The jump phenomenons of many financial assets prices have been observed in many empirical papers. In this paper we extend the Heath-Jarrow-Morton model to include the jump component to derive the European-style pricing formula of the interest rate futures options. We use numerical method to simulate the options prices and analyze how each component of HJM model under jump-diffusion processes affects the interest rate futures options. Finally, we utilize LSM method which are presented by Longstaff and Schwartz to derive American options prices and compare it with European options.

The three-dimensional (3D) baroclinic response of Cayuga Lake to surface wind forcing was investigated using the fully nonhydrostatic MITgcm. The model was validated against observed temperature data using a hydrostatic 450 m (horizontal) grid and both qualitative and quantitative methods. The model correctly reproduces the basin-scale dynamics (e.g., seiche with horizontal mode-one period T1 = 80 h) with a basin-wide root-mean-square error of 1.9 C. Nonlinear internal surges were visualized to evolve due to (i) a wind-induced locally downwelled thermocline (wind duration Twind < T1/4), (ii) a basin-scale wind-induced upwelled thermocline (Twind > T1/4), (iii) internal hydraulic jumps (IHJs). Results from a 113 m grid and field observations were used to characterize the basin-scale internal wave field according to composite Froude number (G2), Wedderburn number (WN), and Lake number (LN). The typical Cayuga Lake response is a surge when ~ 1 < WN (LN) < ~ 2-12 and a surge with emergent nonlinear internal waves (NLIWs) when WN or LN < ~ 2, in agreement with published laboratory studies. An observed shock front was simulated to be an IHJ, occurring at mid-basin during strong winds when WN < 0.8. This is the first simulation of a mid-basin seiche-induced IHJ due to super critical conditions (G2 > 1) in a lake. The topographic-induced IHJs were also shown to form when the surges interact with a sill-contraction topographic feature. Both high-resolution hydrostatic and nonhydrostatic models were used to investigate the evolution, propagation and shoaling of NLIWs at medium lake-scale. A nonhydrostatic 22 m grid with lepticity λ ~ 1 ensures minimal numerical relative to physical dispersion, qualitatively reproducing observed dispersive NLIWs using ~ 2.3E+8 grid cells. Solitary waves evolve with almost unchanged wavelengths upon grid refinement from 40 m (λ ~ 2) to 22 m; suggesting model convergence to the correct solution. Corresponding hydrostatic grids were shown to produce a packet of narrower spurious solitary-like motions with different wavelengths, representing a balance between nonlinear steepening and numerical dispersion. Local gyre-like patterns and secondary transverse NLIW packets were visualized to result from wave-topography interaction, suggesting that NLIW propagation in long narrow lakes, where the bottom topography has irregularities is fundamentally 3D. / Thesis (Ph.D, Civil Engineering) -- Queen's University, 2012-12-14 12:45:21.727

In this thesis I develop a formalism for analyzing quantum optics in photonic crystal slab cavities which may be coupled, lossy, and non-orthogonal. Using a tight-binding approximation I find classical coupled-cavity quasimodes which overlap in space and frequency. These classical modes are used to develop a multiphoton basis for quantum optics with non-orthogonal photon states. I develop creation and annihilation operators with a novel commutation relation as a consequence of the nonorthogonality of the quasimodes. With these operators the effective Hamiltonian, number operator, electric field operator and quadrature operators are obtained. The quantum jump technique is applied to handle the effects of loss. This technique is compared with the master equation, and conditions for the quantum jump technique being preferable are described. The quantum jump technique is implemented numerically, allowing for time-dependent linear and X(2) non-linear pumping. I use a combination of analytic results and characteristic functions to examine the evolution of coherent and squeezed states in a single lossy quasimode. The analysis is then extended to two nonorthogonal quasimodes. States are investigated using reduced characteristic functions. / Thesis (Master, Physics, Engineering Physics and Astronomy) -- Queen's University, 2013-09-27 12:00:10.281

