VictorJuiz/thesis huggingface dataset:
Vanna-Volga and Karasinski Risk Correction Methods

The Vanna-Volga (VV) method has been in wide use as one of the major tools for several years among foreign exchange (FX) trading desks. Despite its popularity, the properties of the VV method are not well studied and understood. This thesis attempts to understand better why and when the VV method makes sense, and how to use it better. Often under practical circumstances the state of calibration can be described as being frequent but imperfect. To take advantage of this level of calibration, we studied the properties and benefits of the Karasinski method, and extended this method to a few useful applications. We have found that the Karasinski method, if used with a reasonably calibrated model, can provide significant performance improvement over the VV method.The VV and Karasinski chapters contain most of the original research in this thesis; there are a wealth of discoveries made in these chapters. Novel methods and applications related to the VV and Karasinski methods are proposed, and some of which can be readily applied to the practical trading environment. To make the VV and Karasinski methods work well in practice, the numerical issues for computing the price and Greeks have been carefully addressed with finite difference schemes that are second-order convergent and fast to compute. As an example of easy-to-compute but difficult-to-calibrate model candidates for the Karasinski method, the Multi-Heston model has been discussed too. A sound computational preparation enables the VV and in particular Karasinski methods to enjoy high viability as being fast, efficient and practical. This thesis is tailored to the purpose of making a detailed study on these useful methods whose great potential has not been adequately understood and fully realised.

Keywords: Finance
Volatility
Finite Difference
Vanna-Volga
Correction
Numerical
PDE
Calibration
Greeks
FX
Advisor: Giles, M
Howison, S
Theories of millenarianism considered with reference to certain southern African movements

The early recorded history of the Cape of Good Hope, from the time of the founding of van Riebeeck's revictualling station on the slopes of Table Mountain in 1652, until the power of the African chiefs was finally broken in the nineteenth century, was one of almost constant strife among the peoples who came to settle in this part of Southern Africa. At first the contest was between European colonists and the indigenous Khoisan-speaking peoples of the Cape, but by the beginning of the nineteenth century, far more redoubtable contestants in the form of Negro peoples, speaking Bantu languages, were to enter the field. It was not until the power of the Bantu African chiefs was broken that the Cape Colony was to enjoy comparative peace. Ironically, their power was not destroyed by forces of arms so much as by what seemed to all observers a self-engendered religious movement. This movement cost the lives of an estimated 117,000 people.

Keywords: Cattle-killing
Millenarianism
Cape Colony
Southern Africa
Behavioural Financial Decision Making Under Uncertainty

Ever since von Neumann and Morgenstern published the axiomisation of Expected Utility Theory, there have been a considerable amount of ob- servations appeared in the literature violating the expected utility theory. To make decisions under uncertainty, people generally separate possible outcomes into gains and losses. They are risk averse for gains but risk seeking for losses with very large probabilities; risk averse for losses but risk seeking for gains with very small probabilities. To accommodate these characteristics, Prospect Theory and its improvement Cumulative Prospect Theory were developed in order to formulate people's behaviours under uncertainty in a descriptive and normative way. As such, values are assigned to gains and losses and probabilities are replaced by probability weighting functions. The CPT models built in this project are based on the power value function and the compound invariant form of probability weighting function. The models are calibrated with the data from Hong Kong Mark Six lottery market. The parameters in the models are esti- mated, hence to examine properties of the models and give an insights into how they fit the real life situation. In the first approach, the parameter in the value function is fixed, but the plots of the estimated probability weighting function do not give sensible explanations of lottery player's behaviours. In the second approach, the parameters in value function and weighting function are both estimated from the data to give an optimal fitting of the model.
Carbon isotopic dietary signatures of amino acids

In an exploratory study, techniques were developed for isolating bulk plant proteins and measuring the 13C isotopic compositions of their constituent amino acids by HPLC-IRMS. Samples of plants expected to be of potential palaeodietary significance in northwestern Europe were selected for investigation.
Different tissues of plants, leaves and seeds, may be distinguished from each other by the relative 13C isotopic compositions (‘isotopic signatures’) of the amino acids of their constituent proteins. For each tissue type, different plant types may be distinguished in the same way. These signatures can vary slightly according to environment and season, but the variation among types is greater than this. For leaves, isotopic signatures can be used to differentiate (i) nettles, (ii) true grasses, (iii) reeds etc, (iv) trees, (v) legumes, (vi) maize, (vii) freshwater plants and (viii) marine algae. For seeds, these signatures are able to differentiate (i) wheat-type cereals, (ii) barley-type cereals, (iii) C4 cereals, (iv) pseudocereals, (v) legumes and (vi) tree nuts.
From investigations using a mixing model, it appears that these signals, particularly those of essential amino acids, are reflected in the tissues of their consumers. Freshwater plants are identified as the base of the food chain for dragonfly larvae, marine algae as the diet of marine molluscs and grass as the diet of archaeological cattle and aurochs. Isotopic ‘marine signals’ identified by previous researchers have been refined using these data and the isotopic signatures of fish muscle.
These findings are expected to be of particular value in the study of palaeodiets using proteins from archaeological tissues, especially bone and hair. This approach will also find application in the fields of plant physiology and biochemistry.

