A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.

Letter to Mr. Walsh, Registrar Office, 1836

The man to whom the letter is addressed is Francis Leigh Walsh who was a land surveyor and registrar. Mr. Walsh was born on March 12, 1789 in Harford County, Maryland to Thomas Welsh, a United Empire Loyalist. In 1793, his family moved to Norfolk County and in 1810, Francis succeeded his father as registrar for Norfolk County. During the War of 1812 he served in the local militia and became a captain in 1824. He was the representative for Norfolk in the legislative assembly of Upper Canada from 1820 to 1828 and 1834 to 1836. He became justice of the peace in the London district in 1821 and 1838 in the Talbot district. He died in Simcoe on Oct. 14th, 1884. His son, Aquila Walsh served in the Legislative Assembly of the Province of Canada and in the Canadian House of Commons. Benjamin Hardison was born in Berwick in the Thirteen Colonies (British colonies on the Atlantic Coast of North America) on April 2, 1757 to Thomas Hardison and Mary Chadbourne. He was a farmer, miller and political figure. He was the representative for 4th Lincoln and Norfolk in the Legislative Assembly of Upper Canada from 1797-1800. On January 21, 1800 he married Jane Warren. He served with the American forces during the American Revolution at which time he was taken prisoner and sent to Canada. Later, he settled in Fort Erie where he was a captain in the militia and a justice of the peace for the Niagara district. He operated mills and a distillery in Fort Erie and died there on July 26, 1823. Source: http://en.vionto.com/show/me/Francis+Leigh+Walsh http://en.wikipedia.org/wiki/Benjamin_Hardison

Niagara Falls/Niagara Power, 1792, 1798, 1829, 1832, 1836, 1838, 1848, 1852-1853, 1855, 1859, 1871, 1873, 1875-1876, 1878, 1880-1881, 1883, 1885-1888, 1890-1909, 1916-1917, n.d.

A finding aid for collection RG 86. This archive contains materials relating to Niagara Falls and its development during the late 19th and early 20th century, with particular focus on power operations.

Annual convocation 1928 Proceedings (1928)

Annual Convocation proceedings for the year 1928. The title varies slightly and convocation is held at different cities or towns in Canada. Seventieth annual convocation.

The Impact of a Corporate Name Change on Stock Price and Trading Volume of Canadian Companies

This thesis examines the impact of a corporate name change on stock price and trading volume of Canadian companies around the announcement date, the approval date, and the adoption date over the time period from 1997 to 2011. Name changes are classified into six categories: major and minor, structural and pure, diversified and focused, accompanied with a change in ticker symbol and without a change in ticker symbol, “Gold” name addition and deletion, and different reasons for name changes (e.g., merger and acquisition, change of structure, change of strategy, and better image). The thesis uses the standard event study methodology to perform abnormal return and trading volume analyses. In addition, regression analysis is employed to examine which type of a name change has the largest impact on cumulative abnormal returns. Sample stocks exhibit a significant positive abnormal return one-day prior to the approval day and one day after the adoption date. Around the approval date we observe significant abnormal returns for stocks with a structural name change. On the day after the adoption date we document abnormal returns for stocks with major, minor, structural, pure, focused, and ticker symbol name changes. If a merger or acquisition is the reason for a name change, companies tend to experience a significant positive abnormal return one-day before the approval date and on the adoption date. If a change of structure is the reason for a name change, companies exhibit a significant positive abnormal return on the approval date and a significant negative abnormal return on the adoption date. In case of a change of strategy as the reason for a name change, companies show a significant negative abnormal return around the approval date and a significant positive abnormal return around the adoption date.

Journal of the House of Assembly of Upper Canada (1836-1837) (1837)

The earlier Journals of the House of Assembly are to be found in: Ontario. Bureau of Archives. Report of the Bureau of Archives for the Province of Ontario (where they have been printed due to their non-existence in their original form.).

Broadside advertising a Real Estate Auction in the Village of Niagara Falls [New York], July, 1836.

Benjamin Rathburn (1790-1873) was a builder, banker and hotel-keeper who was well-known for his work in the development and expansion of Buffalo in the 1830s. He also conducted business in the Village of Niagara Falls. He purchased large tracts of land (largely on credit) with the intent to sell the land at a profit. However, the sales did not meet his expectations and Rathburn found himself over-extended on credit, ultimately leading to his financial ruin.Jesse P. Haines (1793-1877) was an American cartographer who is credited with mapping the Villages of Lockport and Niagara Falls, New York.

Broadside advertising a Real Estate Auction in the Village of Niagara Falls [New York], July, 1836.

Benjamin Rathburn (1790-1873) was a builder, banker and hotel-keeper who was well-known for his work in the development and expansion of Buffalo in the 1830s. He also conducted business in the Village of Niagara Falls. He purchased large tracts of land (largely on credit) with the intent to sell the land at a profit. However, the sales did not meet his expectations and Rathburn found himself over-extended on credit, ultimately leading to his financial ruin. Jesse P. Haines (1793-1877) was an American cartographer who is credited with mapping the Villages of Lockport and Niagara Falls, New York.

Newfoundland Price List, 1 June 1928

A price list for Newfoundland by the Board of Liquor Control, St. John's. The list is one page in length and has a few handwritten changes to prices.

Intemperance at Meredith Bridge, 1836

A document titled "Plain Facts, In relation to the state of intemperance at Meredith Bridge, ascertained by a committee recently appointed for that purpose". The introduction to the document reads: "The whole population of the village, embracing a tract of territory less than one mile from the Bridge, is nine hundred forty. The number of families within those limits is one hundred and sixty-six. Of the heads of these families, thirty-eight are intemperate, - seventy are temperate drinkers; the remainder abstain wholly from the use of distilled and vinous liquors. There are ninety-six children in those families,in which there is one intemperate parent. The number of children who have temperate parents is one hundred and fifty-nine. The other families have one hundred and forty-four children. Beside the above, there are thirty-seven young men. Of this number, twelve are decidedly intemperate; seventeen are temperate drinkers, and eight subscribe to the doctrine of total abstinate. In the whole Village, there are, at the least, fifty-two decidedly intemperate. There are sold in this Village, annually nine thousand gallons of spirituous liquors, at a cost not less than $6,750. Add to this the other cost attendant on the use of spirituous liquors, estimated to equal that of the liquor itself, and we have an item of expense of $13,500, occasioned by the use of intoxicating drink. The above facts are offered for the serious consideration of the citizens at Meredith Bridge. March 1836".

Certificate for One Share of Capital Stock in Nicola Valley Coal and Coke Company

Certificate for 1 share of capital stock in Nicola Valley Coal and Coke Company to Welland D. Woodruff, May 13, 1905.

Certificate for Twenty-One Shares of Capital Stock in Nicola Valley Coal and Coke Company

Certificate for 21 shares of capital stock in Nicola Valley Coal and Coke Company to Welland D. Woodruff, Oct. 16, 1905.

Certificate for One Thousand Shares of Capital Stock in Lincoln-Nipissing Development Co. Ltd.

Certificate for 1,000 shares of capital stock in Lincoln-Nipissing Development Co. Ltd. to Hamilton K. Woodruff, Feb. 21, 1907.

Certificate for One Share of Capital Stock in St. Catharines Golf Club Ltd.

Certificate for 1 share of capital stock in St. Catharines Golf Club Ltd. to Dr. Thos. Woodruff, April 15, 1911.

Certificate for One Share of Capital Stock in the Lincoln County Greater Production Company

Certificate for 1 share of capital stock in the Lincoln County Greater Production Company to Hamilton K. Woodruff, Jan. 20, 1919.