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.

Canadian investors and the discount on closed-end funds

Small investors' sentiment has been proposed by behaviouralists to explain the existence and behavior of discount on closed-end funds (CEFD). The empirical tests of this sentiment hypothesis so far provide equivocal results. Besides, most of out-of-sample tests outside U.S. are not robust in the sense that they fail to well control other firm characteristics and risk factors that may explain stock return and to provide a formal cross-sectional test of the link between CEFD and stock return. This thesis explores the role of CEFD in asset pricing and further validates CEFD as a sentiment proxy in Canadian context and augments the extant studies by examining the redemption feature inherent in Canadian closed-end funds and by enhancing the robustness of the empirical tests. Our empirical results document differential behaviors in discounts between redeemable funds and non-redeemable funds. However, we don't find supportive evidence of CEFD as a priced factor. Specifically, the stocks with different exposures to CEFD fail to provide significantly different average return. Nor does CEFD provide significant incremental explanatory power, after controlling other well-known firm characteristics and risk factors, in cross-sectional as well as time-series variation of stock return. This evidence, together with the findings from our direct test of CEFD as a sentiment index, suggests that CEFD, even the discount on traditional non-redeemable closed-end funds, is unlikely to be driven by elusive sentiment in Canada.

Margin requirements and volatility : evidence from Canadian stocks

Margin policy is used by regulators for the purpose of inhibiting exceSSIve volatility and stabilizing the stock market in the long run. The effect of this policy on the stock market is widely tested empirically. However, most prior studies are limited in the sense that they investigate the margin requirement for the overall stock market rather than for individual stocks, and the time periods examined are confined to the pre-1974 period as no change in the margin requirement occurred post-1974 in the U.S. This thesis intends to address the above limitations by providing a direct examination of the effect of margin requirement on return, volume, and volatility of individual companies and by using more recent data in the Canadian stock market. Using the methodologies of variance ratio test and event study with conditional volatility (EGARCH) model, we find no convincing evidence that change in margin requirement affects subsequent stock return volatility. We also find similar results for returns and trading volume. These empirical findings lead us to conclude that the use of margin policy by regulators fails to achieve the goal of inhibiting speculating activities and stabilizing volatility.

Stock market reactions to changes in the FTSE SmallCap and S&P/TSX SmallCap indices

Stocks added to (deleted from) the Russell 2000 and the S&P 600 indexes experience positive (negative) abnormal returns following the announcement. However, researchers disagree on whether these abnormal returns are permanent or temporary and offer competing explanations. I address this controversy by examining market reactions for firms that are added to or deleted from the FTSE Small Cap index (the main testing sample) and the S&P/TSX SmallCap index (the comparison sample). For the main testing sample, all stocks except pure additions, experience a permanent price change that is accompanied by a permanent change in liquidity. However, for the comparison sample, abnormal returns over the announcement period fully reverted within 30 days. In further examination of stock liquidity for the main testing sample, sample stocks experience permanent change in liquidity. Taken together, the observed results support the price pressure and liquidity hypotheses.

The relationship between body mass index and breast cancer recurrence/progression and breast cancer-specific death

The aim of this study was to describe the nonlinear association between body mass index (BMI) and breast cancer outcomes and to determine whether BMI improves prediction of outcomes. A cohort of906 breast cancer patients diagnosed at Henry Ford Health System, Detroit (1985-1990) were studied. The median follow-up was 10 years. Multivariate logistic regression was used to model breast cancer recurrence/progression and breast cancer-specific death. Restricted cubic splines were used to model nonlinear effects. Receiver operator characteristic areas under the curves (ROC AUC) were used to evaluate prediction. BMI was nonlinearly associated with recurrence/progression and death (p= 0.0230 and 0.0101). Probability of outcomes increased with increase or decrease ofBMI away from 25. BMI splines were suggestive of improved prediction of death. The ROC AUCs for nested models with and without BMI were 0.8424 and 0.8331 (p= 0.08). I f causally associated, modifying patients BMI towards 25 may improve outcomes.

Name Index

Index of names for the Survey of Lands for the Welland Canal Company. The index includes names for people whos lands were surveyed on the line of the canal. The index also includes a very basic geographic location of the lands in reference to the canal (for example, east, west, resevoir. No page numbers are listed.

Welland Canal Survey of Lands Name Index Page 2

Index of names for the Welland Canal Company's Survey of Land book, 1826. Includes persons name, land cultivated, uncultivated, total land and remarks. The remarks noted include; who surveyed the lands, the dates of the survey, former property names, additional property features etc.The page is titled: Statement of Lands Surveyed and appropriated to the use of the Welland Canal Company.

Welland Canal Survey of Lands Name Index Page 4

This is an index of all the names contained within the Survey of Lands. The names are listed in alphabetical order and are paired with page numbers where more information can be found on the individuals listed. This page lists names beginning with "A" through to an including "N".

Welland Canal Survey of Lands Name Index Page 5

This is an index of all the names contained within the Survey of Lands. The names are listed in alphabetical order and are paired with page numbers where more information can be found on the individuals listed. This page lists names beginning with "O" through to an including "Z".

