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.

Effect of executive compensation on firm performance

The paper finds evidence that the equity-based CEO pay is positively related to firm performance and risk-taking. Both stock price and operating performance as well as firm's riskiness increase in the pay-performance sensitivities (PPS) provided by CEO stock options and stock holdings. PPS can explain stock returns better as an additional factor to the Fama-French 3-factor model. When CEOs are compensated with higher PPS, firms experience higher return on asset (ROA). The higher PPS also leads to the higher risk-taking. While CEO incentive compensation has been perceived mixed on its effectiveness, this study provides support to the equity-based CEO compensation in reducing agency conflicts between CEOs and shareholders.

The Impact of a Corporate Name Change on Stock Price and Trading Volume of Canadian Companies

This thesis examines the impact of a corporate name change on stock price and trading volume of Canadian companies around the announcement date, the approval date, and the adoption date over the time period from 1997 to 2011. Name changes are classified into six categories: major and minor, structural and pure, diversified and focused, accompanied with a change in ticker symbol and without a change in ticker symbol, “Gold” name addition and deletion, and different reasons for name changes (e.g., merger and acquisition, change of structure, change of strategy, and better image). The thesis uses the standard event study methodology to perform abnormal return and trading volume analyses. In addition, regression analysis is employed to examine which type of a name change has the largest impact on cumulative abnormal returns. Sample stocks exhibit a significant positive abnormal return one-day prior to the approval day and one day after the adoption date. Around the approval date we observe significant abnormal returns for stocks with a structural name change. On the day after the adoption date we document abnormal returns for stocks with major, minor, structural, pure, focused, and ticker symbol name changes. If a merger or acquisition is the reason for a name change, companies tend to experience a significant positive abnormal return one-day before the approval date and on the adoption date. If a change of structure is the reason for a name change, companies exhibit a significant positive abnormal return on the approval date and a significant negative abnormal return on the adoption date. In case of a change of strategy as the reason for a name change, companies show a significant negative abnormal return around the approval date and a significant positive abnormal return around the adoption date.

Educational Technology Decision-Making: A Case Study on Technology Acquisition for 746,000 Ontario Students

Very little research has examined K–12 educational technology decision-making in Canada. This collective case study explores the technology procurement process in Ontario’s publicly funded school districts to determine if it is informed by the relevant research, grounded in best practices, and enhances student learning. Using a qualitative approach, 10 senior leaders (i.e., chief information officers, superintendents, etc.) were interviewed. A combination of open-ended and closed-ended questions were used to reveal the most important factors driving technology acquisition, research support, governance procedures, data use, and assessment and return on investment (ROI) measures utilized by school districts in their implementation of educational technology. After participants were interviewed, the data were transcribed, member checked, and then submitted to “Computer-assisted NCT analysis” (Friese, 2014) using ATLAS.ti. The findings show that senior leaders are making acquisitions that are not aligned with current scholarship and not with student learning as the focus. It was also determined that districts struggle to use data-driven decision-making to support the governance of educational technology spending. Finally, the results showed that districts do not have effective assessment measures in place to determine the efficacy or ROI of a purchased technology. Although data are limited to the responses of 10 senior leaders, findings represent the technology leadership for approximately 746,000 Ontario students. The study is meant to serve as an informative resource for senior leaders and presents strategic and research-validated approaches to technology procurement. Further, the study has the potential to refine technology decision-making, policies, and practices in K–12 education.

Market reactions to changes in the Nasdaq-100 Index membership

We examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses.

General return (copy) showing the quantity of each article transported on the Welland Canal during the year ending January 5th 1857 (Port Robinson)

General return (copy) showing the quantity of each article transported on the Welland Canal during the year ending January 5th 1857 (Port Robinson) (2 pages), 1857.

General return showing the quantity of each article transported on the Welland Canal during the year ending 1857 and the amount of tolls collected thereon (Port of Maitland)

General return showing the quantity of each article transported on the Welland Canal during the year ending 1857 and the amount of tolls collected thereon (Port of Maitland) (2 page, printed blank), 1857.

General return showing the quantity of each article transported on the Welland Canal during the year ending December 31st, 1858

General return showing the quantity of each article transported on the Welland Canal during the year ending December 31st, 1858 and the amount of tolls collected thereon (Port of Maitland). This is signed by William Turner, collector (2 page, printed blank), 1858.

