VictorJuiz/thesis huggingface dataset:
A Bayesian approach to financial model calibration, uncertainty measures and optimal hedging

In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local volatility model is used as a working example to clarify the proposed methods. This thesis assumes a prior probability density for the unknown parameter in a model we try to calibrate. The prior probability density regularises the ill-posedness of the calibration problem. Further observations of market prices are used to update this prior, using Bayes law, and give a posterior probability density for the unknown model parameter. Resulting Bayes estimators are shown to be consistent for finite-dimensional model parameters. The posterior density is then used to compute the Bayesian model average price. In tests on local volatility models it is shown that this price is closer than the prices of comparable calibration methods to the price given by the true model. The second part of the thesis focuses on quantifying model uncertainty. Using the framework for market risk measures we propose axioms for new classes of model uncertainty measures. Similar to the market risk case, we prove representation theorems for coherent and convex model uncertainty measures. Example measures from the latter class are provided using the Bayesian posterior. These are used to value the model uncertainty for a range of financial contracts priced in the local volatility model. In the final part of the thesis we propose a method for selecting the model, from a set of candidate models, that optimises the hedging of a specified financial contract. In particular we choose the model whose corresponding price and hedge optimises some hedging performance indicator. The selection problem is solved using Bayesian loss functions to encapsulate the loss from using one model to price and hedge when the true model is a different model. Linkages are made with convex model uncertainty measures and traditional utility functions. Numerical experiments on a stochastic volatility model and the local volatility model show that the Bayesian strategy can outperform traditional strategies, especially for exotic options.

Keywords: finance
model risk
risk measures
calibration
uncertainty
Bayesian
hedging
modelling
Advisor: Reisinger, C
Automatic simplification of differential equation models by a posteriori analysis

Many mathematical models in biology and physiology are represented by systems of nonlinear differential equations. In recent years these models have become increasingly large-scale and multiphysics, as increasing amounts of data are available on the properties and behaviour of biological systems. Often an observed behaviour of interest in a model may be written as a linear functional. A key question therefore is to determine which terms in the model have the greatest effect on functionals of interest.
An approach for answering this question has recently been developed, called model reduction using a posteriori analysis. The method was initially developed for systems of nonlinear initial value ordinary differential equations, and automatically identifies regions of the computational domain and components of the model solution where an accurate mathematical representation of the model is required to accurately calculate a linear functional of interest. Initial-value ordinary differential equations can be written as a first-order derivative term plus an algebraic 'reaction' term. In previous work on model reduction using a posteriori analysis the algebraic 'reaction' term is removed from the equations in the reduced model.
The first contribution of this thesis is to extend the method so that the first-order derivative term is removed from the differential equation instead of the algebraic 'reaction' term, resulting in a quasi-steady state approximation in automatically identified regions of the domain and components of the solution. The second contribution of this thesis is to extend the method to boundary value problems and partial differential equations. We consider differential equations with algebraic terms, first order terms and second order terms, any combination of which may be nonlinear. The method is used to automatically simplify several differential equation models including models of chemotaxis and tissue-level cardiac electrophysiology.

Keywords: computational physiology
Advisor: Whiteley, J
Gavaghan, D
Molecular mapping of the human major histocompatibility complex

1. Pulsed field gel electrophoresis (PFGE) and cosmid walking have been used to establish a molecular map of the human major histocompatibility complex (MHC). Single copy hybridisation probes were isolated from clusters of cosmid clones, one containing the C2, factor B, C4 and 21-hydroxylase genes, and the other containing the genes for tumour necrosis factors (TNF) a and B. These probes and HLA class I and class II gene probes were hybridised to Southern blots of genomic DNA which had been digested with infrequently cutting restriction endonucleases and separated by PFGE. The data obtained allowed the construction of a long range genomic restriction map, indicating the MHC spans 3800 kb. This map orients the complement gene cluster with respect to DRA, the C2 gene being telomeric to the 21-hydroxylase B gene. In addition, the positions of the TNF genes were defined. The DRA and 21-hydroxylase B genes are separated by no greater than 390 kb, while the distance between the C2 and TNFA genes is 325 kb. The HLA-B locus lies about 250-300kb telomeric of the TNFB gene.
2. The long range DNA organisation of the class II and class III regions in eight HLA homozygous cell lines has been analysed using PFGE. Comparison of the size of the BssHII restriction fragment observed for these cell lines and five individuals possessing one to three C4 genes, shows that the organisation of the C4 genes on each chromosome can be deduced from a single PFGE experiment. Outside of the C4 and 21-OHase loci the class III region shows a highly invariant structure, with no detectable differences in the amount of DNA present. Moreover the class III region is rich in CpG-islands, one of which has been characterised, and contains at least thirteen new genes. However, in the class II region, two differences between common haplotypes have been found. The DRw52-related haplotypes have the same DNA organisation. DR2 haplotypes possess 20-30 kb more DNA in the DRB region. DRw53 haplotypes have 100-130 kb more DNA than DRw52-related haplotypes in the region containing the DRB and DQA genes.

