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1
Walljee, Raabia. "The Levy-LIBOR model with default risk." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96957.
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Thesis (MSc)--Stellenbosch University, 2015ENGLISH ABSTRACT : In recent years, the use of Lévy processes as a modelling tool has come to be viewed more favourably than the use of the classical Brownian motion setup. The reason for this is that these processes provide more flexibility and also capture more of the ’real world’ dynamics of the model. Hence the use of Lévy processes for financial modelling is a motivating factor behind this research presentation. As a starting point a framework for the LIBOR market model with dynamics driven by a Lévy process instead of the classical Brownian motion setup is presented. When modelling LIBOR rates the use of a more realistic driving process is important since these rates are the most realistic interest rates used in the market of financial trading on a daily basis. Since the financial crisis there has been an increasing demand and need for efficient modelling and management of risk within the market. This has further led to the motivation of the use of Lévy based models for the modelling of credit risky financial instruments. The motivation stems from the basic properties of stationary and independent increments of Lévy processes. With these properties, the model is able to better account for any unexpected behaviour within the market, usually referred to as "jumps". Taking both of these factors into account, there is much motivation for the construction of a model driven by Lévy processes which is able to model credit risk and credit risky instruments. The model for LIBOR rates driven by these processes was first introduced by Eberlein and Özkan (2005) and is known as the Lévy-LIBOR model. In order to account for the credit risk in the market, the Lévy-LIBOR model with default risk was constructed. This was initially done by Kluge (2005) and then formally introduced in the paper by Eberlein et al. (2006). This thesis aims to present the theoretical construction of the model as done in the above mentioned references. The construction includes the consideration of recovery rates associated to the default event as well as a pricing formula for some popular credit derivatives.
AFRIKAANSE OPSOMMING : In onlangse jare, is die gebruik van Lévy-prosesse as ’n modellerings instrument baie meer gunstig gevind as die gebruik van die klassieke Brownse bewegingsproses opstel. Die rede hiervoor is dat hierdie prosesse meer buigsaamheid verskaf en die dinamiek van die model wat die praktyk beskryf, beter hierin vervat word. Dus is die gebruik van Lévy-prosesse vir finansiële modellering ’n motiverende faktor vir hierdie navorsingsaanbieding. As beginput word ’n raamwerk vir die LIBOR mark model met dinamika, gedryf deur ’n Lévy-proses in plaas van die klassieke Brownse bewegings opstel, aangebied. Wanneer LIBOR-koerse gemodelleer word is die gebruik van ’n meer realistiese proses belangriker aangesien hierdie koerse die mees realistiese koerse is wat in die finansiële mark op ’n daaglikse basis gebruik word. Sedert die finansiële krisis was daar ’n toenemende aanvraag en behoefte aan doeltreffende modellering en die bestaan van risiko binne die mark. Dit het verder gelei tot die motivering van Lévy-gebaseerde modelle vir die modellering van finansiële instrumente wat in die besonder aan kridietrisiko onderhewig is. Die motivering spruit uit die basiese eienskappe van stasionêre en onafhanklike inkremente van Lévy-prosesse. Met hierdie eienskappe is die model in staat om enige onverwagte gedrag (bekend as spronge) vas te vang. Deur hierdie faktore in ag te neem, is daar genoeg motivering vir die bou van ’n model gedryf deur Lévy-prosesse wat in staat is om kredietrisiko en instrumente onderhewig hieraan te modelleer. Die model vir LIBOR-koerse gedryf deur hierdie prosesse was oorspronklik bekendgestel deur Eberlein and Özkan (2005) en staan beken as die Lévy-LIBOR model. Om die kredietrisiko in die mark te akkommodeer word die Lévy-LIBOR model met "default risk" gekonstrueer. Dit was aanvanklik deur Kluge (2005) gedoen en formeel in die artikel bekendgestel deur Eberlein et al. (2006). Die doel van hierdie tesis is om die teoretiese konstruksie van die model aan te bied soos gedoen in die bogenoemde verwysings. Die konstruksie sluit ondermeer in die terugkrygingskoers wat met die wanbetaling geassosieer word, sowel as ’n prysingsformule vir ’n paar bekende krediet afgeleide instrumente.
2
Turkvatan, Aysun. "Completion Of A Levy Market Model And Portfolio Optimization." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/12609904/index.pdf.
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In this study, general geometric Levy market models are considered. Since these models are, in general, incomplete, that is, all contingent claims cannot be replicated by a self-financing portfolio consisting of investments in a risk-free bond and in the stock, it is suggested that the market should be enlarged by artificial assets based on the power-jump processes of the underlying Levy process. Then it is shown that the enlarged market is complete and the explicit hedging portfolios for claims whose payoff function depends on the prices of the stock and the artificial assets at maturity are derived. Furthermore, the portfolio optimization problem is considered in the enlarged market. The problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. It is shown that for particular choices of the equivalent martingale measure in the market, the optimal portfolio only consists of bonds and stocks. This corresponds to completing the market with additional assets in such a way that they are superfluous in the sense that the terminal expected utility is not improved by including these assets in the portfolio.
3
Yilmaz, Busra Zeynep. "Completion, Pricing And Calibration In A Levy Market Model." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12612598/index.pdf.
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In this thesis, modelling with Lévy processes is considered in three parts. In the first part, the general geometric Lé
vy market model is examined in detail. As such markets are generally incomplete, it is shown that the market can be completed by enlarging with a series of new artificial assets called &ldquo
power-jump assets&rdquo
based on the power-jump processes of the underlying Lé
vy process. The second part of the thesis presents two different methods for pricing European options: the martingale pricing approach and the Fourier-based characteristic formula method which is performed via fast Fourier transform (FFT). Performance comparison of the pricing methods led to the fact that the fast Fourier transform produces very small pricing errors so the results of both methods are nearly identical. Throughout the pricing section jump sizes are assumed to have a particular distribution. The third part contributes to the empirical applications of Lé
vy processes. In this part, the stochastic volatility extension of the jump diffusion model is considered and calibration on Standard&
Poors (S&
P) 500 options data is executed for the jump-diffusion model, stochastic volatility jump-diffusion model of Bates and the Black-Scholes model. The model parameters are estimated by using an optimization algorithm. Next, the effect of additional stochastic volatility extension on explaining the implied volatility smile phenomenon is investigated and it is found that both jumps and stochastic volatility are required. Moreover, the data fitting performances of three models are compared and it is shown that stochastic volatility jump-diffusion model gives relatively better results.
4
West, Lydia. "American Monte Carlo option pricing under pure jump levy models." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/79994.
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Thesis (MSc)--Stellenbosch University, 2013.ENGLISH ABSTRACT: We study Monte Carlo methods for pricing American options where the stock price dynamics follow exponential pure jump L évy models. Only stock price dynamics for a single underlying are considered. The thesis begins with a general introduction to American Monte Carlo methods. We then consider two classes of these methods. The fi rst class involves regression - we briefly consider the regression method of Tsitsiklis and Van Roy [2001] and analyse in detail the least squares Monte Carlo method of Longsta and Schwartz [2001]. The variance reduction techniques of Rasmussen [2005] applicable to the least squares Monte Carlo method, are also considered. The stochastic mesh method of Broadie and Glasserman [2004] falls into the second class we study. Furthermore, we consider the dual method, independently studied by Andersen and Broadie [2004], Rogers [2002] and Haugh and Kogan [March 2004] which generates a high bias estimate from a stopping rule. The rules we consider are estimates of the boundary between the continuation and exercise regions of the option. We analyse in detail how to obtain such an estimate in the least squares Monte Carlo and stochastic mesh methods. These models are implemented using both a pseudo-random number generator, and the preferred choice of a quasi-random number generator with bridge sampling. As a base case, these methods are implemented where the stock price process follows geometric Brownian motion. However the focus of the thesis is to implement the Monte Carlo methods for two pure jump L évy models, namely the variance gamma and the normal inverse Gaussian models. We first provide a broad discussion on some of the properties of L évy processes, followed by a study of the variance gamma model of Madan et al. [1998] and the normal inverse Gaussian model of Barndor -Nielsen [1995]. We also provide an implementation of a variation of the calibration procedure of Cont and Tankov [2004b] for these models. We conclude with an analysis of results obtained from pricing American options using these models.
