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Option Pricing Under New Classes of Jump-Diffusion Processes
In this dissertation, we introduce novel exponential jump-diffusion models for pricing options. Firstly, the normal convolution gamma mixture jump-diffusion model is presented. This model generalizes Merton's jump-diffusion and Kou's double exponential jump-diffusion. We show that the normal convolution gamma mixture jump-diffusion model captures some economically important features of the asset price, and that it exhibits heavier tails than both Merton jump-diffusion and double exponential jump-diffusion models. Secondly, the normal convolution double gamma jump-diffusion model for pricing options is presented. We show that under certain configurations of both the normal convolution gamma mixture and the normal convolution double gamma jump-diffusion models, the latter exhibits a heavier left or right tail than the former. For both models, the maximum likelihood procedure for estimating the model parameters under the physical measure is fairly straightforward; moreover, the likelihood function is given in closed form thereby eliminating the need to embed a probability density function recovery procedure such as the fast Fourier transform or the Fourier-cosine expansion methods in the parameter estimation procedure. In addition, both models can reproduce the implied volatility surface observed in the options data and provide a good fit to the market-quoted European option prices.
Date:
December 2023
Creator:
Adiele, Ugochukwu Oliver
System:
The UNT Digital Library
Annihilators of Irreducible Representations of the Lie Superalgebra of Contact Vector Fields on the Superline
The superline has one even and one odd coordinate. We consider the Lie superalgebra of contact vector fields on the superline. Its tensor density modules are a one-parameter family of deformations of the natural action on the ring of polynomials on the superline. They are parameterized by a complex number, and they are irreducible when this parameter is not zero. In this dissertation, we describe the annihilating ideals of these representations in the universal enveloping algebra of this Lie superalgebra by providing their generators. We also describe the intersection of all such ideals: the annihilator of the direct sum of the tensor density modules. The annihilating ideal of an irreducible non-zero left module is called a primitive ideal, and the space of all such ideals in the universal enveloping algebra is its primitive spectrum. The primitive spectrum is endowed with the Jacobson topology, which induces a topology on the annihilators of the tensor density modules. We conclude our discussion with a description of the annihilators as a topological space.
Date:
May 2023
Creator:
Goode, William M.
System:
The UNT Digital Library
Asymptotic Formula for Counting in Deterministic and Random Dynamical Systems
The lattice point problem in dynamical systems investigates the distribution of certain objects with some length property in the space that the dynamics is defined. This problem in different contexts can be interpreted differently. In the context of symbolic dynamical systems, we are trying to investigate the growth of N(T), the number of finite words subject to a specific ergodic length T, as T tends to infinity. This problem has been investigated by Pollicott and Urbański to a great extent. We try to investigate it further, by relaxing a condition in the context of deterministic dynamical systems. Moreover, we investigate this problem in the context of random dynamical systems. The method for us is considering the Fourier-Stieltjes transform of N(T) and expressing it via a Poincaré series for which the spectral gap property of the transfer operator, enables us to apply some appropriate Tauberian theorems to understand asymptotic growth of N(T). For counting in the random dynamics, we use some results from probability theory.
Date:
May 2023
Creator:
Naderiyan, Hamid
System:
The UNT Digital Library
Definable Structures on the Space of Functions from Tuples of Integers into 2
We give some background on the free part of the action of tuples of integers into 2. We will construct specific structures on this space, and then show that certain other structures cannot exist.
Date:
May 2023
Creator:
Olsen, Cody James
System:
The UNT Digital Library
Dimensions of statistically self-affine functions and random Cantor sets
The subject of fractal geometry has exploded over the past 40 years with the availability of computer generated images. It was seen early on that there are many interesting questions at the intersection of probability and fractal geometry. In this dissertation we will introduce two random models for constructing fractals and prove various facts about them.
Date:
May 2023
Creator:
Jones, Taylor
System:
The UNT Digital Library
Hochschild Cohomology of Finite Cyclic Groups Acting on Polynomial Rings
The Hochschild cohomology of an associative algebra records information about the deformations of that algebra, and hence the first step toward understanding its deformations is an examination of the Hochschild cohomology. In this dissertation, we use techniques from homological algebra, invariant theory, and combinatorics to analyze the Hochschild cohomology of skew group algebras arising from finite cyclic groups acting on polynomial rings over fields of arbitrary characteristic. These algebras are the natural semidirect product of the group ring with the polynomial ring. Many families of algebras arise as deformations of skew group algebras, such as symplectic reflection algebras and rational Cherednik algebras. We give an explicit description of the Hochschild cohomology governing graded deformations of skew group algebras for cyclic groups acting on polynomial rings. For skew group algebras, a description of the Hochschild cohomology is known in the nonmodular setting (i.e., when the characteristic of the field and the order of the group are coprime). However, in the modular setting (i.e., when the characteristic of the field divides the order of the group), much less is known, as techniques commonly used in the nonmodular setting are not available.
