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.

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.

Husserl's approach to transcendental intersubjectivity

It is our intention in the course of the development of this thesis to give an account of how intersubjectivity is "eidetically" constituted by means of the application of the phenomenological reduction to our experience in the context of the thought of Edmund Husserl; contrasted with various representative thinkers in what H. Spiegelberg refers to as "the wider scene" of phenomenology. That is to say, we intend to show those structures of both consciousness and the relation which man has to the world which present themselves as the generic conditions for the possibility of overcoming our "radical sol itude" in order that we may gain access to the mental 1 ife of an Other as other human subject. It is clear that in order for us to give expression to these accounts in a coherent manner, along with their relative merits, it will be necessary to develop the common features of any phenomenological theory of consdousness whatever. Therefore, our preliminary inquiry, subordinate to the larger theme, shall be into some of the epistemological results of the application of the phenomenological method used to develop a transcendental theory of consciousness. Inherent in this will be the deliniation of the exigency for making this an lIintentional ll theory. We will then be able to see how itis possible to overcome transcendentally the Other as an object merely given among other merely given objects, and further, how this other is constituted specifically as other ego. The problem of transcendental intersubjectivity and its constitution in experience can be viewed as one of the most compelling, if not the most polemical of issues in phenomenology. To be sure, right from the beginning we are forced to ask a number of questions regarding Husserl's responses to the problem within the context of the methodological genesis of the Cartesian Meditations, and The Crisis of European Sciences and Transcendental Phenomenology. This we do in order to set the stage for amplification. First, we ask, has Husserl lived up to his goal, in this connexion, of an apodictic result? We recall that in his Logos article of 1911 he adminished that previous philosophy does not have at its disposal a merely incomplete and, in particular instances, imperfect doctrinal system; it simply has none whatever. Each and every question is herein controverted, each position is a matter of individual conviction, of the interpretation given byaschool, of a "point of view". 1. Moreover in the same article he writes that his goal is a philosophical system of doctrine that, after the gigantic preparatory work. of generations, really be- . gins from the ground up with a foundation free from doubt and rises up like any skilful construction, wherein stone is set upon store, each as solid as the other, in accord with directive insights. 2. Reflecting upon the fact that he foresaw "preparatory work of generations", we perhaps should not expect that he would claim that his was the last word on the matter of intersubjectivity. Indeed, with 2. 'Edmund Husserl, lIPhilosophy as a Rigorous Science" in Phenomenology and theCrisis6fPhilosophy, trans". with an introduction by Quentin Lauer (New York.: Harper & Row, 1965) pp. 74 .. 5. 2Ibid . pp. 75 .. 6. 3. the relatively small amount of published material by Husserl on the subject we can assume that he himself was not entirely satisfied with his solution. The second question we have is that if the transcendental reduction is to yield the generic and apodictic structures of the relationship of consciousness to its various possible objects, how far can we extend this particular constitutive synthetic function to intersubjectivity where the objects must of necessity always remain delitescent? To be sure, the type of 'object' here to be considered is unlike any other which might appear in the perceptual field. What kind of indubitable evidence will convince us that the characteristic which we label "alter-ego" and which we attribute to an object which appears to resemble another body which we have never, and can never see the whole of (namely, our own bodies), is nothing more than a cleverly contrived automaton? What;s the nature of this peculiar intentional function which enables us to say "you think just as I do"? If phenomenology is to take such great pains to reduce the takenfor- granted, lived, everyday world to an immanent world of pure presentation, we must ask the mode of presentation for transcendent sub .. jectivities. And in the end, we must ask if Husserl's argument is not reducible to a case (however special) of reasoning by analogy, and if so, tf this type of reasoning is not so removed from that from whtch the analogy is made that it would render all transcendental intersubjective understandtng impos'sible? 