AFRIKAANSE OPSOMMING: Ons bestudeer Monte Carlo metodes wat Amerikaanse opsies, waar die aandeleprys dinamika die patroon van die eksponensiële suiwer sprong L évy modelle volg, prys. Ons neem slegs aandeleprys dinamika vir 'n enkele aandeel in ag. Die tesis begin met 'n algemene inleiding tot Amerikaanse Monte Carlo metodes. Daarna bestudeer ons twee klasse metodes. Die eerste behels regressie - ons bestudeer die regressiemetode van Tsitsiklis and Van Roy [2001] vlugtig en analiseer die least squares Monte Carlo metode van Longsta and Schwartz [2001] in detail. Ons gee ook aandag aan die variansie reduksie tegnieke van Rasmussen [2005] wat van toepassing is op die least squares Monte Carlo metodes. Die stochastic mesh metode van Broadie and Glasserman [2004] val in die tweede klas wat ons onder oë neem. Ons sal ook aandag gee aan die dual metode, wat 'n hoë bias skatting van 'n stop reël skep, en afsonderlik deur Andersen and Broadie [2004], Rogers [2002] and Haugh and Kogan [March 2004] bestudeer is. Die reëls wat ons bestudeer is skattings van die grense tussen die voortsettings- en oefenareas van die opsie. Ons analiseer in detail hoe om so 'n benadering in die least squares Monte Carlo en stochastic mesh metodes te verkry. Hierdie modelle word geï mplementeer deur beide die pseudo kansgetalgenerator en die verkose beste quasi kansgetalgenerator met brug steekproefneming te gebruik. As 'n basisgeval word hierdie metodes geï mplimenteer wanneer die aandeleprysproses 'n geometriese Browniese beweging volg. Die fokus van die tesis is om die Monte Carlo metodes vir twee suiwer sprong L évy modelle, naamlik die variance gamma en die normal inverse Gaussian modelle, te implimenteer. Eers bespreek ons in breë trekke sommige van die eienskappe van L évy prossesse en vervolgens bestudeer ons die variance gamma model soos in Madan et al. [1998] en die normal inverse Gaussian model soos in Barndor -Nielsen [1995]. Ons gee ook 'n implimentering van 'n variasie van die kalibreringsprosedure deur Cont and Tankov [2004b] vir hierdie modelle. Ons sluit af met die resultate wat verkry is, deur Amerikaanse opsies met behulp van hierdie modelle te prys.
5
Gong, Ruoting. "Small-time asymptotics and expansions of option prices under Levy-based models." Diss., Georgia Institute of Technology, 2012. http://hdl.handle.net/1853/44798.
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This thesis is concerned with the small-time asymptotics and expansions of call option prices, when the log-return processes of the underlying stock prices follow several Levy-based models. To be specific, we derive the time-to-maturity asymptotic behavior for both at-the-money (ATM), out-of-the-money (OTM) and in-the-money (ITM) call-option prices under several jump-diffusion models and stochastic volatility models with Levy jumps. In the OTM and ITM cases, we consider a general stochastic volatility model with independent Levy jumps, while in the ATM case, we consider the pure-jump CGMY model with or without an independent Brownian component.
An accurate modeling of the option market and asset prices requires a mixture of a continuous diffusive component and a jump component. In this thesis, we first model the log-return process of a risk asset with a jump diffusion model by combining a stochastic volatility model with an independent pure-jump Levy process. By assuming
smoothness conditions on the Levy density away from the origin and a small-time large deviation principle on the stochastic volatility model, we derive the small-time expansions, of arbitrary polynomial order, in time-t, for the tail distribution of the log-return process, and for the call-option price which is not at-the-money. Moreover, our approach allows for a unified treatment of more general payoff functions. As a
consequence of our tail expansions, the polynomial expansion in t of the transition
density is also obtained under mild conditions.
The asymptotic behavior of the ATM call-option prices is more complicated to obtain, and, in general, is given by fractional powers of t, which depends on different choices of the underlying log-return models. Here, we focus on the CGMY model, one of the most popular tempered stable models used in financial modeling. A novel
second-order approximation for ATM option prices under the pure-jump CGMY Levy model is derived, and then extended to a model with an additional independent Brownian component. The third-order asymptotic behavior of the ATM option prices as
well as the asymptotic behavior of the corresponding Black-Scholes implied volatilities
are also addressed.
6
Mbakwe, Chidinma. "Model risk for barrier options when priced under different lévy dynamics." Thesis, Stellenbosch : Stellenbosch University, 2011. http://hdl.handle.net/10019.1/17810.
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Thesis (MSc)--Stellenbosch University, 2011.ENGLISH ABSTRACT: Barrier options are options whose payoff depends on whether or not the underlying asset price hits a certain level - the barrier - during the life of the option. Closed-form solutions for the prices of these path-dependent options are available in the Black-Scholes framework. It is well{known, however, that the Black-Scholes model does not price even the so-called vanilla options correctly. There are a number of popular asset price models based on exponential Lévy dynamics which are all able to capture the volatility smile, i.e. reproduce market-observed prices of vanilla options. This thesis investigates the potential model risk associated with the pricing of barrier options in several exponential Lévy models. First, the Variance Gamma, Normal Inverse Gaussian and CGMY models are calibrated to market-observed vanilla option prices. Barrier option prices are then evaluated in these models using Monte Carlo methods. The prices obtained are then compared to each other, as well as the Black-Scholes prices. It is observed that the different exponential Lévy models yield barrier option prices which are quite close to each other, though quite different from the Black-Scholes prices. This suggests that the associated model risk is low.
AFRIKAANSE OPSOMMING: Versperring opsies is opsies met 'n afbetaling wat afhanklik is daarvan of die onderliggende bateprys 'n bepaalde vlak - die versperring - bereik gedurende die lewe van die opsie, of nie. Formules vir die pryse van sulke opsies is beskikbaar binne die Black-Scholes raamwerk. Dit is egter welbekend dat die Black-Scholes model nie in staat is om selfs die sogenaamde vanilla opsies se pryse korrek te bepaal nie. Daar bestaan 'n aantal populêre bateprysmodelle gebaseer op eksponensiële Lévy-dinamika, wat almal in staat is om die mark-waarneembare vanilla opsie pryse te herproduseer. Hierdie tesis ondersoek die potensiële modelrisiko geassosieer met die prysbepaling van versperring opsies in verskeie eksponseniële Lévy-modelle. Eers word die Variance Gamma{, Normal Inverse Gaussian- en CGMY-modelle gekalibreer op mark-waarneembare vanilla opsiepryse. Die pryse van versperring opsies in hierdie modelle word dan bepaal deur middel van Monte Carlo metodes. Hierdie pryse word dan met mekaar vergelyk, asook met die Black-Scholespryse. Dit word waargeneem dat die versperring opsiepryse in die verskillende eksponensiële Lévymodelle redelik na aan mekaar is, maar redelik verskil van die Black-Scholespryse. Dit suggereer dat die geassosieerde modelrisiko laag is.
7
Zhang, Bing. "A new levy based short-rate model for the fixed income market and its estimation with particle filter." College Park, Md. : University of Maryland, 2006. http://hdl.handle.net/1903/3664.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2006.Thesis research directed by: Mathematics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
8
Steinki, Oliver. "An investigation of ensemble methods to improve the bias and/or variance of option pricing models based on Lévy processes." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/an-investigation-of-ensemble-methods-to-improve-the-bias-andor-variance-of-option-pricing-models-based-on-levy-processes(8c4f1c41-2b87-4138-a6d6-91e8292b0f23).html.
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This thesis introduces a novel theoretical option pricing ensemble framework to improve the bias and variance of option pricing models, especially those based on Levy Processes. In particular, we present a completely new, yet very general theoretical framework to calibrate and combine several option pricing models using ensemble methods. This framework has four main steps: general option pricing tasks, ensemble generation, ensemble pruning and ensemble integration. The modularity allows for a exible implementation in terms of asset classes, base models, pricing techniques and ensemble architecture.
9
Enes, Diana Catarina Gonçalves. "Lévy processes in exotic options pricing." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/4324.
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Mestrado em Matemática FinanceiraPrices fluctuations in markets, both liquid and illiquid, exhibit discontinuous behaviour. Levy processes are a natural generalization for stochastic processes with jumps, since they comprehend simultaneously a deterministic component as well as continuous and discontinuous stochastic com¬ponents. As it is possible to model asset prices as exponential of Levy processes, in this work we set the model using two pure jump processes: variance gamma and generalized hyperbolic. While using this class of processes, some important economic characteristics change in relation to the usual Black-Scholes model. The market is no longer complete for a more general Levy model, with several sources of randomness. We start by introducing some important results about Levy processes and follow with a brief exposition on possible equivalent martingale measures. After this introduction, we estimate the parameters of the distributions, by using market data and the Fourier transform to calculate vanilla option prices, and then minimizing the error be¬tween the market and the model prices. With the models calibrated to market data, we use Monte Carlo simulation to price an exotic option on the underlying, with double barriers. The results are compared with the Black-Scholes model and the market prices, requested over the counter to some of the main liquidity providers for that kind of structures.
A flutuação de preços nos mercados, tanto líquidos como ilíquidos, evidenciam um compor¬tamento descontínuo. Os processos de Levy sao uma generalizacao natural para os processos estocsticos com saltos, uma vez que consideram simultaneamente uma componente determinística, tal como uma componente estocastica contínua e descontínua. Como e possível modelizar os precos dos activos como exponenciais de processos de Levy, neste trabalho definimos um modelo usando dois processos de saltos puros: o processo variance gamma e o processo hiperbólico generalizado. Aquando do uso desta classe de processos, algumas características econíomicas importantes mudam, em relacao ao modelo usual, de Black-Scholes. O mercado deixa de ser completo com um processo de Levy mais geral, com varias fontes de incerteza. Começamos por introduzir alguns resultados importantes sobre processos de Levy e seguida¬mente apresentamos uma breve exposição sobre as possíveis medidas equivalentes de martingala. Após esta introduçao, e feita a estimação de parametros das distribuicães, usando dados de mer¬cado e a transformada de Fourier para calcular os preços das opcoes mais simples, minimizando no fim o erro entre os precos de mercado e os precos do modelo. Com os modelos calibrados com os dados de mercado, usamos simulaçao de Monte Carlo para fazer o aprecamento de uma opcão exítica sobre o activo subjacente, com barreiras duplas. Os resultados sao comparados com o modelo de Black-Scholes e precços de mercado, solicitados a alguns dos maiores provedores de liquidez a este tipo de estruturas, transaccionadas fora de bolsa.
