Pricing derivatives with stochastic volatility

This Ph.D. thesis contains 4 essays in mathematical finance with a focus on pricing Asian option (Chapter 4), pricing futures and futures option (Chapter 5 and Chapter 6) and time dependent volatility in futures option (Chapter 7). In Chapter 4, the applicability of the Albrecher et al.(2005)'s comonotonicity approach was investigated in the context of various benchmark models for equities and com- modities. Instead of classical Levy models as in Albrecher et al.(2005), the focus is the Heston stochastic volatility model, the constant elasticity of variance (CEV) model and the Schwartz (1997) two-factor model. It is shown that the method delivers rather tight upper bounds for the prices of Asian Options in these models and as a by-product delivers super-hedging strategies which can be easily implemented. In Chapter 5, two types of three-factor models were studied to give the value of com- modities futures contracts, which allow volatility to be stochastic. Both these two models have closed-form solutions for futures contracts price. However, it is shown that Model 2 is better than Model 1 theoretically and also performs very well empiri- cally. Moreover, Model 2 can easily be implemented in practice. In comparison to the Schwartz (1997) two-factor model, it is shown that Model 2 has its unique advantages; hence, it is also a good choice to price the value of commodity futures contracts. Fur- thermore, if these two models are used at the same time, a more accurate price for commodity futures contracts can be obtained in most situations. In Chapter 6, the applicability of the asymptotic approach developed in Fouque et al.(2000b) was investigated for pricing commodity futures options in a Schwartz (1997) multi-factor model, featuring both stochastic convenience yield and stochastic volatility. It is shown that the zero-order term in the expansion coincides with the Schwartz (1997) two-factor term, with averaged volatility, and an explicit expression for the first-order correction term is provided. With empirical data from the natural gas futures market, it is also demonstrated that a significantly better calibration can be achieved by using the correction term as compared to the standard Schwartz (1997) two-factor expression, at virtually no extra effort. In Chapter 7, a new pricing formula is derived for futures options in the Schwartz (1997) two-factor model with time dependent spot volatility. The pricing formula can also be used to find the result of the time dependent spot volatility with futures options prices in the market. Furthermore, the limitations of the method that is used to find the time dependent spot volatility will be explained, and it is also shown how to make sure of its accuracy.

Empenhamento(s) organizacional(is): Dois laços afectivos, dois instrumentais, um normativo e um de ausência

Este artigo visa testar um hexa-modelo dimensional do empenhamento organizacional sugerido em pesquisas anteriores de Rego (2002b, 2003). O modelo difere do esquema tri-dimensional mais comum (afectivo, normativo e instrumental) no que concerne a três aspectos: a) a faceta afectiva é desmembrada em duas (empenhamento afectivo; futuro comum); b) a faceta instrumental é dividida nas facetas “escassez de alternativas” e “sacrifícios elevados”; c) é sugerida uma nova dimensão, designada “ausência psicológica” e que representa o “grau zero” do empenhamento. A amostra é constituída por 366 indivíduos, com actividades profissionais bastante distintas. Análises factoriais confirmatórias sugerem que o modelo de seis dimensões se ajusta satisfatoriamente aos dados, embora os modelos de quatro e cinco dimensões denotem igualmente boas qualidades psicométricas.

Influence des traits et troubles de personnalité sur l’intégration au travail de personnes aux prises avec un trouble mental grave