Keywords: HPLC
13C
archaeological science
isotope
Amino acid
Palaeodiet
Advisor: Hedges, R
McCullagh, J
Microstructural control of al alloys using intrinsic oxides

Currently, there is not enough information available on the effect of inclusions on extrusion alloys. Theoretical calculations in the past demonstrated the probable role of oxides in Fe-intermetallic phase selection (Cao et al., 03). However, no concrete evidence can be found in the literature to support this argument. This study investigates the role of in-situ oxides in intermetallic phase selection. Various Mg oxides (spinel and MgO) were formed in-situ by adding different levels of Mg. A special intermetallic extraction process was used for 3D analysis. SEM, EDS and XRD analysis were used for qualitative and quantitative analysis. Dry and wet surfaces of the oxide bi-films were observed with the wet surfaces highly associated with MgO and spinel particles. MgO particles had spherical morphology and there average diameter was observed to be in the range 200nm-400nm, whereas spinel particles had octahedral morphology with average length of the side in the range 1-2μm. MgO was found in locations which appear to be the most probable nucleation points of α-AlFeSi intermetallics and Mg2Si. These results provide a new and more distinctive perspective on the actual morphology of Fe-rich intermetallics and Mg oxides than the ones that exist in the literature. It also provides direct evidence of the role of inclusions (oxides) in intermetallic phase nucleation. This information can be utilised to improve the surface properties in 6xxx extrusion alloys.

Keywords: Intermetallics
Solidification
Aluminium
TP1
Advisor: O'Reilly, K
Grant, P
The role of spatial scale in binocular stereopsis

A model of stereopsis is proposed in which information from each eye's image is organised as a scale-based hierarchy before binocular comparison. The algorithm incorporates coarse-to-fine matching (like Marr and Poggio, 1979) but differs from previous models in that the position, and hence disparity, of features is defined relatively rather than by their retinal coordinate. Thus, fine scale disparities are measured and recorded relative to coarse scale disparities. Local surface slant and curvature is represented explicitly at a range of spatial scales. The theory is based on a hierarchical model of encoding position (Watt, 1988).
The first experiment investigates the time course of shape discrimination in random dot stereograms. The results are compatible with a model in which the scale of analysis changes from coarse to fine over the first second of viewing. The second experiment measures the magnitude of a new "3-D" Mueller-Lyer illusion and compares it the that of the classical (2-D) illusion. Both these and the cyclopean Mueller-Lyer illusion are consistent with a model in which hierarchical encoding of position is used by the visual system for 2-D (length comparison) and 3-D (slant) judgements. The third experiment compares the detection of large disparities and large displacements. "Dmax" for the motion and stereo tasks is shown to be similar over a wide range of dot densities. The results are interpreted as evidence that similar spatial primitives are used in the correspondence process in both domains. The spacing of MIRAGE centroids (Watt and Morgan, 1985) fit the data well.
The proposed hierarchical model is similar to that put forward by Mitchison and McKee (1987), although their scheme was not based on spatial scale. The model bridges the gap between a primal and a 2.5-D sketch (Marr, 1982) and has important implications for many issues within stereopsis.

Keywords: human psychophysics
3D vision
spatial frequency
binocular stereopsis
Advisor: Rogers, B
A study of some finite permutation groups

This thesis records an attempt to prove the two conjecture: Conjecture A: Every finite non-regular primitive permutation group of degree n contains permutations fixing one point but fixing at most
n
1
/
2
points. Conjecture C: Every finite irreducible linear group of degree m > 1 contains an element whose fixed-point space has dimension at most m/2. Variants of these conjectures are formulated, and C is reduced to a special case of A. The main results of the investigation are: Theorem 2: Every finite non-regular primitive permutation group of degree n contains permutations which fix one point but fix fewer than (n+3)/4 points. Theorem 3: Every finite non-regular primitive soluble permutation group of degree n contains permutations which fix one point but fix fewer than
n
7
/
18
points. Theorem 4: If H is a finite group, F is a field whose characteristic is 0 or does not divide the order of H, and M is a non-trivial irreducible H-module of dimension m over F, then there is an element h in H whose fixed-point space in M has dimension less than m/2. Theorem 5: If H is a finite soluble group, F is any field, and M is a non-trivial irreducible H-module of dimension m over F, then there is an element h in H whose fixed-point space in M has dimension less than 7m/18. Proofs of these assertions are to be found in Chapter II; examples which show the limitations on possible strenghtenings of the conjectures and results are marshalled in Chapter III. A detailed formulation of the problems and results is contained in section 1.
Becoming goth: geographies of an (un)popular culture

