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In this thesis, we provide several applications of Gram-Charlier expansions in derivative pricing. We first give an exposition on how to calculate swaption prices under the the CIR2 model. Then we extend this method to CIR2++ model. We also develop a procedure to calculate European call options under Heston’s model of stochastic volatility by Gram-Charlier Expansions.

We analyze the nature of sovereign credit risk for selected Asian and European countries through a set of sovereign CDS data for an eighty-year period that includes the episode of the 2008-2009 financial crisis. Our principal component analysis results suggest that there is strong commonality in sovereign credit risk across countries after the crisis. The regression tests show that the commonality is linked to both local and global financial and economic variables. Besides, we also notice intriguing differences in the sovereign credit risk behavior of Asian and European countries. Specifically, we find that some variables, including foreign reserve, global stock market, and volatility risk premium, affect the of Asian and European sovereign credit risks in the opposite direction. Further, we assume that the arrival rates of credit events follow a square-root diffusion from which we build our pricing model. The resulting model is used to decompose credit spreads into risk premium and credit-event components.

A gene is imprinted when its expression is dependent on the sex of the parent from which it was inherited. An increasing number of studies are suggesting that imprinted genes have a major influence on medically, agriculturally and evolutionarily important traits, such as disease severity and livestock production traits. While some genes have a large effect on the traits of an individual, quantitative characters such as height are influenced by many genes and by the environment, including maternal effects. The interaction between these genes and the environment produces variation in the characteristics of individuals. Many quantitative characters are likely to be influenced by a small number of imprinted genes, but at present there is no general theoretical model of the quantitative genetics of imprinting incorporating multiple loci, environmental effects and maternal effects. This research develops models for the quantitative genetics of imprinting incorporating these effects, including deriving expressions for genetic variation and resemblances between relatives. Imprinting introduces both parent-of-origin and generation dependent differences in the derivation of standard quantitative genetic models that are generally equivalent under Mendelian expression. Further, factors such as epistasis, maternal effects and interactions between genotype and environment may mask the effect of imprinting in a quantitative trait. Maternal effects may also mimic a number of signatures in variance and covariance components that are expected in a population with genomic imprinting. This research allows a more comprehensive understanding of the processes influencing an individual�s characteristics.

Humoral immune responses arise when B lymphocytes respond to activation signals, enter mitosis and proliferate rapidly. Concurrent differentiation to antibody secreting and isotype switched effector cells is tightly linked to cell division, such that the degree of proliferation strongly influences the nature of the response that is mounted. Previous versions of a quantitative model of lymphocyte proliferation based on inherent variation in the time cells take to divide or die were able to accurately describe the entry of naïve, resting cells into division and subsequent population expansion. In the work described here, the model was tested and extended by investigating the proliferation cessation and population contraction phases of in vitro B cell responses. Experiments designed to assess the distribution of times to die of cells that had ceased proliferating revealed that the number of divisions achieved by individual cells is stochastically distributed in the population and varied in response to different stimuli. Both the concentration and duration of stimulation regulate the number of divisions undergone. A cell that stops dividing is described as having reached its division destiny. Further investigation revealed that cells reach a maximum division destiny even during repeated high-dose stimulation. This limit is dictated by cellular progression through divisions, and is not dependent on the survival capacity of the cells or time. Incorporation of division destiny in the quantitative model allows proliferation cessation to be described and the distribution of times to die after this point to be assessed. This extended model can describe the full course of in vitro lymphocyte proliferative responses to various different stimuli. (For complete abstract open document)

