Three essays on asset pricing

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results, supporting the simpler-is-better contention. However, the Whaley model does under/overprice out-of-the-money call/put VIX options, which is contrary to the behavior of stock index option pricing models. In Chapter IV, I explore risk pricing through a model of time-changed Lvy processes based on the joint evidence from individual stock options and underlying stocks. I specify a pricing kernel that prices idiosyncratic and systematic risks. This approach to examining risk premia on stocks deviates from existing studies. The empirical results show that the market pays positive premia for idiosyncratic and market jump-diffusion risk, and idiosyncratic volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The positive premium on idiosyncratic risk runs contrary to the implications of traditional capital asset pricing theory.

Design of a low power - high temperature heated ceramic sensor to detect halogen gases

The design, construction and optimization of a low power-high temperature heated ceramic sensor to detect leaking of halogen gases in refrigeration systems are presented. The manufacturing process was done with microelectronic assembly and the Low Temperature Cofire Ceramic (LTCC) technique. Four basic sensor materials were fabricated and tested: Li2SiO3, Na2SiO3, K2SiO3, and CaSiO 3. The evaluation of the sensor material, sensor size, operating temperature, bias voltage, electrodes size, firing temperature, gas flow, and sensor life was done. All sensors responded to the gas showing stability and reproducibility. Before exposing the sensor to the gas, the sensor was modeled like a resistor in series and the calculations obtained were in agreement with the experimental values. The sensor response to the gas was divided in surface diffusion and bulk diffusion; both were analyzed showing agreement between the calculations and the experimental values. The sensor with 51.5%CaSiO3 + 48.5%Li 2SiO3 shows the best results, including a stable current and response to the gas. ^

Design of a Low Power – High Temperature Heated Ceramic Sensor to Detect Halogen Gases

The design, construction and optimization of a low power-high temperature heated ceramic sensor to detect leaking of halogen gases in refrigeration systems are presented. The manufacturing process was done with microelectronic assembly and the Low Temperature Cofire Ceramic (LTCC) technique. Four basic sensor materials were fabricated and tested: Li2SiO3, Na2SiO3, K2SiO3, and CaSiO3. The evaluation of the sensor material, sensor size, operating temperature, bias voltage, electrodes size, firing temperature, gas flow, and sensor life was done. All sensors responded to the gas showing stability and reproducibility. Before exposing the sensor to the gas, the sensor was modeled like a resistor in series and the calculations obtained were in agreement with the experimental values. The sensor response to the gas was divided in surface diffusion and bulk diffusion; both were analyzed showing agreement between the calculations and the experimental values. The sensor with 51.5%CaSiO3 + 48.5%Li2SiO3 shows the best results, including a stable current and response to the gas.

Three Essays on Asset Pricing

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results, supporting the simpler-is-better contention. However, the Whaley model does under/overprice out-of-the-money call/put VIX options, which is contrary to the behavior of stock index option pricing models. In Chapter IV, I explore risk pricing through a model of time-changed Lévy processes based on the joint evidence from individual stock options and underlying stocks. I specify a pricing kernel that prices idiosyncratic and systematic risks. This approach to examining risk premia on stocks deviates from existing studies. The empirical results show that the market pays positive premia for idiosyncratic and market jump-diffusion risk, and idiosyncratic volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The positive premium on idiosyncratic risk runs contrary to the implications of traditional capital asset pricing theory.

"To hold the world in contempt": The British Empire, war, and the Irish and Indian nationalist press, 1899–1914

The era between the close of the nineteenth century and the onset of the First World War witnessed a marked increase in radical agitation among Indian and Irish nationalists. The most outspoken political leaders of the day founded a series of widely circulated newspapers in India and Ireland, placing these editors in the enviable position of both reporting and creating the news. Nationalist journalists were in the vanguard of those pressing vocally for an independent India and Ireland, and together constituted an increasingly problematic contingent for the British Empire. The advanced-nationalist press in Ireland and the nationalist press in India took the lead in facilitating the exchange of provocative ideas--raising awareness of perceived imperial injustices, offering strategic advice, and cementing international solidarity. Irish and Indian press coverage of Britain's imperial wars constituted one of the premier weapons in the nationalists' arsenal, permitting them to build support for their ideology and forward their agenda in a manner both rapid and definitive. Directing their readers' attention to conflicts overseas proved instructive in how the Empire dealt with those who resisted its policies, and also showcased how it conducted its affairs with its allies. As such, critical press coverage of the Boxer Rebellion, Boer War, Russo-Japanese War, and World War I bred disaffection for the Empire, while attempts by the Empire to suppress the critiques further alienated the public. This dissertation offers the first comparative analysis of the major nationalist press organs in India and Ireland, using the prism of war to illustrate the increasingly persuasive role of the press in promoting resistance to the Empire. It focuses on how the leading Indian and Irish editors not only fostered a nationalist agenda within their own countries, but also worked in concert to construct a global anti-imperialist platform. By highlighting the anti-imperial rhetoric of the nationalist press in India and Ireland and illuminating their strategies for attaining self-government, this study deepens understanding of the seeds of nationalism, making a contribution to comparative imperial scholarship, and demonstrating the power of the media to alter imperial dynamics and effect political change.

