VictorJuiz/thesis huggingface dataset:
Financial Engineering of the Stochastic Correlation in Credit Risk Models

The main objective of this thesis is to implement stochastic correlation into the existing structural credit risk models. There are two stochastic models suggested for the covariance matrix of the assets' prices. In our first model, to induce the stochasticity into the structure of the correlation, we assume that the eigenvectors of the covariance matrix are constant but the eigenvalues are driven by independent Cox-Ingersoll-Ross processes. To price equity options on this framework we first transform the calculations from the pricing domain to the frequency domain. Then we derive a closed formula for the Fourier transform of the Green's function of the pricing PDE. Finally we use the method of images to find the price of the equity options. The same method is used to find closed formulas for marginal probabilities of defaults and CDS prices. In our second model, the covariance of the assets follows a Wishart process, which is an extension of the CIR model to dimensions greater than one. The popularity of the Heston model, which uses the CIR process to model the stochastic volatility, could be a promising point for using Wishart process to model stochastic correlation. We give closed form solutions for equity options, marginal probabilities of defaults, and some other major financial derivatives. For the calculation of our pricing formulas we make a bridge between two recent trends in pricing theory; from one side, pricing of barrier options by Lipton (2001) and Sepp (2006) and from other side the development of Wishart processes by Bru (1991), Gourieroux (2005) and Fonseca et al. (2006, 2007a, 2007b). After obtaining the mathematical results above, we then estimate the parameters of the two models we have developed by an evolutionary algorithm. We prove a theorem which guarantees the convergence of the evolutionary algorithm to the set of optimizing parameters. After estimating the parameters of the two stochastic correlation models, we conduct a comparative analysis of our stochastic correlation models. We give an approximation formula for the joint and marginal probabilities of default for General Motors and Ford. For the marginal probabilities of default, a closed formula is given and for the joint probabilities of default an approximation formula is suggested. To show the convergence properties of this approximation method, we perform the Monte Carlo simulation in two forms: a full and a partial Monte Carlo simulation. At the end, we compare the marginal and joint probabilities with full and partial Monte Carlo simulations.

Keywords: Financial Engineering
Mathematics
Advisor: Seco, Luis
Learning Land and Life: An Institutional Ethnography of Land Use Planning and Development in a Northern Ontario First Nation

This study examines intricately related questions of consciousness and learning, textually-mediated social coordination, and human relationships within nature, anchored in the everyday life practices and concerns of a remote First Nation community in the Treaty 9 region. Through the use of Institutional Ethnography, community-based research and narrative methods, the research traces how the ruling relations of land use planning unfold within the contemporary period of neoliberal development in Northern Ontario. People’s everyday experiences and access to land in the Mushkego Inninowuk (Swampy Cree) community of Fort Albany for example, are shaped in ways that become oriented to provincial ruling relations, while people also reorient these relations on their own terms through the activities of a community research project and through historically advanced Indigenous ways of being. The study examines the coordinating effects of provincially-driven land use planning on communities and territories in Treaty 9, as people in local sites are coordinated to others elsewhere in a complex process that serves to produce the legislative process called Bill 191 or the Far North Act. Examining texts, ideology and dialectical historical materialist relations, the study is an involved inquiry into the text process itself and how it comes to be put together. The textually mediated and institutional forms of organizing social relations—effectively land relations—unfold with the involvement of people from specific sites and social locations whose work is coordinated, as it centres on environmental protection and development in the region north of the 51st parallel. A critique of the textually mediated institutional process provides a rich site for exploring learning within the context of neoliberal capitalist relations and serves to illuminate ways in which people can better act to change the problematic relations that haunt settler-Indigenous history in the contemporary period. The work asks all people involved in the North how we can work to address historic injustices rooted in the relations and practices of accumulation and dispossession. The voices and modes of governance of Aboriginal people, obfuscated within the processes and relations of provincial planning, must be afforded the space and recognition to flourish on their own terms.

