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