VictorJuiz/thesis huggingface dataset:
On Computational Methods for the Valuation of Credit Derivatives

A credit derivative is a financial instrument whose value depends on the credit risk of an underlying asset or assets. Credit risk is the possibility that the obligor fails to honor any payment obligation. This thesis proposes four new computational methods for the valuation of credit derivatives. Compared with synthetic collateralized debt obligations (CDOs) or basket default swaps (BDS), the value of which depends on the defaults of a prescribed underlying portfolio, a forward-starting CDO or BDS has a random underlying portfolio, as some ``names'' may default before the CDO or BDS starts. We develop an approach to convert a forward product to an equivalent standard one. Therefore, we avoid having to consider the default combinations in the period between the start of the forward contract and the start of the associated CDO or BDS. In addition, we propose a hybrid method combining Monte Carlo simulation with an analytical method to obtain an effective method for pricing forward-starting BDS. Current factor copula models are static and fail to calibrate consistently against market quotes. To overcome this deficiency, we develop a novel chaining technique to build a multi-period factor copula model from several one-period factor copula models. This allows the default correlations to be time-dependent, thereby allowing the model to fit market quotes consistently. Previously developed multi-period factor copula models require multi-dimensional integration, usually computed by Monte Carlo simulation, which makes the calibration extremely time consuming. Our chaining method, on the other hand, possesses the Markov property. This allows us to compute the portfolio loss distribution of a completely homogeneous pool analytically. The multi-period factor copula is a discrete-time dynamic model. As a first step towards developing a continuous-time dynamic model, we model the default of an underlying by the first hitting time of a Wiener process, which starts from a random initial state. We find an explicit relation between the default distribution and the initial state distribution of the Wiener process. Furthermore, conditions on the existence of such a relation are discussed. This approach allows us to match market quotes consistently.

Keywords: Computational Methods
Credit Derivatives
Factor Copula Models
First Hitting Time Model
Advisor: Jackson, Kenneth
Kreinin, Alex
Implementation and Evaluation of a Chinese Language Family Literacy Program: Impact on Young Children's Literacy Development in Chinese and English

Previous research on family literacy in North America has generally been conducted in English, even if the program targets English for speakers of other languages. However, the differences in English proficiency among parent participants may vary enormously in ways that are not easily predictable. In addition to the differences in parent participants’ English proficiency and their concept and experience of instruction, parents from diverse cultural backgrounds also have differences in parental beliefs, parental roles in supporting educational achievement and communicating with the school. All these differences make the provision of family literacy programs which target minority families as one group a challenging endeavor, both in program design and implementation. This study investigated the potential learning outcomes when a family literacy program with language supports were provided to Chinese immigrant families. An eight-week (two hours per week) literacy program was implemented in three Chinese community centers in Ontario, Canada. The overall objectives of the study were to provide a Chinese family literacy program in the Chinese community using Chinese as the language of instruction, and to evaluate the impact of this culturally related family literacy program in terms of children’s gains in both English and Chinese. This study has shown that a family literacy intervention, adapted for use with Chinese preschoolers and their parents, can have a significant and positive impact on children’s literacy development in both English and Chinese. This study found that children’s expressive vocabulary (both in English and in Chinese) improved as a result of the intervention. Children’s knowledge of the alphabet and their ability to produce letter-sounds improved significantly more if their parents participated in the intervention. Further, it was shown that specific home literacy environments in Chinese and in English are related to children’s literacy development in both languages. In Chinese, the number of Chinese reading materials in the home had the greatest impact on children’s Chinese receptive and expressive vocabularies. In English, the age at which the child was first read to in English had the greatest impact on children’s English expressive vocabularies, their letter-sound production knowledge, and their early reading ability. The study has shown that the provision of culturally and linguistically appropriate family literacy support goes a long way in helping diverse families to foster optimal literacy experiences for their young children at home.