Bien que le travail soit bénéfique et souhaité par une majorité de personnes aux prises avec un trouble mental grave (TMG), les études réalisées auprès de cette clientèle montrent des taux d’emploi d’environ 10 à 20%. Parmi les services visant le retour au travail, les programmes de soutien à l’emploi (PSE) se sont montrés les plus efficaces avec des taux de placement en emploi standard oscillant entre 50 et 60%, sans toutefois garantir le maintien en emploi. Plusieurs études ont tenté de cerner les déterminants de l’obtention et du maintien en emploi chez cette population sans toutefois s’intéresser à la personnalité, et ce, bien qu’elle soit reconnue depuis toujours comme un déterminant important du fonctionnement des individus. De plus, peu de questionnaires d’évaluation de la personnalité selon le modèle de la personnalité en cinq facteurs (FFM) ont été utilisés auprès d’une clientèle avec un TMG et ceux-ci ont montré des propriétés psychométriques ne respectant pas des normes reconnues et acceptées. Cette thèse porte sur les liens entre la personnalité et l’intégration au travail chez les personnes avec un TMG. La première partie vise la validation d’un outil de mesure de la personnalité selon le FFM afin de répondre aux objectifs de la deuxième partie de la thèse. À cet effet, deux échantillons ont été recrutés, soit 259 étudiants universitaires et 141 personnes avec un TMG. Des analyses factorielles confirmatoires ont mené au développement d’un nouveau questionnaire à 15 items (NEO-15) dont les indices d’ajustement, de cohérence interne et de validité convergente respectent les normes établies, ce qui en fait un questionnaire bien adapté à la mesure de la personnalité normale dans des contextes où le temps d’évaluation est limité. La deuxième partie présente les résultats d’une étude réalisée auprès de 82 personnes aux prises avec un TMG inscrites dans un PSE et visant à identifier les facteurs d’obtention et de maintien en emploi chez cette clientèle, particulièrement en ce qui concerne la contribution des éléments normaux et pathologiques de la personnalité. Les résultats de régressions logistiques et de régressions de Cox (analyses de survie) ont démontré que l’historique d’emploi, les symptômes négatifs et le niveau de pathologie de la personnalité étaient prédictifs de l’obtention d’un emploi standard et du délai avant l’obtention d’un tel emploi. Une autre série de régressions de Cox a pour sa part démontré que l’esprit consciencieux était le seul prédicteur significatif du maintien en emploi. Malgré certaines limites, particulièrement des tailles d’échantillons restreintes, ces résultats démontrent la pertinence et l’importance de tenir compte des éléments normaux et pathologiques de la personnalité dans le cadre d’études portant sur l’intégration au travail de personnes avec un TMG. De plus, cette thèse a permis de démontrer l’adéquation d’un nouvel instrument de mesure de la personnalité auprès de cette clientèle. Des avenues futures concernant la réintégration professionnelle et le traitement des personnes avec un TMG sont discutées à la lumière de ces résultats.

Children's Separation Anxiety Scale (CSAS): Psychometric Properties

This study describes the psychometric properties of the Children's Separation Anxiety Scale (CSAS), which assesses separation anxiety symptoms in childhood. Participants in Study 1 were 1,908 schoolchildren aged between 8 and 11. Exploratory factor analysis identified four factors: worry about separation, distress from separation, opposition to separation, and calm at separation, which explained 46.91% of the variance. In Study 2, 6,016 children aged 8–11 participated. The factor model in Study 1 was validated by confirmatory factor analysis. The internal consistency (α = 0.82) and temporal stability (r = 0.83) of the instrument were good. The convergent and discriminant validity were evaluated by means of correlations with other measures of separation anxiety, childhood anxiety, depression and anger. Sensitivity of the scale was 85% and its specificity, 95%. The results support the reliability and validity of the CSAS.

Méthodes de Bootstrap pour les modèles à facteurs

Cette thèse développe des méthodes bootstrap pour les modèles à facteurs qui sont couram- ment utilisés pour générer des prévisions depuis l'article pionnier de Stock et Watson (2002) sur les indices de diffusion. Ces modèles tolèrent l'inclusion d'un grand nombre de variables macroéconomiques et financières comme prédicteurs, une caractéristique utile pour inclure di- verses informations disponibles aux agents économiques. Ma thèse propose donc des outils éco- nométriques qui améliorent l'inférence dans les modèles à facteurs utilisant des facteurs latents extraits d'un large panel de prédicteurs observés. Il est subdivisé en trois chapitres complémen- taires dont les deux premiers en collaboration avec Sílvia Gonçalves et Benoit Perron. Dans le premier article, nous étudions comment les méthodes bootstrap peuvent être utilisées pour faire de l'inférence dans les modèles de prévision pour un horizon de h périodes dans le futur. Pour ce faire, il examine l'inférence bootstrap dans un contexte de régression augmentée de facteurs où les erreurs pourraient être autocorrélées. Il généralise les résultats de Gonçalves et Perron (2014) et propose puis justifie deux approches basées sur les résidus : le block wild bootstrap et le dependent wild bootstrap. Nos simulations montrent une amélioration des taux de couverture des intervalles de confiance des coefficients estimés en utilisant ces approches comparativement à la théorie asymptotique et au wild bootstrap en présence de corrélation sérielle dans les erreurs de régression. Le deuxième chapitre propose des méthodes bootstrap pour la construction des intervalles de prévision permettant de relâcher l'hypothèse de normalité des innovations. Nous y propo- sons des intervalles de prédiction bootstrap pour une observation h périodes dans le futur et sa moyenne conditionnelle. Nous supposons que ces prévisions sont faites en utilisant un ensemble de facteurs extraits d'un large panel de variables. Parce que nous traitons ces facteurs comme latents, nos prévisions dépendent à la fois des facteurs estimés et les coefficients de régres- sion estimés. Sous des conditions de régularité, Bai et Ng (2006) ont proposé la construction d'intervalles asymptotiques sous l'hypothèse de Gaussianité des innovations. Le bootstrap nous permet de relâcher cette hypothèse et de construire des intervalles de prédiction valides sous des hypothèses plus générales. En outre, même en supposant la Gaussianité, le bootstrap conduit à des intervalles plus précis dans les cas où la dimension transversale est relativement faible car il prend en considération le biais de l'estimateur des moindres carrés ordinaires comme le montre une étude récente de Gonçalves et Perron (2014). Dans le troisième chapitre, nous suggérons des procédures de sélection convergentes pour les regressions augmentées de facteurs en échantillons finis. Nous démontrons premièrement que la méthode de validation croisée usuelle est non-convergente mais que sa généralisation, la validation croisée «leave-d-out» sélectionne le plus petit ensemble de facteurs estimés pour l'espace généré par les vraies facteurs. Le deuxième critère dont nous montrons également la validité généralise l'approximation bootstrap de Shao (1996) pour les regressions augmentées de facteurs. Les simulations montrent une amélioration de la probabilité de sélectionner par- cimonieusement les facteurs estimés comparativement aux méthodes de sélection disponibles. L'application empirique revisite la relation entre les facteurs macroéconomiques et financiers, et l'excès de rendement sur le marché boursier américain. Parmi les facteurs estimés à partir d'un large panel de données macroéconomiques et financières des États Unis, les facteurs fortement correlés aux écarts de taux d'intérêt et les facteurs de Fama-French ont un bon pouvoir prédictif pour les excès de rendement.

