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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
This item is restricted from view until January 1, 2026.
Date: December 2023
Creator: Adiele, Ugochukwu Oliver
Item Type: Refine your search to only Thesis or Dissertation
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.
Item Type: Refine your search to only Thesis or Dissertation
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
Item Type: Refine your search to only Thesis or Dissertation
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
Item Type: Refine your search to only Thesis or Dissertation
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.
Item Type: Refine your search to only Thesis or Dissertation
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
Item Type: Refine your search to only Thesis or Dissertation
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
Item Type: Refine your search to only Thesis or Dissertation
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