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.

What happens in the first 200 ms of word reading : ERP studies on visual word recognition with top-down and bottom-up approaches /

In this thesis, three main questions were addressed using event-related potentials (ERPs): (1) the timing of lexical semantic access, (2) the influence of "top-down" processes on visual word processing, and (3) the influence of "bottom-up" factors on visual word processing. The timing of lexical semantic access was investigated in two studies using different designs. In Study 1,14 participants completed two tasks: a standard lexical decision (LD) task which required a word/nonword decision to each target stimulus, and a semantically primed version (LS) of it using the same category of words (e.g., animal) within each block following which participants made a category judgment. In Study 2, another 12 participants performed a standard semantic priming task, where target stimulus words (e.g., nurse) could be either semantically related or unrelated to their primes (e.g., doctor, tree) but the order of presentation was randomized. We found evidence in both ERP studies that lexical semantic access might occur early within the first 200 ms (at about 170 ms for Study 1 and at about 160 ms for Study 2). Our results were consistent with more recent ERP and eye-tracking studies and are in contrast with the traditional research focus on the N400 component. "Top-down" processes, such as a person's expectation and strategic decisions, were possible in Study 1 because of the blocked design, but they were not for Study 2 with a randomized design. Comparing results from two studies, we found that visual word processing could be affected by a person's expectation and the effect occurred early at a sensory/perceptual stage: a semantic task effect in the PI component at about 100 ms in the ERP was found in Study 1 , but not in Study 2. Furthermore, we found that such "top-down" influence on visual word processing might be mediated through separate mechanisms depending on whether the stimulus was a word or a nonword. "Bottom-up" factors involve inherent characteristics of particular words, such as bigram frequency (the total frequency of two-letter combinations of a word), word frequency (the frequency of the written form of a word), and neighborhood density (the number of words that can be generated by changing one letter of an original word or nonword). A bigram frequency effect was found when comparing the results from Studies 1 and 2, but it was examined more closely in Study 3. Fourteen participants performed a similar standard lexical decision task but the words and nonwords were selected systematically to provide a greater range in the aforementioned factors. As a result, a total of 18 word conditions were created with 18 nonword conditions matched on neighborhood density and neighborhood frequency. Using multiple regression analyses, we foimd that the PI amplitude was significantly related to bigram frequency for both words and nonwords, consistent with results from Studies 1 and 2. In addition, word frequency and neighborhood frequency were also able to influence the PI amplitude separately for words and for nonwords and there appeared to be a spatial dissociation between the two effects: for words, the word frequency effect in PI was found at the left electrode site; for nonwords, the neighborhood frequency effect in PI was fovind at the right elecfrode site. The implications of otir findings are discussed.

Armourstone revetments : will standard design criteria prevent failure? /

Bank stabilization structures are used to prevent the loss of valuable land within the urban environment and the decision for the type of structure used depends on the properties of the stream. In the urban areas of Southern Ontario there is a preference for the use of armourstone blocks as bank stabilization. The armourstone revetment is a free standing stone structure with large blocks of stone layered vertically and offset from one another. During fieldwork at Forty Mile Creek in Grimsby, Ontario armourstone failure was identified by the removal of two stones within one column from the wall. Since the footer stones were still in place, toe scour was eliminated as a cause of failure. Through theoretical, field, and experimental work the process of suction has been identified as a mode of failure for the armourstone wall and the process of suction works similarly to quarrying large blocks of rock off bedrock streambeds. The theory of lateral suction has previously not been taken into consideration for the design of these walls. The physical and hydraulic evidence found in the field and studied during experimental work indicate that the armourstone wall is vulnerable to the process of suction. The forces exerted by the flow and the resistance of the block determine the stability of the armourstone block within the wall. The design of the armourstone wall, high surface velocities, and short pulses of faster flowing water within the profile could contribute to armourstone failure by providing the forces needed for suction to occur, therefore adjustments to the design of the wall should be made in order to limit the effect.

