Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

A universidade e o seu contributo para o desenvolvimento da União Europeia

O trabalho presente é uma investigação sobre a Universidade sua génese e diversidade, caminhada e desenvolvimento, prosperidade em crescimento, papel cultural e fonte de conhecimento seus momentos de glória, seu de impasse e de crise e tentativas para devolver a glória e prestigio de outrora. Nasceu na Europa Meridional com o título de “Studium Generale”. Não nasceu nem “ex abrupto” nem “ex nihilo”, a sua génese remonta às escolas religiosas dos conventos e catedrais onde se conservavam os documentos da cultura greco – latina que mais tarde imperará na Europa sob o antropocentrismo, em oposição ao Teocentrismo. O “Studium General” nasce sobre o patrocínio da Igreja que mantinha como disciplinas principais nestes centros a Teologia e Filosofia, cuja leccionação é circunscrita a poucas Escolas e professores escolhidos. Acorriam à Universidade alunos de todos os cantos da Europa, evidentemente com meios e frades alunos pobres e para os frades criaram-se colégios que os acolhiam e protegiam. A reunião de estudantes devido a disturbios gerou ambiente controverso e obrigou as autoridades governamentais a medidas quer de contenção quer de protecção a residentes e forasteiros. O estudante era um estrangeiro que se deslocava no espaço europeu consoante a fama dos professores. A língua latina foi o veiculo de ligação e comunicação. Pouco a pouco os estados foram-se dando conta do valor da universidade e dos seus ensinamentos e disputavam com a Igreja o seu patrocínio. A Universidade contribui para o desenvolvimento dos Estados a nível administrativo, do direito, da criação de leis dando aos Estados uma maior e melhor organização no seu desenvolvimento. As Universidades concediam graus académicos, sendo o maior o de doutor. Todos esperavam o apoio do saber académico e científico para vencer a luta pela existência. O sistema escolático criticado pelo humanismo deu origem a novos modelos de universidade que surgiram com a supervisão dos Estados. Os modelos a partir do século XIX, são: ingês, alemão, americano, francês e russo. A universidade passa a ser o lugar do ensino superior, com o repúdio ao tradicinal e a investigação passa a fazer parte do papel da universidade. Em Portugal criou-se estruturas de apoio à formação de professores especialmente o sector de ciência e educação. Tardiamente a União Europeia dá atenção à educação criando programas como o Sócrates cujas acções são Comenios, Erasmus, Grundvig, Língua e Minerva. A mobilidade estudantil torna-se realidade na Europa e a flexibilidade na educação. A função da universidade actual ocupa-se do sector industrial e pós industrial da sociedade de informação, economia e empresa. Universidade como serviço público e mercado. Foi pena que a União Europeia, não reconhecesse ao Homem a centralidade de que tem direito, e esquecesse que sem o homem não há desenvolvimento nem criatividade. Estruturou-se a economia e a política obliterou a educação, a cultura, a formação, isto é um castelo construído sobre areia. Relembrando Antero cabe dizer: “Abrem-se as portas de ouro com fragor Mas dentro encontro só cheiro de dor Silêncio e escuridão nada mais”. Hoje a nossa Universidade é um problema. O seu caminho terá de ser o da cultura e a da educação. Tem de ser vista como poder em época de crise e o permanente primeiro que o transitório. Donde a necessidade de uma gestão de qualidade e de uma educação permanente.

Shale Gas and the EU Internal Gas Market: Beyond the Hype and Hysteria. CEPS Working Document No. 369, September 2012

This paper analyses the interplay between shale gas and the EU internal gas market. Drawing on data presented in the 2012 International Energy Agency’s report on unconventional gas and additional scenario analyses performed by the Joint Research Centre, the paper is based on the assumption that shale gas will not fundamentally change the EU’s dependence on foreign gas supplies. It argues that attention should be shifted away from hyping shale gas to completing the internal gas market. Two main reasons are given for this. First, the internal gas market is needed to enable shale gas development in countries where there is political support for shale gas extraction. And second, a well-functioning internal gas market would, arguably, contribute much more to Europe’s security of supply than domestic shale gas exploitation. This has important implications for the shale gas industry. As it is hard to see how subsidies or exemptions from environmental legislation could be justified, shale gas development in Europe will only go ahead if it proves to be both economically and environmentally viable. It is thus up to the energy industry to demonstrate that this is the case.

The impact of market and supply configurations on the costs of tendering in the construction industry

The cost of tendering in the construction industry is widely suspected to be excessive, but there is little robust empirical evidence to demonstrate this. It also seems that innovative working practices may reduce the costs of undertaking construction projects and the consequent improvement in relationships should increase overall value for money. The aim of this proposed research project is to develop mechanisms for measuring the true costs of tendering based upon extensive in-house data collection undertaken in a range of different construction firms. The output from this research will enable all participants in the construction process to make better decisions about how to select members of the team and identify the price and scope of their obligations.