Deviant behavior variety scale: Development and validation with a sample of portuguese adolescents

This study presents the development and analysis of the psychometric properties of the Deviant Behavior Variety Scale (DBVS). Participants were 861 Portuguese adolescents (54 % female), aged between 12 and 19 years old. Two alternative models were tested using Confirmatory Factor Analysis. Although both models showed good fit indexes, the two-factor model didn’t presented discriminant validity. Further results provided evidence for the factorial and the convergent validity of the single-factor structure of the DVBS, which has also shown good internal consistency. Criterion validity was evaluated through the association with related variables, such as age and school failure, as well as the scale’s ability to capture group differences, namely between genders and school retentions, and finally by comparing a sub-group of convicted adolescents with a group of non-convicted ones regarding their engagement in delinquent activities. Overall, the scale presented good psychometric properties, with results supporting that the DBVS is a valid and reliable self-reported measure to evaluate adolescents’ involvement in deviance.

A atribuição de significado a escolha de carreira: os “quês” e os “porquês” de alunos do ensino superior da área de saúde

Tese de Doutoramento, Psicologia, Faculdade de Ciências Humanas e Sociais, Universidade do Algarve, 2015

Time Orientation in Organizations: Polychronicity and Multitasking

This dissertation consists of four studies examining two constructs related to time orientation in organizations: polychronicity and multitasking. The first study investigates the internal structure of polychronicity and its external correlates in a sample of undergraduate students (N = 732). Results converge to support a one-factor model and finds measures of polychronicity to be significantly related to extraversion, agreeableness, and openness to experience. The second study quantitatively reviews the existing research examining the relationship between polychronicity and the Big Five factors of personality. Results reveal a significant relationship between extraversion and openness to experience across studies. Studies three and four examine the usefulness of multitasking ability in the prediction of work related criteria using two organizational samples (N = 175 and 119, respectively). Multitasking ability demonstrated predictive validity, however the incremental validity over that of traditional predictors (i.e., cognitive ability and the Big Five factors of personality) was minimal. The relationships between multitasking ability, polychronicity, and other individual differences were also investigated. Polychronicity and multitasking ability proved to be distinct constructs demonstrating differential relationships with cognitive ability, personality, and performance. Results provided support for multitasking performance as a mediator in the relationship between multitasking ability and overall job performance. Additionally, polychronicity moderated the relationship between multitasking ability and both ratings of multitasking performance and overall job performance in Study four. Clarification of the factor structure of polychronicity and its correlates will facilitate future research in the time orientation literature. Results from two organizational samples point to work related measures of multitasking ability as a worthwhile tool for predicting the performance of job applicants.

