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.

The Transfer of Wilderness Trips to the Everyday Lives of Young People: A Case Study

There has been considerable research that investigates the outcomes, benefits, and perceptions of wilderness trip experiences. However, the transfer of learning from a wilderness trip to the everyday lives of youth trip participants, that has deliberately explored post-trip experience, is minimal. Using a qualitative multi-case study approach, methods of data collection included interviews with six youth program participants, six parents/legal guardians, and three program staff, as well as document solicitation. Reports from the participants suggested that the key content transferred to a post-wilderness trip context were interpersonal skills; life skills; and instances of personal growth. Participants applied their learning content from the wilderness trip to school; sports; community and international volunteering; work and career aspirations; family and home life; and social life contexts. Implications for adventure programming and curriculum design, instruction, and transfer are considered.

A DFT Guided/Experimental Approach to Asymmetric Allylation and Phase-Transfer Catalysis

The Dudding group is interested in the application of Density Functional Theory (DFT) in developing asymmetric methodologies, and thus the focus of this dissertation will be on the integration of these approaches. Several interrelated subsets of computer aided design and implementation in catalysis have been addressed during the course of these studies. The first of the aims rested upon the advancement of methodologies for the synthesis of biological active C(1)-chiral 3-methylene-indan-1-ols, which in practice lead to the use of a sequential asymmetric Yamamoto-Sakurai-Hosomi allylation/Mizoroki Heck reaction sequence. An important aspect of this work was the utilization of ortho-substituted arylaldehyde reagents which are known to be a problematic class of substrates for existing asymmetric allylation approaches. The second phase of my research program lead to the further development of asymmetric allylation methods using o-arylaldehyde substrates for synthesis of chiral C(3)-substituted phthalides. Apart from the de novo design of these chemistries in silico, which notably utilized water-tolerant, inexpensive, and relatively environmental benign indium metal, this work represented the first computational study of a stereoselective indium-mediated process. Following from these discoveries was the advent of a related, yet catalytic, Ag(I)-catalyzed approach for preparing C(3)-substituted phthalides that from a practical standpoint was complementary in many ways. Not only did this new methodology build upon my earlier work with the integrated (experimental/computational) use of the Ag(I)-catalyzed asymmetric methods in synthesis, it provided fundamental insight arrived at through DFT calculations, regarding the Yamamoto-Sakurai-Hosomi allylation. The development of ligands for unprecedented asymmetric Lewis base catalysis, especially asymmetric allylations using silver and indium metals, followed as a natural extension from these earlier discoveries. To this end, forthcoming as well was the advancement of a family of disubstituted (N-cyclopropenium guanidine/N-imidazoliumyl substituted cyclopropenylimine) nitrogen adducts that has provided fundamental insight into chemical bonding and offered an unprecedented class of phase transfer catalysts (PTC) having far-reaching potential. Salient features of these disubstituted nitrogen species is unprecedented finding of a cyclopropenium based C-H•••πaryl interaction, as well, the presence of a highly dissociated anion projected them to serve as a catalyst promoting fluorination reactions. Attracted by the timely development of these disubstituted nitrogen adducts my last studies as a PhD scholar has addressed the utility of one of the synthesized disubstituted nitrogen adducts as a valuable catalyst for benzylation of the Schiff base N-diphenyl methylene glycine ethyl ester. Additionally, the catalyst was applied for benzylic fluorination, emerging from this exploration was successful fluorination of benzyl bromide and its derivatives in high yields. A notable feature of this protocol is column-free purification of the product and recovery of the catalyst to use in a further reaction sequence.

Electron Transfer Involving the Phylloquinone (A1) Cofactor of Photosystem I Examined with Time Resolved Absorbance and Electron Paramagnetic Resonance Spectroscopy

The dependence of the electron transfer (ET) rate on the Photosystem I (PSI) cofactor phylloquinone (A1) is studied by time-resolved absorbance and electron paramagnetic resonance (EPR) spectroscopy. Two active branches (A and B) of electron transfer converge to the FX cofactor from the A1A and A1B quinone. The work described in Chapter 5 investigates the single hydrogen bond from the amino acid residue PsaA-L722 backbone nitrogen to A1A for its effect on the electron transfer rate to FX. Room temperature transient EPR measurements show an increase in the rate for the A1A- to FX for the PsaA-L722T mutant and an increased hyperfine coupling to the 2-methyl group of A1A when compared to wild type. The Arrhenius plot of the A1A- to FX ET in the PsaA-L722T mutant suggests that the increased rate is probably the result of a slight change in the electronic coupling between A1A- and FX. The reasons for the non-Arrhenius behavior are discussed. The work discussed in Chapter 6 investigates the directionality of ET at low temperature by blocking ET to the iron-sulfur clusters FX, FA and FB in the menB deletion mutant strain of Synechocyctis sp. PCC 6803, which is unable to synthesize phylloquinone, by incorporating the high midpoint potential (49 mV vs SHE) 2,3-dichloro-1,4-naphthoquinone (Cl2NQ) into the A1A and A1B binding sites. Various EPR spectroscopic techniques were implemented to differentiate between the spectral features created from A and B- branch electron transfer. The implications of this result for the directionality of electron transfer in PS I are discussed. The work discussed in Chapter 7 was done to study the dependence of the heterogeneous ET at low temperature on A1 midpoint potential. The menB PSI mutant contains plastiquinone-9 in the A1 binding site. The solution midpoint potential of the quinone measures 100 mV more positive then wild-type phylloquinone. The irreversible ET to the terminal acceptors FA and FB at low temperature is not controlled by the forward step from A1 to FX as expected due to the thermodynamic differences of the A1 cofactor in the two active branches A and B. Alternatives for the ET heterogeneity are discussed.

