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.

Anharmonic Helmholtz free energy to O(lambdaâ ´) in the non- leading term approximation /|nby Leslie Wilk. -- 260 St. Catharines, Ont. : [s. n.],

Expressions for the anharmonic Helmholtz free energy contributions up to o( f ) ,valid for all temperatures, have been obtained using perturbation theory for a c r ystal in which every atom is on a site of inversion symmetry. Numerical calculations have been carried out in the high temperature limit and in the non-leading term approximation for a monatomic facecentred cubic crystal with nearest neighbour c entralforce interactions. The numbers obtained were seen to vary by a s much as 47% from thos e obtai.ned in the leading term approximati.on,indicating that the latter approximati on is not in general very good. The convergence to oct) of the perturbation series in the high temperature limit appears satisfactory.

Developing a numerical inverse-theory-based extraction of orientation-dependent relaxation rates from partially- relaxed spectra

Second-rank tensor interactions, such as quadrupolar interactions between the spin- 1 deuterium nuclei and the electric field gradients created by chemical bonds, are affected by rapid random molecular motions that modulate the orientation of the molecule with respect to the external magnetic field. In biological and model membrane systems, where a distribution of dynamically averaged anisotropies (quadrupolar splittings, chemical shift anisotropies, etc.) is present and where, in addition, various parts of the sample may undergo a partial magnetic alignment, the numerical analysis of the resulting Nuclear Magnetic Resonance (NMR) spectra is a mathematically ill-posed problem. However, numerical methods (de-Pakeing, Tikhonov regularization) exist that allow for a simultaneous determination of both the anisotropy and orientational distributions. An additional complication arises when relaxation is taken into account. This work presents a method of obtaining the orientation dependence of the relaxation rates that can be used for the analysis of the molecular motions on a broad range of time scales. An arbitrary set of exponential decay rates is described by a three-term truncated Legendre polynomial expansion in the orientation dependence, as appropriate for a second-rank tensor interaction, and a linear approximation to the individual decay rates is made. Thus a severe numerical instability caused by the presence of noise in the experimental data is avoided. At the same time, enough flexibility in the inversion algorithm is retained to achieve a meaningful mapping from raw experimental data to a set of intermediate, model-free

The effect of calculators on the numerical problem-solving skills and attitudes of primary students towards mathematics /

The purpose of this study was to determine the effect that calculators have on the attitudes and numerical problem-solving skills of primary students. The sample used for this research was one of convenience. The sample consisted of two grade 3 classes within the York Region District School Board. The students in the experimental group used calculators for this problem-solving unit. The students in the control group completed the same numerical problem-solving unit without the use of calculators. The pretest-posttest control group design was used for this study. All students involved in this study completed a computational pretest and an attitude pretest. At the end of the study, the students completed a computational posttest. Five students from the experimental group and five students from the control group received their posttests in the form of a taped interview. At the end of the unit, all students completed the attitude scale that they had received before the numerical problem-solving unit once again. Data for qualitative analysis included anecdotal observations, journal entries, and transcribed interviews. The constant comparative method was used to analyze the qualitative data. A t test was also performed on the data to determine whether there were changes in test and attitude scores between the control and experimental group. Overall, the findings of this study support the hypothesis that calculators improve the attitudes of primary students toward mathematics. Also, there is some evidence to suggest that calculators improve the computational skills of grade 3 students.

A treatment of atomic mean square displacement in higher order perturbation theory

