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Option Pricing Under New Classes of Jump-Diffusion Processes

Description: 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 jum… more
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Date: December 2023
Creator: Adiele, Ugochukwu Oliver
open access

Dimensions of statistically self-affine functions and random Cantor sets

Description: 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
open access

Invariant Differential Derivations for Modular Reflection Groups

Description: 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 … more
Date: May 2023
Creator: Hanson, Dillon James
open access

Annihilators of Irreducible Representations of the Lie Superalgebra of Contact Vector Fields on the Superline

Description: 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 su… more
Date: May 2023
Creator: Goode, William M.
open access

Hochschild Cohomology of Finite Cyclic Groups Acting on Polynomial Rings

Description: 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 algebr… more
Date: May 2023
Creator: Lawson, Colin M.
open access

On Sharp Permutation Groups whose Point Stabilizers are Certain Frobenius Groups

Description: 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… more
Date: May 2023
Creator: Norman, Blake Addison
open access

Asymptotic Formula for Counting in Deterministic and Random Dynamical Systems

Description: 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. W… more
Date: May 2023
Creator: Naderiyan, Hamid
open access

On the Descriptive Complexity and Ramsey Measure of Sets of Oracles Separating Common Complexity Classes

Description: 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 st… more
Date: August 2022
Creator: Creiner, Alex
open access

Continuity of Hausdorff Dimension of Julia Sets of Expansive Polynomials

Description: 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, focusi… more
Date: August 2022
Creator: Wilson, Timothy Charles
open access

Topological Conjugacy Relation on the Space of Toeplitz Subshifts

Description: 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 invari… more
Date: August 2022
Creator: Yu, Ping

The D-Variant of Transfinite Hausdorff Dimension

Description: 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 n… more
Date: May 2022
Creator: Decker, Bryce
open access

Counting Plane Tropical Curves via Lattice Paths in Polygons

Description: 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 mult… more
Date: December 2021
Creator: Zhang, Yingyu

A New Class of Stochastic Volatility Models for Pricing Options Based on Observables as Volatility Proxies

Description: 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 re… more
Date: December 2021
Creator: Zhou, Jie

Optimal Pair-Trading Decision Rules for a Class of Non-linear Boundary Crossings by Ornstein-Uhlenbeck Processes

Description: 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 densi… more
Date: December 2021
Creator: Tamakloe, Emmanuel Edem Kwaku
open access

Optimal Look-Ahead Stopping Rules for Simple Random Walk

Description: 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 … more
Date: August 2021
Creator: Sharif Kazemi, Zohreh
open access

On the Subspace Dichotomy of Lp[0; 1] for 2 < p < ∞

Description: 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… more
Date: August 2021
Creator: James, Christopher W

Radial Solutions of Singular Semilinear Equations on Exterior Domains

Description: 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
open access

Contributions to Geometry and Graph Theory

Description: 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… more
Date: August 2020
Creator: Schuerger, Houston S

Graded Hecke Algebras for the Symmetric Group in Positive Characteristic

Description: 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 … more
Date: August 2020
Creator: Krawzik, Naomi
open access

Results on Non-Club Isomorphic Aronszajn Trees

Description: 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 tre… more
Date: August 2020
Creator: Chavez, Jose
open access

Invariants of Polynomials Modulo Frobenius Powers

Description: 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)-… more
Date: May 2020
Creator: Drescher, Chelsea
open access

Winning Sets and the Banach-Mazur-McMullen Game

Description: 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, … more
Date: May 2020
Creator: Ragland, Robin
open access

Determinacy of Schmidt's Game and Other Intersection Games

Description: 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 m… more
Date: May 2020
Creator: Crone, Logan
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