Letter to John I. Mackenzie from S.D, Woodruff regarding a transfer of Long Point shooting shares

Letter to John I. Mackenzie from S.D, Woodruff regarding a transfer of Long Point shooting shares, Dec. 13, 1881.

Telegram from Montreal and Dominion Telegraph Companies’ Lines to Louis Cabot stating that Mr. Woodruff has arranged to transfer the shares

Telegram from Montreal and Dominion Telegraph Companies’ Lines to Louis Cabot stating that Mr. Woodruff has arranged to transfer the shares, Jan. 18, 1886.

The Ligand and Membrane-binding Behaviour of the Phosphatidylinositol Transfer Proteins (PITPa & PITPb)

Human Class I phosphatidylinositol transfer proteins (PITPs) exists in two forms: PITPα and PITPβ. PITPs are believed to be lipid transfer proteins based on their capacity to transfer either phosphatidylinositol (PI) or phosphatidylcholine (PC) between membrane compartments in vitro. In Drosophila, the PITP domain is found to be part of a multi-domain protein named retinal degeneration B (RdgBα). The PITP domain of RdgBα shares 40 % sequence identity with PITPα and has been shown to possess PI and PC binding and transfer activity. The detailed molecular mechanism of ligand transfer by the human PITPs and the Drosophila PITP domain remains to be fully established. Here, we investigated the membrane interactions of these proteins using dual polarization interferometry (DPI). DPI is a technique that measures protein binding affinity to a flat immobilized lipid bilayer. In addition, we also measured how quickly these proteins transfer their ligands to lipid vesicles using a fluorescence resonance energy transfer (FRET)-based assay. DPI investigations suggest that PITPβ had a two-fold higher affinity for membranes compared to PITPα. This was reflected by a four-fold faster ligand transfer rate for PITPβ in comparison to PITPα as determined by the FRET assay. Interestingly, DPI analysis also demonstrated that PI-bound human PITPs have lower membrane affinity compared to PC-bound PITPs. In addition, the FRET studies demonstrated the significance of membrane curvature in the ligand transfer rate of PITPs. The ligand transfer rate was higher when the accepting vesicles were highly curved. Furthermore, when the accepting vesicles contained phosphatidic acid (PA) which have smaller head groups, the transfer rate increased. In contrast, when the accepting vesicles contained phosphoinositides which have larger head groups, the transfer rate was diminished. However, PI, the favorite ligand of PITPs, or the presence of anionic lipids did not appear to influence the ligand transfer rate of PITPs. Both DPI and FRET examinations revealed that the PITP domain of RdgBα was able to bind to membranes. However, the RdgBα PITP domain appears to be a poor binder and transporter of PC.

Indenture of transfer of parcels of land purchased at sales of land for taxes to Joseph A. Woodruff of the Town of Clifton

Indenture of transfer of parcels of land purchased at sales of land for taxes to Joseph A. Woodruff of the Town of Clifton. Transferred by The Honourable Walter Hamilton Dickson of the Town of Niagara. These lands are located in Caistor, Wainfleet, Humberstone, Crowland, Grimsby, Gainsboro and Pelham, Nov. 1, 1861.

Comparing Predictive Accuracy of Real Estate Pricing Models: An Applied Study for the City of Montreal.

Rapport de recherche

Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option prices, we obtain similar pricing errors than with implied volatility alone as in the Hull-White case. When we specialize this model to an equilibrium recursive utility model, we show through simulations that option prices are more informative than stock prices about the structural parameters of the model. We also show that a simple method of moments with a panel of option prices provides good estimates of the parameters of the model. This lays the ground for an empirical assessment of this equilibrium model with S&P 500 option prices in terms of pricing errors.

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Risk Aversion, Intertemporal Substitution, and Option Pricing

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price, the necessary statistical hypotheses for homogeneity provide BS-shaped option prices in equilibrium. This BS-shaped option-pricing formula allows us to derive interesting characterizations of the volatility smile, that is, the pattern of BS implicit volatilities as a function of the option moneyness. First, the asymmetry of the smile is shown to be equivalent to a particular form of asymmetry of the equivalent martingale measure. Second, this asymmetry appears precisely when there is either a premium on an instantaneous interest rate risk or on a generalized leverage effect or both, in other words, whenever the option pricing formula is not preference-free. Therefore, the main conclusion of our analysis for practitioners should be that an asymmetric smile is indicative of the relevance of preference parameters to price options.

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. the conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. the inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.