Some event managers and ticket resellers offer call options under which a customer can pay a small amount now for the guaranteed option to attend a future sporting event by paying an additional amount later. We consider the case of tournament options in which the identity of the two teams playing in a tournament final such as the Super Bowl or the World Cup final are unknown at the time that op...

This dissertation is composed of three chapters, the first demonstrates that natural gas violates many of the simplifying assumptions frequently used in modeling its behavior. Careful analysis of futures contracts written on gas suggests that gas prices are seasonal while returns are non-Gaussian and evidence stochastic volatility. In addition, examination of options prices indicates the interm...

Abstract In recent years a number of authors pointed out significant stability and convergence problems while using Cox-Ross-Rubinstein binomial method to price and hedge barrier options. Different modifications were suggested to improve the convergence and stability of the binomial method. However, as this article shows, lattice approach in general has limited stability factor when applied to ...

This paper questions one of the fundamental assumptions made in options pricing: that the daily returns of a stock are independent and identically distributed (IID). We apply an estimation procedure to years of daily return data for all stocks in the French CAC-40 index. We find six stocks whose log returns are best modeled by a first-orderMarkov chain, not an IID sequence. We further propose t...

Discrete barrier and lookback options are among the most popular path-dependent options in markets. However, due to the discrete monitoring policy almost no analytical solutions are available for them. We shall focus on the following methods for discrete barrier and lookback option prices: (1) Broadie–Yamamoto method based on fast Gaussian transforms. (2) Feng–Linetsky method based on Hilbert t...

Aliasing is fundamental to object-oriented systems: every object has an identity, and since by that identity an object can be referenced from anywhere within the program, then the object could be aliased from anywhere within the program. By complicating the relationship between the static program text and its dynamic execution, aliasing makes programs harder to understand, to modify, and especi...

Reliable electronic identity (eID) lies at the core of delivering successful, trustworthy online government services. Yet in the move away from paperand documentary-based forms of face-to-face identity management complex questions arise, such as “How can any user’s true identity be proven?” This paper discusses proposed ‘laws’ for identity. It outlines a need for eID models that recognise the n...

In this paper, we investigate three problems concerning the toric ideal associated to a matroid. Firstly, we list all matroids M such that its corresponding toric ideal IM is a complete intersection. Secondly, we handle the problem of detecting minors of a matroidM from a minimal set of binomial generators of IM. In particular, given a minimal set of binomial generators of IM we provide a neces...