10
Ellanskaya, Anastasia. "Utility maximisation and utility indifference pricing for exponential semimartingale models." Thesis, Angers, 2015. http://www.theses.fr/2015ANGE0061.
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Dans cette thèse nous considérons le problème de la maximisation d’utilité et de la formation des prix d’indifférence pour les modèles semimartingales exponentiels dépendant d’un facteur aléatoire ξ. L’enjeu est de résoudre le problème des prix d’indifférence en utilisant le grossissement de l’espace et de la filtration. Nous réduisons le problème de maximisation dans la filtration élargie au problème conditionnel, sachant {ξ = v}, que nous résolvons en utilisant une approche duale. Pour HARA-utilités nous introduisons les informations telles que les entropies relatives et les intégrales de type Hellinger, ainsi que les processus d’information correspondants, enfin d’exprimer, via ces processus, l’utilité maximal. En particulier, nous étudions les modèles de Lévy exponentiels, où les processus d’information sont déterministes ce que simplifie considèrablement les calculs des prix d’indiffrence. Enfin, nous appliquons les rèsultats au modèle du mouvement brownien géométrique et au modèle de diffusion-sauts qui inclut le mouvement brownien et les processus de Poisson. Dans les cas d’utilité logarithmique, de puissance et exponentielle, nous fournissons les formules explicites des informations, et puis, en utilisant les méthodes numériques, nous résolvons les équations pour obtenir les prix d’indifférence en cas de vente d’une option européenneThis thesis explores the utility maximisation problem and indifference pricing for exponential semimartingale models depending on a random factor ξ. The main idea to solve indifference pricing problem consists in the enlargement of the space and filtration. We reduce the maximization problem on the enlarged filtration to the conditional one, given {ξ = v}, which we solve using dual approach. For HARA-utilities we introduce the information quantities such that the relative entropies, Hellinger type integrals, and the corresponding information processes, and we express the maximal utility via these processes. As a particular case, we study exponential Levy models, where the information processes are deterministic and this fact simplify very much indifference price calculus. Finally, we apply the results to Geometric Brownian motion model and jump-diffusion model which incorporates Brownian motion and Poisson process. In the cases of logarithmic, power and exponential utilities, we provide the explicit formulae of information quantities and using the numerical methods we solve the equations for the seller’s and buyer’s indifference prices of European put option
11
Sushko, Stepan. "Pricing of European type options for Levy and conditionally Levy type models." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2205.
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In this thesis we consider two models for the computation of option prices. The first one is a generalization of the Black-Scholes model. In this generalization the volatility Sigma is not a constant. In the simplest case it changes at once at a certain time moment Tau. In some sense this is the conditionally Levy model. For this generalized Black-Scholes model have been theoretically obtained formulas for vanilla Call/Put option prices. Under the assumption of a good prediction of the parameter Sigma the obtained numerical results fit the real dara better than standard Black-Scholes model.
Second model is an exponential Levy model, where a Levy process is the CGMY process. We use the finite-difference scheme for computations of option prices. As example we consider vanilla Call/Put, Double-Barrier and Up-and-out options. After the estimation of the parameters of the CGMY process by the method of moments we obtain options prices and calculate fitting error. This fitting error for the CGMY model is smaller than for the Black-Scholes model.
12
Youbi, Francis. "Pricing Options under Levy models using Spectral methods." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/63365.
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Spectral methods have been actively developed in the last decades. The
main advantage of these methods is to yield exponential order of accuracy
when the function is smooth. However, for discontinuous functions,
their accuracy deteriorates due to the Gibbs phenomenon. When functions
are contaminated with the Gibbs phenomenon, proper workarounds
can be applied to recover their accuracy. In this dissertation, we review the
spectral methods and their convergence remedies such as grid stretching,
discontinuity inclusion and domain decomposition methods in pricing options.
The basic functions of L´evy processes models are also reviewed.
The main purpose of this dissertation is to show that high order of accuracy
can be recovered from spectral approximations. We explored and
designed numerical methods for solving PDEs and PIDEs that arise in finance.
It is known that most standard numerical methods for solving financial
PDEs and PIDEs are reduced to low order accurate results due to
the discontinuity at strike prices in the initial condition.
Firstly the Black Scholes (BS) PDE was solved numerically. The computation
of the PDE is done by using barycentric spectral methods. Three different
payoffs call options are used as initial and boundaries conditions.
It appears that the grid stretching, the discontinuity inclusion and the domain
decomposition methods provide efficient ways to remove Gibbs phenomenon.
On the other hand, these methods restore the high accuracy of
spectral methods in pricing financial options. The spectral domain decomposition
method appears to be the most accurate workaround when
we solve a BS PDE in this dissertation.
Secondly, a financial PIDE was discretized and solved by using a barycen tric spectral domain decomposition method algorithm. The method is applied
to two different options pricing problems under a class of infinite activity
L´evy models. The use of barycentric spectral domain decomposition
methods allows the computation of ODEs obtained from the discretization
of the PIDE. The ODEs are solved by exponential time integration scheme.
Several numerical tests for the pricing of European and butterfly options
are given to illustrate the efficiency and accuracy of this algorithm. We
also show that the option Greeks such as the Delta and Gamma sensitivity
measures are computed with no spurious oscillation. The methods produce
accurate results.Dissertation (MSc)--University of Pretoria, 2017.
RidgeCape Capital company
Mathematics and Applied Mathematics
MSc
Unrestricted
13
Endekovski, Jessica. "Pricing multi-asset options in exponential levy models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31437.
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This dissertation looks at implementing exponential Levy models whereby the un- ´ derlyings are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance Gamma (VG) model and the multivariate normal inverse Gaussian (NIG) model. Both models are calibrated to real market data and then used to price basket options, where the underlyings are the constituents of the KBW Bank Index. Two pricing methods are also compared: a closed-form (analytical) approximation of the price, derived by Linders and Stassen (2016) and the standard Monte Carlo method. The convergence of the analytical approximation to Monte Carlo prices was found to improve as the time to maturity of the option increased. In comparison to real market data, the multivariate NIG model was able to fit the data more accurately for shorter maturities and the multivariate VG model for longer maturities. However, when looking at Monte Carlo prices, the multivariate VG model was found to outperform the results of the multivariate NIG model, as it was able to converge to Monte Carlo prices to a greater degree.
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Mackie, Ewan Thomas Braid. "Rational term-structure models and geometric Levy martingales." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/9483.
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One of the most important problems in modern finance is to understand how best to model the occurrence of jumps in asset pricing models. With this issue in mind, the main topic of this thesis is the development of a set of asset pricing models, driven by Levy uncertainty, applicable across a wide range of asset classes. In particular, we model the term structure of interest rates in a Levy setting, by use of the so-called positive interest models of Flesaker and Hughston. We begin with a brief review of the term-structure literature. We then introduce elements of the theory of Levy processes and develop a rather general theory of geometric Levy models (GLMs) for dynamic asset pricing, paying attention in particular to issues concerning the relation between risk and return for the models under consideration. The special case of a GLM with constant parameters can be regarded as a natural generalisation of the standard geometric Brownian motion used in the Black-Scholes theory. General conditions are established under which assets show a positive risk premium in such a setting. The Flesaker-Hughston approach has the advantage that positive nominal interest rates are built in from the beginning. The resulting models are rational in the sense that the price of a discount bond is given by a ratio of integrals of families of positive martingales. We develop a class of models of this type, where the martingale families are modelled by parametric families of geometric Levy processes. Closed-form expressions are provided for the prices of discount bonds, the short rate of interest, and the prices of options on discount bonds, for various specific cases of Levy uncertainty. In the example of the geometric Brownian motion family we include a rather detailed discussion of the behaviour of the risk premium, and establish conditions under which it is positive. We put forward a proposal for a two-stage calibration of the rational Levy models to the market prices of options. Empirical studies are carried out on the calibration performance of (a) the rational Brownian model, and (b) the rational variance gamma model. We then develop a novel hedging strategy for a portfolio of options on discount bonds. The hedging strategy takes the form of a functional derivative of the option price with respect to the price of the underlying discount bond.
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Toppa, Rebecca Saunders. "Some of the effects of capital taxation : a theoretical and empirical analysis." Thesis, McGill University, 1996. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=40453.
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The first chapter of this dissertation uses a three-sector intertemporal general equilibrium model to examine the effects of various taxes and favorable depreciation rules on capital accumulation and the depletion of natural resources. We find that in a world of infinitely lived firms and households, under certain conditions, taxation causes the steady-state level of capital to be lower than the no-tax level. This divergence, however is reduced by lower capital gains tax rates and favorable depreciation rules. We also find that taxation causes the extraction rate of natural resources to be faster than the social optimum. Although this difference is lessened by lower capital gains tax rates, it is exacerbated by a generous depreciation system. These results challenge the "conventional wisdom" that depreciation rules should be the same for all sectors.Although the first chapter highlights the importance of a general equilibrium analysis of a multi-sector economy with intertemporally optimizing firms and consumers, there are a number of issues that it neglects. Among these are the adjustment costs associated with investments, and the fact that consumers might plan only for a finite horizon. The second and third chapters of this dissertation take up these issues.
