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.

Exact property estimation from diffusion Monte Carlo with minimal stochastic reconfiguration /

Our objective is to develop a diffusion Monte Carlo (DMC) algorithm to estimate the exact expectation values, ($o|^|^o), of multiplicative operators, such as polarizabilities and high-order hyperpolarizabilities, for isolated atoms and molecules. The existing forward-walking pure diffusion Monte Carlo (FW-PDMC) algorithm which attempts this has a serious bias. On the other hand, the DMC algorithm with minimal stochastic reconfiguration provides unbiased estimates of the energies, but the expectation values ($o|^|^) are contaminated by ^, an user specified, approximate wave function, when A does not commute with the Hamiltonian. We modified the latter algorithm to obtain the exact expectation values for these operators, while at the same time eliminating the bias. To compare the efficiency of FW-PDMC and the modified DMC algorithms we calculated simple properties of the H atom, such as various functions of coordinates and polarizabilities. Using three non-exact wave functions, one of moderate quality and the others very crude, in each case the results are within statistical error of the exact values.

Evolutionary synthesis of stochastic gene network models using feature-based search spaces

A feature-based fitness function is applied in a genetic programming system to synthesize stochastic gene regulatory network models whose behaviour is defined by a time course of protein expression levels. Typically, when targeting time series data, the fitness function is based on a sum-of-errors involving the values of the fluctuating signal. While this approach is successful in many instances, its performance can deteriorate in the presence of noise. This thesis explores a fitness measure determined from a set of statistical features characterizing the time series' sequence of values, rather than the actual values themselves. Through a series of experiments involving symbolic regression with added noise and gene regulatory network models based on the stochastic 'if-calculus, it is shown to successfully target oscillating and non-oscillating signals. This practical and versatile fitness function offers an alternate approach, worthy of consideration for use in algorithms that evaluate noisy or stochastic behaviour.

The convergence of psychopathy, self-rated vulnerability, and other-rated vulnerability

Previous research has found that victims of crime tend to exhibit asynchronous movement (e.g. Grayson & Stein, 1981), and the fact that victims display different body language suggests that they may be sending inadvertent signals to their own vulnerability (e.g. Murzynski & Degelman, 1996). Body language has also be en linked with s e l f identification as a victim (Wheeler et aI., 2009), and self-identification has be en found to act as a proxy for more severe victimization (Baumer, 2002) and greater fear of crime (Greenberg & Beach, 2004). The first prediction in the present study, then, was that self-perceived vulnerability would be correlated with body language, while number of previous victimizations mayor may not show the same relationship. Findings from the present study indicate that self-perceived vulnerability exhibits a positive correlation with the body language cues that approaches significance r (10) = .45,p =.07, one-tailed. Different types of victimization, however, were not significantly correlated with these cues. A second goal of the study was to examine the relationship between psychopathic traits and accuracy in judgments of vulnerability. Seventy male participants rated the vulnerability of 12 female targets filmed walking down a hallway who had provided selfratings of vulnerability. Individuals scoring higher on Factor 2 and total psychopathy were significantly less discrepant from target self-rat~ngs of vulnerability, r (64) = - .39,p < .001; r (64) = - .29,p >.01, respectively. The final purpose of this study was to determine which body language cues were mos t salient to raters when making judgments of vulnerability. Participants rated the apparent vulnerability of a target in 7 video clips portraying each body language cue in isolation and a natural walk. Results of repeated measures analyses indicate that the videos rated as most vulnerable to victimization were those displaying low energy and l a ck of synchrony, followed by wide stride, short stride, and stiffknees, while the video displaying ne ck stiffness did not receive significantly different ratings from the mode l ' s natural walk. Replication with a larger sample size is necessary to increase confidence in findings and implications.

