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.

Heuristics for the Critical Node Detection Problem in Large Complex Networks

Complex networks have recently attracted a significant amount of research attention due to their ability to model real world phenomena. One important problem often encountered is to limit diffusive processes spread over the network, for example mitigating pandemic disease or computer virus spread. A number of problem formulations have been proposed that aim to solve such problems based on desired network characteristics, such as maintaining the largest network component after node removal. The recently formulated critical node detection problem aims to remove a small subset of vertices from the network such that the residual network has minimum pairwise connectivity. Unfortunately, the problem is NP-hard and also the number of constraints is cubic in number of vertices, making very large scale problems impossible to solve with traditional mathematical programming techniques. Even many approximation algorithm strategies such as dynamic programming, evolutionary algorithms, etc. all are unusable for networks that contain thousands to millions of vertices. A computationally efficient and simple approach is required in such circumstances, but none currently exist. In this thesis, such an algorithm is proposed. The methodology is based on a depth-first search traversal of the network, and a specially designed ranking function that considers information local to each vertex. Due to the variety of network structures, a number of characteristics must be taken into consideration and combined into a single rank that measures the utility of removing each vertex. Since removing a vertex in sequential fashion impacts the network structure, an efficient post-processing algorithm is also proposed to quickly re-rank vertices. Experiments on a range of common complex network models with varying number of vertices are considered, in addition to real world networks. The proposed algorithm, DFSH, is shown to be highly competitive and often outperforms existing strategies such as Google PageRank for minimizing pairwise connectivity.

Genetic programming for the RoboCup Rescue Simulation System

The Robocup Rescue Simulation System (RCRSS) is a dynamic system of multi-agent interaction, simulating a large-scale urban disaster scenario. Teams of rescue agents are charged with the tasks of minimizing civilian casualties and infrastructure damage while competing against limitations on time, communication, and awareness. This thesis provides the first known attempt of applying Genetic Programming (GP) to the development of behaviours necessary to perform well in the RCRSS. Specifically, this thesis studies the suitability of GP to evolve the operational behaviours required of each type of rescue agent in the RCRSS. The system developed is evaluated in terms of the consistency with which expected solutions are the target of convergence as well as by comparison to previous competition results. The results indicate that GP is capable of converging to some forms of expected behaviour, but that additional evolution in strategizing behaviours must be performed in order to become competitive. An enhancement to the standard GP algorithm is proposed which is shown to simplify the initial search space allowing evolution to occur much quicker. In addition, two forms of population are employed and compared in terms of their apparent effects on the evolution of control structures for intelligent rescue agents. The first is a single population in which each individual is comprised of three distinct trees for the respective control of three types of agents, the second is a set of three co-evolving subpopulations one for each type of agent. Multiple populations of cooperating individuals appear to achieve higher proficiencies in training, but testing on unseen instances raises the issue of overfitting.

An Interactive Theorem Prover for First-Order Dynamic Logic

Dynamic logic is an extension of modal logic originally intended for reasoning about computer programs. The method of proving correctness of properties of a computer program using the well-known Hoare Logic can be implemented by utilizing the robustness of dynamic logic. For a very broad range of languages and applications in program veri cation, a theorem prover named KIV (Karlsruhe Interactive Veri er) Theorem Prover has already been developed. But a high degree of automation and its complexity make it di cult to use it for educational purposes. My research work is motivated towards the design and implementation of a similar interactive theorem prover with educational use as its main design criteria. As the key purpose of this system is to serve as an educational tool, it is a self-explanatory system that explains every step of creating a derivation, i.e., proving a theorem. This deductive system is implemented in the platform-independent programming language Java. In addition, a very popular combination of a lexical analyzer generator, JFlex, and the parser generator BYacc/J for parsing formulas and programs has been used.