Keywords: family literacy
early childhood education
Chinese
early literacy development
Early Chinese literacy development
Early English literacy development
Advisor: Pelletier, Janette
Life Cycle Environmental and Cost Evaluation of Bioenergy Systems

Energy derived from biomass has been proposed as a means to attain various environmental, economic and social goals. However, bioenergy production and utilization may also result in undesirable environmental and social consequences. This thesis investigates, from a life cycle perspective, environmental and cost implications of near-term bioenergy applications in the transportation and electricity sectors. Key tradeoffs related to the attributes of the systems are elucidated. Three case studies are conducted to consider the site-specific nature of bioenergy systems. The first two studies analyze the environmental and cost implications of displacing coal with biomass for electricity generation in Ontario’s coal generating stations. The third study examines implications of replacing gasoline with ethanol for use in California’s light-duty vehicle fleet to meet the State’s Low Carbon Fuel Standard (LCFS). The Ontario studies show that, relative to coal-based electricity generation, electricity generated from co-firing 10% (energy input) biomass with coal reduces greenhouse gas (GHG) emissions by 8% at a cost of $22/tonne CO2 equivalent for agricultural residues ($50/dry tonne residues delivered), and by 9% at a cost of $70-$84/tonne CO2 equivalent for wood pellets ($160/tonne pellets delivered), on the basis of one kWh of electricity generated (all costs are in U.S. dollars). One hundred percent pellet firing reduces GHG emissions by 91% compared to the coal system; however, the cost of GHG reduction is $99-$106/tonne CO2 equivalent. Displacing a portion of gasoline with ethanol is a feasible option to meet California’s LCFS, which calls for a 10% carbon intensity reduction of the State’s transportation fuels by 2020. Assuming current production methods and an indirect land use change effect of 30 g CO2/MJ, average Midwest corn ethanol is ruled out as an option to meet the LCFS. Using lignocellulosic ethanol to meet the LCFS is more attractive than using Brazilian sugarcane ethanol due to lower direct agricultural land requirement, dependence on imported energy, projected ethanol cost, required refuelling infrastructure modifications, and penetration of flexible fuel E85 vehicles. The thesis demonstrates that a life cycle approach is useful for analyzing and comparing different bioenergy applications, and providing insights into tradeoffs necessary in decision making for the development of next generation energy systems.

Keywords: Civil Engineering
Advisor: MacLean, Heather L.
Automated Segmentation of Head and Neck Cancer Using Texture Analysis with Co-registered PET/CT images

Radiation therapy is often offered as the primary treatment for head and neck cancer(HNC). Accurate target delineation is essential for the success of radiation therapy. The current target definition technique - manual delineation using Computed Tomography(CT) - is subject to high observer variability. Functional imaging modalities such as 2-[18F]-fluoro-2-deoxy-D-glucose Positron Emission Tomography(FDG-PET) can greatly improve the visualization of tumor. FDG-PET co-registered with CT has shown potential to improve the accuracy of target localization and reduce observer variability. Unfortunately, due to the limitation of PET, the degree of improvement obtained by qualitative and simple quantitative (e.g. thresholding) use of FDG-PET is not ideal. However, both PET and CT images contain a wealth of texture information that could be used to improve the accuracy of target definition. This thesis has investigated using texture analysis techniques to automatically delineate radiation targets. Firstly, PET and CT texture features with high discrimination ability were identified and a texture analysis technique- a decision tree based K Nearest Neighbour(DTKNN) classifier – was developed. DTKNN could accurately classify head and neck tissue with an area under curve(AUC) of a Receiver Operator Characteristic(ROC) of 0.95. Subsequently, an automated target delineation technique - CO-registered Multi-modality Pattern Analysis Segmentation System(COMPASS) - was developed that can delineate tumor on a voxel-by-voxel basis. COMPASS was found to accurately delineate HNC with 84% sensitivity and 95% specificity on a voxel basis per patient. To accurately evaluate the utility of the COMPASS in radiation targeting, a validation method which can combine biased observers' contours to generate a probabilistic reference for validation was developed. The method was based on maximum likelihood analysis using a simulated annealing(SA) algorithm. The results from this thesis show that texture features of both PET and CT images can enhance the discrimination between HNC and normal tissue, and an automated delineation method of HNC using texture analysis of PET and CT images can accurately and consistently define radiation targets in head and neck. This suggests that automated segmentation of radiation targets based on texture analysis techniques may significantly reduce observer variability and improve the accuracy of radiation targeting.

Keywords: Biophysics
Medical
Advisor: Caldwell, Curtis
Laboratory Simulation of Reservoir-induced Seismicity

