This thesis is concerned with the small-time asymptotics and expansions of call option prices, when the log-return processes of the underlying stock prices follow several Levy-based models. To be specific, we derive the time-to-maturity asymptotic behavior for both at-the-money (ATM), out-of-the-money (OTM) and in-the-money (ITM) call-option prices under several jump-diffusion models and stochastic volatility models with Levy jumps. In the OTM and ITM cases, we consider a general stochastic volatility model with independent Levy jumps, while in the ATM case, we consider the pure-jump CGMY model with or without an independent Brownian component. An accurate modeling of the option market and asset prices requires a mixture of a continuous diffusive component and a jump component. In this thesis, we first model the log-return process of a risk asset with a jump diffusion model by combining a stochastic volatility model with an independent pure-jump Levy process. By assuming smoothness conditions on the Levy density away from the origin and a small-time large deviation principle on the stochastic volatility model, we derive the small-time expansions, of arbitrary polynomial order, in time-t, for the tail distribution of the log-return process, and for the call-option price which is not at-the-money. Moreover, our approach allows for a unified treatment of more general payoff functions. As a consequence of our tail expansions, the polynomial expansion in t of the transition density is also obtained under mild conditions. The asymptotic behavior of the ATM call-option prices is more complicated to obtain, and, in general, is given by fractional powers of t, which depends on different choices of the underlying log-return models. Here, we focus on the CGMY model, one of the most popular tempered stable models used in financial modeling. A novel second-order approximation for ATM option prices under the pure-jump CGMY Levy model is derived, and then extended to a model with an additional independent Brownian component. The third-order asymptotic behavior of the ATM option prices as well as the asymptotic behavior of the corresponding Black-Scholes implied volatilities are also addressed.

In this paper we discuss an algorithm for the construction of D-optimal experimental designs for the parameters in a regression model when the errors have a correlation structure. We show that design points can collapse under the presence of some covariance structures and a so called nugget can be employed in a natural way. We also show that the information of equidistant design on covariance parameter is increasing with the number of design points under exponential variogram, however these designs are not D-optimal. Also in higher dimensions the exponential structure without nugget leads to collapsing of the D-optimal design when also parameters of covariance structure are of interest. However, if only trend parameters are of interest, the designs covering uniformly the whole design space are very efficient. For illustration some numerical examples are also included. (author's abstract) / Series: Research Report Series / Department of Statistics and Mathematics

We apply the data cloning method developed by Lele et al. (2007) to estimate the model of Smets and Wouters (2007). The data cloning algorithm is a numerical method that employs replicas of the original sample to approximate the maximum likelihood estimator as the limit of Bayesian simulation-based estimators. We also analyze the identification properties of the model. We measure the individual identification strength of each parameter by observing the posterior volatility of data cloning estimates, and access the identification problem globally through the maximum eigenvalue of the posterior data cloning covariance matrix. Our results indicate that the model is only poorly identified. The system displays bad global identification properties, and most of its parameters seem locally ill-identified. / Neste trabalho aplicamos o método data cloning de Lele et al. (2007) para estimar o modelo de Smets e Wouters (2007). O algoritmo data cloning é um método numérico que utiliza réplicas da amostra original para aproximar o estimador de máxima verossimilhança como limite de estimadores Bayesianos obtidos por simulação. Nós também analisamos a identificação dos parâmetros do modelo. Medimos a identificação de cada parâmetro individualmente ao observar a volatilidade a posteriori dos estimadores de data cloning. O maior autovalor da matriz de covariância a posteriori proporciona uma medida global de identificação do modelo. Nossos resultados indicam que o modelo de Smets e Wouters (2007) não é bem identificado. O modelo não apresenta boas propriedades globais de identificação, e muitos de seus parâmetros são localmente mal identificados.

This thesis considers linear perturbations to the steady flow of a compressible inviscid perfect gas along a cylindrical or annular duct. Particular consideration is given to the model of the duct boundary, and to the effect of curvature of the duct centreline. For a duct with a straight centreline and a locally-reacting boundary, the acoustic duct modes can be segregated into ordinary duct modes and surface modes. Previously-known asymptotics for the surface modes are generalized, and the generalization is shown to provide a distinctly better approximation in aeroacoustically relevant situations. The stability of the surface modes is considered, and previous stability analyses are shown to be incorrect, as their boundary model is illposed. By considering a metal thin-shell boundary, this illposedness is explained, and stability analysed using the Briggs-Bers criterion. The stability of a cylindrical thin shell containing compressible fluid is shown to differ significantly from the stability for an incompressible fluid, even for parameters for which the fluid would otherwise be expected to behave incompressibly. The scattering of sound by a sudden hard-wall to thin-shell boundary change is considered, using the Wiener-Hopf technique. The causal acoustic field is derived analytically, without the need to apply a Kutta-like condition or to include an instability wave, as had previously been necessary. Attention is then turned to a cylindrical duct with a curved centreline and either hard or locally-reacting walls. The centreline curvature (which is not assumed small) and wall radii vary slowly along the duct, enabling an asymptotic multiple scales analysis. The duct modes are found numerically at each axial location, and interesting characteristics are explained using ray theory. This analysis is applied to a hard-walled RAE 2129 duct, and frequency-domain solutions are convolved to give a time-domain example of a pulse propagating along this duct. Finally, some numerical work on the nonlinear propagation of a large-amplitude pulse along a curved duct is presented. This is aimed at modelling a surge event in an aeroengine with a convoluted intake.