2. HistoticalandEidetic Priority: The Necessity of Abstraction 4. The problem is not a simple one. What is being sought are the conditions for the poss ibili:ty of experi encing other subjects. More precisely, the question of the possibility of intersubjectivity is the question of the essence of intersubjectivity. What we are seeking is the absolute route from one solitude to another. Inherent in this programme is the ultimate discovery of the meaning of community. That this route needs be lIabstract" requires some explanation. It requires little explanation that we agree with Husserl in the aim of fixing the goal of philosophy on apodictic, unquestionable results. This means that we seek a philosophical approach which is, though, not necessarily free from assumptions, one which examines and makes explicit all assumptions in a thorough manner. It would be helpful at this point to distinguish between lIeidetic ll priority, and JlhistoricallJpriority in order to shed some light on the value, in this context, of an abstraction.3 It is true that intersubjectivity is mundanely an accomplished fact, there havi.ng been so many mi.llions of years for humans to beIt eve in the exi s tence of one another I s abili ty to think as they do. But what we seek is not to study how this proceeded historically, but 3Cf• Maurice Natanson;·TheJburne in 'Self, a Stud in Philoso h and Social Role (Santa Cruz, U. of California Press, 1970 . rather the logical, nay, "psychological" conditions under which this is possible at all. It is therefore irrelevant to the exigesis of this monograph whether or not anyone should shrug his shoulders and mumble IIwhy worry about it, it is always already engaged". By way of an explanation of the value of logical priority, we can find an analogy in the case of language. Certainly the language 5. in a spoken or written form predates the formulation of the appropriate grammar. However, this grammar has a logical priority insofar as it lays out the conditions from which that language exhibits coherence. The act of formulating the grammar is a case of abstraction. The abstraction towards the discovery of the conditions for the poss; bi 1 ity of any experiencing whatever, for which intersubjective experience is a definite case, manifests itself as a sort of "grammar". This "grammar" is like the basic grammar of a language in the sense that these "rulesil are the ~ priori conditions for the possibility of that experience. There is, we shall say, an "eidetic priority", or a generic condition which is the logical antecedent to the taken-forgranted object of experience. In the case of intersubjectivity we readily grant that one may mundanely be aware of fellow-men as fellowmen, but in order to discover how that awareness is possible it is necessary to abstract from the mundane, believed-in experience. This process of abstraction is the paramount issue; the first step, in the search for an apodictic basis for social relations. How then is this abstraction to be accomplished? What is the nature of an abstraction which would permit us an Archimedean point, absolutely grounded, from which we may proceed? The answer can be discovered in an examination of Descartes in the light of Husserl's criticism. 3. The Impulse for Scientific Philosophy. The Method to which it Gives Rise. 6. Foremost in our inquiry is the discovery of a method appropriate to the discovery of our grounding point. For the purposes of our investigations, i.e., that of attempting to give a phenomenological view of the problem of intersubjectivity, it would appear to be of cardinal importance to trace the attempt of philosophy predating Husserl, particularly in the philosophy of Descartes, at founding a truly IIscientific ll philosophy. Paramount in this connexion would be the impulse in the Modern period, as the result of more or less recent discoveries in the natural sciences, to found philosophy upon scientific and mathematical principles. This impulse was intended to culminate in an all-encompassing knowledge which might extend to every realm of possible thought, viz., the universal science ot IIMathexis Universalis ll •4 This was a central issue for Descartes, whose conception of a universal science would include all the possible sciences of man. This inclination towards a science upon which all other sciences might be based waS not to be belittled by Husserl, who would appropriate 4This term, according to Jacab Klein, was first used by Barocius, the translator of Proclus into Latin, to designate the highest mathematical discipline. . 