Numerical Analysis and Computation Commons^™

Essays In Market Structure And Liquidity, Adrian J. Walton

Electronic Thesis and Dissertation Repository

Market structure concerns the mechanisms for negotiating trades and the composition of trading participants, and can affect liquidity and price efficiency. More gains from trade can be realized from an asset that is more liquid, and a better allocation of risk and capital can be achieved when an asset’s price is more efficient so it is important to understand market structure. This thesis uses theory and empirical methods to examine the effects of a few specific aspects of market structure.

In Chapter 1, we study a novel market structure on the New York Stock Exchange (NYSE), the Retail Liqudity Program …

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. …

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, …