Workplace aggression: A reconceptualization of the construct & an exploration of strain based outcomes

The examination of Workplace Aggression as a global construct conceptualization has gained considerable attention over the past few years as organizations work to better understand and address the occurrence and consequences of this challenging construct. The purpose of this dissertation is to build on previous efforts to validate the appropriateness and usefulness of a global conceptualization of the workplace aggression construct. ^ This dissertation has been broken up into two parts: Part 1 utilized a Confirmatory Factor Analysis approach in order to assess the existence of workplace aggression as a global construct; Part 2 utilized a series of correlational analyses to examine the relationship between a selection of commonly experienced individual strain based outcomes and the global construct conceptualization assessed in Part 1. Participants were a diverse sample of 219 working individuals from Amazon’s Mechanical Turk participant pool. ^ Results of Part 1 did not show support for a one-factor global construct conceptualization of the workplace aggression construct. However, support was shown for a higher-order five-factor model of the construct, suggesting that it may be possible to conceptualize workplace aggression as an overarching construct that is made up of separate workplace aggression constructs. Results of Part 2 showed support for the relationships between an existing global construct workplace aggression conceptualization and a series of strain-based outcomes. Utilizing correlational analyses, additional post-hoc analyses showed that individual factors such as emotional intelligence and personality are related to the experience of workplace aggression. Further, utilizing moderated regression analysis, the results demonstrated that individuals experiencing high levels of workplace aggression reported higher job satisfaction when they felt strongly that the aggressive act was highly visible, and similarly, when they felt that there was a clear intent to cause harm. ^ Overall, the findings of this dissertation do support the need for a simplification of its current state of measurement. Future research should continue to examine workplace aggression in an effort to shed additional light on the structure and usefulness of this complex construct.^

The hierarchic structure of fears: A cross-cultural replication with the fear survey schedule in a portuguese sample

A confirmatory attempt is made to assess the validity of a hierarchic structural model of fears. Using a sample comprising 1,980 adult volunteers in Portugal, the present study set out to delineate the multidimensional structure and hierarchic organization of a large set of feared stimuli by contrasting a higher-order model comprising general fear at the highest level against a first-order model and a unitary fear model. Following a refinement of the original model, support was found for a five-factor model on a first-order level, namely (1) Social fears, (2) Agoraphobic fears, (3) Fears of bodily injury, death and illness, (4) Fears of display to aggressive scenes, and (5) Harmless animals fears. These factors in turn loaded on a General fear factor at the second-order level. However, the firstorder model was as parsimonious as a hierarchic higher-order model. The hierarchic model supports a quantitative hierarchic approach which decomposes fear disorders into agoraphobic, social, and specific (animal and bloodinjury) fears.

The old and the oldest-old: Do they have different perspectives on adjustment to aging?

Background: Older adults experience varying challenges in old age. This study aims to explore the indicators of adjustment to aging (AtA) and to examine the potential explanatory mechanisms of a correlational model for AtA for the old and oldest-old adults. Methods: This qualitative study comprised demographics and semistructured interviews. Complete information on 152 older adults aged between 75 years and 102 years (mean ¼ 83.76 years; standard deviation ¼ 6.458). Data was subjected to content analysis. The correlational model of indicators of AtA was analyzed using a multiple correspondence analysis. Results: “Occupation and achievement” was the most mentioned indicator of AtA by the old participants (17.7%), whereas “existential meaning and spirituality” was the most verbalized indicator of AtA for the oldest-old participants (16.9%). AtA was explained by a three-factor model for each age group. For the old participants, the largest factor “occupational and social focus” accounted for 33.6% of total variance, whereas for the oldest-old participants, “spirituality and health focus” represented 33.5% of total variance. Conclusion: The outcomes presented in this paper stressed the varied perspectives concerning AtA, contoured in two different models, and the need of considering these when designing and implementing programs in health care for the old and the oldest-old.

Do “The Best Companies to Work” have higher Stock returns?

Do “The Best Companies to Work” have Higher Stock Returns? The main purpose of this work is to prove the link between job satisfaction and the firm’s value. The «Best Companies to Work» list give us our measure for job satisfaction. The sample of this work is composed by firms listed in STOXX Europe 600 Index. We compared the monthly returns of a portfolio composed by firms present in the «Best Companies to Work» list with two other benchmark portfolios, using the four-factor model proposed by Carhart (1997), from January 2010 to December 2014. Our results show that the BCWE600 portfolio outperforms both benchmark portfolios. In other words, companies classified as Best Companies to Work generated 0.40%/month and 4.94%/year higher stock returns than their peers over the 2010-2014 period. Also, the market risk in portfolio BCWE600 is inferior compared to other portfolios. This work shows that firms with the most satisfied workers get better results, resulting in higher returns for it’s shareholders.

