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.

Market reactions to changes in the Nasdaq-100 Index membership

We examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses.

Effets du vieillissement sur les index électrophysiologiques de l’évaluation des relations spatiales en mémoire de travail visuelle

Le processus de vieillissement humain est un processus complexe qui varie grandement d’une personne à l’autre. Malgré l’ampleur des recherches faites sur le sujet, il reste encore beaucoup à explorer et à comprendre. Cette thèse propose trois expériences qui nous permettent d’améliorer notre compréhension des changements qui s’opèrent dans la mémoire de travail visuelle et l’attention visuospatiale avec la prise en âge. La première expérience propose d’examiner les changements dans les capacités de mémoire de travail visuelle entre des jeunes adultes, des adultes âgés sains et des personnes atteintes de trouble cognitif léger (TCL). De plus, grâce à un suivi fait avec les personnes ayant un TCL, nous avons pu examiner si des différences existaient au niveau comportemental entre les âgés qui ont déclinés vers un type de démence et ceux dont l’état est resté stable. Plusieurs techniques peuvent être utilisées pour étudier les effets du vieillissement sur le cerveau. Les tests neuropsychologiques et les tâches comportementales présentées dans la première expérience en sont un exemple. La neuroimagerie peut aussi s’avérer particulièrement utile. En effet, certaines mesures électrophysiologiques, aussi appelées potentiels reliés aux évènements (PRE), sont associées à des fonctions cognitives précises. Ces composantes nous permettent de suivre ces processus et d’observer les modulations causées par les caractéristiques des stimuli ou l’âge par exemple. C’est le cas de la N2pc (négativité 2 postérieure controlatérale) et de la SPCN (sustained posterior contralateral negativity), des composantes électrophysiologiques liées respectivement à l’attention visuospatiale et la mémoire de travail visuelle. On connait bien ces deux composantes ainsi que les facteurs qui les modulent, or elles sont peu utilisées pour les changements qui occurrent dans l’attention et la mémoire de travail visuelle dans le cadre du processus de vieillissement. Les deuxième et troisième expériences proposent d’utiliser une tâche de recherche visuelle (nombre d’items de couleur et identification d’une relation spatiale entre deux items de couleur) afin d’explorer les changements observables sur ces composantes électrophysiologiques. La deuxième expérience examine l’efficacité d’un paradigme à présentations multiples (‘multiple frame’) afin de mesurer la N2pc et la SPCN chez de jeunes adultes. La troisième expérience a pour but d’examiner les effets du vieillissement normal sur l’amplitude et la latence de la N2pc et la SPCN en utilisant le même type de tâche de recherche visuelle.

Brain Tumour, Mood Disorder and Encephalopathy. Discusion of the Clinical Case Presented in Volume 6, Number 2

We report a case of a 65 years old female patient, who was admitted to the hospital with non specific neurological symptoms and who had preliminary imagenological findings of an extra-axial tumor mass (a meningioma of the sphenoid’s wing), which was taken to complete surgical removal. Afterwards, she developed progressive neurologic deterioration until her death. The final diagnosis was acute spongiform encephalophaty, and was obtained by cerebral biopsy. Spongiform encephalopathy was described, almost a century ago, as the Creutzfeldt-Jakob Disease, poorly diagnosed in our environment because of its low frequency and uncommon onset, which starts with a mood disorder followed by a phase of dementia and a final fatal outcome. The gold standard for the diagnosis is based on a biopsy or an autopsy of the brain, with immunohistochemical stains for the prionic abnormal protein.

Brain Tumour, Mood Disorder and Encephalopathy. Discusion of the Clinical Case Presented in Volume 6, Number 2

We report a case of a 65 years old female patient, who was admitted to the hospital with non specific neurological symptoms and who had preliminary imagenological findings of an extra-axial tumor mass (a meningioma of the sphenoid’s wing), which was taken to complete surgical removal. Afterwards, she developed progressive neurologic deterioration until her death. The final diagnosis was acute spongiform encephalophaty, and was obtained by cerebral biopsy. Spongiform encephalopathy was described, almost a century ago, as the Creutzfeldt-Jakob Disease, poorly diagnosed in our environment because of its low frequency and uncommon onset, which starts with a mood disorder followed by a phase of dementia and a final fatal outcome. The gold standard for the diagnosis is based on a biopsy or an autopsy of the brain, with immunohistochemical stains for the prionic abnormal protein.

