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  • Gustavsson, Thomas, 1951- (författare)
  • No Arbitrage Pricing and the Term Structure of Interest Rates
  • 1992
  • Licentiatavhandling (övrigt vetenskapligt)abstract
    • This dissertation provides an introduction to the concept of no arbitrage pricing and probability measures. In complete markets prices are arbitrage-free if and only if there exists an equivalent probability measure under which all asset prices are martingales. This is only a slight generalization of the classical fair game hypothesis. The most important limitation of this approach is the requirement of free and public information. Also in order to apply the martingale representation theorem we have to limit our attention to stochastic processes that are generated by Wiener or Poisson processes. While this excludes branching it does include diusion processes with stochastic variances.The result is a non-linear arbitrage pricing theory for nancial assets in general and for bonds in particular. Discounting of future cash ows is performed with zero coupon bonds as well as with short term interest rates (roll-over). In the presence of bonds discounting is an ambiguous operation unless an explicit intertemporal numeraire is dened. However, with the proper denitions we can dispense with the traditional expectations hypothesis about the term structure of interest rates. Arbitrage-free bond prices can be found simply from the fact that these are assets with a nite life and a xed redemption value. 
  • Karlgren, Jussi (författare)
  • The Interaction of Discourse Modality and User Expectations in Human-Computer Dialog
  • 1992
  • Licentiatavhandling (övrigt vetenskapligt)abstract
    • This study discusses the behavior of people towards natural language interfaces. It draws parallels to the behavior of people towards other people, and discusses how far these parallels can be stretched. A small experimental study of users performing tasks using a natural language interface to a database is presented, and the results related to the discussion.The main points made are1) that new modalities like the one used in typical human computer interaction - written interactive communication - are problematic for new users, from lack of conventions; and2) that users' attitudes towards computers and of the system's linguistic and other competence shape much of the interaction, and that these attitudes change, and that thus the important factor to take into account in system design is not what the initial attitudes are but rather what the process of changing them is and how to utilize the process of change to teach the user the system language and interaction modality.
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