When the target of a reaching movement is displaced suddenly, people update their movement to take account of the jump, correcting their trajectory online to end the movement at the new target location. These corrections are initiated too rapidly to be conscious, and occur when they are uninstructed (Pisella et al., 2000) or the participant is unaware of the change in location (Goodale et al., 1986). These findings have been taken as evidence that fast corrections occur automatically, and the spatial updating of reach trajectories has become known as the ‘automatic pilot’ (Pisella et al., 2000). This thesis set out to investigate the cognitive, attentional and neurological aspects of the automatic pilot, in three series of related experiments, all employing a double-step reaching task. Experiments 1 - 4 investigated how strongly automatic reach corrections are, by manipulating the influence of conscious intention and cognitive load. These experiments confirmed that the automatic pilot is at most weakly automatic, as correction efficiency is enhanced by an explicit instruction to follow target jumps and, conversely, corrections can be overridden by an intention to resist them. However, voluntary inhibition of the automatic pilot can be disrupted by placing participants under heavy cognitive load, whilst voluntary enhancement is unaffected by this manipulation. Thus, voluntary suppression of the automatic pilot is effortful, but enhancement towards greater responsiveness is seemingly effortless. Experiments 5 - 8 explored the properties of the visual target displacement that drive the automatic pilot response in a double-step reaching task. These experiments demonstrate that correction efficiency is lawfully related to jump salience, but that the onset of the new target location drives correction responses more powerfully than the offset of the original target. However, the maximal correction rates obtained from a simultaneous onset and offset, were too great to be attributed simply to the additive influences of onsets and offsets. The onset and offset components of the target jump are thus synergistic. It is suggested that this reflects the contribution of an apparent motion signal induced by simultaneous onset and offsets, which strongly drives the automatic pilot system. Experiment 9 examined an asymmetry in correction efficiency, favouring rightward over leftward target jumps, evident throughout the earlier experiments. Correction efficiency was assessed for right- and left-handed participants responding to rightward and leftward target jumps. The pattern of results indicated that each hand is advantaged for responding to ipsilaterallydirected jumps, which may reflect biomechanical or hemispheric compatibility effects. However, there was also an overall differential advantage for rightward jumps, which was independent of handedness, or hand used. This suggests a left-hemispheric advantage for automatic correction behaviour, independent of handedness. Finally, Experiments 10 - 14 considered whether the automatic pilot deficit in optic ataxia is simply a manifestation of the more general misreaching deficit. Across several different target conditions, the pattern of online correction in optic ataxia refuted a simple misreaching explanation, suggesting that it is a specific functional consequence of dorsal stream damage.

The present thesis focuses on exploration of the applicability of realized measures in volatility modeling and forecasting. We provide a first comprehensive study of jump variation impact on future volatility of Central and Eastern European stock markets. As a main workhorse, the recently proposed Realized Jump GARCH model, which enables a study of the impact of jump variation on future volatility forecasts, is used. In addition, we estimate Realized GARCH and heterogeneous autoregressive (HAR) models using one-minute and five-minute high frequency data. We find that jumps are important for future volatility, but only to a limited extent due to the high level of information aggregation within the stock market index. Moreover, Realized (Jump) GARCH models outperform the standard GARCH model in terms of data fit and forecasting performance. Comparison of forecasts with HAR models reveals that Realized (Jump) GARCH models capture higher portion of volatility variation. Eventually, Realized Jump GARCH compared to other Realized GARCH models provides comparable or even better forecasting performance.

Title: Relations between high, jumping and speed-dexterity parameters in older students' volleyball Objectives: The aim of this work is to identify and evaluate the relationships between high, jumping and speed-dexterity parameters in older students' volleyball in the years 2008 to 2012. Methods: For the processing and evaluation of data retrieved from the results of standardized tests for volleyball in individual years and generally used method of comparison (comparison) data were also used basic statistical methods (arithmetic mean, standard deviation, maximum, minimum, range of variation, T-sections, McCall criterion). The evaluation was performed by means of graphs and verbal assessment. Results: In the selection of the 20 highest players in each year from 2008 to 2012 could not be confirmed that the majority did not reach above the average of the absolute values after smash jump start, but it was confirmed that the majority did not reach above-average values when measuring speed-dexterity test, known as K-test measured against a whole group of players in a given year. Furthermore, according to the processed data confirmed that most of the selection of 20 of the K-test the best players in each year from 2008 to 2012 will achieve above-average values of the absolute jump start after smash...