Perceived effectiveness of alternative programming : a case study /

The topic of this research was alternative programming in secondary public education. The purpose of this research was to explore the perceived effectiveness of two public secondary programs that are aJternative to mainstream or "regular" education. Two case study sites were used to research diverse ends of the aJtemative programming continuum. The first case study demonstrated a gifted program and the second demonstrated a behavioral program. Student needs were examined in terms of academic needs, emotional needs, career needs, and social needs. Research conducted in these sites examined how the students, teachers, onsite staff, and program administrators perceived that individual needs were met and unmet in these two programs. The study was qualitative and exploratory, using deductive and inductive research techniques. Similar themes of best practice that were identified in the case study sites aided in the development of a teaching and learning model. Four themes were identified as important within the case study sites. These themes included the commitment and motivation of teachers and the support of administration in the gifted program, and the importance of location and the flow of information and communication in the behavior program. Six themes emerged that were similar across the case study sites. These themes included the individual nature of programming, recognition of student achievement, the alternative program as a place of safety and community, importance of interpersonal capacity, priority of basic needs, and, finally, matching student capacity with program expectations. The model incorporates these themes and is designed as a resource for teachers, program administrators, parents, and policy makers of alternative educational programs.

A speculative systems model of the dynamic interaction among students, faculty and administration in the community college, with particular reference to intrinsic motivation and the teacher-administrator interface

The challenge the community college faces in helping meet the needs of the living open system of society is examined in this study. It is postulated that internalization student outcomes are required by society to reduce entropy and remain self-renewing. Such behavior is characterized as having an intrinsically motivated energy source and displays the seeking and conquering of challenge, the development of reflective knowledge and skill, full use of all capabilities, internal control, growth orientation, high self-esteem, relativistic thinking and competence. The development of a conceptual systems model that suggests how transactions among students, faculty and administration might occur to best meet the needs of internalization outcomes in students, and intrinsic motivation in faculty is a major purpose of this study. It is a speculative model that is based on a synthesis of a wide variety of variables. Empirical evidence, theoretical considerations, and speculative ideas are gathered together from researchers and theoretici.ans who are working on separate answers to questions of intrinsic motivation, internal control and environments that encourage their development. The model considers the effect administrators·have on faculty anq the corresponding effect faculty may have on students. The major concentration is on the administrator--teacher interface.For administrators the model may serve as a guide in planning effective transactions, and establishing system goals. The teacher is offered a means to coordinate actions toward a specific overall objective, and the administrator, teacher and researcher are invited to use the model to experiment, innovate, verify the assumptions on which the model is based, and raise additional hypotheses. Goals and history of the community colleges in Ontario are examined against current problems, previous progress and open system thinking. The nature of the person as a five part system is explored with emphasis on intrinsic motivation. The nature, operation, conceptualization, and value of this internal energy source is reviewed in detail. The current state of society, education and management theory are considered and the value of intrinsically motivating teaching tasks together with "system four" leadership style are featured. Evidence is reviewed that suggests intrinsically motivated faculty are needed, and "system four" leadership style is the kind of interaction-influence system needed to nurture intrinsic motivation in faculty.

The impact of integrated programming on student attitude and achievement in grade 9 academic mathematics and science

This research studioo the effect of integrated instruction in mathematics and~ science on student achievement in and attitude towards both mathematics and science. A group of grade 9 academic students received instruction in both science and mathematics in an integrated program specifically developed for the purposes of the research. This group was compared to a control group that had received science and mathematics instruction in a traditional, nonintegrated program. The findings showed that in all measures of attitude, there was no significant difference between the students who participated in the integrated science and mathematics program and those who participated in a traditional science and mathematics program. The findings also revealed that integration did improve achievement on some of the measures used. The performance on mathematics open-ended problem-solving tasks improved after participation in the integrated program, suggesting that the integrated students were better able to apply their understanding of mathematics in a real-life context. The performance on the final science exam was also improved for the integrated group. Improvement was not noted on the other measures, which included EQAO scores and laboratory practical tasks. These results raise the issue of the suitability of the instruments used to gauge both achievement and attitude. The accuracy and suitability of traditional measures of achievement are considered. It is argued that they should not necessarily be used as the measure of the value of integrated instruction in a science and mathematics classroom.

