Monte Carlo valuation of worst-of auto-callable equity swaps

This thesis proposes a Monte Carlo valuation method for Worst-of Auto-callable equity swaps. The valuation of this type of swap usually requires complex numerical methods which are implemented in “black-box” valuation systems. The method proposed is an alternative benchmark tool that is relatively simple to implement and customize. The performance of the method was evaluated according to the variance and bias of the output and to the accuracy when compared to a leading valuation system in the market.

Role of Intersectoral Collaboration in Mental Health Policy Formulation And Service Delivery in Saint Lucia

RESUMO: Santa Lúcia pequena ilha de país em desenvolvimento com recursos limitados e é confrontada com uma série de desafios socioeconômicos que exigem soluções criativas e inovadoras. É comprovado que a combinação de recursos entre setores para estabelecer os determinantes social, econômico e ambiental da saúde são uma estratégia útil para melhorar a saúde da população, principalmente a sua saúde mental. Este estudo, o primeiro do seu tipo em Santa Lúcia, procurou examinar até que ponto a disponibilidade de uma política nacional de saúde mental levou a ação intersetorial para o fornecimento de serviços e promoção da saúde mental. Além disso, o estudo examinou o nível de colaboração intersetorial que existe entre as agências que prestam cuidados diretos e serviços de suporte para pessoas com doenças mentais e problemas sérios de saúde mental. O estudo também teve como objetivo identificar os fatores que promovem ou dificultam a colaboração intersectorial e gerar recomendações que possam ser aplicadas para países muito pequenos e com perfis socioeconômicos semelhantes. Os dados gerados a partir de três (3) fontes foram sintetizados para formar uma visão ampla das questões. Uma avaliação da política de saúde mental de 2007, uma avaliação que identifica até que ponto a ação intersetorial atualmente deixa a prestação de serviços de saúde mental e a administração de entrevistas semiestruturadas nas mãos de gestores do programa de diferentes agências em todos os setores. O estudo concluiu que, apesar da disponibilidade de uma política de saúde mental, que articula clara e explicitamente a colaboração intersetorial como área prioritária para ação, quase não existe no sistema de fornecimento atual do serviço. Os provedores de serviços em todos os setores reconhecem que há os benefícios da colaboração intersectorial e com entraves significativos em relação à colaboração intersetorial, que por sua vez, impede uma abordagem nacional para o planejamento e o fornecimento do serviço. A colaboração intersetorial não será possível se os próprios setores dependerem da abordagem direta do setor da saúde ou se a atmosfera geral for ofuscada pela estigmatização das doenças mentais.------------------------------------------------------------------------ABSTRACT: Saint Lucia a small island developing country with limited resources, is faced with a number of socio-economic challenges which require creative and innovative solutions to address. Combining resources across sectors to address the social, economic and environmental determinants of health has proven to be a useful strategy for improving population health in particular mental health. This study, the first of its kind for Saint Lucia sought to examine the extent to which the availability of a national mental health policy led to intersectoral action for mental health promotion and service delivery. In addition the study examined the level of intersectoral collaboration which actually exist between agencies which provide direct care and support services to people with mental illnesses and significant mental health problems. The study also aimed to identify the factors which promote or hinder intersectoral collaboration and generate recommendations which can be applied to extremely small countries with similar socio-economic profiles. Data generated from three (3) sources was synthesized to form a broad picture of the issues. An evaluation of the mental health policy of 2007, an assessment of the extent to which intersectoral action currently exist in mental health service delivery and the administration of semi-structured interviews with program managers from different agencies across sectors to identify implementation issues. The study concluded that despite the availability of a mental health policy which clearly and explicitly articulates intersectoral collaboration as a priority area for action, very little exists in the current service delivery system. Services providers across sectors acknowledge the benefits of intersectoral collaboration and that there are significant barriers to intersectoral collaboration, which in turn hinders a national approach to service planning and delivery. Intersectoral collaboration is not possible if sectors themselves are dependent on a top-down health sector driven and dominated approach, or if the general atmosphere is clouded by stigmatization of mental health illnesses.

Facies, depositional environment, and palaeoecology of the Middle Triassic Cassina Beds (Meride Limestone, Monte San Giorgio, Switzerland).