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Les différents génotypes de Coronavirus canins (CCoV-I/II) et félins (FCoV-I/II) sont phylogénétiquement proches, suggérant des transmissions inter-espèces entre chiens et chats. Lors d’analyses de séquences menées sur des chats infectés, des souches félines atypiques ont pu être mises en évidence, contenant un gène S de type FCoV-I, un gène N de type CCoV-I, ainsi que la présence du gène ORF3, spécifique à CCoV-I. Dans ces souches, le gène ORF3 est présent avec une ou deux délétions toujours identiques, conduisant à la synthèse de protéines tronquées gp3-Δ1 et gp3-Δ2. Les délétions de protéines accessoires étant déjà impliquées dans les transmissions inter-espèces, une étude de caractérisation de la protéine gp3 et de ses différentes formes a été menée. Les trois protéines s’oligomérisent de manière covalente et sont retenues dans le réticulum endoplasmique, en absence de signal spécifique de rétention. Les délétions influencent le niveau d’expression des protéines en cellules félines, où seule l’expression de gp3-Δ1 est visible, alors qu’elles conservent toutes une expression optimale en cellules canines. En l’absence de souches de Coronavirus cultivables en laboratoire contenant le gène ORF3, des cellules canines exprimant l’une des protéines gp3 ont été infectées par une souche CCoV-II. Dans ce modèle, les protéines gp3 ne modifient pas le cycle viral. Dans un contexte d’émergence de nouveaux Coronavirus, la compréhension des mécanismes moléculaires de changement d’hôte est cruciale et les Coronavirus félins et canins peuvent représenter un modèle d’étude utile. / The different genotypes of canine (CCoV-I/II) and feline (FCoV-I/II) Coronaviruses share a close phylogenetic relationship, suggesting inter-species transmissions between cats and dogs. Through sequence analyses of cat samples, atypical FCoV strains, harbouring an S gene related to FCoV-I, an N gene close to the CCoV-I cluster and the ORF3 gene, peculiar to CCoV-I, were discovered. This ORF3 gene was systematically truncated in feline samples, displaying either one or two identical deletions, leading to the translation of gp3-Δ1 and gp3-Δ2. As deletions in accessory proteins have already been involved in host-switch, studies of the different variants of gp3 were conducted. Results demonstrate that all proteins oligomerize through covalent bonds and are retained in the ER, without any specific retention signal. Deletions influence the expression level with a proper expression of the three proteins in canine cells, whereas only gp3-Δ1 expression is sustained in feline cells. As no isolates of Coronavirus harbouring the ORF3 gene exists, cells expressing the different gp3 proteins have been infected with a CCoV-II strain. In this model, the gp3 proteins do not influence the viral life cycle. In the light of emergence of new Coronaviruses, investigations on their molecular mechanisms during the host-switch are crucial and canine and feline Coronaviruses could represent a useful model.

Dans cette thèse, on considère une équation différentielle stochastique gouvernée par un processus de Lévy de saut pur dont l’indice d’activité des sauts α ∈ (0, 2) et on observe des données haute fréquence de ce processus sur un intervalle de temps fixé. Cette thèse est consacrée tout d’abord à l’étude du comportement de la densité du processus en temps petit. Ces résultats permettent ensuite de montrer la propriété LAMN (Local Asymptotic Mixed Normality) pour les paramètres de dérive et d’échelle. Enfin, on étudie des estimateurs de l’indice α du processus.La première partie traite du comportement asymptotique de la densité en temps petit du processus. Le processus est supposé dépendre d’un paramètre β = (θ,σ) et on étudie, dans cette partie, la sensibilité de la densité par rapport à ce paramètre. Cela étend les résultats de [17] qui étaient restreints à l’indice α ∈ (1,2) et ne considéraient que la sensibilité par rapport au paramètre de dérive. En utilisant le calcul de Malliavin, on obtient la représentation de la densité, de sa dérivée et de sa dérivée logarithmique comme une espérance et une espérance conditionnelle. Ces formules de représentation font apparaître des poids de Malliavin dont les expressions sont données explicitement, ce qui permet d’analyser le comportement asymptotique de la densité en temps petit, en utilisant la propriété d’autosimilarité du processus stable.La deuxième partie de cette thèse concerne la propriété LAMN (Local Asymptotic Mixed Normality) pour les paramètres. Le