Financial modelling with 2-EPT probability density functions

The class of all Exponential-Polynomial-Trigonometric (EPT) functions is classical and equal to the Euler-d’Alembert class of solutions of linear differential equations with constant coefficients. The class of non-negative EPT functions defined on [0;1) was discussed in Hanzon and Holland (2010) of which EPT probability density functions are an important subclass. EPT functions can be represented as ceAxb, where A is a square matrix, b a column vector and c a row vector where the triple (A; b; c) is the minimal realization of the EPT function. The minimal triple is only unique up to a basis transformation. Here the class of 2-EPT probability density functions on R is defined and shown to be closed under a variety of operations. The class is also generalised to include mixtures with the pointmass at zero. This class coincides with the class of probability density functions with rational characteristic functions. It is illustrated that the Variance Gamma density is a 2-EPT density under a parameter restriction. A discrete 2-EPT process is a process which has stochastically independent 2-EPT random variables as increments. It is shown that the distribution of the minimum and maximum of such a process is an EPT density mixed with a pointmass at zero. The Laplace Transform of these distributions correspond to the discrete time Wiener-Hopf factors of the discrete time 2-EPT process. A distribution of daily log-returns, observed over the period 1931-2011 from a prominent US index, is approximated with a 2-EPT density function. Without the non-negativity condition, it is illustrated how this problem is transformed into a discrete time rational approximation problem. The rational approximation software RARL2 is used to carry out this approximation. The non-negativity constraint is then imposed via a convex optimisation procedure after the unconstrained approximation. Sufficient and necessary conditions are derived to characterise infinitely divisible EPT and 2-EPT functions. Infinitely divisible 2-EPT density functions generate 2-EPT Lévy processes. An assets log returns can be modelled as a 2-EPT Lévy process. Closed form pricing formulae are then derived for European Options with specific times to maturity. Formulae for discretely monitored Lookback Options and 2-Period Bermudan Options are also provided. Certain Greeks, including Delta and Gamma, of these options are also computed analytically. MATLAB scripts are provided for calculations involving 2-EPT functions. Numerical option pricing examples illustrate the effectiveness of the 2-EPT approach to financial modelling.

The actinin family of actin crosslinking proteins: natural functions and potential applications in synthetic biology

Actinin and spectrin proteins are members of the Spectrin Family of Actin Crosslinking Proteins. The importance of these proteins in the cytoskeleton is demonstrated by the fact that they are common targets for disease causing mutations. In their most prominent roles, actinin and spectrin are responsible for stabilising and maintaining the muscle architecture during contraction, and providing shape and elasticity to the red blood cell in circulation, respectively. To carry out such roles, actinin and spectrin must possess important mechanical and physical properties. These attributes are desirable when choosing a building block for protein-based nanoconstruction. In this study, I assess the contribution of several disease-associated mutations in the actinin-1 actin binding domain that have recently been linked to a rare platelet disorder, congenital macrothrombocytopenia. I investigate the suitability of both actinin and spectrin proteins as potential building blocks for nanoscale structures, and I evaluate a fusion-based assembly strategy to bring about self-assembly of protein nanostructures. I report that the actinin-1 mutant proteins display increased actin binding compared to WT actinin-1 proteins. I find that both actinin and spectrin proteins exhibit enormous potential as nano-building blocks in terms of their stability and ability to self-assemble, and I successfully design and create homodimeric and heterodimeric bivalent building blocks using the fusion-based assembly strategy. Overall, this study has gathered helpful information that will contribute to furthering the advancement of actinin and spectrin knowledge in terms of their natural functions, and potential unnatural functions in protein nanotechnology.

Hardware design of cryptographic accelerators

With the rapid growth of the Internet and digital communications, the volume of sensitive electronic transactions being transferred and stored over and on insecure media has increased dramatically in recent years. The growing demand for cryptographic systems to secure this data, across a multitude of platforms, ranging from large servers to small mobile devices and smart cards, has necessitated research into low cost, flexible and secure solutions. As constraints on architectures such as area, speed and power become key factors in choosing a cryptosystem, methods for speeding up the development and evaluation process are necessary. This thesis investigates flexible hardware architectures for the main components of a cryptographic system. Dedicated hardware accelerators can provide significant performance improvements when compared to implementations on general purpose processors. Each of the designs proposed are analysed in terms of speed, area, power, energy and efficiency. Field Programmable Gate Arrays (FPGAs) are chosen as the development platform due to their fast development time and reconfigurable nature. Firstly, a reconfigurable architecture for performing elliptic curve point scalar multiplication on an FPGA is presented. Elliptic curve cryptography is one such method to secure data, offering similar security levels to traditional systems, such as RSA, but with smaller key sizes, translating into lower memory and bandwidth requirements. The architecture is implemented using different underlying algorithms and coordinates for dedicated Double-and-Add algorithms, twisted Edwards algorithms and SPA secure algorithms, and its power consumption and energy on an FPGA measured. Hardware implementation results for these new algorithms are compared against their software counterparts and the best choices for minimum area-time and area-energy circuits are then identified and examined for larger key and field sizes. Secondly, implementation methods for another component of a cryptographic system, namely hash functions, developed in the recently concluded SHA-3 hash competition are presented. Various designs from the three rounds of the NIST run competition are implemented on FPGA along with an interface to allow fair comparison of the different hash functions when operating in a standardised and constrained environment. Different methods of implementation for the designs and their subsequent performance is examined in terms of throughput, area and energy costs using various constraint metrics. Comparing many different implementation methods and algorithms is nontrivial. Another aim of this thesis is the development of generic interfaces used both to reduce implementation and test time and also to enable fair baseline comparisons of different algorithms when operating in a standardised and constrained environment. Finally, a hardware-software co-design cryptographic architecture is presented. This architecture is capable of supporting multiple types of cryptographic algorithms and is described through an application for performing public key cryptography, namely the Elliptic Curve Digital Signature Algorithm (ECDSA). This architecture makes use of the elliptic curve architecture and the hash functions described previously. These components, along with a random number generator, provide hardware acceleration for a Microblaze based cryptographic system. The trade-off in terms of performance for flexibility is discussed using dedicated software, and hardware-software co-design implementations of the elliptic curve point scalar multiplication block. Results are then presented in terms of the overall cryptographic system.