The Ladinian Cassina beds belong to the fossiliferous levels of the world-famous Middle Triassic Monte San Giorgio Lagerstatte (UNESCO World Heritage List, Canton Ticino, Southern Alps). Although they are a rich archive for the depositional environment of an important thanatocoenosis, previous excavations focused on vertebrates and particularly on marine reptiles. In 2006, the Museo Cantonale di Storia Naturale (Lugano) started a new research project focusing for the first time on microfacies, micropalaeontological, palaeoecological and taphonomic analyses. So far, the upper third of the sequence has been excavated on a surface of around 40 m(2), and these new data complete those derived from new vertebrate finds (mainly fishes belonging to Saurichthys, Archaeosemionotus, Eosemionotus and Peltopleurus), allowing a better characterization of the basin. Background sedimentation on an anoxic to episodically suboxic seafloor resulted in a finely laminated succession of black shales and limestones, bearing a quasi-anaerobic biofacies, which is characterized by a monotypic benthic foraminiferal meiofauna and has been documented for the first time from the whole Monte San Giorgio sequence. Event deposition, testified by turbidites and volcaniclastic layers, is related to sediment input from basin margins and to distant volcanic eruptions, respectively. Fossil nekton points to an environment with only limited connection to the open sea. Terrestrial macroflora remains document the presence of emerged areas covered with vegetation and probably located relatively far away. Proliferation of benthic microbial mats is inferred on the basis of microfabrics, ecological considerations and taphonomic (both biostratinomic and diagenetic) features of the new vertebrate finds, whose excellent preservation is ascribed to sealing by biofilms. The occurrence of allochthonous elements allows an insight into the shallow-waters of the adjoining time-equivalent Salvatore platform. Finally, the available biostratigraphic data are critically reviewed.

Evaluation of organ-specific peripheral doses after 2-dimensional, 3-dimensional and hybrid intensity modulated radiation therapy for breast cancer based on Monte Carlo and convolution/superposition algorithms: implications for secondary cancer risk assessment.

To make a comprehensive evaluation of organ-specific out-of-field doses using Monte Carlo (MC) simulations for different breast cancer irradiation techniques and to compare results with a commercial treatment planning system (TPS). Three breast radiotherapy techniques using 6MV tangential photon beams were compared: (a) 2DRT (open rectangular fields), (b) 3DCRT (conformal wedged fields), and (c) hybrid IMRT (open conformal+modulated fields). Over 35 organs were contoured in a whole-body CT scan and organ-specific dose distributions were determined with MC and the TPS. Large differences in out-of-field doses were observed between MC and TPS calculations, even for organs close to the target volume such as the heart, the lungs and the contralateral breast (up to 70% difference). MC simulations showed that a large fraction of the out-of-field dose comes from the out-of-field head scatter fluence (>40%) which is not adequately modeled by the TPS. Based on MC simulations, the 3DCRT technique using external wedges yielded significantly higher doses (up to a factor 4-5 in the pelvis) than the 2DRT and the hybrid IMRT techniques which yielded similar out-of-field doses. In sharp contrast to popular belief, the IMRT technique investigated here does not increase the out-of-field dose compared to conventional techniques and may offer the most optimal plan. The 3DCRT technique with external wedges yields the largest out-of-field doses. For accurate out-of-field dose assessment, a commercial TPS should not be used, even for organs near the target volume (contralateral breast, lungs, heart).

Variational Monte Carlo study of core-valence separation schemes for first-row atoms and positive ions /

All-electron partitioning of wave functions into products ^core^vai of core and valence parts in orbital space results in the loss of core-valence antisymmetry, uncorrelation of motion of core and valence electrons, and core-valence overlap. These effects are studied with the variational Monte Carlo method using appropriately designed wave functions for the first-row atoms and positive ions. It is shown that the loss of antisymmetry with respect to interchange of core and valence electrons is a dominant effect which increases rapidly through the row, while the effect of core-valence uncorrelation is generally smaller. Orthogonality of the core and valence parts partially substitutes the exclusion principle and is absolutely necessary for meaningful calculations with partitioned wave functions. Core-valence overlap may lead to nonsensical values of the total energy. It has been found that even relatively crude core-valence partitioned wave functions generally can estimate ionization potentials with better accuracy than that of the traditional, non-partitioned ones, provided that they achieve maximum separation (independence) of core and valence shells accompanied by high internal flexibility of ^core and Wvai- Our best core-valence partitioned wave function of that kind estimates the IP's with an accuracy comparable to the most accurate theoretical determinations in the literature.

Diffusion Monte Carlo study of electronic properties for H and Be atoms /

We examined three different algorithms used in diffusion Monte Carlo (DMC) to study their precisions and accuracies in predicting properties of isolated atoms, which are H atom ground state, Be atom ground state and H atom first excited state. All three algorithms — basic DMC, minimal stochastic reconfiguration DMC, and pure DMC, each with future-walking, are successfully impletmented in ground state energy and simple moments calculations with satisfactory results. Pure diffusion Monte Carlo with future-walking algorithm is proven to be the simplest approach with the least variance. Polarizabilities for Be atom ground state and H atom first excited state are not satisfactorily estimated in the infinitesimal differentiation approach. Likewise, an approach using the finite field approximation with an unperturbed wavefunction for the latter system also fails. However, accurate estimations for the a-polarizabilities are obtained by using wavefunctions that come from the time-independent perturbation theory. This suggests the flaw in our approach to polarizability estimation for these difficult cases rests with our having assumed the trial function is unaffected by infinitesimal perturbations in the Hamiltonian.