Pore pressure exists ubiquitously in the Earth’s subsurface and very often exhibits a cyclic loading on pre-existing faults due to seasonal and tidal changes, as well as the impoundment and discharge of surface reservoirs. The effect of oscillating pore pressure on induced seismicity is not fully understood. This effect exhibits a dynamic variation in effective stresses in space and time. The redistribution of pore pressure as a result of fluid flow and pressure oscillations can cause spatial and temporal changes in the shear strength of fault zones, which may result in delayed and protracted slips on pre-existing fractures. This research uses an experimental approach to investigate the effects of oscillating pore pressure on induced seismicity. With the aid of geophysical techniques, the spatial and temporal distribution of seismic events was reconstructed and analysed. Triaxial experiments were conducted on two types of sandstone, one with low permeability (Fontainebleau sandstone) and the other with high permeability (Darley Dale sandstone). Cyclic pore pressures were applied to the naturally-fractured samples to activate and reactivate the existing faults. The results indicate that the mechanical properties of the sample and the heterogeneity of the fault zone can influence the seismic response. Initial seismicity was induced by applying pore pressures that exceeded the previous maximum attained during the experiment. The reactivation of faults and foreshock sequences was found in the Fontainebleau sandstone experiment, a finding which indicates that oscillating pore pressure can induce seismicity for a longer period of time than a single-step increase in pore pressure. The corresponding strain change due to cyclic pore pressure changes suggests that progressive shearing occurred during the pore pressure cycles. This shearing progressively damaged the existing fault through the wearing of asperities, which in turn reduced the friction coefficient and, hence, reduced the shear strength of the fault. This ‘slow’ seismic mechanism contributed to the prolonged period of seismicity. This study also applied a material forecast model for the estimation of time-to-failure or peak seismicity in reservoir-induced seismicity, which may provide some general guidelines for short-term field case estimations.

Keywords: reservoir-induced seismicity
pore pressure oscillation
Advisor: Young, R. Paul
Development of Deep-level Photo-thermal Spectroscopy and Photo-Carrier Radiometry for the Characterization of Semi-insulating Gallium Arsenide (SI-GaAs)

Semi-insulating gallium arsenide (SI-GaAs) has gained great interest in recent years due to its wide application in optoelectronic devices and high-speed integrated circuits. An important feature of SI-GaAs is the high density of deep-level defect states, which control the electrical properties of the substrate by compensating the shallow defects. Over the years, deep-level transient spectroscopy (DLTS) and its variations have been the most effective tools employed for the characterization of deep-level defects. However, most of these techniques require a contact probe and tend to be quite restrictive in their applications’ scope. In this thesis deep-level photo-thermal spectroscopy (DLPTS), an all-optical rate-window-based technique, is presented as a novel noncontact technique for the characterization of deep-level defects in SI-GaAs. The signal-generation mechanism for DLPTS is the super-bandgap excitation of carriers, and the sub-bandgap detection of the defect’s thermal-emission process. Combined with the rate-window detection utilizing lock-in amplifiers, DLPTS measurements are performed in three different modalities: temperature-scan, pulse-rate scan, and time-scan. This work demonstrates that each mode provides unique information about the defect configuration, and, in combination, the modes offer a powerful tool for the study of defect properties and optoelectronic processes in SI-GaAs. A hierarchical carrier-emission theory is proposed to explain the thermal broadening (nonexponentiality) in photo-thermal spectra. The model is studied comparatively with the Gaussian distribution of activation energies, and their similarities demonstrate an ergodic equivalence of random energy distribution and the constrained hierarchical emission process. In addition, a rate-window gated photo-carrier radiometry (PCR) technique is developed. The original diffusion-based PCR theory is modified to reflect the signal domination by trap emission and capture rates in the absence of diffusion. Defect luminescence is collected and analyzed using photo-thermal temperature spectra and resonant detection combined with frequency scans. The study results in the identification of five radiative defect states and the defect-photoluminescence quantum efficiency.

Keywords: DLPTS
PCR
SI-GaAs
Photo-thermal
Advisor: Mandelis, Andreas
Novel Metallic States at Low Temperatures in Strongly Correlated Systems