Analysis of the lateral diffuse metal-oxide semiconductor (LDMOS) power amplifier for cellular base stations

The primary purpose of this thesis was to present a theoretical large-signal analysis to study the power gain and efficiency of a microwave power amplifier for LS-band communications using software simulation. Power gain, efficiency, reliability, and stability are important characteristics in the power amplifier design process. These characteristics affect advance wireless systems, which require low-cost device amplification without sacrificing system performance. Large-signal modeling and input and output matching components are used for this thesis. Motorola's Electro Thermal LDMOS model is a new transistor model that includes self-heating affects and is capable of small-large signal simulations. It allows for most of the design considerations to be on stability, power gain, bandwidth, and DC requirements. The matching technique allows for the gain to be maximized at a specific target frequency. Calculations and simulations for the microwave power amplifier design were performed using Matlab and Microwave Office respectively. Microwave Office is the simulation software used in this thesis. The study demonstrated that Motorola's Electro Thermal LDMOS transistor in microwave power amplifier design process is a viable solution for common-source amplifier applications in high power base stations. The MET-LDMOS met the stability requirements for the specified frequency range without a stability-improvement model. The power gain of the amplifier circuit was improved through proper microwave matching design using input/output-matching techniques. The gain and efficiency of the amplifier improve approximately 4dB and 7.27% respectively. The gain value is roughly .89 dB higher than the maximum gain specified by the MRF21010 data sheet specifications. This work can lead to efficient modeling and development of high power LDMOS transistor implementations in commercial and industry applications.

Does the Pareto Distribution of Hurricane Damage Inherit its Fat Tail from a Zipf Distribution of Assets at Hazard?

Tropical Cyclones are a continuing threat to life and property. Willoughby (2012) found that a Pareto (power-law) cumulative distribution fitted to the most damaging 10% of US hurricane seasons fit their impacts well. Here, we find that damage follows a Pareto distribution because the assets at hazard follow a Zipf distribution, which can be thought of as a Pareto distribution with exponent 1. The Z-CAT model is an idealized hurricane catastrophe model that represents a coastline where populated places with Zipf- distributed assets are randomly scattered and damaged by virtual hurricanes with sizes and intensities generated through a Monte-Carlo process. Results produce realistic Pareto exponents. The ability of the Z-CAT model to simulate different climate scenarios allowed testing of sensitivities to Maximum Potential Intensity, landfall rates and building structure vulnerability. The Z-CAT model results demonstrate that a statistical significant difference in damage is found when only changes in the parameters create a doubling of damage.

"To Hold the World in Contempt": The British Empire, War, and the Irish and Indian Nationalist Press, 1899-1914

The era between the close of the nineteenth century and the onset of the First World War witnessed a marked increase in radical agitation among Indian and Irish nationalists. The most outspoken political leaders of the day founded a series of widely circulated newspapers in India and Ireland, placing these editors in the enviable position of both reporting and creating the news. Nationalist journalists were in the vanguard of those pressing vocally for an independent India and Ireland, and together constituted an increasingly problematic contingent for the British Empire. The advanced-nationalist press in Ireland and the nationalist press in India took the lead in facilitating the exchange of provocative ideas—raising awareness of perceived imperial injustices, offering strategic advice, and cementing international solidarity. Irish and Indian press coverage of Britain’s imperial wars constituted one of the premier weapons in the nationalists’ arsenal, permitting them to build support for their ideology and forward their agenda in a manner both rapid and definitive. Directing their readers’ attention to conflicts overseas proved instructive in how the Empire dealt with those who resisted its policies, and also showcased how it conducted its affairs with its allies. As such, critical press coverage of the Boxer Rebellion, Boer War, Russo-Japanese War, and World War I bred disaffection for the Empire, while attempts by the Empire to suppress the critiques further alienated the public. This dissertation offers the first comparative analysis of the major nationalist press organs in India and Ireland, using the prism of war to illustrate the increasingly persuasive role of the press in promoting resistance to the Empire. It focuses on how the leading Indian and Irish editors not only fostered a nationalist agenda within their own countries, but also worked in concert to construct a global anti-imperialist platform. By highlighting the anti-imperial rhetoric of the nationalist press in India and Ireland and illuminating their strategies for attaining self-government, this study deepens understanding of the seeds of nationalism, making a contribution to comparative imperial scholarship, and demonstrating the power of the media to alter imperial dynamics and effect political change.