Monte Carlo study of the XY-model on quasi-periodic lattices

Monte Carlo Simulations were carried out using a nearest neighbour ferromagnetic XYmodel, on both 2-D and 3-D quasi-periodic lattices. In the case of 2-D, both the unfrustrated and frustrated XV-model were studied. For the unfrustrated 2-D XV-model, we have examined the magnetization, specific heat, linear susceptibility, helicity modulus and the derivative of the helicity modulus with respect to inverse temperature. The behaviour of all these quatities point to a Kosterlitz-Thouless transition occuring in temperature range Te == (1.0 -1.05) JlkB and with critical exponents that are consistent with previous results (obtained for crystalline lattices) . However, in the frustrated case, analysis of the spin glass susceptibility and EdwardsAnderson order parameter, in addition to the magnetization, specific heat and linear susceptibility, support a spin glass transition. In the case where the 'thin' rhombus is fully frustrated, a freezing transition occurs at Tf == 0.137 JlkB , which contradicts previous work suggesting the critical dimension of spin glasses to be de > 2 . In the 3-D systems, examination of the magnetization, specific heat and linear susceptibility reveal a conventional second order phase transition. Through a cumulant analysis and finite size scaling, a critical temperature of Te == (2.292 ± 0.003) JI kB and critical exponents of 0:' == 0.03 ± 0.03, f3 == 0.30 ± 0.01 and I == 1.31 ± 0.02 have been obtained.

Optimization of trial wave functions for use in quantum Monte Carlo with application to LiH

Methods for both partial and full optimization of wavefunction parameters are explored, and these are applied to the LiH molecule. A partial optimization can be easily performed with little difficulty. But to perform a full optimization we must avoid a wrong minimum, and deal with linear-dependency, time step-dependency and ensemble-dependency problems. Five basis sets are examined. The optimized wavefunction with a 3-function set gives a variational energy of -7.998 + 0.005 a.u., which is comparable to that (-7.990 + 0.003) 1 of Reynold's unoptimized \fin ( a double-~ set of eight functions). The optimized wavefunction with a double~ plus 3dz2 set gives ari energy of -8.052 + 0.003 a.u., which is comparable with the fixed-node energy (-8.059 + 0.004)1 of the \fin. The optimized double-~ function itself gives an energy of -8.049 + 0.002 a.u. Each number above was obtained on a Bourrghs 7900 mainframe computer with 14 -15 hrs CPU time.

Variational Monte Carlo estimation of the dissociation energy of CuH using correlated sampling

A new approach to treating large Z systems by quantum Monte Carlo has been developed. It naturally leads to notion of the 'valence energy'. Possibilities of the new approach has been explored by optimizing the wave function for CuH and Cu and computing dissociation energy and dipole moment of CuH using variational Monte Carlo. The dissociation energy obtained is about 40% smaller than the experimental value; the method is comparable with SCF and simple pseudopotential calculations. The dipole moment differs from the best theoretical estimate by about 50% what is again comparable with other methods (Complete Active Space SCF and pseudopotential methods).

Quantum Monte Carlo study of electrostatic polarizabilities of H and He atoms /

The infinitesimal differential quantum Monte Carlo (QMC) technique is used to estimate electrostatic polarizabilities of the H and He atoms up to the sixth order in the electric field perturbation. All 542 different QMC estimators of the nonzero atomic polarizabilities are derived and used in order to decrease the statistical error and to obtain the maximum efficiency of the simulations. We are confident that the estimates are "exact" (free of systematic error): the two atoms are nodeless systems, hence no fixed-node error is introduced. Furthermore, we develope and use techniques which eliminate systematic error inherent when extrapolating our results to zero time-step and large stack-size. The QMC results are consistent with published accurate values obtained using perturbation methods. The precision is found to be related to the number of perturbations, varying from 2 to 4 significant digits.

Pen and sunlight sketches of scenery reached by the Grand Trunk Railway and connections : including Niagara Falls, Thousand Islands, Rapids of the Saint Lawrence, Montreal, Quebec, and the mountains of New England.--

At head of title: "The tourist route of America".