7. it himself in hopes of establishing, for the very first time, philosophy as a "rigorous science". It bears emphasizing that this in fact was the drive for the hardening of the foundations of philosophy, the link between the philosophical projects of Husserl and those of the philosophers of the modern period. Indeed, Husserl owes Descartes quite a debt for indicating the starting place from which to attempt a radical, presupositionless, and therefore scientific philosophy, in order not to begin philosophy anew, but rather for the first time.5 The aim of philosophy for Husserl is the search for apodictic, radical certitude. However while he attempted to locate in experience the type of necessity which is found in mathematics, he wished this necessity to be a function of our life in the world, as opposed to the definition and postulation of an axiomatic method as might be found in the unexpurgated attempts to found philosophy in Descartes. Beyond the necessity which is involved in experiencing the world, Husserl was searching for the certainty of roots, of the conditi'ons which underl ie experience and render it pOssible. Descartes believed that hi~ MeditatiOns had uncovered an absolute ground for knowledge, one founded upon the ineluctable givenness of thinking which is present even when one doubts thinking. Husserl, in acknowledging this procedure is certainly Cartesian, but moves, despite this debt to Descartes, far beyond Cartesian philosophy i.n his phenomenology (and in many respects, closer to home). 5Cf. Husserl, Philosophy as a Rigorous Science, pp. 74ff. 8 But wherein lies this Cartesian jumping off point by which we may vivify our theme? Descartes, through inner reflection, saw that all of his convictions and beliefs about the world were coloured in one way or another by prejudice: ... at the end I feel constrained to reply that there is nothing in a all that I formerly believed to be true, of which I cannot in some measure doubt, and that not merely through want of thought or through levity, but for reasons which are very powerful and maturely considered; so that henceforth I ought not the less carefully to refrain from giving credence to these opinions than to that which is manifestly false, if I desire to arrive at any certainty (in the sciences). 6 Doubts arise regardless of the nature of belief - one can never completely believe what one believes. Therefore, in order to establish absolutely grounded knowledge, which may serve as the basis fora "universal Science", one must use a method by which one may purge oneself of all doubts and thereby gain some radically indubitable insight into knowledge. Such a method, gescartes found, was that, as indicated above by hi,s own words, of II radical doubt" which "forbids in advance any judgemental use of (previous convictions and) which forbids taking any position with regard to their val idi'ty. ,,7 This is the method of the "sceptical epoche ll , the method of doubting all which had heretofor 6Descartes,Meditations on First Philosophy, first Med., (Libera 1 Arts Press, New York, 1954) trans. by L. LaFl eur. pp. 10. 7Husserl ,CrisiS of Eliroeari SCiences and Trariscendental Phenomenology, (Northwestern U. Press, Evanston, 1 7 ,p. 76. 9. been considered as belonging to the world, including the world itself. What then is left over? Via the process of a thorough and all-inclusive doubting, Descartes discovers that the ego which performs the epoche, or "reduction", is excluded from these things which can be doubted, and, in principle provides something which is beyond doubt. Consequently this ego provides an absolute and apodictic starting point for founding scientific philosophy. By way of this abstention. of bel ief, Desca'rtes managed to reduce the worl d of everyday 1 ife as bel ieved in, to mere 'phenomena', components of the rescogitans:. Thus:, having discovered his Archimedean point, the existence of the ego without question, he proceeds to deduce the 'rest' of the world with the aid of innate ideas and the veracity of God. In both Husserl and Descartes the compelling problem is that of establ ishing a scientific, apodictic phi'losophy based upon presuppos itionless groundwork .. Husserl, in thi.s regard, levels the charge at Descartes that the engagement of his method was not complete, such that hi.S: starting place was not indeed presupositionless, and that the validity of both causality and deductive methods were not called into question i.'n the performance of theepoche. In this way it is easy for an absolute evidence to make sure of the ego as: a first, "absolute, indubitablyexisting tag~end of the worldll , and it is then only a matter of inferring the absolute subs.tance and the other substances which belon.g to the world, along with my own mental substance, using a logically val i d deductive procedure. 8 8Husserl, E.;' Cartesian 'Meditation;, trans. Dorion Cairns (Martinus Nijhoff, The Hague, 1970), p. 24 ff.