General return showing the quantity of each article transported on the Welland Canal during the year ending on the 31st of December 1858

General return showing the quantity of each article transported on the Welland Canal during the year ending on the 31st of December 1858 and the tolls collected thereon (office at Port Robinson) (2 pages), 1858.

General return showing the quantity of each article transported on the Welland Canal (Port Robinson)

General return showing the quantity of each article transported on the Welland Canal (Port Robinson) during the year ending on the 31st of December 1860 and the amount of tolls collected thereon, 1860.

General return showing the quantity of each article transported on the Welland Canal during the year ending the 31st of December 1860 and the amount of tolls collected thereon

General return showing the quantity of each article transported on the Welland Canal during the year ending the 31st of December 1860 and the amount of tolls collected thereon. This document was mouldy (now inactive). This does not affect the text. It is signed by William Turner, collector (office at Port Maitland), 1860.

General return showing the quantity of each article transported on the Welland Canal during the year ending the 31st of December 1861

General return showing the quantity of each article transported on the Welland Canal during the year ending the 31st of December 1861 (office at Port Maitland) (2 pages), 1861.

General return (copy) showing the quantity of each article transported on the Welland Canal during the year ending the 31st of December 1861

General return (copy) showing the quantity of each article transported on the Welland Canal during the year ending the 31st of December 1861 and the amount of tolls collected thereon (office at Port Robinson), 1861.

On affirmation and becoming : a Deleuzian reading of Nietzsche's critique of nihilism

The main thrust of this thesis is the re-exploration of Friedrich Nietzsche's "critique of nihilism" through the lenses of Gilles Deleuze. A Deleuzian reading of Nietzsche is motivated by a post-deconstrnctive style of interpretation, inasmuch as Deleuze goes beyond, or in between, henneneutics and deconstrnction. Deleuze's post-deconstrnctive reading of Nietzsche is, however, only secondary to the main aim of this thesis. The primary thrust of this study is the critique of a way of thinking characterized by Nietzsche as nihilistic. Therefore, it should be noted that this study is not about Deleuze's reading per se; rather, it is an appraisal of Nietzsche's "critique of nihilism" using Deleuze's experimental reading. We will accrue Nietzsche's critique and Deleuze's post-deconstrnctive reading in order to appraise Nietzsche's critique itself. Insofar as we have underscored Deleuze's purported experimentation of Nietzschean themes, this study is also an experiment in itself. Through this experimentation, we will find out whether it is possible to partly gloss Nietzsche's critique of nihilism through Deleuzian phraseology. Far from presenting a mere exposition of Nietzsche's text, we are, rather, re-reading, that is, re-evaluating Nietzsche's critique of nihilism through Deleuze's experimentation. This is our way of thinking with Nietzsche. Nihilism is the central problem upon which Nietzsche's philosophical musings are directed; he deems nihilism as a cultural experience and, as such, a phenomenon to be reckoned with. In our reconstruction of Nietzsche's critique of nihilism, we locate two related elements which constitute the structure of the prescription of a cure, Le., the ethics of affirmation and the ontology of becoming. Appraising Nietzsche's ethics and ontology amounts to clarifying what Deleuze thinks as the movement from the "dogmatic image of thought" to the "new image of thought." Through this new image of thought, Deleuze makes sense of a Nietzschean counterculture which is a perspective that resists traditional or representational metaphysics. Deleuze takes the reversal of Platonism or the transmutation of values to be the point of departure. We have to, according to Deleuze, abandon our old image of the world in order to free ourselves from the obscurantism of foundationalist or essentialist thinking. It is only through the transmutation of values that we can make sense of Nietzsche's ethics of affirmation and ontology of becoming. We have to think of Nietzsche's ethics as an "ethics" and not a moral philosophy, and we have to think of his ontology as 1/ ontology" and not as metaphysics. Through Deleuze, we are able to avoid reading Nietzsche as a moral philosopher and metaphysician. Rather, we are able to read Nietzsche as one espousing an ethical imperative through the thought of the eternal return and one advocating a theory of existence based on an immanent, as opposed to transcendent, image of the world.

On the edge : exploring homeless women's social networks

This thesis aims to uncover the ways that previously homeless women in the Niagara region are able (or unable) to rely on friends, family and service providers in times of crisis (homelessness and poverty). Eleven women were interviewed and their experiences indicate that social networks cannot take the place of comprehensive and inclusive social policy. Time and time again, their stories showed that they were left negotiating the detritus of neo-liberal policies.