Keywords: Institutional Ethnography
First Nation
Mushkego
Mushkegowuk
Ininowuk
Swampy Cree
Fort Albany
Peetabego
Historical Materialism
Dialectical
Community-Based Research
Participatory Research
Nature
Ecology
Ecological
Environmental
Ruling Relations
Abstraction
Land use planning
Development
Protection
Far North Act
Bill 191
Critical Education
Ideology
Land Relations
Indigenous
Aboriginal
Northern Ontario
Learning
Capitalism
Social Relations
Consciousness
Everyday life practice
Advisor: Mojab, Shahrzad
Agreeing to Disagree...or Not: A Multi-level Examination of Conflict Spillover in Diverse Groups

To better understand the impact of task conflict in work teams, an incremental, multi-level model is developed, which distinguishes individual-level perceptions of conflict from more overt group-level manifestations of conflict. Task conflict is conceptualized as being detrimental for teams only to the extent that it positively predicts relationship conflict. The positive relationship between task conflict and relationship conflict is referred to as conflict spillover. The composition of team members’ underlying beliefs concerning the functional value of task conflict (referred to as conflict values) is examined as a moderator of conflict spillover. It is proposed that perceptual conflict spillover is smaller among team members who hold positive conflict values, and that manifest conflict spillover is smaller among teams composed primarily of members who hold positive conflict values. Hypotheses were tested in a longitudinal study of 59 student teams (294 individuals). At the team level, the diversity of team members’ conflict values was found to moderate manifest conflict spillover, such that the association between task and relationship conflict was significantly positive for teams composed of members who held more diverse conflict values. For teams composed of members who had less diverse conflict values, there was no significant association between manifest task conflict and manifest relationship conflict. As a result of these significant differences in conflict spillover, manifest task conflict indirectly and negatively predicted the task performance and viability of teams containing more diverse conflict values, but did not significantly impact the effectiveness of teams with less diverse conflict values. At the individual level, the significant positive association between perceived task conflict and perceived relationship conflict was not moderated by individual conflict values. However, because of this perceptual conflict spillover, task conflict perceptions also indirectly and negatively predicted team members’ personal willingness to continue working in the team. Results of this dissertation highlight important differences in the ways that conflict operates at the individual and group levels. Having identified the diversity of conflict values as a moderator of manifest conflict spillover, this dissertation outlines areas for further academic and practical knowledge development concerning the prevention of dysfunctional team dynamics.

Keywords: teams
multilevel
intragroup conflict
moderated mediation
composition model
task conflict
relationship conflict
team viability
Advisor: Xie, Jia Lin
Imaging the Mechanics of Hydraulic Fracturing in Naturally-fractured Reservoirs Using Induced Seismicity and Numerical Modeling

The primary objective of this study is to improve understanding of the mechanics of hydraulic fracturing in naturally-fractured reservoirs. The study focuses on enhancing the interpretation of hydraulic fracture-induced microseismic data using an S-wave Gaussian-beam method and numerical modeling techniques for interpretation. The S-wave Gaussian-beam method was comprehensively calibrated by synthetic and real data sets with different recording networks, and this showed the potential to retrieve additional microseismic data from hydraulic fracturing with linear receiver arrays. This approach could enhance current practice because a large number of induced events in these environments have very strong S-waves with P-wave amplitudes similar, or less than, background noise levels. The numerical study using the distinct element methods PFC2D and PFC3D was used to validate the understanding of the hydraulic fracturing mechanisms induced in laboratory and field fluid treatments in naturally-fractured reservoirs. This was achieved through direct comparison with the results of the geometry of hydraulic fractures and seismic source information (locations, magnitudes, and mechanisms) from both laboratory experiments and field observations. A suite of numerical models with fully-dynamic and hydro-mechanical coupling has been used to examine in detail the interaction between natural and induced fractures with the variations of the differential stresses and the orientations of the pre-fractures, and the relationship between the fluid front, the fracture tip, and the induced seismicity. The numerical results qualitatively agreed with the laboratory and field observations of the geometry of hydraulic fractures, confirmed the possible mechanics of new fracture development and their interactions with natural fractures, and illustrated the possible relationship between the fluid front and the fracture tip. The validated model could therefore help track the potential extent of induced fracturing in naturally-fractured reservoirs and the extent to which it can be detected by a microseismic monitoring array in order to assess the effectiveness of a hydraulic fracturing project.

