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Characterization Of The Dependency Across Foreign Exchange Markets Using Copulas, Ryan Coelho Jan 2006

Characterization Of The Dependency Across Foreign Exchange Markets Using Copulas, Ryan Coelho

LSU Master's Theses

Though Pearson's correlation coefficient provides a convenient approach to measuring the dependency between two variables, in the last few years, there has been a significant amount of literature cautioning against the use of Pearson's correlation coefficient, as it does not remain invariant under monotone transformations of the underlying distribution functions. Since we are interested in examining the dependency pattern observed by the return on the Sterling Pound with that of the Japanese Yen, we will use the notion of a copula to approximate the joint density function between the daily returns on the Sterling Pound and the Japanese Yen. In …


Optimal Binary Trees With Height Restrictions On Left And Right Branches, Song Ding Jan 2006

Optimal Binary Trees With Height Restrictions On Left And Right Branches, Song Ding

LSU Master's Theses

We begin with background definitions on binary trees. Then we review known algorithms for finding optimal binary search trees. Knuth's famous algorithm, presented in the second chapter, is the cornerstone for our work. It depends on two important results: the Quadrangle Lemma and the Monoticity Theorem. These enabled Knuth to achieve a time complexity of O(n2), while previous algorithms had been O(n3) (n = size of input). We present the known generalization of Knuth's algorithm to trees with a height restriction. Finally, we consider the previously unexamined case of trees with different restrictions on left and …


Index Future Pricing Under Imperfect Market And Stochastic Volatility, Wei-Hsien Li Jan 2006

Index Future Pricing Under Imperfect Market And Stochastic Volatility, Wei-Hsien Li

LSU Master's Theses

Financial markets in emerging countries are volatile and imperfect, so pricing model under traditional perfect-market frameset may not give reliable price of financial derivatives. The most famous pricing model for stock index future is the cost of carry model. The mis-pricing of cost of carry model inspires lots of following researches. Even transaction costs, dividends, stochastic interest rate, stochastic volatility, market imperfection, and other factors are considered, we still do not obtain a model price consistently better than cost of carry model. But these researches offer important insights, for example, the market needs time to mature and the more complex …


Using Elimination To Describe Maxwell Curves, Lucas P. Beverlin Jan 2006

Using Elimination To Describe Maxwell Curves, Lucas P. Beverlin

LSU Master's Theses

Cartesian ovals are curves in the plane that have been studied for hundreds of years. A Cartesian oval is the set of points whose distances from two fixed points called foci satisfy the property that a linear combination of these distances is a fixed constant. These ovals are a special case of what we call Maxwell curves. A Maxwell curve is the set of points with the property that a specific weighted sum of the distances to n foci is constant. We shall describe these curves geometrically. We will then examine Maxwell curves with two foci and a special case …