This thesis describes experiments carried out on two novel strongly correlated electron systems. The first, FeCrAs, is a new material that has not been studied before, while the second, Sr3Ru2O7, has been previously shown to have a very novel so-called ‘nematic’ phase around the metamagnetic quantum critical end point (QCEP). For these studies, a new variation on an established method for measuring the field dependence of susceptibility in a BeCu clamp cell has been developed, and is described, as is a relaxation heat capacity cell that works from 4 K down to 300 mK. A method of growing stoichiometric crystals of the hexagonal iron-pnictide FeCrAs has been developed, and transport and thermodynamic measurements carried out. The in-plane resistivity shows an unusual “non-metallic” dependence on temperature T, rising continuously with decreasing T from ∼800 K to below 100 mK. The c-axis resistivity is similar, except for a sharp drop upon entry into an antiferromagnetic state at T_N ∼ 125 K. Below 10 K the resistivity follows a non-Fermi-liquid power law, ρ(T) = ρ_0 − AT^x with x < 1, while the specific heat shows Fermi liquid behaviour with a large Sommerfeld coefficient, γ ∼ 30 mJ/molK^2. The high temperature properties are reminiscent of those of the parent compounds of the new layered iron-pnictide superconductors, however the T → 0 K properties suggest a new class of non-Fermi liquid. The metamagnetic critical end point temperature T^∗ in Sr3Ru2O7 as a function of hydrostatic pressure with H//ab has been studied using the ac susceptibility. It is found that T^∗ falls monotonically with increasing pressure, going to zero at Pc = 14±0.3 kbar. One sign of the nematic phase observed in the field-angle tuning, i.e. T^∗ rises as the novel phase emerges, has not been seen in our study. However, we see a slope change in T^∗ vs P at ∼12.8 kbar, and a shoulder at the upper field side of the peak in χ′ from ∼12.8 kbar to ∼16.7 kbar. These new features indicate that some new physics sets in near the pressure-tuned QCEP.

Keywords: Quantum Criticality
Non-Fermi Liquid
Advisor: Julian, Stephen R.
Tumor Initiating Cells in Mesenchymal Neoplasms

Despite the clonal origins of tumors, the majority of neoplasms are composed of a heterogeneous population of cells. The origins of this phenotype these cells have the potential to get can be associated with cancer stem cells or tumor initiating cells have the potential to self-renew and to differentiate giving rise to all cell types compromising a heterogeneous malignancy. These cells are clinically important as they preferentially give rise to tumors and are therefore hypothesized to account for the longevity and recurrence of neoplastic lesions. Cancer stem cells have been identified from a broad range of hematopoietic, neural and epithelia tumors; however, their function in mesenchymal neoplasms is less well defined. Using the side population assay, we identified a subpopulation of cells within mesenchymal neoplasms, referred to as side population cells, which are enhanced for tumor initiating potential. Importantly, we show a correlation between the percentage of side population cells and tumor grade suggesting clinical prognostic value as the proportion of side population cells may be a predictor of patient outcome. Interestingly side population cells show distinct molecular features when compared to non-side population cells and manipulation of these molecular mechanisms reduces the ability of side population cells to initiate tumor formation in osteosarcoma cell lines. In conjunction with these experiments, we also sought to determine the cellular origins of the mesenchymal neoplasm, aggressive fibromatosis. Using mouse models we show the influence of a mesenchymal precursor cells in the development of this malignancy. These results identify important biological features of mesenchymal neoplasms from which the development of targeted treatment strategies can begin.

Keywords: Tumor Initiating Cell
Mesenchymal Neoplasms
Advisor: Alman, Benjamin
Time-varying Phononic Crystals

The primary objective of this thesis was to gain a deeper understanding of acoustic wave propagation in phononic crystals, particularly those that include materials whose properties can be varied periodically in time. This research was accomplished in three ways. First, a 2D phononic crystal was designed, created, and characterized. Its properties closely matched those determined through simulation. The crystal demonstrated band gaps, dispersion, and negative refraction. It served as a means of elucidating the practicalities of phononic crystal design and construction and as a physical verification of their more interesting properties. Next, the transmission matrix method for analyzing 1D phononic crystals was extended to include the effects of time-varying material parameters. The method was then used to provide a closed-form solution for the case of periodically time-varying material parameters. Some intriguing results from the use of the extended method include dramatically altered transmission properties and parametric amplification. New insights can be gained from the governing equations and have helped to identify the conditions that lead to parametric amplification in these structures. Finally, 2D multiple scattering theory was modified to analyze scatterers with time-varying material parameters. It is shown to be highly compatible with existing multiple scattering theories. It allows the total scattered field from a 2D time-varying phononic crystal to be determined. It was shown that time-varying material parameters significantly affect the phononic crystal transmission spectrum, and this was used to switch an incident monochromatic wave. Parametric amplification can occur under certain circumstances, and this effect was investigated using the closed-form solutions provided by the new 1D method. The complexity of the extended methods grows logarithmically as opposed linearly with existing methods, resulting in superior computational complexity for large numbers of scatterers. Also, since both extended methods provide analytic solutions, they may give further insights into the factors that govern the behaviour of time-varying phononic crystals. These extended methods may now be used to design an active phononic crystal that could demonstrate new or enhanced properties.

Keywords: acoustics
phononic crystals
time-varying
wave propagation
periodic materials
ultrasound
Advisor: Cobbold, Richard
Johnston, Wayne