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Full-Text Articles in Physical Sciences and Mathematics

Computation Sequences For Series And Polynomials, Yiming Zhang Oct 2013

Computation Sequences For Series And Polynomials, Yiming Zhang

Electronic Thesis and Dissertation Repository

Approximation to the solutions of non-linear differential systems is very useful when the exact solutions are unattainable. Perturbation expansion replaces the system with a sequences of smaller problems, only the first of which is typically nonlinear. This works well by hand for the first few terms, but higher order computations are typically too demanding for all but the most persistent. Symbolic computation is thus attractive; however, symbolic computation of the expansions almost always encounters intermediate expression swell, by which we mean exponential growth in subexpression size or repetitions. A successful management of spatial complexity is vital to compute meaningful results. …


Valuation Of The Peterborough Prison Social Impact Bond, Majid Hasan Sep 2013

Valuation Of The Peterborough Prison Social Impact Bond, Majid Hasan

Electronic Thesis and Dissertation Repository

The Peterborough Prison Bond is a social impact bond (SIB) that was issued by the UK government to reduce recidivism rate in the Peterborough prison. Most of the literature on the SIB so far has been focused on the opportunities, challenges, and the related policy issues (see (Fox), (Strickland), and (Disley)), and little effort has been made to provide a mathematical framework to determine a fair price for such instruments. Here, we aim to provide a pricing framework for the bond. We price the bond both from the issuer's and the buyer's perspective, by adjusting for the bond's risk, ambiguity, …


Pricing And Hedging Index Options With A Dominant Constituent Stock, Helen Cheyne Aug 2013

Pricing And Hedging Index Options With A Dominant Constituent Stock, Helen Cheyne

Electronic Thesis and Dissertation Repository

In this paper, we examine the pricing and hedging of an index option where one constituents stock plays an overly dominant role in the index. Under a Geometric Brownian Motion assumption we compare the distribution of the relative value of the index if the dominant stock is modeled separately from the rest of the index, or not. The former is equivalent to the relative index value being distributed as the sum of two lognormal random variables and the latter is distributed as a single lognormal random variable. Since these are not equal in distribution, we compare the two models. The …


Eigenvalue Methods For Interpolation Bases, Piers W. Lawrence Jul 2013

Eigenvalue Methods For Interpolation Bases, Piers W. Lawrence

Electronic Thesis and Dissertation Repository

This thesis investigates eigenvalue techniques for the location of roots of polynomials expressed in the Lagrange basis. Polynomial approximations to functions arise in almost all areas of computational mathematics, since polynomial expressions can be manipulated in ways that the original function cannot. Polynomials are most often expressed in the monomial basis; however, in many applications polynomials are constructed by interpolating data at a series of
points. The roots of such polynomial interpolants can be found by computing the eigenvalues of a generalized companion matrix pair constructed directly from the values of the interpolant. This affords the opportunity to work with …