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.

Users & use: An exploration of the interaction between the user and the digital archive

This thesis will examine the interaction between the user and the digital archive. The aim of the study is to support an in-depth examination of the interaction process, with a view to making recommendations and tools, for system designers and archival professionals, to promote digital archive domain development. Following a comprehensive literature review process, an urgent requirement for models was identified. The Model of Contextual Interaction presented in this thesis, aims to provide a conceptual model through which the interaction process, between the user and the digital archive, can be examined. Using the five-phased research development framework, the study will present a structured account of its methods, using a multi-method methodology to ensuring robust data collection and analysis. The findings of the study are presented across the Model of Contextual Interaction, and provide a basis on which recommendations and tools for system designers have been made. The thesis concludes with a summary of key findings, and a reflective account of how the findings and the Model of Contextual Interaction have impacted digital provision within the archive domain and how the model could be applied to other domains.

Cellular and in-vitro models to assess antioxidant activities of seaweed extracts and the potential use of the extracts as ingredients

Seaweeds contain a range of antioxidant compounds such as polyphenols, carotenoids, sulphated polysaccharides and vitamins and have the potential to be used as ingredients in neutraceuticals. The antioxidant activity of crude 60% methanol extracts prepared from five Irish seaweeds, Ascophyllum nodosum, Laminaria hyperborea, Pelvetia canaliculata, Fucus vesiculosus and Fucus serratus were examined using in-vitro assays and a cell model system to determine the antioxidant activity of the extracts and their ability to protect against H2O2 and tert-BOOH-induced DNA damage and alterations in cellular antioxidant status in the human adenocarcinoma, Caco-2 cell line. To optimise the extraction of antioxidant compounds from seaweeds, an accelerated solvent extraction (ASE®) was used in combination with food grade solvents. The antioxidant activity of these extracts against H2O2 and tert-BOOH-induced DNA damage and alterations in cellular antioxidant status was also assessed. Extracts that exhibited the highest antioxidant activity, A. nodosum (100% water and 80% ethanol extracts) and F. vesiculosus (60% ethanol extract) were selected as ingredients for incorporation into fluid milk and yogurt at concentrations of 0.25% and 0.5%. The addition of the seaweed extracts to milk and yogurt did not affect the pH or shelf-life properties of the products. Seaweed addition did however significantly influence the colour properties of the milk and yogurt. Yellowness values were significantly higher in yogurts containing F. vesiculosus at both concentrations and A. nodosum (80% ethanol) at the 0.5% concentration. In milk, the F. vesiculosus (60% ethanol) and A. nodosum (80% ethanol) at both the 0.25% and the 0.5% concentrations had higher greenness and yellowness values than the milk containing A. nodosum (100% water). Sensory analysis revealed that appearance and flavour governed the overall acceptability of yogurts with the control yogurt, and yogurts containing A. nodosum (100% water) were the most preferred samples by panellists. However, in the milk trial the perception of a fishy taste was the determining factor in the negative perception of milk. The unsupplemented control and the milk containing A. nodosum (100% water) at a concentration of 0.5% were the most overall accepted milk samples by the sensory panellists. The antioxidant activity of the extracts in milk and yogurt remained stable during storage as determined by the in-vitro assays. Seaweed supplemented milk and yogurt were also subjected to an in-vitro digestion procedure which mimics the human digestive system. The milk and yogurt samples and their digestates were added to Caco-2 cells to investigate their antioxidant potential however neither the undigested or digested samples protected against H2O2-induced DNA damage in Caco-2 cells.

Development of a general internet attitude scale and internet self-efficacy scale