coefficient de dérive et le coefficient d’échelle dépendent tous les deux de paramètres inconnus et on étend les résultats de [17]. On identifie l’information de Fisher asymptotique ainsi que les vitesses optimales de convergence. Ces quantités dépendent de l’indice αLa troisième partie propose des estimateurs pour l’indice d’activité des sauts α ∈ (0,2) basés sur des méthodes de moments qui généralisent les résultats de Masuda [53]. On montre la consistence et la normalité asymptotique des estimateurs et on illustre les résultats par des simulations numériques / In this thesis, we consider a stochastic differential equation driven by a truncated pure jump Lévy process with index α ∈(0,2) and observe high frequency data of the process on a fixed observation time. We first study the behavior of the density of the process in small time. Next, we prove the Local Asymptotic Mixed Normality (LAMN) property for the drift and scaling parameters from high frequency observations. Finally, we propose some estimators of the index parameter of the process.The first part deals with the asymptotic behavior of the density in small time of the process. The process is assumed to depend on a parameter β = (θ,σ) and we study, in this part, the sensitivity of the density with respect to this parameter. This extends the results of [17] which were restricted to the index α ∈ (1,2) and considered only the sensitivity with respect to the drift coefficient. By using Malliavin calculus, we obtain the representation of the density, its derivative and its logarithm derivative as an expectation and a conditional expectation. These representation formulas involve some Malliavin weights whose expressions are given explicitly and this permits to analyze the asymptotic behavior in small time of the density, using the self-similarity property of the stable process.The second part of this thesis concerns the Local Asymptotic Mixed Normality property for the parameters. Both the drift coefficient and scale coefficient depend on the unknown parameters. Extending the results of [17], we compute the asymptotic Fisher information and find that the rate in the Local Asymptotic Mixed Normality property depends on the index α.The third part proposes some estimators of the jump activity index α ∈ (0,2) based on the method of moments as in Masuda [53]. We prove the consistency and asymptotic normality of the estimators and give some simulations to illustrate the finite-sample behaviors of the estimators

Tem sido sugerido que combinar o treinamento de força (TF) com o treinamento com vibração (TV) pode ser mais vantajoso do que realizar o TF isolado. OBJETIVOS: Foi objetivo deste estudo avaliar os efeitos da combinação do TF com o TV (TF+V) sobre o desenvolvimento de hipertrofia e os desempenhos da força máxima dinâmica de membros inferiores (FMD) e do salto vertical (SV). Investigou-se também se os benefícios proporcionados pelo treinamento são acompanhados por alterações agudas e crônicas na excitabilidade das vias reflexas. METÓDOS: Foram realizados dois experimentos. No primeiro, foram avaliados os efeitos de uma sessão de treinamento sobre o desempenho do SV e excitabilidade das vias reflexas. Doze sujeitos do sexo masculino foram submetidos a quatro condições experimentais. Na condição TF, realizaram cinco séries de 10 repetições do exercício agachamento, com 90% da massa corporal. Nas condições TF+V30 e TF+V50, o TF foi realizado sobre a plataforma vibratória nas freqüências de 30 Hz (2-4 mm) e 50 Hz (4-6 mm), respectivamente. Na condição controle (C), os sujeitos permaneceram em repouso. Antes e depois de todas as condições experimentais, foram mensurados o desempenho do SV, e os reflexos de Hoffmann (H com amplitude de 20% da onda M máxima, H20%) e tendíneo máximo (Tmáx), no músculo sóleo. No segundo experimento, 29 sujeitos do sexo masculino foram divididos aleatoriamente nos grupos TF, TF+V30 e TF+V50. Os três grupos realizaram entre 3-5 séries de 6-12 RM do exercício agachamento, duas vezes por semana, durante dez semanas. Os grupos TF+V30 e TF+V50 fizeram o agachamento sobre a plataforma vibratória nas freqüências de 30 Hz (amplitude de 2-4 mm) e 50 Hz (amplitude de 4-6 mm), respectivamente. Antes e depois do período de treinamento, foram avaliados a área de secção transversa do quadríceps femoral (ASTQ), os desempenhos da FMD e do SV, os reflexos H e T máximos (Hmáx e Tmáx) e a onda M máxima (Mmáx), no músculo sóleo. RESULTADOS: No primeiro experimento, não foram verificadas alterações significantes na amplitude de H20% em