On cluster approximations of cellular automata

In this thesis I examine one commonly used class of methods for the analytic approximation of cellular automata, the so-called local cluster approximations. This class subsumes the well known mean-field and pair approximations, as well as higher order generalizations of these. While a straightforward method known as Bayesian extension exists for constructing cluster approximations of arbitrary order on one-dimensional lattices (and certain other cases), for higher-dimensional systems the construction of approximations beyond the pair level becomes more complicated due to the presence of loops. In this thesis I describe the one-dimensional construction as well as a number of approximations suggested for higher-dimensional lattices, comparing them against a number of consistency criteria that such approximations could be expected to satisfy. I also outline a general variational principle for constructing consistent cluster approximations of arbitrary order with minimal bias, and show that the one-dimensional construction indeed satisfies this principle. Finally, I apply this variational principle to derive a novel consistent expression for symmetric three cell cluster frequencies as estimated from pair frequencies, and use this expression to construct a quantitatively improved pair approximation of the well-known lattice contact process on a hexagonal lattice.

Evaluating Option Pricing Models

This study evaluates three different time units in option pricing: trading time, calendar time and continuous time using discrete approximations (CTDA). The CTDA-time model partitions the trading day into 30-minute intervals, where each interval is given a weight corresponding to the historical volatility in the respective interval. Furthermore, the non-trading volatility, both overnight and weekend volatility, is included in the first interval of the trading day in the CTDA model. The three models are tested on market prices. The results indicate that the trading-time model gives the best fit to market prices in line with the results of previous studies, but contrary to expectations under non-arbitrage option pricing. Under non-arbitrage pricing, the option premium should reflect the cost of hedging the expected volatility during the option’s remaining life. The study concludes that the historical patterns in volatility are not fully accounted for by the market, rather the market prices options closer to trading time.

The Proto-Lucianic Problem in 1 Samuel

The Lucianic text of the Septuagint of the Historical Books witnessed primarily by the manuscript group L (19, 82, 93, 108, and 127) consists of at least two strata: the recensional elements, which date back to about 300 C.E., and the substratum under these recensional elements, the proto-Lucianic text. Some distinctive readings in L seem to be supported by witnesses that antedate the supposed time of the recension. These witnesses include the biblical quotations of Josephus, Hippolytus, Irenaeus, Tertullian, and Cyprian, and the Old Latin translation of the Septuagint. It has also been posited that some Lucianic readings might go back to Hebrew readings that are not found in the Masoretic text but appear in the Qumran biblical texts. This phenomenon constitutes the proto-Lucianic problem. In chapter 1 the proto-Lucianic problem and its research history are introduced. Josephus references to 1 Samuel are analyzed in chapter 2. His agreements with L are few and are mostly only apparent or, at best, coincidental. In chapters 3 6 the quotations by four early Church Fathers are analyzed. Hippolytus Septuagint text is extremely hard to establish since his quotations from 1 Samuel have only been preserved in Armenian and Georgian translations. Most of the suggested agreements between Hippolytus and L are only apparent or coincidental. Irenaeus is the most trustworthy textual witness of the four early Church Fathers. His quotations from 1 Samuel agree with L several times against codex Vaticanus (B) and all or most of the other witnesses in preserving the original text. Tertullian and Cyprian agree with L in attesting some Hebraizing approximations that do not seem to be of Hexaplaric origin. The question is more likely of early Hebraizing readings of the same tradition as the kaige recension. In chapter 7 it is noted that Origen, although a pre-Lucianic Father, does not qualify as a proto-Lucianic witness. General observations about the Old Latin witnesses as well as an analysis of the manuscript La115 are given in chapter 8. In chapter 9 the theory of the proto-Lucianic recension is discussed. In order to demonstrate the existence of the proto-Lucianic recension one should find instances of indisputable agreement between the Qumran biblical manuscripts and L in readings that are secondary in Greek. No such case can be found in the Qumran material in 1 Samuel. In the text-historical conclusions (chapter 10) it is noted that of all the suggested proto-Lucianic agreements in 1 Samuel (about 75 plus 70 in La115) more than half are only apparent or, at best, coincidental. Of the indisputable agreements, however, 26 are agreements in the original reading. In about 20 instances the agreement is in a secondary reading. These agreements are early variants; mostly minor changes that happen all the time in the course of transmission. Four of the agreements, however, are in a pre-Hexaplaric Hebraizing approximation that has found its way independently into the pre-Lucianic witnesses and the Lucianic recension. The study aims at demonstrating the value of the Lucianic text as a textual witness: under the recensional layer(s) there is an ancient text that preserves very old, even original readings which have not been preserved in B and most of the other witnesses. The study also confirms the value of the early Church Fathers as textual witnesses.