Advisor: Campbell, R
Campbell, D
Everyday networks, politics, and inequalities in post-tsunami recovery: fisher livelihoods in South Sri Lanka

The aim of this thesis is to explore how livelihoods are recovering in the aftermath of the 2004 tsunami in Sri Lanka through the lens of the Sustainable Livelihoods Framework and the social networks approach—methods of inquiry that have gained considerable impetus in livelihoods research. The study is conducted with reference to two tsunami-affected fisher villages in the Hambantota District, Southern Province. It employs a qualitative ethnographic methodology that examines narratives emerging from households, local officials of government and non-government organizations, office bearers of community-based organizations, local politicians, village leaders, and key informants. Focus is on evaluating how particular roles, activities, and behaviour are given importance by these groups in specific post-tsunami contexts and how these aspects relate to broader conceptualizations of social networks, informal politics, social inequality, and ethnographic research in South Asia. The findings support four major contributions to the literature. First, social networks are significant as an object of study and a method of inquiry in understanding livelihoods post-disaster. Second, paying heed to varied forms of informal politics is critical in post-disaster analyses. Third, the concept of intersectionality can extend and improve upon prevailing approaches to social inequality in disaster recovery. Fourth, ethnographic research is valuable for understanding everyday networks, informal politics, and change in South Asia. Collectively, these findings present a human geography of post-tsunami livelihoods in Sri Lanka, where networks, politics, and inequalities, which form an essential part of everyday livelihoods, have been reproduced in disaster recovery. The thesis constitutes a means of offering expertise in the sphere of development practice, highlighting internal differentiation in access to aid as a key issue that needs to be identified and systematically addressed by policymakers and practitioners.

Keywords: Sri Lanka
intersectionality
informal politics
2004 tsunami
ethnography
disaster recovery
clientelism
corruption
Sustainable Livelihoods Framework
political patronage
non-government organizations
rural livelihoods
Advisor: Daley, P
Jeffrey, C
Foetal pancreas transplantation in the rat

The efficacy of transplantation of foetal pancreas for correction of streptozotocin diabetes in the rat was studied using 17-18 day gestation foetal rat pancreata implanted under the renal capsule of the recipients. When 6 grafts were implanted in isogeneic recipients (LEW ➝ LEW), which were treated initially with exogenous insulin, normoglycaemia was usually achieved during the second week after implantation. Mature islets developed from undifferentiated precursor cells of the graft, and normal glucose tolerance and insulin secretion were achieved in recipients when studied 3 to 6 months later.
When foetal pancreas was allotransplanted in the weak (DA x LEW) Fl ➝ DA and strong (DA x LEW)F1 ➝ LEW combination, rejection (as determined by histological assessment of biopsied grafts) commenced by 3 days and was complete by 14 days, as evidenced by elevation of serum glucose levels. The histopathology of rejection was similar to that described for other transplanted organs: the inflammatory infiltrate consisted of small lymphocytes, plasma cells and neutrophil polymorphs together with fibrinoid necrosis of the vessels in the graft.
The foetal rat pancreas could be successfully cultivated in vitro for 21 days, and when examined ultrastructurally, the explant contained mature beta, alpha and delta cells together with healthy Golgi complexes, mitochondria and ribosomes. When 21 day cultured explants were transplanted into diabetic isogeneic and allogeneic recipients, normoglycaemia was attained in isogeneic recipients, but allogeneic recipients never survived normoglycaemic for more than 2 days longer than recipients of non-cultured allografts. However, there was a consistent and marked reduction in lymphocytotoxic antibody titres in the recipients of cultured allografts, thus demonstrating that some reduction in graft immunogenicity was achieved. Cyclophosphamide pretreatment had little effect on prolonging survival of either foetal pancreas or isolated islet allografts, although it did reduce the amount of exocrine contamination present in the isografts.
Recipient immunosuppression by intravenous administration of donor-specific alloantisera did not markedly prolong survival of foetal pancreas or isolated islet allografts in the (DA x LEW)F1 ➝ DA or Fl ➝ LEW combinations. Administration of a short course of antilymphocyte serum resulted in survival beyond 150 days in some recipients of foetal pancreas allografts, although interpretation of the results was complicated by regranulation of beta cells in islets in the recipient's own pancreas. The new immunosuppressive agent Cyclosporin A prolonged graft survival up to 15 days, but the survival obtained was less than that seen with isolated islets and skin allografts in the same strain combinations.

