VictorJuiz/thesis huggingface dataset:
Robust pricing and hedging beyond one marginal
Keywords: semi-static superhedging
robust pricing and hedging
Skorokhod embedding problem
model uncertainty

The robust pricing and hedging approach in Mathematical Finance, pioneered by Hobson (1998), makes statements about non-traded derivative contracts by imposing very little assumptions about the underlying financial model but directly using information contained in traded options, typically call or put option prices. These prices are informative about marginal distributions of the asset. Mathematically, the theory of Skorokhod embeddings provides one possibility to approach robust problems.
In this thesis we consider mostly robust pricing and hedging problems of Lookback options (options written on the terminal maximum of an asset) and Convex Vanilla Options (options written on the terminal value of an asset) and extend the analysis which is predominately found in the literature on robust problems by two features: Firstly, options with multiple maturities are available for trading (mathematically this corresponds to multiple marginal constraints) and secondly, restrictions on the total realized variance of asset trajectories are imposed. Probabilistically, in both cases, we develop new optimal solutions to the Skorokhod embedding problem.
More precisely, in Part I we start by constructing an iterated Azema-Yor type embedding (a solution to the n-marginal Skorokhod embedding problem, see Chapter 2. Subsequently, its implications are presented in Chapter 3. From a Mathematical Finance perspective we obtain explicitly the optimal superhedging strategy for Barrier/Lookback options. From a probability theory perspective, we find the maximum maximum of a martingale which is constrained by finitely many intermediate marginal laws. Further, as a by-product, we discover a new class of martingale inequalities for the terminal maximum of a cadlag submartingale, see Chapter 4. These inequalities enable us to re-derive the sharp versions of Doob's inequalities. In Chapter 5 a different problem is solved. Motivated by the fact that in some markets both Vanilla and Barrier options with multiple maturities are traded, we characterize the set of market models in this case.
In Part II we incorporate the restriction that the total realized variance of every asset trajectory is bounded by a constant. This has been previously suggested by Mykland (2000). We further assume that finitely many put options with one fixed maturity are traded. After introducing the general framework in Chapter 6, we analyse the associated robust pricing and hedging problem for convex Vanilla and Lookback options in Chapters 7 and 8. Robust pricing is achieved through construction of appropriate Root solutions to the Skorokhod embedding problem. Robust hedging and pathwise duality are obtained by a careful development of dynamic pathwise superhedging strategies. Further, we characterize existence of market models with a suitable notion of arbitrage.
Monitoring cell and tissue damage during ablation by high-intensity focussed ultrasound
Keywords: ablation
cancer therapy
ultrasound
biomedical engineering
HIFU

High Intensity Focussed Ultrasound (HIFU) ablation is a promising technology for the non-invasive, targeted treatment of certain types of cancer. The technique functions by subjecting tumours to a cytotoxic level of intense, localised heating, while leaving the surrounding tissue unharmed. However, a number of limitations in the available HIFU treatment monitoring methods are currently hampering the effectiveness and clinical adoption of the therapy.
This work aims to develop improved metrics of HIFU-induced biological damage that are specifically suited to monitoring and controlling HIFU ablation. Firstly, an optical method that enables straightforward quantification of thermal damage in protein-embedding hydrogels is developed. Secondly, hydrogels embedded with different cell lines are used to assess the performance of common temperature-based metrics of cell death across a range of HIFU-relevant conditions. Finally, a novel, passive acoustic detector designed for the real-time monitoring of HIFU-induced tissue damage is proposed. The detector is shown to predict lesioning with over 80% accuracy in regimes that are very likely to create lesions (60 J of acoustic energy or more), with an error rate of less than 6% for exposures that are too short to cause lesioning (up to 1 s long). The proposed detector could therefore provide a low-cost means of effectively monitoring clinical HIFU treatments passively and in real time.
Computing with functions in two dimensions
Keywords: low rank
Chebfun
Chebyshev

