Physical Sciences and Mathematics Commons^™

American Spread Option Models And Valuation, Yu Hu

Theses and Dissertations

Spread options are derivative securities, which are written on the difference between the values of two underlying market variables. They are very important tools to hedge the correlation risk. American style spread options allow the holder to exercise the option at any time up to and including maturity. Although they are widely used to hedge and speculate in financial market, the valuation of the American spread option is very challenging. Because even under the classic assumptions that the underlying assets follow the log-normal distribution, the resulting spread doesn't have a distribution with a simple closed formula. In this dissertation, we …

Traffic Modeling In Lagrangian Coordinates Using Smartphone Apps, Sergio Contreras

UNLV Theses, Dissertations, Professional Papers, and Capstones

Traditionally, one of the ways traffic flow has been studied is by using the kinematic wave model. This model is derived in the Eulerian framework by using conservation of the number of vehicles. Recently, the kinematic wave model has been transformed into Lagrangian coordinates. In this framework, the independent variables are unique

vehicles and time. The detailed change in framework, and the properties of the model in the changed framework are reviewed. Numerical results from different traffic cases are explained. Since vehicle trajectory data can be easily collected from smartphones,

a smartphone application is developed for this purpose. This data …

Data Combination From Multiple Sources Under Measurement Error, Hugo Gasca-Aragon

Open Access Dissertations

Regulatory Agencies are responsible for monitoring the performance of particular measurement communities. In order to achieve their objectives, they sponsor Intercomparison exercises between the members of these communities. The Intercomparison Exercise Program for Organic Contaminants in the Marine Environment is an ongoing NIST/NOAA program. It was started in 1986 and there have been 19 studies to date. Using this data as a motivation we review the theory and practices applied to its analysis.

It is a common practice to apply some kind of filter to the comparison study data. These filters go from outliers detection and exclusion to exclusion of …