Date:
May 2023
Creator:
Lawson, Colin M.
System:
The UNT Digital Library
Invariant Differential Derivations for Modular Reflection Groups
The invariant theory of finite reflection groups has rich connections to geometry, topology, representation theory, and combinatorics. We consider finite reflection groups acting on vector spaces over fields of arbitrary characteristic, where many arguments of classical invariant theory break down. When the characteristic of the underlying field is positive, reflections may be nondiagonalizable. A group containing these so-called transvections has order which is divisible by the characteristic of the underlying field, so is in the modular setting. In this thesis, we examine the action on differential derivations, which include products of differential forms and derivations, and identify the structure of the set of invariants under the action of groups fixing a single hyperplane, groups with maximal transvection root spaces acting on vector spaces over prime fields, as well as special linear groups and general linear groups over finite fields.
Date:
May 2023
Creator:
Hanson, Dillon James
System:
The UNT Digital Library
On Sharp Permutation Groups whose Point Stabilizers are Certain Frobenius Groups
We investigate non-geometric sharp permutation groups of type {0,k} whose point stabilizers are certain Frobenius groups. We show that if a point stabilizer has a cyclic Frobenius kernel whose order is a power of a prime and Frobenius complement cyclic of prime order, then the point stabilizer is isomorphic to the symmetric group on 3 letters, and there is up to permutation isomorphism, one such permutation group. Further, we determine a significant structural description of non-geometric sharp permutation groups of type {0,k} whose point stabilizers are Frobenius groups with elementary abelian Frobenius kernel K and Frobenius complement L with |L| = |K|-1. As a result of this structural description, it is shown that the smallest non-solvable Frobenius group cannot be a point stabilizer in a non-geometric sharp permutation group of type {0,k}.
Date:
May 2023
Creator:
Norman, Blake Addison
System:
The UNT Digital Library
Continuity of Hausdorff Dimension of Julia Sets of Expansive Polynomials
This dissertation is in the area of complex dynamics, more specifically focused on the iteration of rational functions. Given a well-chosen family of rational functions, parameterized by a complex parameter, we are especially interested in regularity properties of the Hausdorff dimension of Julia sets of these polynomials considered as a function of the parameters. In this dissertation I deal with a family of polynomials of degree at least 3 depending in a holomorphic way on a parameter, focusing on the point where the dynamics and topology of the polynomials drastically change. In such a context proving continuity is quite challenging while real analyticity will most likely break. Our approach will, on the one hand, build on the existing methods of proving continuity of Hausdorff dimension, primarily based on proving continuity, in the weak* topology of measures on the Riemann sphere, of canonical conformal measures, but will also require methods which, up to my best knowledge, have not been implemented anywhere yet. Our main result gives a surprising example where the Hausdorff dimension of the Julia set is continuous in the parameter, but where the Julia set itself is not.
Date:
August 2022
Creator:
Wilson, Timothy Charles
System:
The UNT Digital Library
On the Descriptive Complexity and Ramsey Measure of Sets of Oracles Separating Common Complexity Classes
As soon as Bennett and Gill first demonstrated that, relative to a randomly chosen oracle, P is not equal to NP with probability 1, the random oracle hypothesis began piquing the interest of mathematicians and computer scientists. This was quickly disproven in several ways, most famously in 1992 with the result that IP equals PSPACE, in spite of the classes being shown unequal with probability 1. Here, we propose what could be considered strengthening of the random oracle hypothesis, using a stricter notion of what it means for a set to be 'large'. In particular, we suggest using largeness with respect to the Ramsey forcing notion. In this new context, we demonstrate that the set of oracles separating NP and coNP is 'not small', and obtain similar results for the separation of PSPACE from PH along with the separation of NP from BQP. In a related set of results, we demonstrate that these classes are all of the same descriptive complexity. Finally we demonstrate that this strengthening of the hypothesis turns it into a sufficient condition for unrelativized relationships, at least in the three cases considered here.