Advisor: Morris, P
Angels in Anglo-Saxon England, 700-1000

This thesis seeks to understand the changing place of angels in the religious culture of Anglo-Saxon England between AD 700 and 1000. From images carved in stone to reports of prophetic apparitions, angels are a remarkably ubiquitous presence in the art, literature and theology of early medieval England. That very ubiquity has, however, meant that their significance in Anglo-Saxon thought has largely been overlooked, dismissed as a commonplace of fanciful monkish imaginations. But angels were always bound up with constantly evolving ideas about human nature, devotional practice and the workings of the world. By examining the changing ways that Anglo-Saxon Christians thought about the unseen beings which shared their world, it is possible to detect broader changes in religious thought and expression in one part of the early medieval West.
The six chapters of this thesis each investigate a different strand from this complex of ideas. Chapters One and Two begin with Anglo-Saxon beliefs at their most theological and speculative, exploring ideas about the early history of the angels and the nature of their society – ideas which were used to express and promote changing ideals about religious practice in early England. Chapters Three and Four turn to the ways that angels were believed to interact more directly in earthly affairs, as guardians of the living and escorts of the dead, showing how even apparently traditional beliefs reveal changing ideas about intercession, moral achievement and the supernatural. Lastly, Chapters Five and Six investigate the complicated ways that these ideas informed two central aspects of Anglo-Saxon religion: the cult of saints, and devotional prayer. A final Conclusion considers the cumulative trajectory of these otherwise distinct aspects of Anglo-Saxon thought, and asks how we might best explain the changing importance of angels in early medieval England.

Keywords: Anglo-Saxon England
angels
early medieval Christianity
Advisor: Foot, S
Developing countries and humanitarian intervention in international society after the Cold War

This thesis examines the policies, positions, and perspectives of developing countries on the emerging norm of humanitarian intervention after the Cold War, focusing on the period between 1991 and 2001. In doing so, it questions the role of opposition that conventional wisdom has allotted to them as parochial defenders of sovereignty. Instead, the thesis reveals variation and complexity, which militates against defining the South, or the issues that humanitarian intervention raises, in simplistic either-or terms.
Part I draws on insights about ‘sovereignty as what states make of it’ to break the classic pluralism-solidarism impasse that has otherwise stymied the conversation on humanitarian intervention and confined the South as a whole to a ‘black box’ labelled rejectionism. It reconstructs the empirical record of developing countries at large on six cases of military intervention (northern Iraq, Somalia, Haiti, Sierra Leone, Kosovo, and East Timor), revealing variation that defies easy categorization. It also charts a cumulative and dynamic trend within the South towards a grey area between pluralism and solidarism that shows how these were not diametrically opposed positions. Following from that, Part II looks in-depth at India and Argentina. Whereas Argentina accepted the idea of humanitarian intervention, India remained reluctant to countenance it and persistently objected to the development of a new rule in its favour. Part II argues that the level of congruence between the emerging norm and the two countries’ prevailing values, aspirations, and historically constructed ways of thinking played a key role in determining the different levels of acceptance that the idea found with them. Part III delves deeper into the substance of their views. It shows how neither country constructed mutually exclusive choices between pluralism and solidarism, sovereignty and human rights, and intervention and non-intervention. Rather, both exhibited an acute awareness of the dilemmas of protecting human rights in a society of states, and a wariness of yes-no answers.
Cumulatively, this thesis thus points away from thinking about the South itself as a given category with clear, shared or pre-determined ideas, and towards a more nuanced and inclusive conversation on humanitarian intervention.

