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.

Competing demands for a complex system : photosystem II repair, photoprotection and quantum yield

Photosynthesis in general is a key biological process on Earth and Photo system II (PSII) is an important component of this process. PSII is the only enzyme capable of oxidizing water and is largely responsible for the primordial build-up and present maintenance of the oxygen in the atmosphere. This thesis endeavoured to understand the link between structure and function in PSII with special focus on primary photochemistry, repair/photodamage and spectral characteristics. The deletion of the PsbU subunit ofPSII in cyanobacteria caused a decoupling of the Phycobilisomes (PBS) from PSII, likely as a result of increased rates of PSII photodamage with the PBS decoupling acting as a measure to protect PSII from further damage. Isolated fractions of spinach thylakoid membranes were utilized to characterize the heterogeneity present in the various compartments of the thylakoid membrane. It was found that the pooled PSIILHCII pigment populations were connected in the grana stack and there was also a progressive decrease in the reaction rates of primary photochemistry and antennae size of PSII as the sample origin moved from grana to stroma. The results were consistent with PSII complexes becoming damaged in the grana and being sent to the stroma for repair. The dramatic quenching of variable fluorescence and overall fluorescent yield of PSII in desiccated lichens was also studied in order to investigate the mechanism by which the quenching operated. It was determined that the source of the quenching was a novel long wavelength emitting external quencher. Point mutations to amino acids acting as ligands to chromophores of interest in PSII were utilized in cyanobacteria to determine the role of specific chromophores in energy transfer and primary photochemistry. These results indicated that the Hl14 ligated chlorophyll acts as the 'trap' chlorophyll in CP47 at low temperature and that the Q130E mutation imparts considerable changes to PSII electron transfer kinetics, essentially protecting the complex via increased non-radiative charge Photosynthesis in general is a key biological process on Earth and Photo system II (PSII) is an important component of this process. PSII is the only enzyme capable of oxidizing water and is largely responsible for the primordial build-up and present maintenance of the oxygen in the atmosphere. This thesis endeavoured to understand the link between structure and function in PSII with special focus on primary photochemistry, repair/photodamage and spectral characteristics. The deletion of the PsbU subunit ofPSII in cyanobacteria caused a decoupling of the Phycobilisomes (PBS) from PSII, likely as a result of increased rates of PSII photodamage with the PBS decoupling acting as a measure to protect PSII from further damage. Isolated fractions of spinach thylakoid membranes were utilized to characterize the heterogeneity present in the various compartments of the thylakoid membrane. It was found that the pooled PSIILHCII pigment populations were connected in the grana stack and there was also a progressive decrease in the reaction rates of primary photochemistry and antennae size of PSII as the sample origin moved from grana to stroma. The results were consistent with PSII complexes becoming damaged in the grana and being sent to the stroma for repair. The dramatic quenching of variable fluorescence and overall fluorescent yield of PSII in desiccated lichens was also studied in order to investigate the mechanism by which the quenching operated. It was determined that the source of the quenching was a novel long wavelength emitting external quencher. Point mutations to amino acids acting as ligands to chromophores of interest in PSII were utilized in cyanobacteria to determine the role of specific chromophores in energy transfer and primary photochemistry. These results indicated that the Hl14 ligated chlorophyll acts as the 'trap' chlorophyll in CP47 at low temperature and that the Q130E mutation imparts considerable changes to PSII electron transfer kinetics, essentially protecting the complex via increased non-radiative charge.

The Terroir of Winter Hardiness: Investigation of Winter Hardiness, Water Metrics, and Yield of Riesling and Cabernet Franc in the Niagara Region Using Geomatic Technologies

Grapevine winter hardiness is a key factor in vineyard success in many cool climate wine regions. Winter hardiness may be governed by a myriad of factors in addition to extreme weather conditions – e.g. soil factors (texture, chemical composition, moisture, drainage), vine water status, and yield– that are unique to each site. It was hypothesized that winter hardiness would be influenced by certain terroir factors , specifically that vines with low water status [more negative leaf water potential (leaf ψ)] would be more winter hardy than vines with high water status (more positive leaf ψ). Twelve different vineyard blocks (six each of Riesling and Cabernet franc) throughout the Niagara Region in Ontario, Canada were chosen. Data were collected during the growing season (soil moisture, leaf ψ), at harvest (yield components, berry composition), and during the winter (bud LT50, bud survival). Interpolation and mapping of the variables was completed using ArcGIS 10.1 (ESRI, Redlands, CA) and statistical analyses (Pearson’s correlation, principal component analysis, multilinear regression) were performed using XLSTAT. Clear spatial trends were observed in each vineyard for soil moisture, leaf ψ, yield components, berry composition, and LT50. Both leaf ψ and berry weight could predict the LT50 value, with strong positive correlations being observed between LT50 and leaf ψ values in eight of the 12 vineyard blocks. In addition, vineyards in different appellations showed many similarities (Niagara Lakeshore, Lincoln Lakeshore, Four Mile Creek, Beamsville Bench). These results suggest that there is a spatial component to winter injury, as with other aspects of terroir, in the Niagara region.

Forecasting the Yield Curve of Government Bonds: A Comparative Study

For the past 20 years, researchers have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor model, and estimate this dynamic model using the Kalman filter. We compare both in-sample and out-of-sample performance of our dynamic methods with various other models in the literature. We find that our dynamic model dominates existing models in medium- and long-horizon yield curve predictions. However, the dynamic model should be used with caution when forecasting short maturity yields