New numerical methods are proposed for computing with smooth scalar and vector valued functions of two variables defined on rectangular domains. Functions are approximated to essentially machine precision by an iterative variant of Gaussian elimination that constructs near-optimal low rank approximations. Operations such as integration, differentiation, and function evaluation are particularly efficient. Explicit convergence rates are shown for the singular values of differentiable and separately analytic functions, and examples are given to demonstrate some paradoxical features of low rank approximation theory.
Analogues of QR, LU, and Cholesky factorizations are introduced for matrices that are continuous in one or both directions, deriving a continuous linear algebra. New notions of triangular structures are proposed and the convergence of the infinite series associated with these factorizations is proved under certain smoothness assumptions.
A robust numerical bivariate rootfinder is developed for computing the common zeros of two smooth functions via a resultant method. Using several specialized techniques the algorithm can accurately find the simple common zeros of two functions with polynomial approximants of high degree (&geq; 1,000).
Lastly, low rank ideas are extended to linear partial differential equations (PDEs) with variable coefficients defined on rectangles. When these ideas are used in conjunction with a new one-dimensional spectral method the resulting solver is spectrally accurate and efficient, requiring O(n2) operations for rank 1
partial differential operators, O(n3) for rank 2, and O(n4) for rank &geq;,3 to compute an n x n matrix of bivariate Chebyshev expansion coefficients for the PDE solution.
The algorithms in this thesis are realized in a software package called Chebfun2, which is an integrated two-dimensional component of Chebfun.
Late Holocene environmental change in the Basin of Pátzcuaro, Michoacán, México
Keywords: Mexico

This thesis describes late Holocene environmental changes in the Basin of Pátzcuaro, Michoacán, Mexico. Using palaeolimnological evidence it is possible to conclude that the Basin of Pátzcuaro has suffered at least three episodes of disturbance within the last 3,600 years. A minor episode of erosion began about 3,500 years ago and is believed to have been triggered by the onset of sedentary agriculture within the basin. A second, more severe phase of disturbance, occurred between about 2,500 and 1,200 years B.P. during which time there was extensive degradation in the northern part of the catchment; widespread gullying is believed to have occurred at this time. The recent, most intense period of erosion began about 850 years B.P., coinciding with the arrival of the Purépecha in the basin. There is no evidence to suggest that degradation within the catchment intensified after the arrival of the Spanish 470 years B.P. However, a change in the style of erosion from predominantly sheet-wash to gully erosion occurred at approximately 400-500 years B.P. and may reflect the introduction of new agricultural techniques by the Spanish.
Fluctuations in the level of Lake Pátzcuaro have been used to infer late Holocene climatic change. Prior to 4,000 years B.P. dry conditions prevailed. An abrupt change to wetter conditions occurred between about 3,600 and 3,200 years B.P. before becoming more arid. Wetter conditions between 2,500 and 1,200 years B.P. can be inferred from the lake sediment record. The driest period in the record occurred between 1,200 and 850 B.P. Fluctuations in the level of the lake over the last 600 years have been determined from historical records. The lake rose between 600 and 470 years B.P. and remained high until approximately 300 years B.P. after which time the lake level fell once again.
Developmental welfare in Thailand after the 1997 Asian financial crisis
Keywords: Southeast Asia
developmental welfare
1997 financial crisis
One Tambon One Product (OTOP)
social protection
historical institutionalism
Thailand
institutional change
paradigm recalibration

This thesis explores continuity and change in the developmental welfare approach in Thailand following the 1997 Asian financial crisis. It examines both the exogenous and endogenous forces that generated change as well as both the ‘process’ and the ‘content’ of transformation or responses to the crisis. It uses the One Tambon One Product (OTOP) policy as a case study to explore these changes.
The principle research question is: To what extent did the post 1997 crisis policy on social protection in Thailand represent a shift from its existing institutional path of developmental welfarism? Extending from this overarching question are subsidiary questions, which guided the thesis. They include: To what extent did the OTOP policy address the social protection gaps that became apparent in the Asian financial crisis? To what extent did the OTOP policy benefit its target population?
The thesis uses historical institutionalism (HI) and the role of ideas as the analytic frameworks in analyzing change. The thesis argues that the exogenous shock of the 1997 financial crisis contributed to some departure from the institutional path of developmental welfarism in Thailand. However, the change did not follow the conventional punctuated equilibrium (PE) model under the HI framework in the sense of moving from one equilibrium to another after an exogenous shock. Rather, the radical change that took place after the exogenous shock was gradual. The new set of institutional arrangement prompted significant ideational and institutional transformations. They involved both intended and unintended consequences of incremental shifts in the forms of ‘layering’ drift’ and ‘conversion’ (Streeck and Thelen, 2005). In addition, the thesis argues that the transformation in Thailand after the 1997 financial crisis lies in an intermediate order of change that is found between shifts in policy instrument and a wholesale ‘paradigm shift’ (Hall, 1993). Here, apart from having introduced a new policy such as OTOP, the Thai government engaged in a broader rethinking of Thailand’s developmental welfare path. Moreover, the study finds that the structure of economic development in a developing country context can both promote and impede social protection, rather than only subordinate the latter. The claim is based on the finding that the expansion of economic policy goals in Thailand supported local development and increasing inclusiveness of the informal sector after the 1997 financial crisis. Finally, the thesis argues that social protection delivery or lack thereof reflects contestation of ideas as well as material interests. Both the state and the policy beneficiaries in the OTOP context pushed for their interests when there were gaps between policy formulation and implementation. As a result, changes occurred both in the policy goals and in who benefited from OTOP.
Essays on networks and market design
Keywords: microeconomics
matching markets
market design
auctions
experimental economics
networks
online social networks

