Physical Sciences and Mathematics Commons^™

Applications Of Stochastic Control In Energy Real Options And Market Illiquidity, Christian Maxwell

Electronic Thesis and Dissertation Repository

We present three interesting applications of stochastic control in finance. The first is a real option model that considers the optimal entry into and subsequent operation of a biofuel production facility. We derive the associated Hamilton Jacobi Bellman (HJB) equation for the entry and operating decisions along with the econometric analysis of the stochastic price inputs. We follow with a Monte Carlo analysis of the risk profile for the facility. The second application expands on the analysis of the biofuel facility to account for the associated regulatory and taxation uncertainty experienced by players in the renewables and energy industries. A …

Diffusion And Adsorption Coefficients Of Aromatic Hydrocarbons In Gas Chromatography Capillary Columns, Gabriela Navarro Tovar

Electronic Thesis and Dissertation Repository

This study focuses on a mathematical description of aromatic species elution peaks from a gas chromatographic BPX5 capillary column. Using the chromatographic peaks, statistical moments are calculated for toluene, naphthalene, phenol and 2-naphthol. This thesis reports two modelling approaches involving laminar gas flow, distribution coefficients (K_s) and diffusion coefficients in the stationary phase (D_s).

Firstly, a model with equilibrium adsorption is considered to describe symmetric peaks for toluene and naphthalene. Moreover, a model with non-equilibrium adsorption is proposed to describe asymmetric peaks of phenol and 2-napthol. In addition to the K_s and D …

Optimal Contract Design For Co-Development Of Companion Diagnostics, Rodney T. Tembo

Electronic Thesis and Dissertation Repository

As the number of new drugs requiring companion diagnostics rises, more and more partnerships are formed between drug and diagnostics manufacturers to develop the necessary companion diagnostic. An increasingly significant issue is that of the optimal revenue/profit sharing or compensation schemes for such partnerships. We investigate the structure of an optimal compensation scheme under a scenario where a large pharmaceutical firm that is developing a drug intends to partner with a smaller diagnostics firm to develop a companion diagnostic test for the drug. We describe an optimal contract as one that maximizes the pharmaceutical firm's expected profits while offering enough …

Bifurcation Of Limit Cycles In Smooth And Non-Smooth Dynamical Systems With Normal Form Computation, Yun Tian

Electronic Thesis and Dissertation Repository

This thesis contains two parts. In the first part, we investigate bifurcation of limit cycles around a singular point in planar cubic systems and quadratic switching systems. For planar cubic systems, we study cubic perturbations of a quadratic Hamiltonian system and obtain 10 small-amplitude limit cycles bifurcating from an elementary center, for which up to 5th-order Melnikov functions are used. Moreover, we prove the existence of 12 small-amplitude limit cycles around a singular point in a cubic system by computing focus values. For quadratic switching system, we develop a recursive algorithm for computing Lyapunov constants. With this efficient algorithm, we …

Understanding Recurrent Disease: A Dynamical Systems Approach, Wenjing Zhang

Electronic Thesis and Dissertation Repository

Recurrent disease, characterized by repeated alternations between acute relapse and long re- mission, can be a feature of both common diseases, like ear infections, and serious chronic diseases, such as HIV infection or multiple sclerosis. Due to their poorly understood etiology and the resultant challenge for medical treatment and patient management, recurrent diseases attract much attention in clinical research and biomathematics. Previous studies of recurrence by biomathematicians mainly focus on in-host models and generate recurrent patterns by in- corporating forcing functions or stochastic elements. In this study, we investigate deterministic in-host models through the qualitative analysis of dynamical systems, to …

Observational Signatures From Self-Gravitating Protostellar Disks, Alexander L. Desouza

Electronic Thesis and Dissertation Repository

Protostellar disks are the ubiquitous corollary outcome of the angular momentum conserving, gravitational collapse of molecular cloud cores into stars. Disks are an essential component of the star formation process, mediating the accretion of material onto the protostar, and for redistributing excess angular momentum during the collapse. We present a model to explain the observed correlation between mass accretion rates and stellar mass that has been inferred from observations of intermediate to upper mass T Tauri stars. We explain this correlation within the framework of gravitationally driven torques parameterized in terms of Toomre’s Q criterion. Our models reproduce both the …