The second chapter, which also uses an intertemporal model, determines theoretically how various taxes and adjustment costs affect the growth paths of domestic corporations and foreign subsidiaries of American multinationals. We find that the effects of capital gains taxation and adjustment costs on the growth paths of domestic corporations and foreign subsidiaries of American multinationals are likely to be unfavorable.
Finally, the third chapter uses a three period overlapping generations model to examine the effects of the capital income tax, the labour income tax, and favorable depreciation rules on human and physical capital accumulation. We find that, under certain conditions, the capital income tax has a negative impact on steady-state levels of physical and human capital, and the steady-state physical capital to human capital ratio. Moreover favorable depreciation rules are shown to reduce the impact of the capital income tax.
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Ho, Siu Lam. "Lévy LIBOR model and credit risk /." View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?MATH%202007%20HOS.
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Chao, Chon Ip. "The simulations of Levy processes and stochastic volatility models." Thesis, University of Macau, 2009. http://umaclib3.umac.mo/record=b2130012.
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Gfeller, Adrian Urs. "Dynamic sensitivity analysis in Levy process driven option models." Thesis, London School of Economics and Political Science (University of London), 2008. http://etheses.lse.ac.uk/2575/.
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Option prices in the Black-Scholes model can usually be expressed as solutions of partial differential equations (PDE). In general exponential Levy models an additional integral term has to be added and the prices can be expressed as solutions of partial integro-differential equations (PIDE). The sensitivity of a price function to changes in its arguments is given by its derivatives, in finance known as greeks. The greeks can be obtained as a solution to a PDE or PIDE which is obtained by differentiating the equation and side conditions of the price function. We call the method of simultaneously solving the equations for the price function and the greeks the dynamic partial (-integro) differential approach. So far this approach has been analysed for a few contracts in the Black-Scholes model and in a Markov Chain model. In this thesis, we extend the use of the dynamic approach in the Black-Scholes model and apply it to a financial market where the underlying stock prices are driven by Levy processes. We derive and solve systems of equations that determine the price and the greeks both for vanilla and for exotic options. In particular we are interested in options whose prices depend only on time and one state variable. Furthermore, we calculate sensitivities of option prices with respect to changes in the stochastic model of the underlying price process. Such sensitivities can again be expressed as solutions to PIDE. The occurring systems of PIDE are solved numerically via a finite difference approach and the results are compared with simulation and numerical integration methods to compute prices and sensitivities. We show that the dynamic approach in many cases outperforms its competitors. Finally, we investigate the smoothness of the price functions and give conditions for the existence of solutions of the PIDE.
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Mattoo, Foudil. "Modelling energy markets and pricing energy derivatives with levy models." Thesis, Imperial College London, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.503781.
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Sae-Sue, Tanawit. "Radner Equilibrium in Infinite and Finite Time-Horizon Levy Models." Research Showcase @ CMU, 2016. http://repository.cmu.edu/dissertations/820.
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Espinoza, Cruz Miguel Ángel. "Representação de linhas de transmissão bifásicas : um modelo a parâmetros discretos, desenvolvido diretamente no domínio das fases, que leva em conta o efeito da frequência sobre os parâmetros longitudinais /." Universidade Estadual Paulista (UNESP), 2018. http://hdl.handle.net/11449/152813.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
Sabe-se que existe um modelo de linha bifásica a parâmetros discretos e constantes, desenvolvido diretamente no domínio do tempo. Porém, o fato de considerar os parâmetros longitudinais para uma frequência fixa, faz com que as respostas de corrente e de tensão apresentem um comportamento aproximado. Para melhorar a qualidade das formas de onda, deve-se levar em consideração o efeito da frequência sobre os parâmetros longitudinais. Nesta dissertação foi densenvolvido um modelo de linha de transmissão bifásica a parâmetros discretos, diretamente no domínio do tempo, que leva em consideração o efeito da frequência. A sintetização do mesmo, tanto para as fases quanto para o acoplamento magnético, é representada por meio de uma associação série e paralela de resistores e indutores, onde a quantidade de blocos RL deve ser a necessária para obter o melhor ajuste da resposta em frequência dos parâmetros longitudinais próprios e mútuos. No modelo proposto, as quedas de tensão nas fases produzidas pelo acoplamento magnético, foram calculadas por meio de uma extensão do modelo de Schulze. As equações de corrente e de tensão ao longo da cascata de circuitos π da linha bifásica foram escritas na forma de equação de estado. Tal equação é resolvida utilizando o método de Heun. No processo de validação do modelo proposto, o modelo clássico modal foi utilizado como modelo de referência, tanto para linhas bifásicas que possuem plano de simetria vertical quanto para linhas bifásicas que não possuem plano de simetria vertical.
It is know that exist a lumped and constant parameters two-phase line model, desenveloped directly in time domain. However, the fact to considerer the longitudinal parameters for a fixed frequency, it does what current and voltage responses present an approximated behavior. To improve the quality of the waveforms must be taked into consideration the frequency effect on the longitudinal parameters. In this dissertation was desenveloped a lumped parameters two-phase transmission line model, directly in time domain, that takes into consideration the frequency effect. The synthesis of the same, both for the phases and for the magnetic coupling, is represented by a series and parallel association of resistors and inductors, where the quantity of RL-blocks must be the necessary to obtain the best adjustment of the frequency response of the own and mutual longitudinal parameters. In the proposed model, the voltage drops in the phases produced by the magnetic coupling, were calculated by an extension of Schulze’s Model. Current and voltage equations along the cascade of π-circuits of the two-phase line were written in the form of state equation. Such equation is solutioned using Heun’s Method. In the validation process of the proposed model, the classical modal model was used as reference model, both for two-phase lines that possess vertical symmetry plane and for two-phase lines that do not possess vertical symmetry plane.
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Dushimimana, Jean Claude. "Pricing multi-asset options with levy copulas." Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/6699.
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Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011.Imported from http://etd.sun.ac.za
ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. In the first part, we deal with single asset options and model the log stock prices with a Levy process. We employ pure jump Levy processes of infinite activity, in particular variance gamma and CGMY processes. We fit the log-returns of six stocks to variance gamma and CGMY distributions and check the goodness of fit using statistical tests. It is observed that the variance gamma and the CGMY distributions fit the financial market data much better than the normal distribution. Calibration shows that at given maturity time the two models fit into the option prices very well. In the second part, we investigate the effect of dependence structure to multivariate option pricing. We use the new concept of Levy copula introduced in the literature by Tankov [40]. Levy copulas allow us to separate the dependence structure from the behavior of the marginal components. We consider bivariate variance gamma and bivariate CGMY models. To model the dependence structure between underlying assets we use the Clayton Levy copula. The empirical results on six stocks indicate a strong dependence between two different stock prices. Subsequently, we compute bivariate option prices taking into account the dependence structure. It is observed that option prices are highly sensitive to the dependence structure between underlying assets, and neglecting tail dependence will lead to errors in option pricing.
AFRIKAANSE OPSOMMING: In hierdie proefskrif word Levy prosesse voorgestel om die bewegings van batepryse te modelleer. Levy prosesse besit die vermoe om die risiko van spronge in ag te neem, asook om die implisiete volatiliteite, wat in finansiele opsie pryse voorkom, te reproduseer. Ons gebruik suiwer–sprong Levy prosesse met oneindige aktiwiteit, in besonder die gamma– variansie (Eng. variance gamma) en CGMY–prosesse. Ons pas die log–opbrengste van ses aandele op die gamma–variansie en CGMY distribusies, en kontroleer die resultate met behulp van statistiese pasgehaltetoetse. Die resultate bevestig dat die gamma–variansie en CGMY modelle die finansiele data beter pas as die normaalverdeling. Kalibrasie toon ook aan dat vir ’n gegewe verstryktyd die twee modelle ook die opsiepryse goed pas. Ons ondersoek daarna die gebruik van Levy prosesse vir opsies op meervoudige bates. Ons gebruik die nuwe konsep van Levy copulas, wat deur Tankov[40] ingelei is. Levy copulas laat toe om die onderlinge afhanklikheid tussen bateprysspronge te skei van die randkomponente. Ons bespreek daarna die simulasie van meerveranderlike Levy prosesse met behulp van Levy copulas. Daarna bepaal ons die pryse van opsies op meervoudige bates in multi–dimensionele exponensiele Levy modelle met behulp van Monte Carlo–metodes. Ons beskou die tweeveranderlike gamma-variansie en – CGMY modelle en modelleer die afhanklikheidsstruktuur tussen onderleggende bates met ’n Levy Clayton copula. Daarna bereken ons tweeveranderlike opsiepryse. Kalibrasie toon aan dat hierdie opsiepryse baie sensitief is vir die afhanlikheidsstruktuur, en dat prysbepaling foutief is as die afhanklikheid tussen die sterte van die onderleggende verdelings verontagsaam word.
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Kollar, Jozef. "Optimal Martingale measures and hedging in models driven by Levy processes." Thesis, Heriot-Watt University, 2011. http://hdl.handle.net/10399/2508.