The aromatic fluctuation index (FLU): a new aromaticity index based on electron delocalization

In this work, the aromatic fluctuation index (FLU) that describes the fluctuation of electronic charge between adjacent atoms in a given ring is introduced as a new aromaticity measure. This new electronic criterion of aromaticity is based on the fact that aromaticity is related to the cyclic delocalized circulation of π electrons. It is defined not only considering the amount of electron sharing between contiguous atoms, which should be substantial in aromatic molecules, but also taking into account the similarity of electron sharing between adjacent atoms. For a series of rings in 15 planar polycyclic aromatic hydrocarbons, we have found that, in general, FLU is strongly correlated with other widely used indicators of local aromaticity, such as the harmonic-oscillator model of aromaticity, the nucleus independent chemical shift, and the para-delocalization index (PDI). In contrast to PDI, the FLU index can be applied to study the aromaticity of rings with any number of members and it can be used to analyze both the local and global aromatic character of rings and molecules

A cross-taxonomic index for quantifying the health of farmland biodiversity

P>1. The development of sustainable, multi-functional agricultural systems involves reconciling the needs of agricultural production with the objectives for environmental protection, including biodiversity conservation. However, the definition of sustainability remains ambiguous and it has proven difficult to identify suitable indicators for monitoring progress towards, and the successful achievement of, sustainability. 2. In this study, we show that a trait-based approach can be used to assess the detrimental impacts of agricultural change to a broad range of taxonomic groupings and derive a standardised index of farmland biodiversity health, built around an objective of achieving stable or increasing populations in all species associated with agricultural landscapes. 3. To demonstrate its application, we assess the health of UK farmland biodiversity relative to this goal. Our results suggest that the populations of two-thirds of 333 plant and animal species assessed are unsustainable under current UK agricultural practices. 4. We then explore the potential benefits of an agri-environment scheme, Entry Level Stewardship (ELS), to farmland biodiversity in the UK under differing levels of risk mitigation delivery. We show that ELS has the potential to make a significant contribution to progress towards sustainability targets but that this potential is severely restricted by current patterns of scheme deployment. 5.Synthesis and applications: We have developed a cross-taxonomic sustainability index which can be used to assess both the current health of farmland biodiversity and the impacts of future agricultural changes relative to quantitative biodiversity targets. Although biodiversity conservation is just one of a number of factors that must be considered when defining sustainability, we believe our cross-taxonomic index has the potential to be a valuable tool for guiding the development of sustainable agricultural systems.

Forecasting annual inflation with seasonal monthly data: using levels versus logs of the underlying price index

This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number of European countries and the USA based on monthly seasonal consumer price indices are considered. Stochastic seasonality and deterministic seasonality models are used. In many cases, the forecasts based on the original variables result in substantially smaller root mean squared errors than models based on logs. In turn, if forecasts based on logs are superior, the gains are typically small. This outcome sheds doubt on the common practice in the academic literature to forecast inflation rates based on differences of logs.

Influence of dietary protein intake and glycemic index on the association between TCF7L2 HapA and weight gain

BACKGROUND: Genetic polymorphisms of transcription factor 7-like 2 (TCF7L2) have been associated with type 2 diabetes and BMI. OBJECTIVE: The objective was to investigate whether TCF7L2 HapA is associated with weight development and whether such an association is modulated by protein intake or by the glycemic index (GI). DESIGN: The investigation was based on prospective data from 5 cohort studies nested within the European Prospective Investigation into Cancer and Nutrition. Weight change was followed up for a mean (±SD) of 6.8 ± 2.5 y. TCF7L2 rs7903146 and rs10885406 were successfully genotyped in 11,069 individuals and used to derive HapA. Multiple logistic and linear regression analysis was applied to test for the main effect of HapA and its interaction with dietary protein or GI. Analyses from the cohorts were combined by random-effects meta-analysis. RESULTS: HapA was associated neither with baseline BMI (0.03 ± 0.07 BMI units per allele; P = 0.6) nor with annual weight change (8.8 ± 11.7 g/y per allele; P = 0.5). However, a previously shown positive association between intake of protein, particularly of animal origin, and subsequent weight change in this population proved to be attenuated by TCF7L2 HapA (P-interaction = 0.01). We showed that weight gain becomes independent of protein intake with an increasing number of HapA alleles. Substitution of protein with either fat or carbohydrates showed the same effects. No interaction with GI was observed. CONCLUSION: TCF7L2 HapA attenuates the positive association between animal protein intake and long-term body weight change in middle-aged Europeans but does not interact with the GI of the diet.