The Weekly Register - March 1813 and Index

Issues for the March 1813 Weekly Register newspaper (Baltimore, Maryland) are divided and includes the following War of 1812 related stories: March 6th, pages 1-16: Editor's proclamation on reporting on the war (p.1); Declaration of British Parliament - 9 January 1813 (pp.1-6); President's message to Senate and House of Representatives - February 24 (p.8); Events of the War including reports from Ogdensburgh,Battle of Frenchtown with Brigadier General James Winchester, Colonel Henry Proctor, and Round Head; (pp.9-13); naval events (pp.13-15); President Madison's speech - March 4 (pp.15-16). March 13th, pages 17-40 March 20th, pages 41-56 March 27th, pages 57-72 PLEASE CLICK ON THE WEEKLY PERIODICALS ON THE RIGHT OF THE SCREEN (PDF FILES)TO DOWNLOAD FILES. Look for other issues of the Weekly Register within this website. The Weekly Register, also known as Niles Weekly Register, was a weekly periodical edited by Hezekiah Niles (1777-1839) and published in Baltimore Maryland. Volumes of interest were published between 1811 (Vol. 1, No. 1, September 7, 1811) to 1814 (Vol. 5, No. 26, February 26, 1814). These volumes focus primarily on 19th century politics and government in the United States of America. Niles edited and published the Weekly Register until 1836, making it one of the most widely-circulated magazines in the United States. The popularity also made Niles into one of the most influential journalists of his day. Devoted primarily to politics, Niles' Weekly Register is considered an important source for the history of the period. The Register also recorded current economics, technology, science, medicine, geography, archaeology, the weather, and stories of human interest. Call Number: SPCL PER JK 1 N52

The Weekly Register - September 1811 and Index

Issues for the September 1811 Weekly Register newspaper (Baltimore, Maryland) are divided as follows: September 7th, pages 1-16 September 14th, pages 17-32 September 21st, pages 33-48 September 28th, pages 49-72 PLEASE CLICK ON THE WEEKLY PERIODICALS ON THE RIGHT OF THE SCREEN (PDF FILES)TO DOWNLOAD FILES. Look for other issues of the Weekly Register within this website. The Weekly Register, also known as Niles Weekly Register, was a weekly periodical edited by Hezekiah Niles (1777-1839) and published in Baltimore Maryland. Volumes of interest were published between 1811 (Vol. 1, No. 1, September 7, 1811) to 1814 (Vol. 5, No. 26, February 26, 1814). These volumes focus primarily on 19th century politics and government in the United States of America. Niles edited and published the Weekly Register until 1836, making it one of the most widely-circulated magazines in the United States. The popularity also made Niles into one of the most influential journalists of his day. Devoted primarily to politics, Niles' Weekly Register is considered an important source for the history of the period. The Register also recorded current economics, technology, science, medicine, geography, archaeology, the weather, and stories of human interest. Call Number: SPCL PER JK 1 N52

The Gentleman's Magazine and Historical Chronicle - 1812 July to December Index and Supplement

Specific pages related to the War of 1812 include: Pages 655, 656, 657: Battles on the Niagara Frontier, with the death of Major General Sir Isaac Brock at the Battle of Queenston Heights on October 13, 1812. Page 670: Oct 13 - Obituary for Major General Sir Isaac Brock. Click on the pdf links to the right to view the monthly issue. The Gentleman's Magazine and Historical Chronicle was a monthly periodical published in England during the years of 1736-1833. The volumes of interest from 1812-1815 were written and compiled by Sylvanus Urban, Gentleman. These volumes were printed in London by Nichols, Son and Bentley at Cicero's Head, Red Lion Passage and Fleet Street. The magazine contains accounts of important historical events, abstracts of foreign occurrences, letters from noted figures, articles on geography, biographical entries for prominent people, poems, statistics, obituaries, reviews of books and more.

The Gentleman's Magazine and Historical Chronicle - 1813 January to June - Index and Supplements

The Gentleman's Magazine and Historical Chronicle was a monthly periodical published in England during the years of 1736-1833. The volumes of interest from 1812-1815 were written and compiled by Sylvanus Urban, Gentleman. These volumes were Printed in London by Nichols, Son and Bentley at Cicero's Head, Red Lion Passage and Fleet Street. Click on the pdf links to the right to view the monthly issue. This bound volume has been divided by months. The page divisions are as listed. Index pages 673-700 January pages 1-96 February pages 97-192 March pages 193-296 April pages 297-400 Prefix to May pages 401-408 * May pages 401-504 June pages 505-600 Supplement pages 601-672 *Pages 401-408 are duplicated. Please check both the Prefix to May and May for these pages listed in the Index.

The Gentleman's Magazine and Historical Chronicle - 1813 July to December Index and Supplements

The Gentleman's Magazine and Historical Chronicle was a monthly periodical published in England during the years of 1736-1833. The volumes of interest from 1812-1815 were written and compiled by Sylvanus Urban, Gentleman. These volumes were Printed in London by Nichols, Son and Bentley at Cicero's Head, Red Lion Passage and Fleet Street. Click on the pdf links to the right to view the monthly issue. This bound volume has been divided by months. The page divisions are as listed. Index pages 705-728 July pages 1-96 August pages 97-200 September pages 201-304 October pages 305-408 November pages 409-512 December pages 529-632 Supplement pages 633-704