A general derivation of the anharmonic coefficients for a periodic lattice invoking the special case of the central force interaction is presented. All of the contributions to mean square displacement (MSD) to order 14 perturbation theory are enumerated. A direct correspondance is found between the high temperature limit MSD and high temperature limit free energy contributions up to and including 0(14). This correspondance follows from the detailed derivation of some of the contributions to MSD. Numerical results are obtained for all the MSD contributions to 0(14) using the Lennard-Jones potential for the lattice constants and temperatures for which the Monte Carlo results were calculated by Heiser, Shukla and Cowley. The Peierls approximation is also employed in order to simplify the numerical evaluation of the MSD contributions. The numerical results indicate the convergence of the perturbation expansion up to 75% of the melting temperature of the solid (TM) for the exact calculation; however, a better agreement with the Monte Carlo results is not obtained when the total of all 14 contributions is added to the 12 perturbation theory results. Using Peierls approximation the expansion converges up to 45% of TM• The MSD contributions arising in the Green's function method of Shukla and Hubschle are derived and enumerated up to and including 0(18). The total MSD from these selected contributions is in excellent agreement with their results at all temperatures. Theoretical values of the recoilless fraction for krypton are calculated from the MSD contributions for both the Lennard-Jones and Aziz potentials. The agreement with experimental values is quite good.

Quantum Monte Carlo : some theoretical and numerical studies

In Part I, theoretical derivations for Variational Monte Carlo calculations are compared with results from a numerical calculation of He; both indicate that minimization of the ratio estimate of Evar , denoted EMC ' provides different optimal variational parameters than does minimization of the variance of E MC • Similar derivations for Diffusion Monte Carlo calculations provide a theoretical justification for empirical observations made by other workers. In Part II, Importance sampling in prolate spheroidal coordinates allows Monte Carlo calculations to be made of E for the vdW molecule var He2' using a simplifying partitioning of the Hamiltonian and both an HF-SCF and an explicitly correlated wavefunction. Improvements are suggested which would permit the extension of the computational precision to the point where an estimate of the interaction energy could be made~

Simultaneous extraction of order parameters and orientational distribution fuctions from 31[superscript]P NMR spectra of magnetically partially oriented phospholipid bilayers

Order parameter profiles extracted from the NMR spectra of model membranes are a valuable source of information about their structure and molecular motions. To al1alyze powder spectra the de-Pake-ing (numerical deconvolution) ~echnique can be used, but it assumes a random (spherical) dist.ribution of orientations in the sample. Multilamellar vesicles are known to deform and orient in the strong magnetic fields of NMR magnets, producing non-spherical orientation distributions. A recently developed technique for simultaneously extracting the anisotropies of the system as well as the orientation distributions is applied to the analysis of partially magnetically oriented 31p NMR spectra of phospholipids. A mixture of synthetic lipids, POPE and POPG, is analyzed to measure distortion of multilamellar vesicles in a magnetic field. In the analysis three models describing the shape of the distorted vesicles are examined. Ellipsoids of rotation with a semiaxis ratio of about 1.14 are found to provide a good approximation of the shape of the distorted vesicles. This is in reasonable agreement with published experimental work. All three models yield clearly non-spherical orientational distributions, as well as a precise measure of the anisotropy of the chemical shift. Noise in the experimental data prevented the analysis from concluding which of the three models is the best approximation. A discretization scheme for finding stability in the algorithm is outlined

An anharmonic contribution to the Helmholtz free energy O(lambda 6)

The anharmonic contributions of order A6 to the Helmholtz free energy for a crystal in which every atom is on a site of inversion symmetry, have been evaluated The cor~esponding diagrams in the various orders of the perturbation theory have been presented The validity of the expressions given is for high temperatures. Numerical calculations for the diagrams which contribute to the free energy have been worked out for a nearest-n~ighbour central-force model of a facecentered cubic lattice in the high-temperature limit and in the leading term and the Ludwig approximations. The accuracy of the Ludwig approximation in evaluating the Brillouin-zone sums has been investigated. Expansion for all diagrams in the high-temperature limit has been carried out The contribution to the specific heat involves a linear as well as cubic term~ We have applied Lennard-Jones, Morse and Exponential 6 types of potentials. A comparison between the contribution to the free energy of order A6 to that of order A4 has been made.

Port Dalhousie and Thorold Railway estimate of work done to date with an approximation of probable damage sustained by suspending the track

Port Dalhousie and Thorold Railway estimate of work done to date with an approximation of probable damage sustained by suspending the track, Aug. 22, 1854.