Winâ Foy : functional object-oriented programming language

This thesis will introduce a new strongly typed programming language utilizing Self types, named Win--*Foy, along with a suitable user interface designed specifically to highlight language features. The need for such a programming language is based on deficiencies found in programming languages that support both Self types and subtyping. Subtyping is a concept that is taken for granted by most software engineers programming in object-oriented languages. Subtyping supports subsumption but it does not support the inheritance of binary methods. Binary methods contain an argument of type Self, the same type as the object itself, in a contravariant position, i.e. as a parameter. There are several arguments in favour of introducing Self types into a programming language (11. This rationale led to the development of a relation that has become known as matching [4, 5). The matching relation does not support subsumption, however, it does support the inheritance of binary methods. Two forms of matching have been proposed (lJ. Specifically, these relations are known as higher-order matching and I-bound matching. Previous research on these relations indicates that the higher-order matching relation is both reflexive and transitive whereas the f-bound matching is reflexive but not transitive (7]. The higher-order matching relation provides significant flexibility regarding inheritance of methods that utilize or return values of the same type. This flexibility, in certain situations, can restrict the programmer from defining specific classes and methods which are based on constant values [21J. For this reason, the type This is used as a second reference to the type of the object that cannot, contrary to Self, be specialized in subclasses. F-bound matching allows a programmer to define a function that will work for all types of A', a subtype of an upper bound function of type A, with the result type being dependent on A'. The use of parametric polymorphism in f-bound matching provides a connection to subtyping in object-oriented languages. This thesis will contain two main sections. Firstly, significant details concerning deficiencies of the subtype relation and the need to introduce higher-order and f-bound matching relations into programming languages will be explored. Secondly, a new programming language named Win--*Foy Functional Object-Oriented Programming Language has been created, along with a suitable user interface, in order to facilitate experimentation by programmers regarding the matching relation. The construction of the programming language and the user interface will be explained in detail.

Investigating a dynamic modular framework for subjective well-being

According to Diener (1984), the three primary components of subjective well-being (SWB) are high life satisfaction (LS), frequent positive affect (P A), and infrequent negative affect (NA). The present dissertation extends previous research and theorizing on SWB by testing an innovative framework developed by Shmotkin (2005) in which SWB is conceptualized as an agentic process that promotes and maintains positive functioning. Two key components ofShmotkin's framework were explored in a longitudinal study of university students. In Part 1, SWB was examined as an integrated system of components organized within individuals. Using cluster analysis, five distinct configurations of LS, P A, and NA were identified at each wave. Individuals' SWB configurations were moderately stable over time, with the highest and lowest stabilities observed among participants characterized by "high SWB" and "low SWB" configurations, respectively. Changes in SWB configurations in the direction of a high SWB pattern, and stability among participants already characterized by high SWB, coincided with better than expected mental, physical, and interpersonal functioning over time. More positive levels of functioning and improvements in functioning over time discriminated among SWB configurations. However, prospective effects of SWB configurations on subsequent functioning were not observed. In Part 2, subjective temporal perspective "trajectories" were examined based on individuals' ratings of their past, present, and anticipated future LS. Upward subjective LS trajectories were normative at each wave. Cross-sectional analyses revealed consistent associations between upward subjective trajectories and lower levels of LS, as well as less positive mental, physical, and interpersonal functioning. Upward subjective LS trajectories were biased both with respect to underestimation of past LS and overestimation of future LS, demonstrating their illusional nature. Further, whereas more negative retrospective bias was associated with greater current distress and dysfunction, more positive prospective bias was associated with less positive functioning in the future. Prospective relations, however, were not consistently observed. Thus, steep upward subjective LS trajectory appeared to be a form of wishful-thinking, rather than an adaptive form of selfenhancement. Major limitations and important directions for future research are considered. Implications for Shmotkin's (2005) framework, and for research on SWB more generally, also are discussed

John W. Fisher Fonds, 1937-1961, 1964-1989, 1993, n.d.