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.

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.

Automatic Inference of Graph Models for Complex Networks with Genetic Programming

Complex networks can arise naturally and spontaneously from all things that act as a part of a larger system. From the patterns of socialization between people to the way biological systems organize themselves, complex networks are ubiquitous, but are currently poorly understood. A number of algorithms, designed by humans, have been proposed to describe the organizational behaviour of real-world networks. Consequently, breakthroughs in genetics, medicine, epidemiology, neuroscience, telecommunications and the social sciences have recently resulted. The algorithms, called graph models, represent significant human effort. Deriving accurate graph models is non-trivial, time-intensive, challenging and may only yield useful results for very specific phenomena. An automated approach can greatly reduce the human effort required and if effective, provide a valuable tool for understanding the large decentralized systems of interrelated things around us. To the best of the author's knowledge this thesis proposes the first method for the automatic inference of graph models for complex networks with varied properties, with and without community structure. Furthermore, to the best of the author's knowledge it is the first application of genetic programming for the automatic inference of graph models. The system and methodology was tested against benchmark data, and was shown to be capable of reproducing close approximations to well-known algorithms designed by humans. Furthermore, when used to infer a model for real biological data the resulting model was more representative than models currently used in the literature.

Passive Solar Building Design Using Genetic Programming

Passive solar building design is the process of designing a building while considering sunlight exposure for receiving heat in winter and rejecting heat in summer. The main goal of a passive solar building design is to remove or reduce the need of mechanical and electrical systems for cooling and heating, and therefore saving energy costs and reducing environmental impact. This research will use evolutionary computation to design passive solar buildings. Evolutionary design is used in many research projects to build 3D models for structures automatically. In this research, we use a mixture of split grammar and string-rewriting for generating new 3D structures. To evaluate energy costs, the EnergyPlus system is used. This is a comprehensive building energy simulation system, which will be used alongside the genetic programming system. In addition, genetic programming will also consider other design and geometry characteristics of the building as search objectives, for example, window placement, building shape, size, and complexity. In passive solar designs, reducing energy that is needed for cooling and heating are two objectives of interest. Experiments show that smaller buildings with no windows and skylights are the most energy efficient models. Window heat gain is another objective used to encourage models to have windows. In addition, window and volume based objectives are tried. To examine the impact of environment on designs, experiments are run on five different geographic locations. Also, both single floor models and multi-floor models are examined in this research. According to the experiments, solutions from the experiments were consistent with respect to materials, sizes, and appearance, and satisfied problem constraints in all instances.

Real-Time Automatic Object Classification and Tracking using Genetic Programming and NVIDIA R CUDA TM

Genetic Programming (GP) is a widely used methodology for solving various computational problems. GP's problem solving ability is usually hindered by its long execution times. In this thesis, GP is applied toward real-time computer vision. In particular, object classification and tracking using a parallel GP system is discussed. First, a study of suitable GP languages for object classification is presented. Two main GP approaches for visual pattern classification, namely the block-classifiers and the pixel-classifiers, were studied. Results showed that the pixel-classifiers generally performed better. Using these results, a suitable language was selected for the real-time implementation. Synthetic video data was used in the experiments. The goal of the experiments was to evolve a unique classifier for each texture pattern that existed in the video. The experiments revealed that the system was capable of correctly tracking the textures in the video. The performance of the system was on-par with real-time requirements.

Network Similarity Measures and Automatic Construction of Graph Models using Genetic Programming

A complex network is an abstract representation of an intricate system of interrelated elements where the patterns of connection hold significant meaning. One particular complex network is a social network whereby the vertices represent people and edges denote their daily interactions. Understanding social network dynamics can be vital to the mitigation of disease spread as these networks model the interactions, and thus avenues of spread, between individuals. To better understand complex networks, algorithms which generate graphs exhibiting observed properties of real-world networks, known as graph models, are often constructed. While various efforts to aid with the construction of graph models have been proposed using statistical and probabilistic methods, genetic programming (GP) has only recently been considered. However, determining that a graph model of a complex network accurately describes the target network(s) is not a trivial task as the graph models are often stochastic in nature and the notion of similarity is dependent upon the expected behavior of the network. This thesis examines a number of well-known network properties to determine which measures best allowed networks generated by different graph models, and thus the models themselves, to be distinguished. A proposed meta-analysis procedure was used to demonstrate how these network measures interact when used together as classifiers to determine network, and thus model, (dis)similarity. The analytical results form the basis of the fitness evaluation for a GP system used to automatically construct graph models for complex networks. The GP-based automatic inference system was used to reproduce existing, well-known graph models as well as a real-world network. Results indicated that the automatically inferred models exemplified functional similarity when compared to their respective target networks. This approach also showed promise when used to infer a model for a mammalian brain network.