This thesis comprises four essays in the economics of networks and market design. The common thread in all these essays is the presence of complementarities or externalities. Chapter 2 presents a unified model of networks and matching markets. We build on a contribution by Pycia (2012). We show that strong pairwise alignment of agents’ preferences is a necessary and sufficient condition for the existence of strongly stable networks and strongly stable allocations in multilateral matching markets with finite contracts. Strongly stable networks are not necessarily efficient. Although we use a demanding stability concept, strong pairwise alignment allows for complementarities and externalities. In Chapter 3, we generalise the gross substitutes and complements condition introduced by Sun and Yang (2006). Our new condition guarantees the existence of competitive equilibrium in economies with indivisible goods. Competitive equilibrium can be found using an extension of the double-track adjustment process (Sun and Yang, 2009). In this chapter, we also study contract networks (Ostrovsky, 2008). We show that chain-stable contract allocations can exist even in cyclical contractual networks, such as electricity markets, as long as they are appropriately segmented. In Chapter 4, we run a series of experiments to compare the performance of four auctions – first-price, Vickrey, Vickrey-Nearest Rule (Day and Cramton, 2008), and Reference Rule (Erdil and Klemperer, 2010). In our setting, there are two items and three bidders. Two local bidders want an item each, but the global bidder wants both items. We introduce various exposure and package-bidding treatments. We find that the first-price auction always revenue-dominates all the other auctions without any loss in efficiency, strengthening the results of Marszalec (2011). Exposure affects global bidders only in the first-price auction. In other auctions, global bidders often do not take into account the effect of their own bids on their payments. We find no evidence of threshold effects. Finally, in Chapter 5, we develop a new model of online social network formation. In this model, agents belong to many overlapping social groups. We derive analytical solutions for the macroscopic properties of the network, such as the degree distribution. We study the dynamics of homophily – the tendency of individuals to associate with those similar to themselves. We calibrate our model to Facebook data from ten American colleges.
Biochemical characterisation of KDM2A
Keywords: zf-CXXC
KDM2A
histone demethylase
CpG island

Mammalian genomes are characterised by unique regions of non-methylated DNA known as CpG islands (CGIs). These genomic elements are characterised by a high density of CpGs and an elevated GC content compared to the surrounding, bulk of the genome. CGIs are prevalently associated with the 5’ end of genes and represent key nucleation sites where specific transcription factors and chromatin modifiers are recruited to impact on gene function.
This thesis is focused at understanding the biochemical properties of the recently discovered H3K36-specific histone demethylase, KDM2A. This enzyme is specifically recruited to CGIs but how it interfaces with local chromatin in vivo remains unknown. Using defined chromatin templates in vitro, this study demonstrates that KDM2A binding to DNA relies on a zinc finger CXXC domain that preferentially recognizes non-methylated CpGs. In particular, nucleosomes represent a major barrier to KDM2A binding and chromatin substrates are interpreted by the CXXC domain through specific interaction with CpGs within linker DNAs. Moreover, the adjacent PHD domain does not contribute to KDM2A binding to chromatin.
Together these observations suggest that sequence, methylation status and accessibility of DNA define how CGI chromatin is interpreted by CXXC domain proteins. In particular, the precise targeting of KDM2A to CGIs contributes to the creation of a unique chromatin architecture that highlights gene regulatory regions within large and complex mammalian genomes.
Concepts of Prydeindod (Britishness) in 18th century Anglo-Welsh Writing; with special reference to the works of Lewis Morris, Evan Evans, and Edward Williams
Keywords: Anglo-Welsh
Welsh literature
Britishness
English literature
Eighteenth Century
national identity

