On aspects of infinite derivatives field theories & infinite derivative gravity." Thesis, Lancaster University, 2018. http://eprints.lancs.ac.uk/90105/.

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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

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6

Syz, Juerg M. "Property derivatives /." Zürich, 2008. http://opac.nebis.ch/cgi-bin/showAbstract.pl?sys=000254907.

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7

Xu, Wei. "Weather derivatives." Doctoral thesis, Humboldt-Universität zu Berlin, Landwirtschaftlich-Gärtnerische Fakultät, 2008. http://dx.doi.org/10.18452/15815.

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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 zwische

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8

Castigliego, Claudio <1987&gt. "Credit derivatives." Master's Degree Thesis, Università Ca' Foscari Venezia, 2014. http://hdl.handle.net/10579/4461.

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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.

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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, parti

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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/.

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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 s

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11

Vomasta, Daniel. "Diarylethene derivatives and their applications : Salen derivatives in molecular recognition." kostenfrei, 2009. http://epub.uni-regensburg.de/13393/.

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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.

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Tetrahydrobenzofurans and tetrahydroindoles are two very valuable classes of substances which have wide usage area<br>either 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<br>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-ena

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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.

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Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2004.<br>Includes bibliographical references (leaves 120-131). Also available in electronic version. Access restricted to campus users.

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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.

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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: 2007-10-30<br>The 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 foc

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15

Ehlers, Philippe Serge. "Pricing credit derivatives." Zürich : ETH, 2007. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=17274.

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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.

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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 correspondi

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17

Detlefsen, Kai. "Equity derivatives markets." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2007. http://www.gbv.de/dms/zbw/561396701.pdf.

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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.

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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 develo

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19

Al-Qallaf, Fawzia Abbas. "Tricylic pinane derivatives." Thesis, University of Liverpool, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.367303.

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20

Simandiras, Emmanuel D. "Analytic energy derivatives." Thesis, University of Cambridge, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.257217.

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21

Carr, Justin P. "Modeling Volatility Derivatives." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/1117.

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"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

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22

Anderson, David George. "Novel SiH2X2 derivatives." Thesis, University of Edinburgh, 1987. http://hdl.handle.net/1842/11859.

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23

Fox, Mark Alexander. "Icosahedral carborane derivatives." Thesis, Durham University, 1991. http://etheses.dur.ac.uk/1186/.

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24

Seemann, Harald. "Applications of credit derivatives opportunities and risks involved in credit derivatives." Hamburg Diplomica-Verl, 2007. http://d-nb.info/988193566/04.

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25

Seemann, Harald. "Applications of credit derivatives : opportunities and risks involved in credit derivatives /." Hamburg : Diplomica Verl, 2008. http://d-nb.info/988193566/04.

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26

Duygu, Arife Nese. "Synthesis Of Camptothecin Derivatives." Phd thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/3/12606302/index.pdf.

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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

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27

Aydemir, Kadir. "Electrochromism With Selenophene Derivatives." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/12609341/index.pdf.

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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 monomer<br>1,4-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 Cy

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28

Krkic, Milos. "Valuing exotic energy derivatives." Thesis, Imperial College London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.416650.

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29

Brown, R. James. "Novel functionalised tetrathiafulvalene derivatives." Thesis, Nottingham Trent University, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.396328.

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30

Gandhi, U. P. "Diffusion in cellulose derivatives." Thesis, Cardiff University, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.376555.

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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.

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32

Aas, Roar. "Risk management using derivatives." Thesis, Heriot-Watt University, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262000.

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33

Fish, Richard James. "RANTES derivatives and CCR5." Thesis, University of York, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.369362.

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34

Rüther, Henrique. "Credit derivatives in Brazil." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/39511.

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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2007.<br>Includes bibliographical references (p. 40-42).<br>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 exist

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35

Eve, Tom S. C. "Biotransformations of hydroxylamine derivatives." Thesis, University of Edinburgh, 2007. http://hdl.handle.net/1842/14813.

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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

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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.

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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.

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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

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38

Pejčochová, Kristina. "Development of Derivatives Reporting." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-113116.

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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

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39

Foukal, Viktor. "Pricing of Power Derivatives." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-207052.

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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 - Volatil

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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.

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41

Herbertsson, Alexander. "Pricing portfolio credit derivatives." Göteborg : Göteborg University, 2007. https://gupea.ub.gu.se/dspace/bitstream/2077/4731/1/Herbertsson%20avhandl.pdf.

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42

Mehraban, Nahid. "Synthesis of Phenothiazinium Derivatives." Digital Commons @ East Tennessee State University, 2012. https://dc.etsu.edu/etd/1464.

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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 cat

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43

Fanah, Selorm J. "Synthesis of Phenothiazinium Derivatives." Digital Commons @ East Tennessee State University, 2015. https://dc.etsu.edu/etd/2563.

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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 phenoth

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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.

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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 o

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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.

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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.

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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.

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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.

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Надаються правила випуску та обігу кредитних деривативів розроблені автором відповідно до чинного українського законодавства.<br>The rules for the issue and circulation of credit derivatives are developed by the author in accordance with the current Ukrainian legislation.

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49

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/.

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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 apreçame

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50

Perlingeiro, Bruna de Carvalho Leitão. "Teoria das escolhas contábeis: fair value de derivativos em bancos no Brasil." Universidade de São Paulo, 2009. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-11092009-094915/.

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Esta dissertação busca verificar se existem práticas relacionadas a Gerenciamento de Resultados (a partir das Escolhas Contábeis) que sejam provenientes do impacto da contabilização de derivativos nas instituições bancárias em funcionamento no país sob a supervisão do Bacen, com posição em 1º/12/2008. Uma das inovações deste estudo é que, além da utilização de todos os Bancos na posição considerada, o que perfaz um censo, esta pesquisa possui enfoque com base na Teoria das Escolhas Contábeis. A abordagem desta dissertação é empírico-analítica, a hipótese geral é de que não existe Gerenciamento

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