A study of the Hobson and Rogers volatility model

We firstly examine the model of Hobson and Rogers for the volatility of a financial asset such as a stock or share. The main feature of this model is the specification of volatility in terms of past price returns. The volatility process and the underlying price process share the same source of randomness and so the model is said to be complete. Complete models are advantageous as they allow a unique, preference independent price for options on the underlying price process. One of the main objectives of the model is to reproduce the `smiles' and `skews' seen in the market implied volatilities and this model produces the desired effect. In the first main piece of work we numerically calibrate the model of Hobson and Rogers for comparison with existing literature. We also develop parameter estimation methods based on the calibration of a GARCH model. We examine alternative specifications of the volatility and show an improvement of model fit to market data based on these specifications. We also show how to process market data in order to take account of inter-day movements in the volatility surface. In the second piece of work, we extend the Hobson and Rogers model in a way that better reflects market structure. We extend the model to take into account both first and second order effects. We derive and numerically solve the pde which describes the price of options under this extended model. We show that this extension allows for a better fit to the market data. Finally, we analyse the parameters of this extended model in order to understand intuitively the role of these parameters in the volatility surface.

Risk of repeated self-harm and associated factors in children, adolescents and young adults

Background: Repeated self-harm represents the single strongest risk factor for suicide. To date no study with full national coverage has examined the pattern of hospital repeated presentations due to self-harm among young people. Methods: Data on consecutive self-harm presentations were obtained from the National Self-Harm Registry Ireland. Socio-demographic and behavioural characteristics of individuals aged 10–29 years who presented with self-harm to emergency departments in Ireland (2007–2014) were analysed. Risk of long-term repetition was assessed using survival analysis and time differences between the order of presentations using generalised estimating equation analysis. Results: The total sample comprised 28,700 individuals involving 42,642 presentations. Intentional drug overdose was the most prevalent method (57.9%). Repetition of self-harm occurred in 19.2% of individuals during the first year following a first presentation, of whom the majority (62.7%) engaged in one repeated act. Overall, the risk of repeated self-harm was similar between males and females. However, in the 20–24-year-old age group males were at higher risk than females. Those who used self-cutting were at higher risk for repetition than those who used intentional drug overdose, particularly among females. Age was associated with repetition only among females, in particular adolescents (15–19 years old) were at higher risk than young emerging adults (20–24 years old). Repeated self-harm risk increased significantly with the number of previous self-harm episodes. Time differences between first self-harm presentations were detected. Time between second and third presentation increased compared to time between first and second presentation among low frequency repeaters (patients with 3 presentations only within 1 year following a first presentation). The same time period decreased among high frequency repeaters (patients with at least 4 to more than 30 presentations). Conclusion: Young people with the highest risk for repeated self-harm were 15–19-year-old females and 20–24-year-old males. Self-cutting was the method associated with the highest risk of self-harm repetition. Time between first self-harm presentations represents an indicator of subsequent repetition. To prevent risk of repeated self-harm in young people, all individuals presenting at emergency departments due to self-harm should be provided with a risk assessment including psychosocial characteristics, history of self-harm and time between first presentations.

Development and assessment of new sensor systems in food packaging applications

The use of optical sensor technology for non-invasive determination of key quality pack parameters improved package/product quality. This technology can be used for optimization of packaging processes, improvement of product shelf-life and maintenance of quality. In recent years, there has been a major focus on O2 and CO2 sensor development as these are key gases used in modified atmosphere packaging (MAP) of food. The first and second experimental chapters (chapter 2 and 3) describe the development of O2, pH and CO2 solid state sensors and its (potential) use for food packaging applications. A dual-analyte sensor for dissolved O2 and pH with one bi-functional reporter dye (meso-substituted Pd- or Ptporphyrin) embedded in plasticized PVC membrane was developed in chapter 2. The developed CO2 sensor in chapter 3 was comprised of a phosphorescent reporter dye Pt(II)- tetrakis(pentafluorophenyl) porphyrin (PtTFPP) and a colourimetric pH indicator α-naphtholphthalein (NP) incorporated in a plastic matrix together with a phase transfer agent tetraoctyl- or cetyltrimethylammonium hydroxide (TOA-OH or CTA-OH). The third experimental chapter, chapter 4, described the development of liquid O2 sensors for rapid microbiological determination which are important for improvement and assurance of food safety systems. This automated screening assay produced characteristic profiles with a sharp increase in fluorescence above the baseline level at a certain threshold time (TT) which can be correlated with their initial microbial load and was applied to various raw fish and horticultural samples. Chapter 5, the fourth experimental chapter, reported upon the successful application of developed O2 and CO2 sensors for quality assessment of MAP mushrooms during storage for 7 days at 4°C.

Development of a triple stage heat transformer for the recycling of low temperature heat energy

Absorption heat transformers are thermodynamic systems which are capable of recycling industrial waste heat energy by increasing its temperature. Triple stage heat transformers (TAHTs) can increase the temperature of this waste heat by up to approximately 145˚C. The principle factors influencing the thermodynamic performance of a TAHT and general points of operating optima were identified using a multivariate statistical analysis, prior to using heat exchange network modelling techniques to dissect the design of the TAHT and systematically reassemble it in order to minimise internal exergy destruction within the unit. This enabled first and second law efficiency improvements of up to 18.8% and 31.5% respectively to be achieved compared to conventional TAHT designs. The economic feasibility of such a thermodynamically optimised cycle was investigated by applying it to an oil refinery in Ireland, demonstrating that in general the capital cost of a TAHT makes it difficult to achieve acceptable rates of return. Decreasing the TAHT's capital cost may be achieved by redesigning its individual pieces of equipment and reducing their size. The potential benefits of using a bubble column absorber were therefore investigated in this thesis. An experimental bubble column was constructed and used to track the collapse of steam bubbles being absorbed into a hotter lithium bromide salt solution. Extremely high mass transfer coefficients of approximately 0.0012m/s were observed, showing significant improvements over previously investigated absorbers. Two separate models were developed, namely a combined heat and mass transfer model describing the rate of collapse of the bubbles, and a stochastic model describing the hydrodynamic motion of the collapsing vapour bubbles taking into consideration random fluctuations observed in the experimental data. Both models showed good agreement with the collected data, and demonstrated that the difference between the solution's temperature and its boiling temperature is the primary factor influencing the absorber's performance.