The visibility of agricultural subsidies and market illusions in the Common Agricultural Policy: Some evidence from farmers' views in Germany, Portugal and the United Kingdom

This article demonstrates that the design and nature of agricultural support schemes has an influence on farmers' perception of their level of dependence on agricultural support. While direct aid payments inform farmers about the extent to which they are subsidised, indirect support mechanisms veil the level of subsidisation, and therefore they are not fully aware of the extent to which they are supported. To test this hypothesis, we applied data from a survey of 4,500 farmers in three countries: the United Kingdom, Germany and Portugal. It is demonstrated that indirect support, such as that provided through artificially high consumer prices, gives an illusion of free and competitive markets among farmers. This 'visibility' hypothesis is evaluated against an alternative hypothesis that assumes farmers have complete, or at least a fairly comprehensive level of, information on agricultural support schemes. Our findings show that this alternative hypothesis can be ruled out.

Potential for the development of prebiotic oligosaccharides from biomass

Waste biomass contains a multitude of complex carbohydrate molecules. These carbohydrates can be considered as a resource for the development of novel prebiotic oligosaccharides which may have better functionality than those currently established on the market. Enhanced persistence of the prebiotic effect along the colon, antipathogen effects, and more closely targeted prebiotics, might all be possible starting from plant polysaccharides. Of particular interest for the development of novel prebiotics are oligosaccharides from arabinoxylans and pectins. Oligosaccharides derived from the breakdown of both classes have received increased research attention recently. The development of prebiotics based upon biomass will demand the development of new manufacturing technologies.

Simulating the impact of regulation changes on the market for prostitution services

The paper draws on recent research on the economics of prostitution focussing on the role of stigma in shaping the interaction between demand and supply and the resulting sub-markets in which this activity is typically organised. Here we extend the framework to consider the role of reputation and stigma in determining policy decisions regarding the regulation of prostitution and show how sub-optimal outcomes (from the point of view of the welfare of sex workers) may prevail.

An overview of the current status of research into adopting high levels of renewables in Ireland

This paper provides an overview of the reduction targets that Ireland has set in the context of decarbonising their electricity generation through the use of renewables. The main challenges associated with integrating high levels (>20% of installed capacity) of non-dispatchable renewable generation are identified. The rising complexity of the challenge as renewable penetration levels increase is highlighted. A list of relevant research questions is then proposed, and an overview is given into the previous work that has gone into answering some of them. In particular, studies into the Irish energy market are identified, the current knowledge gap is described, and areas of necessary future research are suggested

Drivers of fund performance: a panel data analysis

The principle aim of this research is to elucidate the factors driving the total rate of return of non-listed funds using a panel data analytical framework. In line with previous results, we find that core funds exhibit lower yet more stable returns than value-added and, in particular, opportunistic funds, both cross-sectionally and over time. After taking into account overall market exposure, as measured by weighted market returns, the excess returns of value-added and opportunity funds are likely to stem from: high leverage, high exposure to development, active asset management and investment in specialized property sectors. A random effects estimation of the panel data model largely confirms the findings obtained from the fixed effects model. Again, the country and sector property effect shows the strongest significance in explaining total returns. The stock market variable is negative which hints at switching effects between competing asset classes. For opportunity funds, on average, the returns attributable to gearing are three times higher than those for value added funds and over five times higher than for core funds. Overall, there is relatively strong evidence indicating that country and sector allocation, style, gearing and fund size combinations impact on the performance of unlisted real estate funds.

Individual assets, market structure and the drivers of return

Much prior research on the structure and performance of UK real estate portfolios has relied on aggregated measures for sector and region. For these groupings to have validity, the performance of individual properties within each group should be similar. This paper analyses a sample of 1,200 properties using multiple discriminant analysis and cluster analysis techniques. It is shown that conventional property type and spatial classifications do not capture the variation in return behaviour at the individual building level. The major feature is heterogeneity - but there may be distinctions between growth and income properties and between single and multi-let properties that could help refine portfolio structures.

Expert judgement in the processes of commercial property market forecasting

In this paper, we investigate the role of judgement in the formation of forecasts in commercial property markets. The investigation is based on interview surveys with the majority of UK forecast producers, who are using a range of inputs and data sets to form models to predict an array of variables for a range of locations. The findings suggest that forecasts need to be acceptable to their users (and purchasers) and consequently forecasters generally have incentives to avoid presenting contentious or conspicuous forecasts. Where extreme forecasts are generated by a model, forecasters often engage in ‘self‐censorship’ or are ‘censored’ following in‐house consultation. It is concluded that the forecasting process is significantly more complex than merely carrying out econometric modelling, forecasts are mediated and contested within organisations and that impacts can vary considerably across different organizational contexts.

The production and consumption of commercial real estate market forecasts

Whilst the vast majority of the research on property market forecasting has concentrated on statistical methods of forecasting future rents, this report investigates the process of property market forecast production with particular reference to the level and effect of judgemental intervention in this process. Expectations of future investment performance at the levels of individual asset, sector, region, country and asset class are crucial to stock selection and tactical and strategic asset allocation decisions. Given their centrality to investment performance, we focus on the process by which forecasts of rents and yields are generated and expectations formed. A review of the wider literature on forecasting suggests that there are strong grounds to expect that forecast outcomes are not the result of purely mechanical calculations.