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.

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.

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.

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.

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.

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.