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Our research falls into a broad area of pricing and hedging of contingent claims in incomplete markets. In the rst part we introduce the L evy processes as a suitable class of processes for nancial modelling purposes. This in turn causes the market to become incomplete in general and therefore the martingale measure for the pricing/hedging purposes has to be chosen by introducing some subjective criteria. We study several such criteria in the second section for a general stochastic volatility model driven by L evy process, leading to minimal martingale measure, variance-optimal, or the more general q-optimal martingale measure, for which we show the convergence to the minimal entropy martingale measure for q # 1. The martingale measures studied in the second section are put to use in the third section, where we consider various hedging problems in both martingale and semimartingale setting. We study locally risk-minimization hedging problem, meanvariance hedging and the more general p-optimal hedging, of which the meanvariance hedging is a special case for p = 2. Our model allows us to explicitly determine the variance-optimal martingale measure and the mean-variance hedging strategy using the structural results of Gourieroux, Laurent and Pham (1998) extended to discontinuous case by Arai (2005a). Assuming a Markovian framework and appealing to the Feynman-Kac theorem, the optimal hedge can be found by solving a three-dimensional partial integrodi erential equation. We illustrate this in the last section by considering the variance-optimal hedge of the European put option, and nd the solution numerically by applying nite di erence method.
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Veselý, Mikuláš. "Simulace chodu podniku Prádelna Lety." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-81880.
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This diploma thesis deals with the theme simulation models. It is separated to three parts: theoretic, a part describing a simulation program and a practical part. The opening part's role is to introduce to a reader the problem about simulation models, inform him about simulation project building and define some key words. The second part explains a work with simulation program Simprocess. In the third part the reader finds out, how to use theoretic knowledge. It is demonstrated on the simulation of the operations of the company Prádelna Lety. A goal of this part is to make a simulation model, which describes the reality and can solve the main problems identified in the beginning of this part. All of this is the object of the analysis. After that is possible to give some advises about improving the operations.
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Piryatinska, Alexandra. "Inference for the Levy models and their application in medicine and statistical physics." Case Western Reserve University School of Graduate Studies / OhioLINK, 2005. http://rave.ohiolink.edu/etdc/view?acc_num=case1100206169.
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Graf, Ferdinand. "Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion." [S.l. : s.n.], 2007. http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-35340.
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Bouselmi, Aych. "Options américaines et processus de Lévy." Phd thesis, Université Paris-Est, 2013. http://tel.archives-ouvertes.fr/tel-00944239.
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Les marchés financiers ont connu, grâce aux études réalisées durant les trois dernières décennies, une expansion considérable et ont vu l'apparition de produits dérivés divers et variés. Parmi les plus répandus, on retrouve les options américaines. Une option américaine est par définition une option qu'on a le droit d'exercer avant l'échéance convenue T. Les plus basiques sont le Put ou le Call américain (respectivement option de vente (K - x)+ ou d'achat (x - K)+). La première partie, et la plus conséquente, de cette thèse est consacrée à l'étude des options américaines dans des modèles exponentiels de Lévy. On commence dans un cadre multidimensionnel caractérise le prix d'une option américaine, dont le Pay-off appartient à une classe de fonctions non forcément bornées, à l'aide d'une inéquation variationnelle au sens des distributions. On étudie, ensuite, les propriétés générales de la région d'exercice ainsi que de la frontière libre. On affine encore ces résultats en étudiant, en particulier, la région d'exercice d'un Call américain sur un panier d'actifs, où on caractérise en particulier la région d'exercice limite (à l'échéance). Dans un deuxième temps, on se place dans un cadre unidimensionnel et on étudie le comportement du prix critique (fonction délimitant la région d'exercice) d'un Put américain près de l'échéance. Particulièrement, on considère le cas où le prix ne converge pas vers le strike K, dans un modèle Jump-diffusion puis dans un modèle où le processus de Lévy est à saut pur avec un comportement proche de celui d'un &-stable. La deuxième partie porte sur l'approximation numérique de la Credit Valuation Adjustment (CVA). On y présente une méthode basée sur le calcul de Malliavin inspirées de celles utilisées pour les options américaines. Une étude de la complexité de cette méthode y est aussi présentée et comparée aux méthodes purement Monte Carlo et aux méthodes fondées sur la régression.
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Ehn, Esmeralda. "Att leva med autism : en litteraturöversikt om upplevelsen att få och att leva med diagnosen autism." Thesis, Ersta Sköndal Bräcke högskola, Institutionen för vårdvetenskap, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:esh:diva-6367.
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Bakgrund: Autism är en neuropsykiatrisk funktionsnedsättning med symtom som förekommer i olika svårighetsgrad. För att få diagnosen autism krävs problem från två huvudområden; varaktiga brister i förmågan till social kommunikation och social interaktion i ett flertal olika sammanhang och begränsade, repetitiva mönster i beteende, intressen eller aktiviteter. Begreppet neurodiversitet innebär ett alternativt synsätt på autism där diagnosen betraktas som en del av den mänskliga mångfalden snarare än en funktionsnedsättning. Tidigare studier har visat att sjuksköterskor har ett behov av ökad kunskap om autism för att kunna ge ett bättre bemötande till dessa patienter. Syfte: Syftet med denna litteraturöversikt var att belysa hur personer med autism upplever att få och att leva med sin diagnos. Metod: En litteraturöversikt enligt Friberg (2012) har genomförts. Tio vetenskapliga artiklar användes till resultatet, varav åtta kvalitativa artiklar och två artiklar med mixad metod. Artiklarna hämtades från databaserna Academic Search Complete, Cinahl Complete, Medline och PsycInfo. Resultat: Två huvudteman med tillhörande underteman identifierades. Under temat Att få diagnosen autism redogjordes för deltagarnas känslomässiga reaktioner på att få en diagnos, de svårigheter att få en diagnos som många deltagare upplevde samt den process det innebar att acceptera sin diagnos. Under temat Att leva med autism framkom att många deltagare upplevde både positiva och negativa aspekter av att ha autism. Sociala svårigheter och psykisk ohälsa var vanligt förekommande men ett flertal deltagare hade lärt sig strategier för att klara av sociala situationer bättre. De uttryckte ett behov av stöd från omgivningen och flera deltagare hade stora kunskaper om sin egen diagnos som de önskade att sjukvården och samhället tog hänsyn till. Diskussion: Litteraturöversiktens resultat diskuterades utifrån tidigare forskning och Phil Barkers tidvattenmodell. Författaren diskuterade vad det innebar för deltagarna att få diagnosen autism och att leva med autism, hur autism kan yttra sig hos kvinnor samt deltagarnas upplevelser i mötet med sjukvården.Background: Autism is a neurodevelopmental disorder with symtoms that occur in different severity. To diagnose autism, problems are required from two main areas; persistent deficits in social communication and social interaction across contexts and restrictive, repetitive patterns of behavior, interests, or activities. The concept of neurodiversity represents an alternative approach to autism, where the diagnosis is considered as part of human diversity rather than a disability. Previous studies have shown that nurses need a better understanding of autism in order to provide better care for these patients. Aim: The aim of this literature review was to illuminate the experience of recieving and living with a diagnosis of autism. Method: A literature review according to Friberg (2012) has been conducted. Ten scientific articles were used for the reults, of which eight qualitative articles and two articles of mixed methods. The articles were collected from the databases Academic Search Complete, Cinahl Complete, Medline and PsycInfo. Results: Two main themes with associated subthemes were identified. The participants' emotional responses to diagnosis, the difficulty of receiving a diagnosis that many participants experience and the process of accepting the diagnosis were accounted for under the theme Receiving a diagnosis of autism. Many participants experienced both positive and negative aspects of having autism, which emerged under the theme Living with autism. Social difficulties and mental illness were common but a number of participants had learned strategies to better manage social situations. They expressed a need for support from their surroundings and several participants had acquired extensive knowledge of their own diagnosis that they want the public and professionals to take into account. Discussion: The results were discussed in relation to previous studies and the Tidal Model. The author discussed what it meant for the participants to be diagnosed and to live with autism, how autism can be expressed in females and the participants' experiences with healthcare.
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Santibáñez, Farías Jazmina. "Ley modelo de arbitraje comercial internacional y su aplicación en el derecho comparado : ¿qué tan modelo es la ley modelo?" Tesis, Universidad de Chile, 2015. http://www.repositorio.uchile.cl/handle/2250/130230.
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Özkan, Fehmi. "Lévy processes in credit risk and market models." [S.l. : s.n.], 2002. http://www.freidok.uni-freiburg.de/volltexte/472.
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Xiao, Yue. "Leveraged Lévy processes as models for stock prices." College Park, Md. : University of Maryland, 2005. http://hdl.handle.net/1903/3064.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2005.Thesis research directed by: Applied Mathematics and Scientific Computation Program. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Figueroa-Lopez, Jose Enrique. "Nonparametric estimation of Levy processes with a view towards mathematical finance." Diss., Georgia Institute of Technology, 2004. http://hdl.handle.net/1853/5261.