Psychometric properties of the Iranian version of the premature ejaculation diagnostic tool

Introduction Premature ejaculation (PE) is one of the most prevalent male sexual problems. The Premature Ejaculation Diagnostic Tool (PEDT) is a suitable patient-reported outcome measure for the assessment of PE. Aim To examine the psychometric proporties of a translated and culturally adapted version of the PEDT in a sample of Iranian men suffering from PE. Methods Two independent samples were compared, one including patients with PE based on the DSM-IV-TR criteria (n = 269) and the other including healthy men without PE (n = 289). A backward–forward translation procedure was used to translate the PEDT into Persian. Both samples were asked to fill in the PEDT twice—at baseline and 4 weeks later. Main Outcome Measures Internal consistency, test–retest reliability, convergent validity, factor structure, measurement invariance across sexual health status (i.e., between men with and without PE). Results Mean ages of men without and with PE were 34.9 and 35.3 years, respectively. Cronbach's alpha coefficient for the total PEDT score was 0.89. All items and the total score were remarkably consistent between the two measurement points. All five PEDT items correlated at r = 0.40 or greater with their own scale, indicating good convergent validity. There was a high and significant correlation (r = −0.82, P  < 0.001) between the PEDT score and IELT. Healthy men reported lower scores (fewer complaints) on the PEDT compared with the PE group. A single-factor model was found to be best-fitting in the exploratory factor analysis; this was confirmed by confirmatory factor analysis. The PEDT was invariant across sexual health status and perceived similarly by men with and without PE. Conclusion The results provide evidence for good reliability and validity of the Iranian version of the PEDT. The questionnaire therefore represents a suitable tool for screening PE in Iranian men.

Impacto de la resiliencia en pacientes con Artritis Reumatoide

Introducción: La artritis reumatoide (AR) es una enfermedad autoinmune-inflamatoria, que compromete las articulaciones diartrodiales. Tiene una importante repercusión sistémica que incluye la depresión; por lo tanto, tiene un severo impacto sobre la calidad de vida. Es posible que mecanismos de defensa, tales como la resiliencia, puedan amortiguar dicho impacto. Metodología: estudio de corte transversal, multicéntrico (análisis inicial dentro del grupo AR, con muestra no probabilística de 66 pacientes, posterior selección aleatoria simple de 16 pacientes de la muestra inicial y selección de 16 individuos sanos pareados). Posteriormente, se comparó la resiliencia entre sujetos con AR y sujetos sanos, mediante las escalas RS y CD-RISC25. Adicionalmente, se aplicaron las escalas EEAE, EADZ, SF-36 y PANAS. Los datos fueron evaluados mediante el coeficiente de correlación de Spearman, las pruebas U Mann-Whitney, Kruskall-Wallis, T de Student y análisis de varianza. Resultados: se encontraron diferencias significativas en las estrategias de afrontamiento no espirituales en grupos de resiliencia baja, media y alta; diferencias en las medianas de resiliencia en los grupos de depresión por EAZD en los pacientes. No se encontraron resultados significativos en las variables clínicas de la AR ni en la comparación con sujetos sanos. Conclusiones: el uso de estrategias de afrontamiento no espirituales y la ausencia de depresión, se asoció a mayores niveles de resiliencia en los pacientes con AR, por lo cual, los componentes emocionales y cognitivos se asocian a la resiliencia.

Cardiorespiratory fitness and cardiometabolic risk factors in schoolchildren from Colombia: The FUPRECOL Study

The objectives of this study are to investigate the association between cardiorespiratory fitness and cardiovascular risk factors in schoolchildren and to evaluate the degree of association between overall and abdominal adiposity and cardiorespiratory fitness. A total of 1,875 children and adolescents attending public schools in Bogota, Colombia (56.2% girls; age range of 9–17.9 years). A cardiovascular risk score (Z-score) was calculated and participants were divided into tertiles according to low and high levels of overall (sum of the skinfold thicknesses) and abdominal adiposity. Schoolchildren with a high level of overall adiposity demonstrated significant differences in seven of the 10 variables analyzed (i.e. systolic and diastolic blood pressure, triglycerides, triglycerides/HDL-c ratio, total cholesterol, glucose and cardiovascular risk score). Schoolchildren with high levels of both overall and abdominal adiposity and low cardiorespiratory fitness had the least favorable cardiovascular risk factors score. These findings may be relevant to health promotion in Colombian youth.