Two Levels of Motivation and Two Types of Well-Being: Relations Between General and Goal-Specific Motivations, and Eudaimonic and Hedonic Well-Being

In this thesis I assess the individual and joint predictive associations and effects between multiple motivation and well-being concepts. In particular, three pairs of motivation concepts (intrinsic/extrinsic, approach/avoidance, and eudaimonic/hedonic) are assessed simultaneously at two levels of analysis (disposition and goal) and examined in relation to two types of well-being (eudaimonic and hedonic) in two studies, one correlational and the other experimental. Study 1: Using a correlational design, participants (N = 325, M age = 19.10, 87% female) completed self-report measures assessing six motivation and two well-being concepts. Exploratory factor analyses were used to assess patterns of associations among the motivational constructs. Results indicated that constructs displaying conceptual and empirical similarities co-occur, particularly, intrinsic, approach and eudaimonic motivation. Regression models were used to assess predictive relations between the motivational constructs and well-being. Both types of well-being were predicted by approach and avoidance dispositions, and hedonic goals. Additionally, eudaimonic well-being was uniquely predicted by eudaimonic dispositions and goals, and intrinsic dispositions; and hedonic well-being was uniquely predicted by extrinsic dispositions and approach goals. The patterns of associations among motivational constructs, and similarities and differences in the ways they predict each type of well-being, are discussed. Study 2: Using an experimental design, participants (N = 447, M age = 19.30, 88% female) were randomly assigned to one of eight experimental conditions, each involving a manipulation aimed at priming combinations of the three pairs of motivational constructs at the goal level. Participants then completed measures of both types of well-being. ANOVAs were used to assess the main effects and interactions of experimental condition for each of the three pairs of motivational constructs on well-being. Main effects of experimental conditions were non-significant. However, results indicated that focus on each of the three pairs of motivational constructs predicted well-being and that the manipulation impacted well-being indirectly, through experimentally-shifted motivational focus. Few interactions emerged. Implications for future experimental research and the conceptual integration of motivation and well-being constructs are discussed. In conclusion, Studies 1 and 2 inform the motivation and well-being fields in novel ways and provide preliminary steps towards studying these fields from an integrated and comprehensive motivational framework.

Object-Oriented Genetic Programming for the Automatic Inference of Graph Models for Complex Networks

Complex networks are systems of entities that are interconnected through meaningful relationships. The result of the relations between entities forms a structure that has a statistical complexity that is not formed by random chance. In the study of complex networks, many graph models have been proposed to model the behaviours observed. However, constructing graph models manually is tedious and problematic. Many of the models proposed in the literature have been cited as having inaccuracies with respect to the complex networks they represent. However, recently, an approach that automates the inference of graph models was proposed by Bailey [10] The proposed methodology employs genetic programming (GP) to produce graph models that approximate various properties of an exemplary graph of a targeted complex network. However, there is a great deal already known about complex networks, in general, and often specific knowledge is held about the network being modelled. The knowledge, albeit incomplete, is important in constructing a graph model. However it is difficult to incorporate such knowledge using existing GP techniques. Thus, this thesis proposes a novel GP system which can incorporate incomplete expert knowledge that assists in the evolution of a graph model. Inspired by existing graph models, an abstract graph model was developed to serve as an embryo for inferring graph models of some complex networks. The GP system and abstract model were used to reproduce well-known graph models. The results indicated that the system was able to evolve models that produced networks that had structural similarities to the networks generated by the respective target models.

Disease-Gene Association Using Genetic Programming

As a result of mutation in genes, which is a simple change in our DNA, we will have undesirable phenotypes which are known as genetic diseases or disorders. These small changes, which happen frequently, can have extreme results. Understanding and identifying these changes and associating these mutated genes with genetic diseases can play an important role in our health, by making us able to find better diagnosis and therapeutic strategies for these genetic diseases. As a result of years of experiments, there is a vast amount of data regarding human genome and different genetic diseases that they still need to be processed properly to extract useful information. This work is an effort to analyze some useful datasets and to apply different techniques to associate genes with genetic diseases. Two genetic diseases were studied here: Parkinson’s disease and breast cancer. Using genetic programming, we analyzed the complex network around known disease genes of the aforementioned diseases, and based on that we generated a ranking for genes, based on their relevance to these diseases. In order to generate these rankings, centrality measures of all nodes in the complex network surrounding the known disease genes of the given genetic disease were calculated. Using genetic programming, all the nodes were assigned scores based on the similarity of their centrality measures to those of the known disease genes. Obtained results showed that this method is successful at finding these patterns in centrality measures and the highly ranked genes are worthy as good candidate disease genes for being studied. Using standard benchmark tests, we tested our approach against ENDEAVOUR and CIPHER - two well known disease gene ranking frameworks - and we obtained comparable results.