Norah and Fred Fisher welcomed John Fisher into the world on November 29, 1912, not knowing what an influential role he would play in shaping Canada's history. John Fisher grew up as the middle child of five brothers and sisters in Frosty Hollow, New Brunswick, close to today’s town of Sackville. Sackville’s main industry was the Enterprise Foundry which the Fisher family owned and operated; however, Fisher had no plans of going into the family business. He was more inspired by his maternal grandfather, Dr. Cecil Wiggins, who lived with the family after retiring from the Anglican ministry. Wiggins encouraged all his grandchildren to be well read and to take part in discussions on current events. There were often visitors in the Fisher household taking part in discussions about politics, religion, and daily life. Fisher forced himself to take part in these conversations to help overcome his shyness in social settings. These conversations did help with his shyness and also in forming many opinions and observations about Canada. It put Fisher on the road to becoming Mr. Canada and delivering the many eloquent speeches for which he was known. Fisher did not venture far from home to complete his first degree. In 1934 he graduated from Mount Allison University in Sackville, NB with an Arts degree. The same year Fisher enrolled in Dalhousie’s law school. During his time at Dalhousie, Fisher discovered radio through Hugh Mills. Mills or “Uncle Mel” was on CHNS, Halifax’s only radio station at the time. Fisher began by making appearences on the radio drama show. By 1941 he had begun writing and broadcasting his own works and joined the staff as an announcer and continuity writer. In 1936 the Canadian Broadcasting Corporation was formed, the first National radio station. Fisher joined the CBC shortly after it’s beginning and remained with them, as well as the Halifax Herald newspaper, even after his law school graduation in 1937. By 1943 Fisher’s talks became a part of the CBC’s programming for a group of maritime radio stations. Fisher once described his talks as follows “my talks weren’t meant to be objective. . . they were meant to be favourable. They were ‘pride builders’” He began his famed John Fisher Reports at CBC Toronto when he transfered there shortly after the war. This program brought emmence pride to the fellow Canadians he spoke about leading to approximately 3500 requests per year to speak at banquets and meeting throughout Canada and the United States. Fisher was a well travelled indivdual who would draw on personal experiences to connect with his audience. His stories were told in simple, straight forward language for anyone to enjoy. He became a smooth, dynamic and passionate speaker who sold Canada to Canadians. He became a renowned journalist, folk historian, writer and broadcaster. Fisher was able to reach a vast array of people through his radio work and build Canadian pride, but he did not stop there. Other ways Fisher has contributed to Canada and the Canadian people include: Honoured by five Canadian Universities. 1956, became the Director of the Canadian Tourist Association. 1961, was appointed Special Assistant to the Prime Minister of Canada. 1963, Commissioner of the Centennial Commission (the Federal Agency Responsible for Canada’s 100th birthday) 1968, received the Service Medal , a coveted Order of Canada. President of John Fisher Enterprises Ltd., private consultant work, specializing in Centennial planning, broadcasts, lectures and promotion. John Fisher continued recording radio broadcasts even after his diagnosis with cancer. He would record 3 or 4 at a time so he was free to travel across Canada, the U.S., Europe and Mexico in search of treatments. Fisher passed away from the disease on February 15, 1981 and he is buried at Mount Pleasant Cemetery in Toronto.

THE INFLUENCE OF LENGTH CHANGE SPEED AND DIRECTION ON DYNAMIC FUNCTION POTENTIATION IN FAST MOUSE MUSCLE

The purpose of this study was to test the hypothesis that the potentiation of dynamic function was dependent upon both length change speed and direction. Mouse EDL was cycled in vitro (25º C) about optimal length (Lo) with constant peak strain (± 2.5% Lo) at 1.5, 3.3 and 6.9 Hz before and after a conditioning stimulus. A single pulse was applied during shortening or lengthening and peak dynamic (concentric or eccentric) forces were assessed at Lo. Stimulation increased peak concentric force at all frequencies (range: 19 ± 1 to 30 ± 2%) but this increase was proportional to shortening speed, as were the related changes to concentric work/power (range: -15 ± 1 to 39 ± 1 %). In contrast, stimulation did not increase eccentric force, work or power at any frequency. Thus, results reveal a unique hysteresis like effect for the potentiation of dynamic output wherein concentric and eccentric forces increase and decrease, respectively, with work cycle frequency.