Keywords: mechanics
hydraulic fracturing
induced seismicity
naturally-fractured reservoirs
numerical modeling
S-wave
Gaussian-beam
location
Advisor: Young, R. Paul
The Role of Lymphotoxin-beta-Receptor Signaling in Dendritic Cell Function and T Cell Priming.

Early during an immune response, dendritic cells (DC) interact closely with CD4+ T cells, and cross-talk between these cells can come in the form of tumour necrosis factor (TNF) superfamily ligand-receptor interactions. These signals are critical for the maturation, function and survival of DC, and thereby dictate the capacity of DC to prime a robust T cell response. Among these cues, helper T cell-expressed CD40L interaction with DC-expressed CD40 is required to fully mature DC for cross-priming of help-dependent CD8+ T cell responses. The lymphotoxin-beta receptor (LTβR) is another TNF family receptor on DC, and it’s ligands LTα1β2 and LIGHT are expressed on activated T cells. Since abrogated LTβR signaling impairs T cell immunity, we have examined whether LTαβ represents another possible helper T cell-derived cue for full DC maturation. However the LT pathway controls lymphoid tissue organization and DC homeostasis, a second possible mechanism explaining the necessity of LTβR signaling for T cell immunity. Here we dissect the role of helper T cell-expressed LTβR ligands and DC-intrinsic LTβR signaling, independent of DC homeostasis or lymphoid organization, in DC function and T cell immunity. Absence of LTα1β2 and not LIGHT on helper T cells results in compromised T cell priming by DC ex vivo, and LTβ-/- CD4+ T cell responses are impaired in vivo. Ag-specific CD4+ T cell-expressed LTα1β2 and DC-intrinsic LTβR signaling are required for an optimal cytotoxic T lymphocyte (CTL) response in vivo. While CD40 induces IL-12 and is required for CTL function, DC-intrinsic LTβR signaling is necessary for CTL activation and expansion, early up-regulation of CD86 and IFNα/β production. Our results reveal non-redundant roles for distinct TNF family receptors in enabling DC to program different features in Ag-specific CD8+ T cells.

Keywords: immune function
dendritic cells
T cell priming
lymphotoxin
Advisor: Gommerman, Jennifer Lynn
Physiologically-mediated Interaction between Children with Profound Disabilities and Their Environment

This thesis explores the physiologically-mediated interactions between children with profound disabilities and their environment. Using a structure inspired by the musical theme and variation compositional form, the concept of using physiological signals to enrich person-environment interaction will be addressed in two themes. The first theme explores how children with profound disabilities can use their physiological signals to interact with their environment. The variations on this theme: 1) appraise the literature and establish that peripheral autonomic nervous system signals can be controlled by mental activities; 2) present an algorithm that classifies an individual’s mental state using patterns of electrodermal activity to an accuracy of over 80%, and; 3) discusses the challenges with and potential solutions to creating an physiologically-based interaction pathway for children with profound disabilities. The second theme explores how physiological signals can be used to assess the effect of the environmental milieu on a child with profound disabilities. The variations on this theme: 1) demonstrate the effects of the built environment on the life activities of a severely disabled individual by developing and evaluating the effects of a custom-tailored computer access technology; 2) illustrate how the physiological signals of profoundly disabled children are influenced by their social environment by studying the effect of Therapeutic Clowns on children in a long-term rehabilitation setting; and 3) illustrate how differential physiological responses to sounds in the environmental milieu can be used to inform and improve voluntary physiologically-mediated person-environment interaction. The coda of the thesis presents a conceptual framework that has the potential to enrich the interaction between profoundly disabled children and their environment, using music generated from physiological signal patterns to modify their environmental milieu, constructs of personhood and their identity.

