Finite dimensional Markovian realizations for stochastic volatility forward rate models

We consider forward rate rate models of HJM type, as well as more general infinite dimensional SDEs, where the volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate the theory by analyzing a number of concrete examples.HJM models; stochastic volatility; factor models; forward rates; state space models; Markovian realizations; infinite dimensional SDEs

Oh, RER'ly? Effects of Real Exchange Rate Misalignments on Economic Modernization

The role of the real exchange rate in an economy’s modernization process is an ambiguous matter and is not essential in the canonical models of neo-classical growth theory. This thesis tries to determine the role of the real exchange rate in a modernization process for Chile, Brazil and the Republic of Korea by applying the theory of a dual-sector approach to economic development by Lewis. By estimating individual equilibrium real exchange rates from 1970-2007, the methodology differ from recent literature on the subject which has focused on non-desirable homogenous assumptions between countries for estimating equilibrium real exchange rates. The results indicate that undervaluation fosters reallocation towards the modern sector of the economy, whereas overvaluation hampers the reallocation. No significant results could however be determined for the Republic of Korea

On the construction of finite dimensional realizations for nonlinear forward rate models

We consider interest rate models of Heath-Jarrow-Morton type where the forward rates are driven by a multidimensional Wiener process, and where the volatility structure is allowed to be a smooth functional of the present forward rate curve. In a recent paper (to appear in Mathematical Finance ) Björk and Svensson give necessary and sufficient conditions for the existence of a finite dimensional Markovian state space realization (FDR) for such a forward rate model, and in the present paper we provide a general method for the actual construction of an FDR. The method works as follows: From the results of Björk and Svensson we know that there exists an FDR if and only if a certain Lie algebra is finite dimensional. Given a set of generators for this Lie algebra we show how to construct an FDR by solving a finite number of ordinary differential equations in Hilbert space. We illustrate the method by constructing FDR:s for a number of concrete models. These FDR:s generalize previous results by allowing for a more general volatility structure. Furthermore, the dimension of the realizations obtained by using our method is typically smaller than that of the corresponding previously known realizations. We also show how to obtain realizations in terms of benchmarforward rates from the realizations obtained using our method, and finally we present a bond pricing formula for the realizations we have obtained

Factors driving the Euro senior funding costs for Swedish Banks

In this thesis we show that the best forecast for near future yield curves are performed with a full specication of our chosen model and for far future yield curves the forecast is better with a partial specication of the model. We conclude that the driving factors for the banks' yield curves are not as closely related to Swedbank's as amongst the other peers which show that Swedbank stand out in terms of dynamics for the yield curve. We also show why we have chosen a Nelson Siegel model with ve driving factors by performing a PCA and we illustrate how we have estimated the 47 free parameters in the model with a Kalman lter and an optimization algorithm in matlab. If that was not enough we also validate our model by simulating yields and checking that our estimates correspond to the parameters used in the simulation

On the term structure of futures and forward prices

We investigate the term structure of forward and futures prices for models where the price processes are allowed to be driven by a general marked point process as well as by a multidimensional Wiener process. Within an infinite dimensional HJM-type model for futures and forwards we study the properties of futures and forward convenience yield rates. For finite dimensional factor models, we develop a theory of affine term structures, which is shown to include almost all previously known models. We also derive two general pricing formulas for futures options. Finally we present an easily applicable sufficient condition for the possibility of fitting a finite dimensional futures price model to an arbitrary initial futures price curve, by introducing a time dependent function in the drift term

Gender and struggles for equality in mining resistance movements : performing critique against neoliberal capitalism in Sweden and Greece

This article explores the intersections of gender and centre–periphery relations and calls for theoretical and political involvement in gendered struggles against colonial and capitalist forces across different national contexts. The article raises questions about the possibility of resisting inequality and exploitation arising from capitalist expansion and extraction of natural resources in Sweden and Greece, outside of urban contexts. It does so by highlighting women’s role in protest movements in peripheral places and questioning power relations between centre and periphery. The article also argues that making visible women’s struggles and contributions to protest movements brings about vital knowledge for realizing democratic worlds that do not thrive on the destruction of natural resources and the institutionalization of inequalities

Contradictory budgeting practice?

The purpose of this study is to examine how psychological and economic theory explains the budgetary process and performance by identifying and analyzing the most significant variables of each perspective.The theoretical approach has been to examine two of the most frequently used theories within the area of budgeting, goal-setting theory and agency theory. The study does not find any significant correlation between either goal-setting theory or agency theory with budget performance. Significant correlation is however found between individual variables and budget performance within goal-setting theory

On finite dimensional realizations for the term structure of futures prices

We consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures privce curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a finite dimensional Markovian state space model, and we give general necessary and sufficient conditions, in terms of the volatility structure, for the existence of a finite dimensional realization. We study a number of concrefe applications including a recently developed model for gas futures. In particular we provide necessary and sufficient conditions for when the induced spot price is a Markov process. In particular we can prove that the only HJM type futures price models with spot price dependent volatility structures which generically possess a spot price realization are the affine ones. These models are thus the only generic spot price models from a futures price term structure point of view

Organiserad utpressning

Denna uppsats handlar om utpressning i organiserad form. Anledningen till att jag valt detta ämnesområde är att det en brottstyp som ökat starkt. Jag tittar på dagens juridiska läge som åklagare och polisen har att utgå ifrån i sitt bekämpande av utpressningsbrottet. Jag har även ett tvärvetenskapligt sociologiskt grepp på den maffia-kultur som omger Mc-gäng och andra kriminella nätverk. Jag beskriver de sociologiska bindningar mellan gruppmedlemmar och andra utanför gänget och vad som får dem att hålla sig samman emot en yttre fiende. Uppsatsen innehåller även fem stycken rättsfall som handlar om Mc-gäng och kriminella nätverk. Rättsfallen presenteras och analyseras i sista kapitlet. Det är både mycket uppmärksammade rättsfall och mindre uppmärksammade rättsfall från år 2000 och framåt för att läsaren ska få en helhetsbild av kriminaliteten inom den organiserade utpressningen i Sverige. Då jag inte anser att utpressning är en isolerad händelse mellan förövare och brottsoffer tittar jag även på hur vittnen runtomkring hotas samt även hur myndighetspersoner som bekämpar utpressning utsättas för samma behandling. Det finns ett antal lagförslag om hur man ska mota den utveckling som är antågande. Med ökad avlyssning, skyddsidentiteter för myndighetspersoner, databaser med underrättelsematerial, och ett fungerande vittnesskyddsprogram som presenteras i arbetet så finns utsikter för att stävja den negativa utvecklingen inom den organiserade utpressningen. Men det är även hög tid att lugna ner tempot i lagstiftningen och utvärdera de nya metoder som nu kommit