Automatic Structure Generation using Genetic Programming and Fractal Geometry

Three dimensional model design is a well-known and studied field, with numerous real-world applications. However, the manual construction of these models can often be time-consuming to the average user, despite the advantages o ffered through computational advances. This thesis presents an approach to the design of 3D structures using evolutionary computation and L-systems, which involves the automated production of such designs using a strict set of fitness functions. These functions focus on the geometric properties of the models produced, as well as their quantifiable aesthetic value - a topic which has not been widely investigated with respect to 3D models. New extensions to existing aesthetic measures are discussed and implemented in the presented system in order to produce designs which are visually pleasing. The system itself facilitates the construction of models requiring minimal user initialization and no user-based feedback throughout the evolutionary cycle. The genetic programming evolved models are shown to satisfy multiple criteria, conveying a relationship between their assigned aesthetic value and their perceived aesthetic value. Exploration into the applicability and e ffectiveness of a multi-objective approach to the problem is also presented, with a focus on both performance and visual results. Although subjective, these results o er insight into future applications and study in the fi eld of computational aesthetics and automated structure design.

Dynamic Upper Leg Strength and Neuromuscular Function in Children, Adolescents and Adults

This study examined muscle strength, muscle performance, and neuromuscular function during contractions at different velocities across maturation stages and between sexes. Participants included pre-pubertal, late-pubertal and adult males and females. All completed 8 isometric and 8 isokinetic leg extensions at two different velocities. Peak torque (PT), rate of torque development (PrTD), electromechanical-day (EMD), rate of muscle activation (Q30), muscle activation efficiency and coactivation were determined. Sex, maturity, and velocity main effects were found in PT and PrTD, reflecting greater values in men, adults, and isometric contractions respectively. When values were normalized to quadriceps cross-sectional area (qCSA), there was still an increase with maturity. EMD decreased with maturity. Adults had greater activation efficiency than children. Overall, differences in muscle size and neuromuscular function failed to explain group differences in PT or PrTD. More research is needed to investigate why adults may be affected to a greater extent by increasing movement velocity.

THE INFLUENCE OF LENGTH CHANGE SPEED AND DIRECTION ON DYNAMIC FUNCTION POTENTIATION IN FAST MOUSE MUSCLE

The purpose of this study was to test the hypothesis that the potentiation of dynamic function was dependent upon both length change speed and direction. Mouse EDL was cycled in vitro (250 C) about optimal length (Lo) with constant peak strain (± 2.5% Lo) at 1.5,3.3 and 6.9 Hz before and after a conditioning stimulus. A single pulse was applied during shortening or lengthening and peak dynamic (concentric or eccentric) forces were assessed at Lo. Stimulation increased peak concentric force at all frequencies (range: 19±1 to 30 ± 2%) but this increase was proportional to shortening speed, as were the related changes to concentric work/power (range: -15 ± 1 to 39 ± 1 %). In contrast, stimulation did not increase eccentric force, work or power at any frequency. Thus, results reveal a unique hysteresis like effect for the potentiation of dynamic output wherein concentric and eccentric forces increase and decrease, respectively, with work cycle frequency.

Genetic Programming for Non-Photorealistic Rendering

This thesis focuses on developing an evolutionary art system using genetic programming. The main goal is to produce new forms of evolutionary art that filter existing images into new non-photorealistic (NPR) styles, by obtaining images that look like traditional media such as watercolor or pencil, as well as brand new effects. The approach permits GP to generate creative forms of NPR results. The GP language is extended with different techniques and methods inspired from NPR research such as colour mixing expressions, image processing filters and painting algorithm. Colour mixing is a major new contribution, as it enables many familiar and innovative NPR effects to arise. Another major innovation is that many GP functions process the canvas (rendered image), while is dynamically changing. Automatic fitness scoring uses aesthetic evaluation models and statistical analysis, and multi-objective fitness evaluation is used. Results showed a variety of NPR effects, as well as new, creative possibilities.