Date:
August 2022
Creator:
Creiner, Alex
System:
The UNT Digital Library
Topological Conjugacy Relation on the Space of Toeplitz Subshifts
We proved that the topological conjugacy relation on $T_1$, a subclass of Toeplitz subshifts, is hyperfinite, extending Kaya's result that the topological conjugate relation of Toeplitz subshifts with growing blocks is hyperfinite. A close concept about the topological conjugacy is the flip conjugacy, which has been broadly studied in terms of the topological full groups. Particularly, we provided an equivalent characterization on Toeplitz subshifts with single hole structure to be flip invariant.
Date:
August 2022
Creator:
Yu, Ping
System:
The UNT Digital Library
The D-Variant of Transfinite Hausdorff Dimension
In this lecture we introduce a new transfinite dimension function for metric spaces which utilizes Henderson's topological D-dimension and ascribes to any metric space either an ordinal number or the symbol Ω. The construction of our function is motivated by that of Urbański's transfinite Hausdorff dimension, tHD. Henderson's dimension is a topological invariant, however, like Hausdorff dimension and tHD the function presented will be invariant under bi-Lipschitz continuous maps and generally not under homeomorphisms. We present some original results on D-dimension and build the general theory for the D-variant of transfinite Hausdorff dimension, \mathrm{t}_D\mathrm{HD}. In particular, we will show for any ordinal number α, existence of a metrizable space which has \mathrm{t}_D\mathrm{HD} greater than or equal to α and less than or equal to \omega_\tau, where τ is the least ordinal which satisfies α < \omega_\tau.
Date:
May 2022
Creator:
Decker, Bryce
System:
The UNT Digital Library
Counting Plane Tropical Curves via Lattice Paths in Polygons
A projective plane tropical curve is a proper immersion of a graph into the real Cartesian plane subject to some conditions such as that the images of all the edges must be lines with rational slopes. Two important combinatorial invariants of a projective plane tropical curve are its degree, d, and genus g. First, we explore Gathmann and Markwig's approach to the study of the moduli spaces of such curves and explain their proof that the number of projective plane tropical curves, counting multiplicity, passing through n = 3d + g -1 points does not depend on the choice of points, provided they are in tropical general position. This number of curves is called a Gromov-Written invariant. Second, we discuss the proof of a theorem of Mikhalkin that allows one to compute the Gromov-Written invariant by a purely combinatorial process of counting certain lattice paths.
Date:
December 2021
Creator:
Zhang, Yingyu
System:
The UNT Digital Library
A New Class of Stochastic Volatility Models for Pricing Options Based on Observables as Volatility Proxies
One basic assumption of the celebrated Black-Scholes-Merton PDE model for pricing derivatives is that the volatility is a constant. However, the implied volatility plot based on real data is not constant, but curved exhibiting patterns of volatility skews or smiles. Since the volatility is not observable, various stochastic volatility models have been proposed to overcome the problem of non-constant volatility. Although these methods are fairly successful in modeling volatilities, they still rely on the implied volatility approach for model implementation. To avoid such circular reasoning, we propose a new class of stochastic volatility models based on directly observable volatility proxies and derive the corresponding option pricing formulas. In addition, we propose a new GARCH (1,1) model, and show that this discrete-time stochastic volatility process converges weakly to Heston's continuous-time stochastic volatility model. Some Monte Carlo simulations and real data analysis are also conducted to demonstrate the performance of our methods.
Date:
December 2021
Creator:
Zhou, Jie
System:
The UNT Digital Library
Optimal Pair-Trading Decision Rules for a Class of Non-linear Boundary Crossings by Ornstein-Uhlenbeck Processes
The most useful feature used in finance of the Ornstein-Uhlenbeck (OU) stochastic process is its mean-reverting property: the OU process tends to drift towards its long- term mean (its equilibrium state) over time. This important feature makes the OU process arguably the most popular statistical model for developing best pair-trading strategies. However, optimal strategies depend crucially on the first passage time (FPT) of the OU process to a suitably chosen boundary and its probability density is not analytically available in general. Even for crossing a simple constant boundary, the FPT of the OU process would lead to crossing a square root boundary by a Brownian motion process whose FPT density involves the complicated parabolic cylinder function. To overcome the limitations of the existing methods, we propose a novel class of non-linear boundaries for obtaining optimal decision thresholds. We prove the existence and uniqueness of the maximizer of our decision rules. We also derive simple formulas for some FPT moments without analytical expressions of its density functions. We conduct some Monte Carlo simulations and analyze several pairs of stocks including Coca-Cola and Pepsi, Target and Walmart, Chevron and Exxon Mobil. The results demonstrate that our method outperforms the existing procedures.