nenhuma das condições (p>0,05). Houve diminuições significantes na amplitude das ondas Tmáx, nas condições TF (-7,4%) e TF+V50 (-11,1%), no primeiro minuto, em comparação ao período antes da intervenção (p<0,001). Foram verificadas diminuições significantes na altura do SV após a realização de todas as condições (C= -11,8%, TF= -6,6%, TF+V30= -7,7% e TF+V50= -7,4%) (p<0, 001). Não houve diferenças significantes entre grupos em nenhuma das variáveis (p>0,05). No segundo experimento, após as dez semanas de treinamento, foram verificados aumentos significantes na ASTQ (TF= 9,8%, TF+V30= 11,7%, TF+V50= 12,9%); na FMD (TF= 16,9%, TF+V30= 15,2%, TF+V50= 16,6%) e na altura do SV (TF= 6,0%, TF+V30= 7,2%, TF+V50= 6,0%) para os três grupos (p<0,05). Não houve diferença significante entre grupos em nenhuma das três variáveis. O período de treinamento não causou alterações significantes nas razões Hmáx/Mmáx (TF = +28%, TF+V30 = -16,3%, TF+V50 = -14%) e Tmáx/Mmáx (TF = -30,3%, TF+V30 = -38,2%, TF+V50 = -28,1%) (p>0,05). Contudo, foi verificado efeito principal de tempo significante para a razão Tmáx/Mmáx (-48,9%) (p<0,05). CONCLUSÕES: A realização de uma sessão de treinamento de força causa uma breve redução da atividade dos fusos musculares. Essa redução não é ampliada quando o TF é combinado com vibração. Realizar um período de TF sobre a plataforma de vibração não proporciona qualquer aumento adicional na ASTQ ou nos desempenhos da FMD e do SV, em relação ao que pode ser conseguido através do TF / It has been suggested that the combination of strength and vibration training may be advantageous when compared with strength training alone. OBJECTIVES: The aim of this study was to assess the effects of combined strength training and vibration (ST+V) on lower limb hypertrophy and on maximal dynamic strength (MDS) and vertical jump (VJ) performances. In addition, we investigate if the training-induced adaptations were in agreement to acute and chronic changes on spinal reflex excitability. METHODS: Two experiments were performed. In the first experiment, the effects of a single training session on VJ performance and spinal reflexes excitability were assessed. Twelve young male undertook four experimental conditions. On ST condition, subjects performed five sets with 10 repetitions on squat exercise with load of 90% body mass. On both ST+V30 and ST+V50 conditions, subjects performed the ST on a vibration platform at 30 Hz (2-4 mm) and 50 Hz (4-6 mm), respectively. In C condition, subjects were only assessed. Vertical jumping performance and Hoffman (at 20% of maximal M wave, H20%) and maximal tendon soleus reflexes (Tmáx) were measured before and after all experimental conditions. In the second experiment, twenty nine young male were randomized into three groups. All groups performed 3-5 sets with 6-12 RM on squat exercise, twice a week, for ten weeks. The ST+V30 and ST+V50 groups performed the squat exercise on the vibration platform at 30 Hz (2-4 mm) and 50 Hz (4-6 mm), respectively. Quadriceps cross sectional area (QCSA), MDS and VJ performances, maximal soleus H- and T- reflexes and maximal M wave (Mmáx) were assessed before and after the 10-week training period. RESULTS: in the first experiment, no significant changes were found in H20% amplitude in any experimental condition (p>0,05). Significant decrease on Tmáx amplitude was found after ST+V30 (-7.4%) and ST+V50 (-11.1%) conditions, after the first minute, compared to before intervention assessment. VJ decreased in all experimental conditions (C= -11.8%, ST= -6.6%, ST+V30= -7.7% and ST+V50= -7.4%) (p<0.001). There were no significant changes between groups in any variable measured (p>0.05). In the second experiment, significant increases were found in QCSA (ST= 9.8%, ST+V30= 11.7%, ST+V50= 12.9%); MDS (ST= 16.9%, ST+V30= 15.2%, ST+V50= 16.6%) and VJ height (ST= 6.0%, ST+V30= 7.2%, ST+V50= 6.0%) in all groups (p<0.05). There were no significant changes between groups in any variable measured (p>0.05). The training period did not induce significant changes in Hmáx/ Mmáx (ST = +28%, ST+V30 = -16,3%, ST+V50 = -14%) and Tmáx/ Mmáx ratios (ST = -30,3%, ST+V30 = -38,2%, ST+V50 = -28,1%) (p>0.05). However it was found a significant time effect for Tmáx/ Mmáx ratio (-48.9%) (p<0,05).CONCLUSION: A single strength training session induces a brief impairment on muscle spindle activity. This impairment is not greater if ST is combined with vibration. Performing ST on a vibration platform did not additionally increase QCSA, MDS and VJ performance compared with ST alone