<p style="text-align: justify;">In this doctoral dissertation several integral transforms are discussed.The first one is the Short time Fourier transform (STFT). We present continuity theorems for the STFT and its adjoint on the test function space <em>K</em>₁(ℝⁿ) and the topological tensor product <em>K</em>₁(ℝⁿ) &otimes; <em>U</em>(<strong>ℂ</strong>ⁿ), where <em>U</em>(<strong>ℂ</strong>ⁿ) is the space of entirerapidly decreasing functions in any horizontal band of&nbsp;<strong>ℂ</strong>ⁿ. We then use such continuity results to develop a framework for the STFT on K&#39;₁(ℝⁿ). Also, we devote one section to the characterization of <em>K</em>&rsquo;₁(ℝⁿ) and related spaces via modulation spaces. We also obtain various Tauberian theorems for the short-time Fourier transform.</p><p style="text-align: justify;">Part of the thesis is dedicated to the ridgelet and the Radon transform. We define and study the ridgelet transform of (Lizorkin) distributions and we show that the ridgelet transform and the ridgelet synthesis operator can be extended as continuous mappings <em>R</em>_{<em>&psi;&nbsp;</em>}: <em>S</em>&rsquo;₀(ℝⁿ) &rarr; <em>S</em>&rsquo;(<strong>Y</strong>ⁿ⁺¹) and <em>R^t</em>_{<span style="vertical-align: sub;">&psi;</span>}: <em>S</em>&rsquo;(<strong>Y</strong>ⁿ⁺¹) &rarr; <em>S</em>&rsquo;₀(ℝⁿ). We then use our results to develop a distributional framework for the ridgelet transform that is, we treat the ridgelet transform on <em>S</em>&rsquo;₀(ℝⁿ) via a duality approach. Then, the continuity theorems for the ridgelet transform are applied to discuss the continuity of the Radon transform on these spaces and their duals. Finally, we deal with some Abelian and Tauberian theorems relating the quasiasymptotic behavior of distributions with the quasiasymptotics of the its Radon and ridgelet transform.</p><p style="text-align: justify;">The last chapter is dedicated to the MRA of M-exponential distributions. We study the convergence of multiresolution expansions in various test function and distribution spaces and we discuss the pointwise convergence of multiresolution expansions to the distributional point values of a distribution. We also provide a characterization of the quasiasymptotic behavior in terms of multiresolution expansions and give an MRA sufficient condition for the existence of &alpha;-density points of positive measures.</p> / <p>U ovoj doktorskoj disertaciji razmotreno je nekoliko integralnih transformacija. Prva je short time Fourier transform (STFT). Date su i dokazane teoreme o neprekidnosti STFT i njena sinteza na prostoru test funkcije <em>K</em>₁(ℝⁿ) i na prostoru <em>K</em>₁(ℝⁿ) &otimes; <em>U</em>(ℂⁿ), gde je&nbsp;<em>U</em>(ℂⁿ) prostor od celih brzo opadajućih funkcija u proizvoljnom horizontalnom opsegu na ℂⁿ. Onda, ovi rezultati neprekidnosti su iskori&scaron;teni za razvijanje teorije STFT na prostoru <em>K</em>&rsquo;₁(ℝⁿ). Jedno poglavlje je posvećeno karakterizaciji&nbsp;<em>K</em>&rsquo;₁(ℝⁿ) sa srodnih modulaciskih prostora. Dokazani su i različiti Tauberovi rezultata za STFT. Deo teze je posvećen na ridglet i Radon transformacije. Ridgelet transformacija je definisana na (Lizorkin) distribucije i pokazano je da ridgelet transformacija i njen operator sinteze mogu da se pro&scaron;ire kako neprekidna preslikava <em>R</em>_&psi; : <em>S</em>&rsquo;₀(ℝⁿ) &rarr; <em>S</em>&rsquo;(<strong>Y</strong>ⁿ⁺¹) and <em>R</em>^t_&Psi;: <em>S</em>&rsquo;(<strong>Y</strong>ⁿ⁺¹) &rarr; <em>S</em>&rsquo;₀(ℝⁿ).&nbsp;Ridgelet transformacija na <em>S</em>&rsquo;₀(ℝⁿ) je data preko dualnog pristupa. Na&scaron;e teoreme neprekidnosti ridgelet transformacije su primenjene u dokazivanju neprekidnosti Radonove transformacije na Lizorkin test prostorima i njihovim dualima. Na kraju, dajemo Abelovih i Tauberovih teorema koji daju veze izmedju kvaziasimptotike distribucija i kvaziasimptotike rigdelet i Radonovog transfomaciju.<br />Zadnje poglavje je posveceno multirezolucijskog analizu M - eksponencijalnih distrubucije. Proucavamo konvergenciju multirezolucijkog razvoja u razlicitih prostori test funkcije i distribucije i razmotrena je tackasta konvergencija multirezolucijkog razvoju u tacku u distributivnog smislu. Obezbedjena je i karakterizacija kvaziasimptotike u pogled multirezolucijskog razvoju i dat dovoljni uslov za postojanje &alpha;-tacka gustine za pozitivne mere.</p>