Date:
December 2021
Creator:
Tamakloe, Emmanuel Edem Kwaku
System:
The UNT Digital Library
On the Subspace Dichotomy of Lp[0; 1] for 2 < p < ∞
The structure and geometry of subspaces of a given Banach space is among the most fundamental questions in Functional Analysis. In 1961, Kadec and Pelczyński pioneered a field of study by analyzing the structures of subspaces and basic sequences in L_p[0,1] under a naturally occurring restriction of p, 2 < p <\infty. They proved that any infinite-dimensional subspace X\subset L_p[0,1] for 2<p<\infty must either be isomorphic to l_2 and complemented in L_p or must contain a complemented subspace which is isomorphic to l_p. Many works since have studied the relationships between the sides of this dichotomy, chiefly by weakening hypotheses on side of the equation to gain stronger assumptions on the other. In this way, Johnson and Odell were able to show in 1974 that if X contains no further subspace which is isomorphic to l_2, then it must embed into l_p. Kalton and Werner further strengthened this result in 1993 by showing that such an embedding must be almost isometric. We start by analyzing the tools and definitions originally introduced in 1961 and define a natural extension to these methods. By analyzing this extension, we provide a constructive and streamlined reproving of Kalton and Werner's theorem: Let X be …
Date:
August 2021
Creator:
James, Christopher W
System:
The UNT Digital Library
Optimal Look-Ahead Stopping Rules for Simple Random Walk
In a stopping rule problem, a real-time player decides to stop or continue at stage n based on the observations up to that stage, but in a k-step look-ahead stopping rule problem, we suppose the player knows k steps ahead. The aim of this Ph.D. dissertation is to study this type of prophet problems for simple random walk, determine the optimal stopping rule and calculate the expected return for them. The optimal one-step look-ahead stopping rule for a finite simple random walk is determined in this work. We also study two infinite horizon stopping rule problems, sum with negative drift problems and discounted sum problems. The optimal one, two and three-step look-ahead stopping rules are introduced for the sum with negative drift problem for simple random walk. We also compare the maximum expected returns and calculate the upper bound for the advantage of the prophet over the decision maker. The last chapter of this dissertation concentrates on the discounted sum problem for simple random walk. Optimal one-step look-ahead stopping rule is defined and lastly we compare the optimal expected return for one-step look-ahead prophet with a real-time decision maker.
Date:
August 2021
Creator:
Sharif Kazemi, Zohreh
System:
The UNT Digital Library
Radial Solutions of Singular Semilinear Equations on Exterior Domains
We prove the existence and nonexistence of radial solutions of singular semilinear equations Δu + k(x)f(u)=0 with boundary condition on the exterior of the ball with radius R>0 in ℝ^N such that lim r →∞ u(r)=0, where f: ℝ \ {0} →ℝ is an odd and locally Lipschitz continuous nonlinear function such that there exists a β >0 with f <0 on (0, β), f >0 on (β, ∞), and K(r) ~ r^-α for some α >0.
Date:
May 2021
Creator:
Ali, Mageed Hameed
System:
The UNT Digital Library
Contributions to Geometry and Graph Theory
In geometry we will consider n-dimensional generalizations of the Power of a Point Theorem and of Pascal's Hexagon Theorem. In generalizing the Power of a Point Theorem, we will consider collections of cones determined by the intersections of an (n-1)-sphere and a pair of hyperplanes. We will then use these constructions to produce an n-dimensional generalization of Pascal's Hexagon Theorem, a classical plane geometry result which states that "Given a hexagon inscribed in a conic section, the three pairs of continuations of opposite sides meet on a straight line." Our generalization of this theorem will consider a pair of n-simplices intersecting an (n-1)-sphere, and will conclude with the intersections of corresponding faces lying in a hyperplane. In graph theory we will explore the interaction between zero forcing and cut-sets. The color change rule which lies at the center of zero forcing says "Suppose that each of the vertices of a graph are colored either blue or white. If u is a blue vertex and v is its only white neighbor, then u can force v to change to blue." The concept of zero forcing was introduced by the AIM Minimum Rank - Special Graphs Work Group in 2007 as a …
Date:
August 2020
Creator:
Schuerger, Houston S
System:
The UNT Digital Library
Graded Hecke Algebras for the Symmetric Group in Positive Characteristic
Graded Hecke algebras are deformations of skew group algebras which arise from a group acting on a polynomial ring. Over fields of characteristic zero, these deformations have been studied in depth and include both symplectic reflection algebras and rational Cherednik algebras as examples. In Lusztig's graded affine Hecke algebras, the action of the group is deformed, but not the commutativity of the vectors. In Drinfeld's Hecke algebras, the commutativity of the vectors is deformed, but not the action of the group. Lusztig's algebras are all isomorphic to Drinfeld's algebras in the nonmodular setting. We find new deformations in the modular setting, i.e., when the characteristic of the underlying field divides the order of the group. We use Poincare-Birkhoff-Witt conditions to classify these deformations arising from the symmetric group acting on a polynomial ring in arbitrary characteristic, including the modular case.