Keywords: disability
autonomic nervous system
Advisor: Chau, Tom
Mihailidis, Alex
The Third-phase of the Yungang Cave Complex—Its Architectural Structure, Subject Matter, Composition and Style

Abstract The Yungang Cave Complex in Shanxi province is one of the largest Buddhist sculpture repositories produced during the Northern and Southern Dynasties. This thesis argues that the iconographic evolution of the Yungang caves underwent three developing phases which can be summarized as the five Tan Yao Caves phase, the transitional period, and the sinicized third-phase under the reigns of five Northern Wei (386-534) emperors Wencheng 文成 (452-465), Xianwen 獻文 (466-471), Xiaowen 孝文(471-499), Xuanwu 宣武 (500-515) and Xiaoming 孝明 (516-528). This dissertation studies the Yungang third-phase caves, namely those caves executed after the capital was moved from Pingcheng 平城 to Luoyang 洛陽in the year 494. It focuses primarily on what we call the western-end caves, which are composed of all the caves from cave 21 to cave 45, and as cave 5-10 and cave 5-11 are typical representations of the third-phase and even today are well preserved, they are also included in this study. Using typology method, as well as primary literary sources, this study places the western-end caves in their historical, social and religious context while focusing on four perspectives: architectural lay-out, iconographic composition, subject matter and style of representation. It deals with such questions as: what these images represent, what is their connection with Buddhist literature, what is the origin of the style of the western-end caves, what is the relationship between sculpture and painting, what is the relationship between the monastic life and Buddhist art, what was the status of Yungang after the transfer of the capital to the south, and who were the patrons. This study sheds new light on the changes in the iconographic motifs over the time from the first-phase to the third-phase and constructs a timeline for the sequence of construction of the western-end caves. The study also investigates the iconographical inter-relationship between the Yungang third-phase caves and those in the Longmen and to a lesser extent, the Gongxian complexes, as well as some relatively small caves in Shanxi province in order to trace the spread of the “Yungang Style.” This will map out the evolution in Buddhist iconographical style throughout the Central Plain of China. Although the caves of the first two phases have been studied extensively, this study is the first comprehensive examination of the Yungang third-phase caves. It is also the first investigation of the interrelationship between the Yungang style and that of other sites such as Longmen and Gongxian, as well as individual caves in the Shanxi area. This work is based on a broad consultation of primary text material and, most importantly, on first hand site observations by the researcher, which are documented by an extensive photographic record.

Keywords: Yungang Cave Temples
Images
Shanxi Buddhist Caves
Buddhist Cave temples
donors
patrons
Tan Yao
Longmen Buddhist Caves
Shitanghui Buddhist Caves
Monastic life and Buddhist art
Emperor Xiaowen
Lady Feng
Advisor: Ruitenbeek, Klaas
Guisso, Richard
Poetic Properties: Legal Forms and Literary Documents in Early English Literature