The relationship between stem-form, stand-closure and site -conditions : the influence of environmental conditions on tree allometry and forest structure in west-central Alberta

Changes in the configuration of a tree stern result insignificant differences in its total volume and in the proportion of that volume that is merchantable timber. Tree allometry, as represented by stem-fo~, is the result of the vertical force of gravity and the horizontal force of wind. The effect of wind force is demonstrated in the relationship between stem-form, standclosure and site-conditions. An increase in wind force on the individual tree due to a decrease in stand density should produce a more tapered tree. The density of the stand is determined by the conditions that the trees are growing under. The ability of the tree to respond to increased wind force may also be a function of these conditions . This stem-form/stand-closure/site-conditions relationship was examined using a pre-existing database from westcentral Alberta. This database consisted of environmental, vegetation, soils and timber data covering a wide range of sites. There were 653 sample trees with 82 variables that formed the basis of the analysis. There were eight tree species consisting of Pinus contorta, Picea mariana, Picea engelmannii x glauca, Abies lasiocarpa, Larix laricina, Populus tremuloides, Betula papyrifera and Populus balsamifera plus a comprehensive all-species data set. As the actual conformation of the stern is very individual, stem-fo~was represented by the diameter at breast height to total height r~tio. The four stand-closure variables, crown closure, total basal area, total volume and total number of stems were reduced to total basal area and total number of stems utilizing a bivariate correlation matrix by species. Site-conditions were subdivided into macro, meso and micro variables and reduced in number 3 using cross-tabulations, bivariate correlation and principal components analysis as screening tools. The stem-fo~/stand-closure relationship was examined using bivariate correlation coefficients for stem-fo~ with total number of stems and stem-fo~ with total basal area. The stem-fo~/site-conditions and the stand-closure/site- conditions relationships were examined using multiple correlation coefficients. The stem-form/stand-closure/site-conditions relationship was examined using multiple correlation coefficients in separate analyses for both total number of stems and total basal area. An increase in stand-closure produced a decrease in stem-form for both total number of stems and total basal area for most species. There was a significant relationship between stem-form and site-conditions and between stand-closure and site-conditions for both total number of stems and total basal area for most species. There was a significant relationship between the stemform and site-conditions, including the stand-closure, for most species; total number of stems was involved independently of the site-conditions in the prediction of stem-form and total basal area was not. Larix laricina and Betula papyrifera were the exceptions to the trends observed with most species. The influence of both stand-closure (total number of stems in particular) and site-conditions (elevation in particular) suggest that forest management practices should include these- ecological parameters in determining appropriate restocking levels.

Study of new yeast strains as novel starter cultures for Riesling icewine production

Icewine is a sweet dessert wine fermented from the juice of grapes naturally frozen on the vine. The production of Icewine faces many challenges such as sluggish fermentation, which often yields wines with low ethanol, and an accumulation of high concentration of volatile acidity, mainly in the form of acetic acid. This project investigated three new yeast strains as novel starter cultures for Icewine fermentation with particular emphasis on reducing acetic acid production: a naturally occurring strain of S. bayanus/S. pastorianus isolated from Icewine grapes, and two hybrids between S. cerevisiae and S. bayanus, AWRI 1571 and AWRI 1572. These strains were evaluated for sugar consumption patterns and metabolic production of ethanol, glycerol and acetic acid, and were compared to the performance of a standard commercial wine yeast KI-VI116. The ITS rONA region of the two A WRI crosses was also analyzed during fermentations to assess their genomic stability. Icewine fermentations were performed in sterile filtered juice, in the absence of indigenous microflora, and also in unfiltered juice in order to mirror commercial wine making practices. The hybrid A WRI 1572 was found to be a promising candidate as a novel starter culture for Icewine production. I t produced 10.3 % v/v of ethanol in sterile Riesling Icewine fermentations and 11.2 % v/v in the unfiltered ones within a reasonable fermentation time (39 days). Its acetic acid production per gram sugar consumed was approximately 30% lower in comparison with commercial wine yeast K I -V 1116 under both sterile filtered and unfiltered fermentations. The natural isolate S. bayanus/S. pastorianus and AWRI 1571 did not appear to be suitable for commercial Icewine production. They reached the target ethanol concentration of approximately 10 % v/v in 39 day fermentations and also produced less acetic acid as a function of both time and sugar consumed in sterile fermentations compared to KI-V1116. However, in unfiltered fermentations, both of them failed to produce the target concentration of ethanol and accumulated high concentration of acetic acid. Both A WRI crosses displayed higher loss of or reduced copies in ITS rDNA region from the S. bayanus parent compared to the S. cerevisiae parent; however, these genomic losses could not be related to the metabolic profile.