This thesis presents an analysis of the English-language work of three Welsh writers during the eighteenth century, spanning the period of the 1750s to 1794. During this period, the British state consolidated its power following the last of the significant internal uprisings in 1745, and attempted to create a British nation with internal unity. Such a unity entailed a renegotiation of older national identities as subjects attempted to partake of multiple identities simultaneously. In Wales, the manifestation of multiple identities was especially clear, as the language of the state did not accord with the mother tongue of the majority of Welshmen. Though Welsh literati had written in English since before the Act of Union (1536), choosing to write in English becomes more interesting for the critic during such a time of change. Previously, these works have been treated as aberrations, or literary curiosities less worthy of note than the Welsh-language productions of the same authors. This thesis argues that, instead, they should be analysed as offering an insight into these authors’ conception of Britain, and their place within the state and the new nation, both in the choice of language and the topics considered. As a theoretical basis for these analyses, I consider the concept of Prydeindod from the work of philosopher J.R. Jones, as distinct from the idea of Britishness, and as a way of complicating Anglocentric or binary discussions of Britishness. This in turn informs readings of the English-language productions of Welsh writers in the eighteenth century, and shows that their negotiations of new identities are not as forthright as has previously been assumed.
'Pierre, or the ambiguities': Bayle, Jurieu and the Dictionnaire Historique et Critique
Keywords: problem of evil
Pierre Jurieu
Pierre Bayle
Dictionnaire Historique et Critique

This thesis presents a new study of Pierre Bayle’s Dictionnaire Historique et Critique (1696), with special reference to Bayle’s polemical engagement with the theologian Pierre Jurieu. While recent years have seen a surge of interest in Bayle, there is as yet no consensus on how to interpret Bayle’s ambiguous stance on reason and religion, and how to make sense of the Dictionnaire: although specific parts of the Dictionnaire have received much scholarly attention, the work has hardly been studied as a whole, and little is known about how the Dictionnaire was influenced by Bayle’s polemic with Jurieu. This thesis aims to establish a new method for reading the Dictionnaire, under a dual premise: first, that the work can only be rightly understood when placed within the immediate context of its production in the 1690s; second, that it is only through an appreciation of the mechanics of the work as a whole, and of the role played by its structural and stylistic particularities, that we can attain an appropriate interpretation of its parts. Special attention is paid to the heated theological-political conflict between Bayle and Jurieu in the 1690s, which had a profound influence on the project of the dictionary and on several of its major themes, such as the tensions in the relationship between the intellectual sphere of the Republic of Letters and the political state, but also the danger of religious fanaticism spurring intolerance and war. The final chapters demonstrate that Bayle’s clash with Jurieu was also one of the driving forces behind Bayle’s reflection on the problem of evil; they expose the fundamentally problematic nature of both Bayle’s theological association with Jurieu, and his self-defence in the second edition of the Dictionnaire.
The title of this thesis comes from Herman Melville’s novel: ‘Pierre, or the Ambiguities’.
Monocytes in acute myocardial infarction
Keywords: genomics
myocardial infarction
monocytes

Acute myocardial infarction (AMI) results in the activation of the innate immune system with monocytes playing critical roles in both the initial inflammation following myocardial ischaemia and subsequent recovery. Monocytes are a heterogeneous cell population and observations from experimental models demonstrate that immediately following myocardial injury, classical inflammatory monocytes, which are highly phagocytic, are recruited to ischaemic myocardium from the bone marrow and spleen and peak at 48 hours. This is followed by the recruitment of non-classical monocytes that are involved in repair and healing, peaking at day 5. The monocyte response in humans following AMI is currently poorly understood.
Due to their central role in the pathogenesis of AMI, monocytes are attractive both as potential biomarkers to inform of extent of myocardial injury (and recovery) and also as therapeutic targets with the specific targeting of monocytes in experimental models resulting in reduced infarction size and improved LV remodelling. However, in spite of these promising results and our greater understanding of the pathogenesis of AMI, no immune-modulating therapeutic has been translated into routine clinical practice.
We therefore hypothesized that characterisation of the monocyte response to AMI by flow cytometry and gene expression profiling in both experimental models and humans would give novel insights into underlying biological processes and function (both locally in the myocardium and systemically), identify novel therapeutic targets, enable their use as cellular biomarkers of disease, and test conservation between species validating the experimental model for future investigation.
Classical inflammatory monocytes were found to significantly increase in the peripheral blood 48 hours following AMI in both mice and humans, with the magnitude of the monocyte response correlating with the extent of myocardial injury in both species. Gene expression profiling of peripheral circulating monocytes following AMI identified a number of candidate genes, biological pathways and upstream regulators that were conserved between species and that could represent novel therapeutic targets. Furthermore, in an experimental model of AMI, leukocytes appeared to have effects beyond the ischaemic myocardium, with leukocyte recruitment in remote myocardium and in kidneys associated with elevated inflammatory markers and endothelial activation.