A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100

This paper examines the lead–lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using 10-min observations from June 1996–1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.

Predicting stock index volatility: can market volume help?

This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger from volatility to volume than the other way around. The out-of-sample forecasting performance of various linear, GARCH, EGARCH, GJR and neural network models of volatility are evaluated and compared. The models are also augmented by the addition of a measure of lagged volume to form more general ex-ante forecasting models. The results indicate that augmenting models of volatility with measures of lagged volume leads only to very modest improvements, if any, in forecasting performance.

A regionally informed abundance index for supporting integrative analyses across butterfly monitoring schemes

1. The rapid expansion of systematic monitoring schemes necessitates robust methods to reliably assess species' status and trends. Insect monitoring poses a challenge where there are strong seasonal patterns, requiring repeated counts to reliably assess abundance. Butterfly monitoring schemes (BMSs) operate in an increasing number of countries with broadly the same methodology, yet they differ in their observation frequency and in the methods used to compute annual abundance indices. 2. Using simulated and observed data, we performed an extensive comparison of two approaches used to derive abundance indices from count data collected via BMS, under a range of sampling frequencies. Linear interpolation is most commonly used to estimate abundance indices from seasonal count series. A second method, hereafter the regional generalized additive model (GAM), fits a GAM to repeated counts within sites across a climatic region. For the two methods, we estimated bias in abundance indices and the statistical power for detecting trends, given different proportions of missing counts. We also compared the accuracy of trend estimates using systematically degraded observed counts of the Gatekeeper Pyronia tithonus (Linnaeus 1767). 3. The regional GAM method generally outperforms the linear interpolation method. When the proportion of missing counts increased beyond 50%, indices derived via the linear interpolation method showed substantially higher estimation error as well as clear biases, in comparison to the regional GAM method. The regional GAM method also showed higher power to detect trends when the proportion of missing counts was substantial. 4. Synthesis and applications. Monitoring offers invaluable data to support conservation policy and management, but requires robust analysis approaches and guidance for new and expanding schemes. Based on our findings, we recommend the regional generalized additive model approach when conducting integrative analyses across schemes, or when analysing scheme data with reduced sampling efforts. This method enables existing schemes to be expanded or new schemes to be developed with reduced within-year sampling frequency, as well as affording options to adapt protocols to more efficiently assess species status and trends across large geographical scales.

NIELSEN COINCIDENCE THEORY OF FIBRE-PRESERVING MAPS AND DOLD`S FIXED POINT INDEX

Let M -> B, N -> B be fibrations and f(1), f(2): M -> N be a pair of fibre-preserving maps. Using normal bordism techniques we define an invariant which is an obstruction to deforming the pair f(1), f(2) over B to a coincidence free pair of maps. In the special case where the two fibrations axe the same and one of the maps is the identity, a weak version of our omega-invariant turns out to equal Dold`s fixed point index of fibre-preserving maps. The concepts of Reidemeister classes and Nielsen coincidence classes over B are developed. As an illustration we compute e.g. the minimal number of coincidence components for all homotopy classes of maps between S(1)-bundles over S(1) as well as their Nielsen and Reidemeister numbers.

Pseudo Focal Points Along Lorentzian Geodesics and Morse Index

Given a Lorentzian manifold (M,g), a geodesic gamma in M and a timelike Jacobi field Y along gamma, we introduce a special class of instants along gamma that we call Y-pseudo conjugate (or focal relatively to some initial orthogonal submanifold). We prove that the Y-pseudo conjugate instants form a finite set, and their number equals the Morse index of (a suitable restriction of) the index form. This gives a Riemannian-like Morse index theorem. As special cases of the theory, we will consider geodesics in stationary and static Lorentzian manifolds, where the Jacobi field Y is obtained as the restriction of a globally defined timelike Killing vector field.