St. Catharines Standard fonds, 1970, 1974, 1988-1991, n.d.

The St. Catharines Standard started publication in 1891 under W.B. Burgoyne. It was subsequently purchased by Southam Newspapers, then Canwest Global Communications. Osprey Media took over the publication until June 1, 2007 when Quebecor acquired the company. The St. Catharines Standard celebrated its centennial in 1991 with mobile displays, a centennial logo and slogan, a Christmas card, an advertising campaign, a video and a centennial theme to regular promotions. As part of the activities, the Standard commissioned Brock University to produce a history of St. Catharines. This book entitled St. Catharines Canada’s Canal City is a popular book rather than an academic text. The authors have woven together stories of the past and present to showcase the character and personality of St. Catharines. The book is full of maps and photographs, many of which had not been seen in print before this time.

Burgoyne Centre for Entrepreneurship fonds

An Entrepreneurship Centre was established at Brock University in 1988 as a joint venture between the University and the City of St. Catharines. In Januaray 1989, a generous donation was made to the Centre by the Burgoyne family, proprietors of the St. Catharines Standard. The Centre subsequently became known as the Burgoyne Centre for Entrepreneurship (BCE). The Centre’s mission was to “promote excellence in research, education and training for entrepreneur development and new venture creation”. To achieve this objective, it was necessary for the BCE to become a community focal point and serve as a link between academic, private and government sectors in the Niagara Region that were involved in entrepreneurial activities. This was primarily done with the provision of educational programs offered through cooperating organizations. Funding for the Centre came from multiple sources, including fees for services and contract research, endowments and grants, as well as Brock University. An Advisory Council, composed of local prominent businesspeople and chaired by Henry Burgoyne, assisted the Centre with promotion and fundraising. The partnerships established by the BCE with other community bodies such as the Lincoln County Board of Education and the Niagara Region Development Corporation resulted in important collaborative community initiatives such as the Niagara Enterprise Agency and the New Enterprise Store. Such collaborations increased the Centre’s profile without duplicating or competing with services offered by existing agencies. The BCE was also instrumental in establishing an entrepreneurship curriculum for secondary school students, and collaborated with the Faculty of Education at Brock University to offer an Ontario Secondary School Entrepreneurship Specialist Teaching Certificate Program to teachers. As the BCE became more prolific in the community, and the iniatives it fostered in the community began to thrive, the Centre’s leadership required the authority to make instantaneous decisions. This was at odds with the hierarchical structure of the University, to which the BCE was accountable. Ultimately, this situation led to the demise of the Centre. The university focused its efforts on academic research and undergraduate courses, while the community partners took responsibility for any joint programs.

The form and function of aggressive subtypes: Relations with the goodness of fit between adolescent temperament and parent personality