In Search of Convergence: A Co-citation Analysis of Three Sport Management Journals

Responding to a series of articles in sport management literature calling for more diversity in terms of areas of interest or methods, this study warns against the danger of excessively fragmenting this field of research. The works of Kuhn (1962) and Pfeffer (1993) are taken as the basis of an argument that connects convergence with scientific strength. However, being aware of the large number of counterarguments directed at this line of reasoning, a new model of convergence, which focuses on clusters of research contributions with similar areas of interest, methods, and concepts, is proposed. The existence of these clusters is determined with the help of a bibliometric analysis of publications in three sport management journals. This examination determines that there are justified reasons to be concerned about the level of convergence in the field, pointing out to a reduced ability to create large clusters of contributions in similar areas of interest.

Feature Selection and Classification Using Age Layered Population Structure Genetic Programming

The curse of dimensionality is a major problem in the fields of machine learning, data mining and knowledge discovery. Exhaustive search for the most optimal subset of relevant features from a high dimensional dataset is NP hard. Sub–optimal population based stochastic algorithms such as GP and GA are good choices for searching through large search spaces, and are usually more feasible than exhaustive and deterministic search algorithms. On the other hand, population based stochastic algorithms often suffer from premature convergence on mediocre sub–optimal solutions. The Age Layered Population Structure (ALPS) is a novel metaheuristic for overcoming the problem of premature convergence in evolutionary algorithms, and for improving search in the fitness landscape. The ALPS paradigm uses an age–measure to control breeding and competition between individuals in the population. This thesis uses a modification of the ALPS GP strategy called Feature Selection ALPS (FSALPS) for feature subset selection and classification of varied supervised learning tasks. FSALPS uses a novel frequency count system to rank features in the GP population based on evolved feature frequencies. The ranked features are translated into probabilities, which are used to control evolutionary processes such as terminal–symbol selection for the construction of GP trees/sub-trees. The FSALPS metaheuristic continuously refines the feature subset selection process whiles simultaneously evolving efficient classifiers through a non–converging evolutionary process that favors selection of features with high discrimination of class labels. We investigated and compared the performance of canonical GP, ALPS and FSALPS on high–dimensional benchmark classification datasets, including a hyperspectral image. Using Tukey’s HSD ANOVA test at a 95% confidence interval, ALPS and FSALPS dominated canonical GP in evolving smaller but efficient trees with less bloat expressions. FSALPS significantly outperformed canonical GP and ALPS and some reported feature selection strategies in related literature on dimensionality reduction.

Feature Selection and Classification Using Age Layered Population Structure Genetic Programming

The curse of dimensionality is a major problem in the fields of machine learning, data mining and knowledge discovery. Exhaustive search for the most optimal subset of relevant features from a high dimensional dataset is NP hard. Sub–optimal population based stochastic algorithms such as GP and GA are good choices for searching through large search spaces, and are usually more feasible than exhaustive and determinis- tic search algorithms. On the other hand, population based stochastic algorithms often suffer from premature convergence on mediocre sub–optimal solutions. The Age Layered Population Structure (ALPS) is a novel meta–heuristic for overcoming the problem of premature convergence in evolutionary algorithms, and for improving search in the fitness landscape. The ALPS paradigm uses an age–measure to control breeding and competition between individuals in the population. This thesis uses a modification of the ALPS GP strategy called Feature Selection ALPS (FSALPS) for feature subset selection and classification of varied supervised learning tasks. FSALPS uses a novel frequency count system to rank features in the GP population based on evolved feature frequencies. The ranked features are translated into probabilities, which are used to control evolutionary processes such as terminal–symbol selection for the construction of GP trees/sub-trees. The FSALPS meta–heuristic continuously refines the feature subset selection process whiles simultaneously evolving efficient classifiers through a non–converging evolutionary process that favors selection of features with high discrimination of class labels. We investigated and compared the performance of canonical GP, ALPS and FSALPS on high–dimensional benchmark classification datasets, including a hyperspectral image. Using Tukey’s HSD ANOVA test at a 95% confidence interval, ALPS and FSALPS dominated canonical GP in evolving smaller but efficient trees with less bloat expressions. FSALPS significantly outperformed canonical GP and ALPS and some reported feature selection strategies in related literature on dimensionality reduction.