Application of Reptation Quantum Monte Carlo and Related Methods to LiH

This work investigates mathematical details and computational aspects of Metropolis-Hastings reptation quantum Monte Carlo and its variants, in addition to the Bounce method and its variants. The issues that concern us include the sensitivity of these algorithms' target densities to the position of the trial electron density along the reptile, time-reversal symmetry of the propagators, and the length of the reptile. We calculate the ground-state energy and one-electron properties of LiH at its equilibrium geometry for all these algorithms. The importance sampling is performed with a single-determinant large Slater-type orbitals (STO) basis set. The computer codes were written to exploit the efficiencies engineered into modern, high-performance computing software. Using the Bounce method in the calculation of non-energy-related properties, those represented by operators that do not commute with the Hamiltonian, is a novel work. We found that the unmodified Bounce gives good ground state energy and very good one-electron properties. We attribute this to its favourable time-reversal symmetry in its target density's Green's functions. Breaking this symmetry gives poorer results. Use of a short reptile in the Bounce method does not alter the quality of the results. This suggests that in future applications one can use a shorter reptile to cut down the computational time dramatically.

Indenture of Quit Claim Deed between Roswell G. Benedict, Charles Pierson and Ira Spaulding, all of the same of the Town of Clifton to Samuel Zimmerman of the Town of Clifton

Indenture of Quit Claim Deed between Roswell G. Benedict, Charles Pierson and Ira Spaulding, all of the same of the Town of Clifton to Samuel Zimmerman of the Town of Clifton for Lots no. 10 and 11 in Block F in the Town of Clifton – instrument no. 7127, April 28, 1856.

El día de San Valentín, o La linda doncella de Perth : Saint Valentine's Day or the fair maid of Perth

UANL

Numerical modelling of the impact of climate change on the morphology of Saint-Lawrence tributaries

Cette thèse examine les impacts sur la morphologie des tributaires du fleuve Saint-Laurent des changements dans leur débit et leur niveau de base engendrés par les changements climatiques prévus pour la période 2010–2099. Les tributaires sélectionnés (rivières Batiscan, Richelieu, Saint-Maurice, Saint-François et Yamachiche) ont été choisis en raison de leurs différences de taille, de débit et de contexte morphologique. Non seulement ces tributaires subissent-ils un régime hydrologique modifié en raison des changements climatiques, mais leur niveau de base (niveau d’eau du fleuve Saint-Laurent) sera aussi affecté. Le modèle morphodynamique en une dimension (1D) SEDROUT, à l’origine développé pour des rivières graveleuses en mode d’aggradation, a été adapté pour le contexte spécifique des tributaires des basses-terres du Saint-Laurent afin de simuler des rivières sablonneuses avec un débit quotidien variable et des fluctuations du niveau d’eau à l’aval. Un module pour simuler le partage des sédiments autour d’îles a aussi été ajouté au modèle. Le modèle ainsi amélioré (SEDROUT4-M), qui a été testé à l’aide de simulations à petite échelle et avec les conditions actuelles d’écoulement et de transport de sédiments dans quatre tributaires du fleuve Saint-Laurent, peut maintenant simuler une gamme de problèmes morphodynamiques de rivières. Les changements d’élévation du lit et d’apport en sédiments au fleuve Saint-Laurent pour la période 2010–2099 ont été simulés avec SEDROUT4-M pour les rivières Batiscan, Richelieu et Saint-François pour toutes les combinaisons de sept régimes hydrologiques (conditions actuelles et celles prédites par trois modèles de climat globaux (MCG) et deux scénarios de gaz à effet de serre) et de trois scénarios de changements du niveau de base du fleuve Saint-Laurent (aucun changement, baisse graduelle, baisse abrupte). Les impacts sur l’apport de sédiments et l’élévation du lit diffèrent entre les MCG et semblent reliés au statut des cours d’eau (selon qu’ils soient en état d’aggradation, de dégradation ou d’équilibre), ce qui illustre l’importance d’examiner plusieurs rivières avec différents modèles climatiques afin d’établir des tendances dans les effets des changements climatiques. Malgré le fait que le débit journalier moyen et le débit annuel moyen demeurent près de leur valeur actuelle dans les trois scénarios de MCG, des changements importants dans les taux de transport de sédiments simulés pour chaque tributaire sont observés. Ceci est dû à l’impact important de fortes crues plus fréquentes dans un climat futur de même qu’à l’arrivée plus hâtive de la crue printanière, ce qui résulte en une variabilité accrue dans les taux de transport en charge de fond. Certaines complications avec l’approche de modélisation en 1D pour représenter la géométrie complexe des rivières Saint-Maurice et Saint-François suggèrent qu’une approche bi-dimensionnelle (2D) devrait être sérieusement considérée afin de simuler de façon plus exacte la répartition des débits aux bifurcations autour des îles. La rivière Saint-François est utilisée comme étude de cas pour le modèle 2D H2D2, qui performe bien d’un point de vue hydraulique, mais qui requiert des ajustements pour être en mesure de pleinement simuler les ajustements morphologiques des cours d’eau.