Estimation Of Hidden Markov Models And Their Applications In Finance, Anton Tenyakov

Electronic Thesis and Dissertation Repository

Movements of financial variables exhibit extreme fluctuations during periods of economic crisis and times of market uncertainty. They are also affected by institutional policies and intervention of regulatory authorities. These structural changes driving prices and other economic indicators can be captured reasonably by models featuring regime-switching capabilities. Hidden Markov models (HMM) modulating the model parameters to incorporate such regime-switching dynamics have been put forward in recent years, but many of them could still be further improved. In this research, we aim to address some of the inadequacies of previous regime-switching models in terms of their capacity to provide better forecasts …

Options Pricing And Hedging In A Regime-Switching Volatility Model, Melissa A. Mielkie

Electronic Thesis and Dissertation Repository

Both deterministic and stochastic volatility models have been used to price and hedge options. Observation of real market data suggests that volatility, while stochastic, is well modelled as alternating between two states. Under this two-state regime-switching framework, we derive coupled pricing partial differential equations (PDEs) with the inclusion of a state-dependent market price of volatility risk (MPVR) term.

Since there is no closed-form solution for this pricing problem, we apply and compare two approaches to solving the coupled PDEs, assuming constant Poisson intensities. First we solve the problem using numerical solution techniques, through the application of the Crank-Nicolson numerical scheme. …

Optimizing The Analysis Of Electroencephalographic Data By Dynamic Graphs, Mehrsasadat Golestaneh

Electronic Thesis and Dissertation Repository

The brain’s underlying functional connectivity has been recently studied using tools offered by graph theory and network theory. Although the primary research focus in this area has so far been mostly on static graphs, the complex and dynamic nature of the brain’s underlying mechanism has initiated the usage of dynamic graphs, providing groundwork for time sensi- tive and finer investigations. Studying the topological reconfiguration of these dynamic graphs is done by exploiting a pool of graph metrics, which describe the network’s characteristics at different scales. However, considering the vast amount of data generated by neuroimaging tools, heavy computation load and …

Study Of Virus Dynamics By Mathematical Models, Xiulan Lai

Electronic Thesis and Dissertation Repository

This thesis studies virus dynamics within host by mathematical models, and topics discussed include viral release strategies, viral spreading mechanism, and interaction of virus with the immune system.

Firstly, we propose a delay differential equation model with distributed delay to investigate the evolutionary competition between budding and lytic viral release strategies. We find that when antibody is not established, the dynamics of competition depends on the respective basic reproduction numbers of the two viruses. If the basic reproductive ratio of budding virus is greater than that of lytic virus and one, budding virus can survive. When antibody is established for …

A Molecular Simulation Study On Micelle Fragmentation And Wetting In Nano-Confined Channels, Mona Habibi

Electronic Thesis and Dissertation Repository

We performed coarse-grained molecular-dynamics (MD) simulations to study the structural and dynamical properties of surfactant micelles in equilibrium and under Poiseuille-like flow in a nano-confined geometry. We used the MARTINI force-field to model the interactions between water molecules, counter-ions, and sodium dodecyl sulfate (SDS) surfactants. SDS surfactant was chosen as the standard model because of its potential application in drug delivery systems. First, we focused on the self-assembly of SDS in equilibrium. To form stable spherical mi- celles, we ran simulations in the isothermal-isobaric ensemble (NPT) on a system of free SDS surfactants, counter-ions and water molecules. We studied the …

Image Fusion And Axial Labeling Of The Spine, Brandon Miles

Electronic Thesis and Dissertation Repository

In order to improve radiological diagnosis of back pain and spine disease, two new algorithms have been developed to aid the 75% of Canadians who will suffer from back pain in a given year. With the associated medical imaging required for many of these patients, there is a potential for improvement in both patient care and healthcare economics by increasing the accuracy and efficiency of spine diagnosis. A real-time spine image fusion system and an automatic vertebra/disc labeling system have been developed to address this. Both magnetic resonance (MR) images and computed tomography (CT) images are often acquired for patients. …