This thesis argues that the Middle English alliterative prosody of the Piers Plowman tradition was influenced by a discourse combining law, history, homily and poetry which was inherited from the administrative practices of the Anglo-Saxon period. As literary and legal textual genres developed recognizably distinct formal characteristics in the later Middle Ages, the combination of homiletic rhetoric and alliterative sound-patterning evoked a surviving discourse in which the formal characteristics of poems and documents were less clearly distinguished. Thus insofar as it evoked Anglo-Saxon textual culture, Piers Plowman provided a formal model which was particularly suitable to criticisms of political institutions that consolidated their power by developing new distinctions between the genres of bureaucratic texts. In each of the texts and traditions studied – Wulfstan’s homiletic law code I–II Cnut and its Latin translations, The First Worcester Fragment, Laȝamon’s Arthurian Brut chronicle-poem, The South English Legendary "Life of St. Egwine", and the Piers Plowman tradition poem Mum and the Sothsegger – apparently “literary” devices are used to authorize historically-based “legal” claims, particularly on behalf of ecclesiastical institutions looking to maintain their local influence in the face of increasingly consolidated royal administrative authority. Though oaths played a much less important procedural role after the Norman Conquest than they did in the Anglo-Saxon period, the appearance of "creative" authenticating procedures in "commemorative" texts created the appearance of orality to post-Conquest readers, to criticize a government which claimed its English "common" law to originate in the remotest recorded antiquity, even as it abandoned the practices actually recorded in the earliest surviving law codes and documents to be written in England. Comparing these texts allows a deeper understanding of their shared authenticating strategies, and also a re-appraisal of the methods we use to describe the relationships between medieval documents and authors, literature and law, texts and contexts. Appended to the dissertation is an edition of the SEL "Life of St. Egwine." Because Egwine's hagiographic tradition is so thematically invested in political concerns and closely interconnected with legal documents attributed to Egwine himself, the edition provides an opportunity to take a "disjunctively" literary and diplomatic approach to the tradition, in the process exploring some of the practical implications of the larger theoretical issues raised by the thesis as a whole.

Keywords: Old English Law
Wulfstan
Cnut
First Worcester Fragment
Laȝamon
South English Legendary
Piers Plowman
Mum and the Sothsegger
Diplomatics
Textual Criticism
Advisor: Orchard, Andy
Evolving Paradigms in the Treatment of Hepatitis B

Hepatitis B is a serious global health problem with over 2 billion people infected worldwide and 350 million suffering from chronic hepatitis B (CHB) infection. Infection can lead to chronic hepatitis, cirrhosis and hepatocellular carcinoma (HCC) accounting for 320,000 deaths per year. Numerous treatments are available, but with a growing number of therapies each with considerable trade-offs, the optimal treatment strategy is not transparent. This dissertation investigates the relative efficacy of treatments for CHB and estimates the health related quality of life (HRQOL) and health utilities of mild to advanced CHB patients. A systematic review of published randomized controlled trials comparing surrogate outcomes for the first year of treatment was performed. Bayesian mixed treatment comparison meta-analysis was used to synthesize odds ratios, including 95% credible intervals and predicted probabilities of each outcome comparing all currently available treatments in HBeAg-positive and/or HBeAg-negative CHB patients. Among HBeAg-positive patients, tenofovir and entecavir were most effective, while in HBeAg-negative patients, tenofovir was the treatment of choice. Health state utilities and HRQOL for patients with CHB stratified by disease stage were elicited from patients attending tertiary care clinics at the University Health Network in Toronto. Respondents completed the standard gamble, EQ5D, Health Utilities Index Mark 3 (HUI3), Short-Form 36 version-2 and a demographics survey in their preferred language of English, Cantonese or Mandarin. Patient charts were accessed to determine disease stage and co-morbidities. The study included 433 patients of which: 294 had no cirrhosis, 79 had compensated cirrhosis, 7 had decompensated cirrhosis, 23 had HCC and 30 had received liver transplants. Mean standard gamble utilities were 0.89, 0.87, 0.82, 0.84 and 0.86 for the respective disease stages. HRQOL in CHB patients was only impaired at later stages of disease. Neither chronic infection nor antiviral treatment lowered HRQOL. Patients with CHB do not experience lower HRQOL as seen in patients with hepatitis C. The next step in this area of research is to incorporate the estimates synthesized by the current studies into a decision model evaluating the cost-effectiveness of treatment to provide guidance on the optimal therapy for patients with HBeAg-positive and HBeAg-negative CHB.

Keywords: Hepatitis B
Meta-analysis
Bayesian
Utility
Advisor: Krahn, Murray