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.

The contribution of Victor Hugo to the liberation, emancipation, and changing perceptions of women in 19th century French society

The over-riding perceptions of Victor Hugo’s attitudes towards women are intensely coloured by his deep-seated Romanticism and his well-testified, stifling and over-bearing treatment of women in his personal life. As such, Hugo’s contribution to the feminist struggle of his time has been woefully overlooked in the larger scheme of his social and political activism. Through a close examination of his largely unstudied public discourse on women’s rights, this thesis situates Hugo’s feminist views firmly in the context of Enlightenment feminism and 19th century feminism, while also drawing heavily on the illuminating principles of Enlightenment feminism. In particular, this thesis examines Hugo’s support for several of the most determining issues of 19th century French feminism, including women’s right to education, equal citizenship, universal suffrage rights, and the issue of regulated prostitution. Further, by examining the way in which Hugo’s views on women’s maternal role extended far beyond the limited vision of domesticity bolstered by the ideology of ‘republican motherhood’, this thesis engages in a re-appraisal of Hugo’s literary representation of maternity which identifies the maternal as a universal quality of devotion and self-sacrifice to which all humankind must aspire for the creation of a just, egalitarian, and democratic society. Though at times inevitably constrained by his Romanticism, this thesis demonstrates the extent to which Hugo’s feminism is grounded in his wider vision of social emancipation and is underpinned by a profound empathy, compassion, and moral conscience – qualities which are just as fundamental today, as they were for Hugo when participating in the fitful, though decisive, feminist struggle in 19th century France.

Networking protocols for long life wireless sensor networks

My original contribution to knowledge is the creation of a WSN system that further improves the functionality of existing technology, whilst achieving improved power consumption and reliability. This thesis concerns the development of industrially applicable wireless sensor networks that are low-power, reliable and latency aware. This work aims to improve upon the state of the art in networking protocols for low-rate multi-hop wireless sensor networks. Presented is an application-driven co-design approach to the development of such a system. Starting with the physical layer, hardware was designed to meet industry specified requirements. The end system required further investigation of communications protocols that could achieve the derived application-level system performance specifications. A CSMA/TDMA hybrid MAC protocol was developed, leveraging numerous techniques from the literature and novel optimisations. It extends the current art with respect to power consumption for radio duty-cycled applications, and reliability, in dense wireless sensor networks, whilst respecting latency bounds. Specifically, it provides 100% packet delivery for 11 concurrent senders transmitting towards a single radio duty cycled sink-node. This is representative of an order of magnitude improvement over the comparable art, considering MAC-only mechanisms. A novel latency-aware routing protocol was developed to exploit the developed hardware and MAC protocol. It is based on a new weighted objective function with multiple fail safe mechanisms to ensure extremely high reliability and robustness. The system was empirically evaluated on two hardware platforms. These are the application-specific custom 868 MHz node and the de facto community-standard TelosB. Extensive empirical comparative performance analyses were conducted against the relevant art to demonstrate the advances made. The resultant system is capable of exceeding 10-year battery life, and exhibits reliability performance in excess of 99.9%.

Power system parameters forecasting using Hilbert-Huang transform and machine learning

A novel hybrid data-driven approach is developed for forecasting power system parameters with the goal of increasing the efficiency of short-term forecasting studies for non-stationary time-series. The proposed approach is based on mode decomposition and a feature analysis of initial retrospective data using the Hilbert-Huang transform and machine learning algorithms. The random forests and gradient boosting trees learning techniques were examined. The decision tree techniques were used to rank the importance of variables employed in the forecasting models. The Mean Decrease Gini index is employed as an impurity function. The resulting hybrid forecasting models employ the radial basis function neural network and support vector regression. A part from introduction and references the paper is organized as follows. The second section presents the background and the review of several approaches for short-term forecasting of power system parameters. In the third section a hybrid machine learningbased algorithm using Hilbert-Huang transform is developed for short-term forecasting of power system parameters. Fourth section describes the decision tree learning algorithms used for the issue of variables importance. Finally in section six the experimental results in the following electric power problems are presented: active power flow forecasting, electricity price forecasting and for the wind speed and direction forecasting.