Date:
August 2020
Creator:
Krawzik, Naomi
System:
The UNT Digital Library
Results on Non-Club Isomorphic Aronszajn Trees
In this dissertation we prove some results about the existence of families of Aronszajn trees on successors of regular cardinals which are pairwise not club isomorphic. The history of this topic begins with a theorem of Gaifman and Specker in the 1960s which asserts the existence from ZFC of many pairwise not isomorphic Aronszajn trees. Since that result was proven, the focus has turned to comparing Aronszajn trees with respect to isomorphisms on a club of levels, instead of on the entire tree. In the 1980s Abraham and Shelah proved that the Proper Forcing Axiom implies that any two Aronszajn trees on the first uncountable cardinal are club isomorphic. This theorem was generalized to higher cardinals in recent work of Krueger. Abraham and Shelah also proved that the opposite holds under diamond principles. In this dissertation we address the existence of pairwise not club isomorphic Aronszajn trees on higher cardinals from a variety of cardinal arithmetic and diamond principle assumptions. For example, on the successor of a regular cardinal, assuming GCH and the diamond principle on the critical cofinality, there exists a large collection of special Aronszajn trees such that any two of them do not contain club isomorphic subtrees.
Date:
August 2020
Creator:
Chavez, Jose
System:
The UNT Digital Library
Determinacy of Schmidt's Game and Other Intersection Games
Schmidt's game, and other similar intersection games have played an important role in recent years in applications to number theory, dynamics, and Diophantine approximation theory. These games are real games, that is, games in which the players make moves from a complete separable metric space. The determinacy of these games trivially follows from the axiom of determinacy for real games,ADR, which is a much stronger axiom than that asserting all integer games are determined, AD. One of our main results is a general theorem which under the hypothesis AD implies the determinacy of intersection games which have a property allowing strategies to be simplified. In particular, we show that Schmidt's (α,β,ρ) game on R is determined from AD alone, but on Rn for n≥3 we show that AD does not imply the determinacy of this game. We then give an application of simple strategies and prove that the winning player in Schmidt's (α,β,ρ) game on R has a winning positional strategy, without appealing to the axiom of choice. We also prove several other results specifically related to the determinacy of Schmidt's game. These results highlight the obstacles in obtaining the determinacy of Schmidt's game from AD
Date:
May 2020
Creator:
Crone, Logan
System:
The UNT Digital Library
Invariants of Polynomials Modulo Frobenius Powers
Rational Catalan combinatorics connects various Catalan numbers to the representation theory of rational Cherednik algebras for Coxeter and complex reflection groups. Lewis, Reiner, and Stanton seek a theory of rational Catalan combinatorics for the general linear group over a finite field. The finite general linear group is a modular reflection group that behaves like a finite Coxeter group. They conjecture a Hilbert series for a space of invariants under the action of this group using (q,t)-binomial coefficients. They consider the finite general linear group acting on the quotient of a polynomial ring by iterated powers of the irrelevant ideal under the Frobenius map. Often conjectures about reflection groups are solved by considering the local case of a group fixing one hyperplane and then extending via the theory of hyperplane arrangements to the full group. The Lewis, Reiner and Stanton conjecture had not previously been formulated for groups fixing a hyperplane. We formulate and prove their conjecture in this local case.
Date:
May 2020
Creator:
Drescher, Chelsea
System:
The UNT Digital Library
Winning Sets and the Banach-Mazur-McMullen Game
For decades, mathematical games have been used to explore various properties of particular sets. The Banach-Mazur game is the prototypical intersection game and its modifications by e.g., W. Schmidt and C. McMullen are used in number theory and many other areas of mathematics. We give a brief survey of a few of these modifications and their properties followed by our own modification. One of our main results is proving that this modification is equivalent to an important set theoretic game, called the perfect set game, developed by M. Davis.
Date:
May 2020
Creator:
Ragland, Robin
System:
The UNT Digital Library