The measurement of users’ attitudes towards and confidence with using the Internet is an important yet poorly researched topic. Previous research has encountered issues that serve to obfuscate rather than clarify. Such issues include a lack of distinction between the terms ‘attitude’ and ‘self-efficacy’, the absence of a theoretical framework to measure each concept, and failure to follow well-established techniques for the measurement of both attitude and self-efficacy. Thus, the primary aim of this research was to develop two statistically reliable scales which independently measure attitudes towards the Internet and Internet self-efficacy. This research addressed the outlined issues by applying appropriate theoretical frameworks to each of the constructs under investigation. First, the well-known three component (affect, behaviour, cognition) model of attitudes was applied to previous Internet attitude statements. The scale was distributed to four large samples of participants. Exploratory factor analyses revealed four underlying factors in the scale: Internet Affect, Internet Exhilaration, Social Benefit of the Internet and Internet Detriment. The final scale contains 21 items, demonstrates excellent reliability and achieved excellent model fit in the confirmatory factor analysis. Second, Bandura’s (1997) model of self-efficacy was followed to develop a reliable measure of Internet self-efficacy. Data collected as part of this research suggests that there are ten main activities which individuals can carry out on the Internet. Preliminary analyses suggested that self-efficacy is confounded with previous experience; thus, individuals were invited to indicate how frequently they performed the listed Internet tasks in addition to rating their feelings of self-efficacy for each task. The scale was distributed to a sample of 841 participants. Results from the analyses suggest that the more frequently an individual performs an activity on the Internet, the higher their self-efficacy score for that activity. This suggests that frequency of use ought to be taken into account in individual’s self-efficacy scores to obtain a ‘true’ self-efficacy score for the individual. Thus, a formula was devised to incorporate participants’ previous experience of Internet tasks in their Internet self-efficacy scores. This formula was then used to obtain an overall Internet self-efficacy score for participants. Following the development of both scales, gender and age differences were explored in Internet attitudes and Internet self-efficacy scores. The analyses indicated that there were no gender differences between groups for Internet attitude or Internet self-efficacy scores. However, age group differences were identified for both attitudes and self-efficacy. Individuals aged 25-34 years achieved the highest scores on both the Internet attitude and Internet self-efficacy measures. Internet attitude and self-efficacy scores tended to decrease with age with older participants achieving lower scores on both measures than younger participants. It was also found that the more exposure individuals had to the Internet, the higher their Internet attitude and Internet self-efficacy scores. Examination of the relationship between attitude and self-efficacy found a significantly positive relationship between the two measures suggesting that the two constructs are related. Implication of such findings and directions for future research are outlined in detail in the Discussion section of this thesis.

Molecular analysis of inflammatory mechanisms associated with Escherichia coli and inflammatory bowel diseases

Inflammatory bowel diseases (IBD), encompasses a range of chronic, immune-mediated inflammatory disorders that are usually classified under two major relapsing conditions, Crohn’s Disease (CD) and ulcerative colitis (UC). Extensive studies in the last decades have suggested that the etiology of IBD involves environmental and genetic factors that lead to dysfunction of epithelial barrier with consequent deregulation of the mucosal immune system and inadequate responses to gut microbiota.Over the last decade, the microbial species that has attracted the most attention, with respect to CD etiology, is Eschericia coli. In CD tissue, E. coli antigens have also been identified in macrophages within the lamina propria, granulomas, and in the germinal centres of mesenteric lymph nodes of patients. They have been shown to adhere to and invade intestinal epithelial cells whilst also being able to extensively replicate within macrophages. Through the work of genome-wide association studies (GWAS), there is growing evidence to suggest that the microbial imbalance between commensal and pathogenic bacteria in the gut is aided by a defect in the innate immune system. Autophagy represents a recently investigated pathway that is believed to contribute to the pathogenesis of CD, with studies identified a variant of the autophagy gene, ATG16L1, as a susceptibility gene. The aim of my thesis was to study the cellular and molecular mechanism promoted by E.coli strains in epithelial cells and to assess their contribution to IBD pathology. To achieve this we focused on developing both an in vitro and in vivo model of AIEC infection. This allowed us to further our knowledge on possible mechanisms utilised by AIEC that promoted their survival, as well as developing a better understanding of host reactions. We demonstrate a new survival mechanism promoted by E.coli HM605, whereby it induces the expression of the anti-apoptotic proteins Bcl-XL and BCL2, all of which is exacerbated in an autophagy deficient system. We have also demonstrated the presence of AIEC-induced inflammasome responses in epithelial cells which are exacerbated in an autophagy deficient system and expression of NOD-like receptors (NLRs) which might mediate inflammasome responses in vivo. Finally, we used the Citrobacter rodentium model of infectious colitis to identify Pellino3 as an important mediator in the NOD2 pathway and regulator of intestinal inflammation. In summary, we have developed robust and versatile models of AIEC infection as well as provide new insights into AIEC mediated survival pathways. The collected data provides a new perception into why AIEC bacteria are able to prosper in conditions associated with Crohn’s disease patients with a defect in autophagy.