This study attempts to answer the question; does evolutionary theory provide a ‘good’ explanatory framework for examining the phenomenon of technological innovation? In doing so, the study critically examines mainstream marketing’s in-place explanatory frameworks, offers an explanation of ‘evolution’ based on new insights from a broad range of (sub)disciplines, and makes the practical proposition that this explanation is a ‘good’ analogous representation of the technological innovation process. As an alternative to the ‘scientific empiricist’ approach that dominates much of marketing’s research into technological innovation, the study develops a research methodology that is based within a postmodern philosophy, adopts an epistemology of transcendental realism, bases the research design on abduction and textual explanation, and brings together a research method based on the criteria of interesting, plausibility and acceptability. Familiarisation with mainstream marketing’s explanatory frameworks for research into technological innovation identified Diffusion theory, New Product Development theory and Network theory as dominant. It is concluded that these frameworks are based on problematic theoretical foundations, a situation considered as largely due to a pre-occupation with assumptions that are atomistic, reductionistic, deterministic, gradualistic and mechanistic in nature. It is argued, that in concert with the ‘socialised’ dominance of mathematical form over conceptual substance, mainstream marketing’s research into technological innovation is locked into a narrow range of ‘preordained axiomatics’. The explanation of ‘evolution’ offered within the study is based on a why, what, how, when and where format. The resultant explanation represents a significant departure from the (neo)Darwinian biological perspective that tends to dominate evolutionary explanations of socio-economic behaviour, in that the focus is on the principles (and associated conceptualizations) of ‘variation’, ‘selection’ and ‘preservation’ within the broader context of open and dissipative systems. The offered explanation presents a number of theoretical ideas, and in particular, that evolution can only occur in a ‘multidimensional space of possibilities’, denotes a process of ‘adaptive emergence’, and is essentially concerned with ‘on-going resilience through adaptability’. The practical proposition is made that the offered explanation of ‘evolution’ can be used in an ‘as if’ manner, that is, the principles of ‘variation’, ‘selection’, and ‘preservation’ (and the meanings ascribed to them through conceptualization) are analogically transferable to the technological innovation research area. The proposition is supported through reference to theoretical and empirical research, highlighting the similarity with respect to the generative mechanisms, structures and contingent conditions underpinning both ‘evolution’ and ‘technological innovation’.

This study attempts to answer the question; does evolutionary theory provide a ‘good’ explanatory framework for examining the phenomenon of technological innovation? In doing so, the study critically examines mainstream marketing’s in-place explanatory frameworks, offers an explanation of ‘evolution’ based on new insights from a broad range of (sub)disciplines, and makes the practical proposition that this explanation is a ‘good’ analogous representation of the technological innovation process. As an alternative to the ‘scientific empiricist’ approach that dominates much of marketing’s research into technological innovation, the study develops a research methodology that is based within a postmodern philosophy, adopts an epistemology of transcendental realism, bases the research design on abduction and textual explanation, and brings together a research method based on the criteria of interesting, plausibility and acceptability. Familiarisation with mainstream marketing’s explanatory frameworks for research into technological innovation identified Diffusion theory, New Product Development theory and Network theory as dominant. It is concluded that these frameworks are based on problematic theoretical foundations, a situation considered as largely due to a pre-occupation with assumptions that are atomistic, reductionistic, deterministic, gradualistic and mechanistic in nature. It is argued, that in concert with the ‘socialised’ dominance of mathematical form over conceptual substance, mainstream marketing’s research into technological innovation is locked into a narrow range of ‘preordained axiomatics’. The explanation of ‘evolution’ offered within the study is based on a why, what, how, when and where format. The resultant explanation represents a significant departure from the (neo)Darwinian biological perspective that tends to dominate evolutionary explanations of socio-economic behaviour, in that the focus is on the principles (and associated conceptualizations) of ‘variation’, ‘selection’ and ‘preservation’ within the broader context of open and dissipative systems. The offered explanation presents a number of theoretical ideas, and in particular, that evolution can only occur in a ‘multidimensional space of possibilities’, denotes a process of ‘adaptive emergence’, and is essentially concerned with ‘on-going resilience through adaptability’. The practical proposition is made that the offered explanation of ‘evolution’ can be used in an ‘as if’ manner, that is, the principles of ‘variation’, ‘selection’, and ‘preservation’ (and the meanings ascribed to them through conceptualization) are analogically transferable to the technological innovation research area. The proposition is supported through reference to theoretical and empirical research, highlighting the similarity with respect to the generative mechanisms, structures and contingent conditions underpinning both ‘evolution’ and ‘technological innovation’.

Zugl.: München, Univ., Diss., 2007

Ulm, Univ. Diss., 2006.

Univ., Diss., 2010--Marburg.