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Model selection methods and nonparametric estimation of Levy densities are presented. The estimation relies on the properties of Levy processes for small time spans, on the nature of the jumps of the process, and on methods of estimation for spatial Poisson processes. Given a linear space S of possible Levy densities, an asymptotically unbiased estimator for the orthogonal projection of the Levy density onto S is found. It is proved that the expected standard error of the proposed estimator realizes the smallest possible distance between the true Levy density and the linear space S as the frequency of the data increases and as the sampling time period gets longer. Also, we develop data-driven methods to select a model among a collection of models. The method is designed to approximately realize the best trade-off between the error of estimation within the model and the distance between the model and the unknown Levy density. As a result of this approach and of concentration inequalities for Poisson functionals, we obtain Oracles inequalities that guarantee us to reach the best expected error (using projection estimators) up to a constant. Numerical results are presented for the case of histogram estimators and variance Gamma processes. To calibrate parametric models,a nonparametric estimation method with least-squares errors is studied. Comparison with maximum likelihood estimation is provided. On a separate problem, we review the theoretical properties of temepered stable processes, a class of processes with potential great use in Mathematical Finance.
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Bajic, Natasha Amy. "Investigating the potential of proteasome inhibitors to model Lewy body dementia." Thesis, King's College London (University of London), 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.633120.
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Le, Truc. "Stochastic volatility models." Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.
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Winter, Christoph. "Wavelet Galerkin schemes for option pricing in multidimensional Lévy models /." Zürich : ETH, 2009. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=18221.
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Amaral, John D. (John David). "Environmental studies as a model for integrated learning at the secondary school leve." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/62922.
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Stelzer, Robert Josef. "Multivariate continuous time stochastic volatility models driven by a Lévy process." kostenfrei, 2007. http://mediatum2.ub.tum.de/doc/624065/document.pdf.
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Tappe, Stefan. "Finite dimensional realizations for term structure models driven by semimartingales." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2005. http://dx.doi.org/10.18452/15369.
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Es sei ein Heath-Jarrow-Morton Zinsstrukturmodell df(t,T) = alpha(t,T)dt + sigma(t,T)dX_t gegeben, angetrieben von einem mehrdimensionalen Semimartingal X. Das Ziel dieser Arbeit besteht darin, die Existenz endlich dimensionaler Realisierungen für solche Modelle zu untersuchen, wobei wir als treibende Prozesse die Klasse der Grigelionis Prozesse wählen, die insbesondere Levy Prozesse enthält. Zur Bearbeitung der Fragestellung werden zwei veschiedene Ansätze verfolgt. Wir dehnen die Ideen aus der Differenzialgeometrie von Björk und Svensson (2001) auf die vorliegende Situation aus und zeigen, dass das in der zitierten Arbeit bewiesene Kriterium für die Existenz endlich dimensionaler Realisierungen in unserem Fall als notwendiges Kriterium dienlich ist. Dieses Resultat wird auf konkrete Volatilitätsstrukturen angewandt. Im Kontext von sogenannten Benchmark Realisierungen, die eine natürliche Verallgemeinerung von Short Rate Realisierungen darstellen, leiten wir Integro-Differenzialgleichungen her, die für die Untersuchung der Existenz endlich dimensionaler Realisierungen hilfreich sind. Als Verallgemeinerung eines Resultats von Jeffrey (1995) beweisen wir außerdem, dass Zinsstrukturmodelle, die eine generische Benchmark Realisierung besitzen, notwendigerweise eine singuläre Hessesche Matrix haben. Beide Ansätze zeigen, dass neue Phänomene auftreten, sobald der treibende Prozess X Sprünge macht. Es gibt dann auf einmal nur noch sehr wenige Zinsstrukturmodelle, die endlich dimensionale Realisierungen zulassen, was ein beträchtlicher Unterschied zu solchen Modellen ist, die von einer Brownschen Bewegung angetrieben werden. Aus diesem Grund zeigen wir, dass für die in der Literatur oft behandelten Modelle mit deterministischer Richtungsvolatilität eine Folge von endlich dimensionalen Systemen existiert, die gegen das Zinsmodell konvergieren.Let f(t,T) be a term structure model of Heath-Jarrow-Morton type df(t,T) = alpha(t,T)dt + sigma(t,T)dX_t, driven by a multidimensional semimartingale X. Our objective is to study the existence of finite dimensional realizations for equations of this kind. Choosing the class of Grigelionis processes (including in particular Levy processes) as driving processes, we approach this problem from two different directions. Extending the ideas from differential geometry in Björk and Svensson (2001), we show that the criterion for the existence of finite dimensional realizations, proven in the aforementioned paper, still serves as a necessary condition in our setup. This result is applied to concrete volatility structures. In the context of benchmark realizations, which are a natural generalization of short rate realizations, we derive integro-differential equations, suitable for the analysis of the realization problem. Generalizing Jeffrey (1995), we also prove a result stating that forward rate models, which generically possess a benchmark realization, must have a singular Hessian matrix. Both approaches reveal that, with regard to the results known for driving Wiener processes, new phenomena emerge, as soon as the driving process X has jumps. In particular, the occurrence of jumps severely limits the range of models that admit finite dimensional realizations. For this reason we prove, for the often considered case of deterministic direction volatility structures, the existence of finite dimensional systems converging to the forward rate model.
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Levi, P. [Verfasser]. "Ein dispersionstheoretisches Polterm Modell fuer die Reaktion eN→e'πDelta (1232) / P. Levi." Karlsruhe : KIT-Bibliothek, 2010. http://d-nb.info/1188431684/34.
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Homem, Karen Silvia de Carvalho. "Avaliação do modelo animal de anedonia/depressão induzida por estresse crônico leve." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/47/47135/tde-06022018-094927/.
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O Transtorno da Depressão Maior (MDD) é uma doença muito difundida em todo mundo e com uma alta prevalência, principalmente em mulheres. Transtornos de humor são recorrentes e ameaçam a vida, devido ao risco de suicídio. Apesar disso, a etiologia do MDD ainda é pouco entendida e diversas hipóteses foram desenvolvidas na tentativa de explicá-la. Uma delas está ligada ao estresse. Distúrbios no eixo hipotálamo-hipófiseadrenal (HPA) estão presentes em cerca 70% de pacientes com depressão. Ao buscar um melhor modelo animal para estudo do impacto do estresse no desenvolvimento da depressão, chegamos ao estresse leve crônico (CMS). Em estudos prévios desenvolvidos neste laboratório, observamos que há diferenças entre tipos de estressores e os mediadores secretados na resposta do eixo HPA, isto é, durante o estresse físico é secretado o mediador vasopressina, enquanto que no estresse psicológico, é secretado o mediador CRF; já nos estresses considerados mistos (como nado forçado), ambos os mediadores estão presentes. Assim, propusemos estabelecer protocolos de CMS baseados no protocolo original de Paul Willner, pesquisador que desenvolveu este modelo, empregando estressores do tipo físico ou psicológico, separadamente. O que observamos foi que nenhum dos dois tipos de estressores conseguiu levar os animais à anedonia (queda na preferência por sacarose). No entanto, ao observar o ganho de peso dos animais ao longo do tempo e o mapeamento cerebral com citocromo c oxidase, notamos que o estresse teve seu impacto no animais. Comparados a outros modelos de depressão, o CMS tem a premissa de desenvolver um estado depressivo nos animais antes do teste com drogas antidepressivas, fazendo com que tenha uma alta validade preditiva. Ele também pode incorporar outros endpoints para avaliar outros comportamentos, além da anedonia, que possam demonstrar o estado depressivo no animal. Por exemplo, observamos no mapeamento cerebral que a substância negra e a PAG estiveram mais ativas no estresse físico e elas podem estar implicadas na busca por recompensa e na modulação de dor, respectivamente. Concluímos que o modelo de CMS é apropriado, embora ainda necessite de estudos quanto à equivalência de intensidade de estressoresMajor Depressive Disorder (MDD) is a widespread disease all over the world with a high prevalence, especially among women. Mood disorders are recurrent and life threatening, due to suicide risk. Despite those, MDD etiology is poorly understood and several hypotheses have been developed to try and explain it. One of them is connected to stress. Disorders on the hypothalamus-pituitary-adrenal (HPA) axis are present in up to 70% of patients with depression. While searching for a better animal model to study the impact that stress might have on depression onset, we came across the Chronic Mild Stress (CMS) model. During previous studies developed in this lab, weve observed that there are differences between types of stressors and mediators involved in the HPA axis response, i.e. during physical stress, the mediator secreted is vasopressin, whereas during psychological stress, the mediator is CRF; on mixed stress (like forced swim), both mediators are present. That way, we proposed to set up CMS protocols based on Paul Willner (the researcher who developed this model)s original one, employing physical or psychological stressors separately. None of the types of stressors were able to induce anhedonia (decrease in sucrose preference) in the animals. However, noticing the animals weight gain over time, and cerebral mapping with cytochrome c oxidase, we could see that stress had impact over the animals. Compared to other depression models, CMS has the presupposition of leading the animals to a depressive-like state before testing antidepressant drugs, which gives it a high predictive validity. The model can also incorporate different endpoints to assess other behaviors, besides anhedonia, that may show the animals depressive-like state. For instance, we observed in the brain mapping that substantia nigra and PAG were more activated in physical stress and they can be implicated in reward seeking and pain modulation, respectively. So, we conclude that the CMS model is appropriate, although it still needs more research regarding the intensity of stressors equivalence
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Pang, Long-fung. "Semi-static hedging of guarantees in variable annuities under exponential lévy models." Click to view the E-thesis via HKUTO, 2010. http://sunzi.lib.hku.hk/hkuto/record/B43572224.