Indiana University-Purdue University Indianapolis (IUPUI) / In this dissertation the partition function, $Z_n$, for the six-vertex model with domain wall boundary conditions is solved in the thermodynamic limit in various regions of the phase diagram. In the ferroelectric phase region, we show that $Z_n=CG^nF^{n^2}(1+O(e^{-n^{1-\ep}}))$ for any $\ep>0$, and we give explicit formulae for the numbers $C, G$, and $F$. On the critical line separating the ferroelectric and disordered phase regions, we show that $Z_n=Cn^{1/4}G^{\sqrt{n}}F^{n^2}(1+O(n^{-1/2}))$, and we give explicit formulae for the numbers $G$ and $F$. In this phase region, the value of the constant $C$ is unknown. In the antiferroelectric phase region, we show that $Z_n=C\th_4(n\om)F^{n^2}(1+O(n^{-1}))$, where $\th_4$ is Jacobi's theta function, and explicit formulae are given for the numbers $\om$ and $F$. The value of the constant $C$ is unknown in this phase region. In each case, the proof is based on reformulating $Z_n$ as the eigenvalue partition function for a random matrix ensemble (as observed by Paul Zinn-Justin), and evaluation of large $n$ asymptotics for a corresponding system of orthogonal polynomials. To deal with this problem in the antiferroelectric phase region, we consequently develop an asymptotic analysis, based on a Riemann-Hilbert approach, for orthogonal polynomials on an infinite regular lattice with respect to varying exponential weights. The general method and results of this analysis are given in Chapter 5 of this dissertation.

No description available.

Dans ce mémoire de maîtrise, nous étudions l'asymptotique spectrale pour les problèmes d'oscillation de deux fluides incompressibles idéaux remplissant un volume arbitraire avec une surface supérieure ouverte ou fermée. Dans le premier chapitre, nous introduisons les notions de base de la géométrie spectrale, illustrons le problème de Steklov pour un fluide dans un volume arbitraire ainsi que les principaux résultats qui seront nécessaires pour comprendre et démontrer les énoncés du manuscrit. Nous dérivons également les principales relations et équations des petites oscillations d'un fluide incompressible idéal. La deuxième partie présente les principaux résultats sur les petites oscillations de deux liquides à surface supérieure fermée, obtenus par Solomyak, Kopachevsky et leurs collaborateurs, qui justifient et vérifient la cohérence des résultats pour le problème considéré. Finalement, nous traitons le problème avec une surface ouverte. Une question similaire a été abordée par Kuznetsov. Un canal rectangulaire rempli de deux liquides est un exemple révélateur vérifiant tous les principaux résultats de la recherche. Entre autres, nous avons trouvé un cas particulier intéressant dans lequel la famille de solutions correspondant au paramètre spectral disparaît. En conclusion, nous trouvons sur les conditions d'existence et l'unicité des solutions. / In this M.Sc. thesis, we investigate the spectral asymptotics for a problem describing oscillations of two ideal incompressible fluids filling an arbitrary volume with either open or closed upper surface. In the first chapter, we introduce the basic notions of spectral geometry and illustrate the Steklov problem for fluid in an arbitrary volume, as well as the main results needed to understand and prove the statements in the manuscript. We also derive the equations of small oscillations of an ideal incompressible fluid. The second part presents the main results on small oscillations of two liquids with a closed upper surface, obtained by Solomyak, Kopachevsky, and their collaborators that justify and verify the consistency of the findings for the problem under consideration. In the third chapter, we treat the problem with an open surface. A similar question was previously addressed by Kuznetsov. A rectangular channel filled with two liquids is a telling example that confirms all the main research results. Interestingly enough, we found a particular case in which the family of solutions corresponding to the spectral parameter disappears. In conclusion, we describe the condition of existence and the uniqueness of such solutions.

No description available.

In this dissertation we first study partition posets and their topology. For each composition c we show that the order complex of the poset of pointed set partitions is a wedge of spheres of the same dimension with the multiplicity given by the number of permutations with descent composition c. Furthermore, the action of the symmetric group on the top homology is isomorphic to the Specht module of a border strip associated to the composition. We also study the filter of pointed set partitions generated by knapsack integer partitions. In the second half of this dissertation we study descent avoidance in permutations. We extend the notion of consecutive pattern avoidance to considering sums over all permutations where each term is a product of weights depending on each consecutive pattern of a fixed length. We study the problem of finding the asymptotics of these sums. Our technique is to extend the spectral method of Ehrenborg, Kitaev and Perry. When the weight depends on the descent pattern, we show how to find the equation determining the spectrum. We give two length 4 applications, and a weighted pattern of length 3 where the associated operator only has one non-zero eigenvalue. Using generating functions we show that the error term in the asymptotic expression is the smallest possible.