The current research investigated whether the interaction between adolescent temperament and parent personality, consistent with the goodness of fit perspective, differentially predicted overt (e.g., kicking, punching, insulting) and relational (e.g., gossiping, rumour spreading, ostracising) forms of reactive (e.g., provoked, a response to goal blocking, unplanned and emotional) and proactive (e.g., unprovoked, goal-directed, deliberate and relatively unemotional) aggression. Mothers, fathers and their adolescent child (N = 448, age 10-17) from southern Ontario, Canada filled out questionnaires on adolescent temperament (i.e., frustration, fear, and effortful control) and aggression. Parents reported on their own personality traits (i.e., agreeableness, conscientiousness, and emotional stability). The form and function of aggression not encompassed by the subtype under investigation were controlled in each regression analysis. Consistent with the hypothesis, results indicated that a poor fit between adolescent temperament vulnerabilities and lower parent personality traits, including agreeableness, conscientiousness and emotional stability, was predictive of greater levels of differentiated aggression. For instance, lower father conscientiousness strengthened the relation between higher frustration and reactive overt aggression. Unexpectedly in some cases, temperament risk factors were more strongly associated with aggression subtypes when personality scores were at higher levels, particularly agreeableness and conscientiousness, traits normally considered to be at the optimal end of the dimension. For example, higher father agreeableness strengthened the relation between higher frustration and reactive relational aggression. At the main effects level, low fearfulness was significantly associated with only the overt subtypes of aggression, and unexpectedly, higher frustration and lower effortful control were related to both proactive and reactive subtypes of aggression. A temperamentally vulnerable adolescent was also at greater risk of displaying aggressive behaviour when the father lacked emotional stability, but not the mother. These results are broadly consistent with the prediction that temperament risk factors are more strongly associated with aggression subtypes when an adolescent predisposition does not fit well with parent personality traits. Mechanisms pertaining to stress in the family environment and the fostering of self-regulation abilities are discussed with respect to why a poor fit between temperament and parent personality is predictive of adolescent differentiated aggression.

Application of thermal ion-molecule reactions in tackling spectroscopic inferences in inductively coupled plasma mass spectrometry

Part I: Ultra-trace determination of vanadium in lake sediments: a performance comparison using O2, N20, and NH3 as reaction gases in ICP-DRC-MS Thermal ion-molecule reactions, targeting removal of specific spectroscopic interference problems, have become a powerful tool for method development in quadrupole based inductively coupled plasma mass spectrometry (ICP-MS) applications. A study was conducted to develop an accurate method for the determination of vanadium in lake sediment samples by ICP-MS, coupled with a dynamic reaction cell (DRC), using two differenvchemical resolution strategies: a) direct removal of interfering C10+ and b) vanadium oxidation to VO+. The performance of three reaction gases that are suitable for handling vanadium interference in the dynamic reaction cell was systematically studied and evaluated: ammonia for C10+ removal and oxygen and nitrous oxide for oxidation. Although it was able to produce comparable results for vanadium to those using oxygen and nitrous oxide, NH3 did not completely eliminate a matrix effect, caused by the presence of chloride, and required large scale dilutions (and a concomitant increase in variance) when the sample and/or the digestion medium contained large amounts of chloride. Among the three candidate reaction gases at their optimized Eonditions, creation of VO+ with oxygen gas delivered the best analyte sensitivity and the lowest detection limit (2.7 ng L-1). Vanadium results obtained from fourteen lake sediment samples and a certified reference material (CRM031-040-1), using two different analytelinterference separation strategies, suggested that the vanadium mono-oxidation offers advantageous performance over the conventional method using NH3 for ultra-trace vanadium determination by ICP-DRC-MS and can be readily employed in relevant environmental chemistry applications that deal with ultra-trace contaminants.Part II: Validation of a modified oxidation approach for the quantification of total arsenic and selenium in complex environmental matrices Spectroscopic interference problems of arsenic and selenium in ICP-MS practices were investigated in detail. Preliminary literature review suggested that oxygen could serve as an effective candidate reaction gas for analysis of the two elements in dynamic reaction cell coupled ICP-MS. An accurate method was developed for the determination of As and Se in complex environmental samples, based on a series of modifications on an oxidation approach for As and Se previously reported. Rhodium was used as internal standard in this study to help minimize non-spectral interferences such as instrumental drift. Using an oxygen gas flow slightly higher than 0.5 mL min-I, arsenic is converted to 75 AS160+ ion in an efficient manner whereas a potentially interfering ion, 91Zr+, is completely removed. Instead of using the most abundant Se isotope, 80Se, selenium was determined by a second most abundant isotope, 78Se, in the form of 78Se160. Upon careful selection of oxygen gas flow rate and optimization ofRPq value, previous isobaric threats caused by Zr and Mo were reduced to background levels whereas another potential atomic isobar, 96Ru+, became completely harmless to the new selenium analyte. The new method underwent a strict validation procedure where the recovery of a suitable certified reference material was examined and the obtained sample data were compared with those produced by a credible external laboratory who analyzed the same set of samples using a standardized HG-ICP-AES method. The validation results were satisfactory. The resultant limits of detection for arsenic and selenium were 5 ng L-1 and 60 ng L-1, respectively.