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Dahlbokum, Achim. "Empirischer Vergleich von Optionspreismodellen auf Basis zeitdeformierter Lévy-Prozesse : Kalibrierung, Hedging, Modellrisiko /." Lohmar [u. a.] : Eul, 2008. http://d-nb.info/987834118/04.
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Cantuarias, Salaverry Fernando, and Deville José Luis Repetto. "The new indomitable colt: The problematic standard of motivation of awards required by Peruvian courts." IUS ET VERITAS, 2016. http://repositorio.pucp.edu.pe/index/handle/123456789/123379.
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The author makes a critical analysis of the current situation of the Arbitration in Peru, from various court decisions that have identified the standard of motivation that must have an arbitration award. In this way, the author indicates that the consequences of annulling arbitral awards by improper motivation, insufficient motivation or follow criteria of the Arbitral Tribunal are severe and it affects all the progress that has been obtained in the arbitration in these last two decades.El autor hace un análisis crítico la situación actual del Arbitraje en el Perú, a partir de diversas decisiones de las cortes al momento de identificar el estándar de la motivación que debe tener un laudo arbitral. De esta forma, precisa que las consecuencias de anular laudos arbitrales por indebida motivación, insuficiente motivación o por calificar criterios del Tribunal Arbitral son graves y afecta todo el avance que se ha obtenido en el Arbitraje en estas dos últimas décadas.
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Hoffmeyer, Allen Kyle. "Small-time asymptotics of call prices and implied volatilities for exponential Lévy models." Diss., Georgia Institute of Technology, 2015. http://hdl.handle.net/1853/53506.
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We derive at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a selection of exponential Lévy models, restricting our attention to asset-price models whose log returns structure is a Lévy process. We consider two main problems. First, we consider very general Lévy models that are in the domain of attraction of a stable random variable. Under some relatively minor assumptions, we give first-order at-the-money call-price and implied volatility asymptotics. In the case where our Lévy process has Brownian component, we discover new orders of convergence by showing that the rate of convergence can be of the form t¹/ᵃℓ(t) where ℓ is a slowly varying function and $\alpha \in (1,2)$. We also give an example of a Lévy model which exhibits this new type of behavior where ℓ is not asymptotically constant. In the case of a Lévy process with Brownian component, we find that the order of convergence of the call price is √t. Second, we investigate the CGMY process whose call-price asymptotics are known to third order. Previously, measure transformation and technical estimation methods were the only tools available for proving the order of convergence. We give a new method that relies on the Lipton-Lewis formula, guaranteeing that we can estimate the call-price asymptotics using only the characteristic function of the Lévy process. While this method does not provide a less technical approach, it is novel and is promising for obtaining second-order call-price asymptotics for at-the-money options for a more general class of Lévy processes.
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Sartorti, Artur Lenz. "Comportamento dinâmico de lajes maciças de concreto leve com pérolas de EPS." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/18/18134/tde-14082015-093624/.
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O Concreto Leve Estrutural com Pérolas de EPS (CLEPE), ou simplesmente Concreto com EPS, é uma alternativa na execução de lajes maciças. Como possui uma redução da ordem de 50% no peso próprio em relação ao Concreto Convencional (CC), suas características dinâmicas são diferentes. Neste trabalho descreve-se o comportamento dinâmico de lajes de CLEPE que são comparadas com as de CC por meio de ensaios dinâmicos e uma análise paramétrica. Nos ensaios dinâmicos focou-se a obtenção de três fatores imprescindíveis em uma análise dinâmica, que são as frequências naturais, os modos de vibração (deformadas modais) e o amortecimento estrutural, valor determinado experimentalmente que constitui dado de entrada em simulações numéricas. Os resultados experimentais indicam que o fator de amortecimento do CLEPE é ligeiramente maior que o do CC. Já os resultados da análise paramétrica revelam que a diminuição da rigidez é preponderante em relação à diminuição da massa do CLEPE, o que acarreta na diminuição das frequências naturais das lajes com este material. Mesmo com um amortecimento maior, as lajes de CLEPE apresentam maior sensibilidade às vibrações. Esta constatação, entretanto, não exclui o CLEPE como um material estrutural, apenas indica que, como no uso de qualquer material, as estruturas com CLEPE também devem ser verificadas com relação ao comportamento dinâmico.The Structural Lightweight Concrete with EPS Beads (SLCEB), or simply EPS concrete, is an alternative in the execution of massive slabs. As it has a reduction in the order of 50% in self-weight in relation to the Ordinary Concrete (OC), its dynamic characteristics are different. In this work it is described the dynamic behavior of SLCEB slabs whose are compared with those of OC by means of dynamic tests and a parametric analysis. The obtainment of three essential factors in a dynamic analysis, which are natural frequencies, the ways of vibration (deformed modal), and the structural damping, experimentally determinate value which constitutes an input data in numerical simulations are focused in the dynamical tests. The experimental results indicate that the damping factor of SLCEB is a little bigger than the OC ones. Although, the results of the parametric analysis indicate that the decrease of stiffness is preponderant in relation to the decrease of the SLCEB mass, which result in some decrease of natural frequencies of slabs with this material. In despite of having a bigger damping, the SLCEB slabs expose a bigger sensibility to vibrations. However, this observation does not exclude the SLCEB as a structural material. It only means that as in use of any material, the SLCEB structures must be also verified in relation to the dynamic behavior.
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Piryatinska, Alexandra. "Inference for the Lévy models and their applications in medicine and statistical physics." online version, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=case1100206169.
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Pasos, Jose E. "Mean-variance optimal portfolios for Lévy processes and a singular stochastic control model for capacity expansion." Thesis, London School of Economics and Political Science (University of London), 2018. http://etheses.lse.ac.uk/3771/.
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In the first part of the thesis, the problem of determining the optimal capacity expansion strategy for a firm operating within a random economic environment is studied. The underlying market uncertainty is modelled by means of a general one-dimensional positive diffusion with possible absorption at 0. The objective is to maximise a performance criterion that involves a general running payoff function and associates a cost with each capacity increase up to the first hitting time of 0, at which time the firm defaults. The resulting optimisation problem takes the form of a degenerate twodimensional singular stochastic control problem that is explicitly solved. The general results are further illustrated in the special cases in which market uncertainty is modelled by a Brownian motion with drift, a geometric Brownian motion or a square-root mean-reverting process such as the one in the CIR model. The second part of the thesis presents a study of mean-variance portfolio selection for asset prices modelled by Lévy processes under conic constraints on trading strategies. In this context, the combination of the price processes’ jumps and the trading constraints gives rise to a new qualitative behaviour of the optimal strategies. The existence and the behaviour of the optimal strategies are related to different no-arbitrage conditions that can be directly expressed in terms of the Lévy triplet. This allows for a fairly complete characterisation of mean-variance optimal portfolios under conic constraints.
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Balthazar, Marcio Luiz Figueredo 1975. "Memoria lexico-semantica no comprometimento cognitivo leve amnestico e doença de Alzheimer leve : aspectos neuropsicologicos, de neuroimagem estrutural e modelo de organização cerebral." [s.n.], 2008. http://repositorio.unicamp.br/jspui/handle/REPOSIP/309276.
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Orientador: Benito Pereira Damasceno, Fernando CendesTese (doutorado) - Universidade Estadual de Campinas - Faculdade de Ciencias Medicas
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Resumo: A organização cerebral da memória léxico-semântica, assim como suas alterações em pacientes com doença de Alzheimer (DA) leve e Comprometimento Cognitivo Leve amnéstico (CCLa) não são completamente conhecidas. Neste estudo, avaliamos o desempenho de pacientes com DA leve, CCLa e idosos normais em testes léxico-semânticos como o Teste de Nomeação de Boston (TNB), Teste de Similaridades do CAMCOG e Fluência Verbal (FV) para categoria animais, além de outros domínios cognitivos. Aprofundamos o estudo do desempenho dos pacientes no TNB avaliando: 1) se houve benefício com o uso de pistas semânticas e fonêmicas, após erros espontâneos de nomeação e 2) o padrão de erros de nomeação espontâneos (classificados como semânticos, fonológicos, por omissão e por paragnosia visual); e subclassificando os erros semânticos de forma hierárquica (erros superordenados, coordenados e circunlóquios). Avaliamos também os padrões de atrofia cerebral desses pacientes em relação a controles por meio de métodos de neuroimagem estrutural por Ressonância Magnética: volumetria hipocampal e Morfometria Baseada em Voxels (RM-MBV). Ainda, correlacionamos o desempenho dos pacientes no Teste de Aprendizado Auditivo Verbal de Rey (TAAVR) com o volume hipocampal e o padrão de erros espontâneos gerais e semânticos no TNB com a densidade de substância cinzenta em todo o cérebro por RM-MBV. Os pacientes com CCLa tiveram desempenho inferior aos controles no teste de FV para animais, enquanto que os pacientes com DA leve tiveram desempenho inferior ao grupo CCLa e controles em todos os testes léxico-semânticos. Porém, após utilizarem pista fonêmica, os pacientes com DA leve tiveram desempenho em nomeação de figuras proporcionalmente semelhante aos controles e CCLa. Também, os três grupos tiveram padrão de erros espontâneos gerais e semânticos qualitativamente iguais, embora quantitativamente tenha havido maior número de erros no grupo DA leve, seguido por CCLa e controles, respectivamente. Quanto ao exames de neuroimagem estrutural, houve um continuum no volume hipocampal, porém sem diferença estatística significante entre DA leve e CCLa. Houve correlação significativa entre o volume hipocampal e o item de evocação tardia do TAAVR, considerando os três grupos em conjunto; quanto à RM-MBV, os pacientes com DA leve apresentaram mais áreas com maior grau de atrofia de substância cinzenta que CCLa e controles; o grupo CCLa apresentou atrofia principalmente em giros parahipocampais e tálamos, quando comparados aos controles. Em relação à substância branca, o grupo DA leve apresentou atrofia em região periventricular, corpo caloso e em áreas próximas a córtices associativos. Não houve áreas de atrofia de substância branca no grupo CCLa em relação aos controles. Encontramos diversas áreas em que houve correlação significativa entre os erros espontâneos de nomeação e a densidade de substância cinzenta, considerando os três grupos juntos. Notadamente, as regiões temporais mediais e tálamos correlacionaram-se com todos os subtipos de erros; as regiões anteriores dos lobos temporais, principalmente os giros superior e inferior, correlacionaram-se com erros coordenados e circunlóquios; os giros frontais superiores (o esquerdo mais que o direito) correlacionaram-se com erros superordenados, e os inferiores, com erros tipo circunlóquios. Discutimos o possível papel de cada uma dessas áreas nos processos mentais léxicosemânticos e sua contribuição para o entendimento de como esse tipo de memória está organizada no cérebro humano.