Keywords: United Nations
North-South relations
solidarism
humanitarian intervention
English School
pluralism
post-Cold War international relations
Argentina
theories of norms
India
Third World
developing countries
international society
Security Council
Advisor: Hurrell, A
Domain-specific languages for massively parallel processors

Massively Parallel Processors provide significantly higher peak performance figures than other forms of general purpose processors. However, this comes at a cost to the developer, who needs to deal with an increasingly complicated piece of hardware, for which applications need to be tweaked and optimised to achieve high performance.
Domain-specific languages have been proposed as a potential solution to this complexity problem: generating GPU applications from high-level, declarative specifications. This thesis explores two related ideas: firstly, is it practical to synthesise DSLs from high-level languages, and secondly, how can we simplify the creation of such DSLs?
This thesis proposes a novel approach whereby rather than considering single domains, we consider collections of collaborative domains in order to share common features and thus reduce the cost of development. We achieve this using a DSLs-within-a-DSL approach: a custom designed host language, into which extensions may be embedded.
In order to ground our approach in a real case-study, we propose, design and develop a DSLs-within-a-DSL framework for bioinformatics. We use a restricted recursive functional language as the host language, and embed new DSLs into this language.
Importantly, we describe how we can use a combination of novel and adopted automatic parallelisation techniques to synthesise a massively-parallel program for a GPU. This automatic parallelisation, achieved through the discovery of a schedule, and program synthesis techniques using the polyhedral model, interacts productively with our embedded extensions.
To further simplify development, we provide a series of customisable heuristics for defining GPU parameters such as the block size (number of threads), grid size and location in the memory hierarchy of data-structures. This encapsulates GPU expertise within the compiler itself.
We finally demonstrate that the total combination of these techniques results in applications with competitive performance, at much lower development cost and greater flexibility than comparable hand-coded applications.

Keywords: bioinformatics
domain-specific languages
program analysis
graphics cards
Advisor: de Moor, O
Hein, J
Functional and morphological changes in the dermis of pig skin following surgery and x-irradiation

The functional status of normal and traumatised pig flank skin was investigated using an isotope clearance technique. The isotope was removed from the site of intradermal injection by two clearance exponents, which were shown to result from clearance by vessels in the papillary (fast exponent) and reticular (slow) dermis. In ageing skin the slow exponent clearance time lengthened as the reticular dermis thickened. There were also age related decreases in the vascular density. However, minimal changes occurred in the fast clearance exponent, the papillary dermal thickness or its vascular density. Isotope clearance is thus shown to be related to both vascular density and blood flow velocity.
Vascular function in the distal region of skin flaps showed changes for 14 days after surgery. Initially isotope clearance was slower than in normal skin but became faster when new vascular connections with the surrounding skin developed; dual isotope labelling technique indicated similar functional changes and an increased red cell volume. Functional changes were correlated with varying dermal thickness and vascular densities. Skin flaps were functionally 'normal' from 21 to 365 days.
X-irradiation of skin with a single dose or 6f/18 days caused functional impairment at week 12 which was related to visible skin reactions and morphological changes. Faster clearance was recorded initially after 30f/39 days but there was no subsequent impairment. In all groups normal clearance values were related to similar vascular densities in atrophic skin, 39 to 104 weeks after irradiation.
The viable length of flaps raised from irradiated skin was less than 'control' flaps. When clearance was impaired before surgery no further post-operative impairment occurred in the distal region of "irradiated" flaps. Clearance rates were the same in "irradiated" and 'control' flaps from 7 to 14 days post-operatively. On day 14 irradiated flaps were functionally similar to normal skin before surgery.

Advisor: Hopewell, J
The language question under Napoleon

From the campaign waged by Revolutionaries like Barère and the Abbé Grégoire against those regional languages they referred to pejoratively as 'patois', to the educational policies of Jules Ferry a century later, successive governments of France engaged in a broadly successful struggle to force the French to speak French. Inverting the logic of cultural nationalists like Herder, who claimed a shared language as the legitimate basis of national polities, French legislators sought to impose French as a common language on a linguistically diverse population that had already been constituted as a state. Recent historical work has shown the particular significance of such projects during the Napoleonic period. Historians have begun considering how far the Napoleonic regime was characterized by cultural imperialism. While the ideological nature of such projects- the 'view from the centre', so to speak- is now well understood by historians, this thesis is concerned with the practice of Napoleonic imperialism in one sphere of action: language. By focusing on the practice of linguistic imperialism under Napoleon this thesis makes an important contribution to understandings of the cultural politics of the period as well as Napoleonic state-building policies more generally.

Keywords: History
Cultural Imperialism
Napoleonic Empire
French
Linguistic Imperialism
Napoleon
Historical Sociolinguistics
European
Advisor: Broers, M
Hopkin, D