Social Economy and Developmental Disabilities: An Employment Option that Promotes a Form of Authentic Work and Fosters Social Inclusion

Typical employment options for people with developmental disabilities are insufficient. Most employment opportunities that are community-based provide typical workplace and geographical inclusion but tend not to support social inclusion and "belonging". This study explored the innovative employment alternative of social businesses and considered this form of employment for persons with a developmental disability as a viable avenue for meaningful work and social inclusion. A total of six business partners with a developmental disability were interviewed; two partners from three separate worker owned businesses. The partners' descriptions of their job and their workplace composed the interpretative findings. The social businesses provided an avenue for this group of people who tend to be segregated in isolated workshops or marginalized in mainstream work environments and who feel a sense of being "outsiders" to participate in meaningful work in community settings. This group of partners described their job as authentic "work" and discussed the many skills and the work ethic learned from their employment opportunity. In addition to the instrumental aspects of the job, the partners also discussed the group autonomy and self-determination of being their own "bosses". The partners confidently expressed feeling valued, understood in the context of others with similar life experiences, attached to the workplace and connected to a larger community as important outcomes of their businesses. These criteria of social inclusion (Hall, 2010) were complemented by teamwork, friendship and ultimately, with a feeling of being genuine "insiders". Replication of this innovative employment model would be recommended for groups of marginalized people with DD in other geographic areas.

Orderly book, Second Regiment of U.S. Dragoons, New York, 1812-1813

The Second U.S. Regiment of Light Dragoons was formed in January 1812. In March of 1814, it merged with the First U.S. Regiment of Light Dragoons to form the Regiment of Light Dragoons.

Orderly book, Second Regiment of U.S. Dragoons, New York, 1812-1813

An orderly book of the Second Regiment of U.S. Dragoons, New York, dated August 14, 1812-July 29, 1813. The book contains orders pertaining to day-to-day military matters, such as punishments for disobedience, court-martial proceedings, camp rules and regulations, and guidelines for interacting with civilians in the vicinity of the camp. The Regiment was stationed at various locations in upstate New York and Canada, including Greenbush, Albany, Sackets Harbor, Utica, Geneva, Fort Niagara and Fort George. General Henry Dearborn originally commanded the Regiment at Greenbush. Names noted in this book include:E. Beebe, Deputy Adjt. General; William King, Capt. 15th; John Chandler, General ;W. Gamewood, Major ;James Burns, Colonel;John Woodford, Major; Andrew McDowell, Capt.; Abm. Gustis, Major; C.W. Hunter, Brigade Major; Selden, Captain; Holland, Captain; Harris, Captain; Clarkson, Lieutenant; Johnson, Lieutenant; Robert Craig, Adjt.; R.G. Hith, A.A. General. Also included with the orderly book are a monthly return form, a contract for medical services, and a bonus pay voucher for Thomas Blunt. The monthly return form is partially completed and dated January 1813 at Greenbush, New York. It is signed by Captain Jonas Holland. The contract is dated May 20, 1812, between John Dodge, physician and surgeon, and Jonas Holland. The contract describes the services required of the physician and the salary to be paid. The bonus pay voucher is dated April 25, 1813, for $8.00 paid to Thomas Blunt by Captain Jonas Holland for 'enlisting into the army of the United States for five years'.