Abstract: Cerebral organization of lexical-semantic memory, as well as its disruption in mild Alzheimer's disease (AD) and in amnestic Mild Cognitive Impairment (aMCI) is not fully understood. In this study, we evaluated the performance of mild AD, aMCI and normal aging subjects in lexical-semantic tests: Boston Naming Test (BNT), CAMCOG's Similarities item, Verbal Fluency (VF) for animals' category and others cognitive domains. We detailed their performance on BNT by evaluating: 1) if they needed or were benefited by semantic and phonemic cues and 2) the pattern of general errors (classified as semantic errors, visual paragnosia, phonological errors, and omission errors). The semantic errors were further subcategorized into three subclasses (coordinate, superordinate, and circumlocutory). We also evaluated the pattern of brain atrophy in aMCI and mild AD patients by using structural neuroimaging methods: hippocampal volumetry (HV) and Voxel-based morphometry (VBM). We correlated HV with subjects' performance on Rey Auditory Verbal Learning Test (RAVLT) delayed recall item, and the pattern of spontaneous and semantic errors on BNT with grey matter density, by using VBM. aMCI subjects performed worse than controls on VF for animals' category, while mild AD performed worse than aMCI and controls in all lexical-semantic tests. However, after phonemic cues, mild AD subjects performed similar to aMCI and control subjects. They also had the same qualitative pattern of spontaneous and semantic errors, although quantitatively, AD patients committed the most errors, controls committed the fewest errors, and aMCI subjects showed an intermediate performance. Concerning structural neuroimaging, the three groups also presented a continuum pattern in HV, although there were no statistically differences between aMCI and AD HV. RAVLT delayed recall item was significantly related to HV, considering the three groups together. In relation to VBM analysis, mild AD patients had more areas with more grey matter atrophy than aMCI and control subjects. aMCI showed more atrophy mainly in parahippocampal gyri and thalami, when compared with control subjects. Considering white matter, mild AD group showed atrophy in periventricular regions, corpus callosum and areas adjacent to associative cortices. There was not white matter atrophy in aMCI patients in comparison with controls subjects. We found several areas with significant correlations between spontaneous naming errors on BNT and grey matter density, considering the three groups together. Medial temporal structures and thalami were correlated with all subtypes of errors; anterior temporal regions, mainly superior and inferior temporal gyri, were related with coordinate and circumlocutory errors; superior frontal gyri (left more than right) were related with superordinate errors, while inferior frontal gyri (left more than right) were related to circumlocutory errors. We discussed the possible role of each of these areas in the lexical-semantic mental processes, and their contribution to the understanding of cerebral organization of semantic memory.
Doutorado
Neurologia
Doutor em Ciências Médicas
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Castillo, Freyre Mario, and Kunze Ricardo Vásquez. "La política internacional sobre legislación arbitral: La Ley Modelo Uncitral/ Cnumudi." Foro Jurídico, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/120021.
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Castelhano, Adelisandra Silva Santos. "Status epilepticus neonatal leva a prejuízos na interação social de maneira gênero-dependente: novo modelo animal para investigação dos mecanismos neurobiológicos envolvidos com o transtorno do espectro autista?" Universidade Presbiteriana Mackenzie, 2010. http://tede.mackenzie.br/jspui/handle/tede/1748.
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The Autism Spectrum Disorders (ASD), conditions which affect the brain development, are characterized by impairments in reciprocal social interactions, communicative use of verbal and nonverbal language, and restricted/repetitive behaviors. Despite a wealth of descriptive data obtained from patient histories, imaging techniques, and genetic and molecular studies, the pathogenesis of ASD remains poorly understood. Progress toward understanding the etiology of an acquired neurological disorder, such as ASD, is largely dependent on the degree to which experimental animal models reflect the human condition. Status epilepticus (SE), the condition of ongoing seizures or repetitive seizure activity, is a clinical emergency more common in children than adults, with almost 40-50% of the case occurring in children younger than 2 years of age. Clinical and experimental studies have been showing that despite of immature brain to be more resistant to structural damage when compared with adult brain, it has been demonstrated that neonatal SE may produce learning deficits, memory impairment, and emotional sequels in adulthood, altered GABAergic intracortical and hipocampal circuitries and reduced dopamine levels in the prefrontal cortex. Taking all information together, the aim of the present study was to evaluate a possible social impairment, learning and exploratory deficits after pilocarpine-induced SE in rats of both genders during development. Wistar rats of both gender at PN9 received intraperitoneal injection of pilocarpine (380 mg/kg). Control animals received saline solution instead pilocarpine. Social and exploratory behaviors were assessed between 30-35 postnatal days using paired-exposure paradigm. Learning performance was assessed, at PN90 using skinner Box apparatus, by quantification of the number of sections to acquire bar pressing conditioning. Our results demonstrated that neonatal SE produced social impairment, learning and exploratory deficits. Furthermore, the social impairment was gender-dependent, affecting predominantly male rats. On the other hand, the exploratory behavior was reduced in both genders, however female rats seems to be more affected, since selfgrooming was enhanced in this specific group. Quite interesting, both behaviors are affected by emotionality and environmental context, suggesting that SE was able to affect more severely the emotionality of the female animals. Moreover, it is also important to note that learning deficits were observed in both genders as well. Based on this evidences, we propose that this animal model can be a valuable tool to investigate the neurobiological basis of ASD.
Os Transtornos do Espectro Autista (TEA) são condições que afetam o desenvolvimento cerebral prejudicando a interação social recíproca, a comunicação verbal e não verbal e são acompanhados por comportamentos repetitivos e padrões anormais de interesses e atividades. Apesar da riqueza dos dados obtidos a partir da história dos pacientes, dos exames de neuroimagem, dos estudos genéticos e moleculares, a patogênese do TEA permanece mal compreendida. Modelos animais têm propiciado a ampliação do conhecimento acerca da neurobiologia dos TEA. O Status epilepticus (SE), uma condição aguda caracterizada por convulsões repetitivas ou prolongada, é uma emergência clínica que ocorre mais frequentemente em crianças que em adultos, e em 40-50% dos casos em crianças com idade inferior a dois anos. Estudos clínicos e experimentais indicam que embora o SE produza menos danos estruturais no cérebro imaturo que no cérebro adulto, SE em neonatos leva a prejuízos na aprendizagem, memória, sequelas emocionais na idade adulta, alteração da circuitaria GABAérgica hipocampal e intracortical, e redução dos níveis de dopamina no córtex pré-frontal. Este trabalho teve como objetivo avaliar se o SE em ratos neonatos de ambos os gêneros produz prejuízos na interação social, na cognição e no comportamento exploratório. Ratos wistar de ambos os gêneros com nove dias pós-natal (PN9) receberam injeção intraperitoneal de pilocarpina (380 mg/kg). Animais controles receberam solução salina. Os comportamentos sociais e exploratórios foram avaliados entre PN30-PN35, empregando-se o paradigma de observação por pares. O desempenho cognitivo foi avaliado empregando-se a caixa de Skinner, quantificando-se o número de sessões para aquisição do comportamento de pressão à barra. Os resultados mostraram que o SE no cérebro em desenvolvimento alterou a sociabilidade, a cognição e o comportamento exploratório. Os prejuízos na interação social foram gênero-dependentes, afetando predominantemente os machos. O comportamento exploratório foi reduzido em ambos os gêneros, no entanto, as fêmeas parecem ter sido mais afetadas, desde que paralelamente observou-se aumentou do selfgrooming. Ambos os comportamentos são afetados pela emocionalidade e pelo contexto ambiental, sugerindo que o SE afetou mais severamente a emocionalidade das fêmeas. Os prejuízos cognitivos foram igualmente observados em ambos os gêneros. Baseando-se nestas evidências, sugerimos que este modelo pode ser utilizado para explorar mecanismos neurobiológicos do TEA.