Within this thesis I explore what can be achieved when culture is critically assessed through a series of theories that mobilise a spatial imaginary. I place the concepts of atmosphere, connection, site and encounter, and theories of emergence via terms such as movement, practice and embodiment, into tension with a single case study: Goth. Goth is a music based grouping, emerging from Punk, New Romantic, Indie and Glam Rock style and music cultures in the late 1970s, with a significant near-global presence in the popular culture industries and links to several salient media controversies; including the Columbine High School massacre, the murder of Sophie Lancaster, and fears over self-harm and suicide. I specifically draw on the vocabularies from within non-representational geographies of performance, relational materiality, affect and social anxiety to re-work understandings of this collectivity. I question what is involved in the material practices of Goth, explore how the practice and experience of Goth is articulated through specific sites, examine how Goth participates in the production and circulation of cultures of anxiety or (un)popularity; and reconsider the concept of ‘subculture’. To do so, I employ a range of methodologies, from guided walks to photo-diaries, within multi-site field research throughout the UK, Tokyo and New York City. I conclude that Goth and culture more generally can be theorised in a number of ways: it emerges as a performed series of embodied acts; it is co-produced in complex relations with non-humans; it can be thought of as a series of modulating affective atmospheres; it coalesces as a collectivity and circulates through events; and it is co-produced through sites and media events. None of these dominates over or diminishes the other; rather they are co-constitutive and interdependent.

Keywords: subculture
affect
enchantment
Gothic
cultural studies
Non-representational theory
Goth
atmosphere
social anxiety
Advisor: Whatmore, S
McCormack, D
Some emergent discourse connectives in English

Discourse connectives are metatextual comments that signal discourse coherence relations. They can be realized by sentence adverbials that have their roots in verb phrase adverbials and have followed a path of development that is well attested both for English and cross-linguistically. This study investigates how and why it occurs. It claims that the development belongs to a wider phenomenon of unidirectional internal semantic change, that this change involves context-induced reinterpretation, and that both the immediate discourse context and the wider rhetorical context can be instrumental in bringing it about.
Using diachronic and synchronic data in a corpus-linguistic approach, the frequency and distribution of the adverbials after all, in fact, at least and of course are investigated. These are found to follow similar paths of development at different rates and to varying extents. Each undergoes some increase in frequency, subjectification and abstraction, shift of discourse plane and categorial reanalysis. Each acquires at least one connective function to express rhetorical relations such as concession, contrast, justification or elaboration. These relations are defined using the framework of Rhetorical Structure Theory.
The analysis identifies, in the history of the expressions, contexts of co-occurrence with particular relations that are argued to generate connective implicatures which later crystallize. During long periods the expressions may have stable but defeasible implicatures in the relevant contexts. These contexts include rhetorical structures spanning two or more clause complexes and often consisting of quasi-conventional sequences of rhetorical relations typical of argumentation. They may be described as incipient discourse constructions or rhetorical idioms. The emergence of new discourse connectives is seen to share many of the features attested in the grammaticalization of lexical material. It is argued that these phenomena are best accounted for in a single, usage-based theory of internal semantic change.
Numerical methods of resonant dynamics for the Galaxy

Numerical methods of resonant dynamics with applications to the Galaxy are considered in this thesis. We derive generating functions for first-order perturbation theory and the associated orbital frequencies by matrix calculus. For two action-angle spaces (J,θ) and (i,φ) related by a canonical map I·φ+s, we show that J can be averaged over ergodic orbits φ to provide an estimator of I to within O(|s|2). We provide examples in one and two dimensions and compare the technique to calculations of actions by numerical line integration in Poincaré sections.
We then use spectral dynamics and the Laskar frequency map (Laskar, 1993) to identify the dynamically important resonances of the 'flattened' axisymmetric isochrone potential. We simulate resonant capture in a low-order resonance by populating representative tori of a spherical isochrone Hamiltonian and integrating the orbits while adiabatically introducing axisymmetry. We use the averaging technique described above to observe the fraction of orbits captured, and we compare the result to a theoretical prediction.
We return to first-order perturbation theory to analyse its strengths and weaknesses, in particular near orbital pericentre, and when one action is significantly smaller than another. We also reproduce the expected pendulum dynamics in the resonant action-angle plane for orbits in our capture simulation.
We develop the concept of adaptive dynamics: we vary the initial orbital energy of the particles in the capture simulations and show that resonant and non-resonant orbits can be identified as clusters in the perturbed action plane. For a given Hamiltonian, we use the perturbed frequencies and a linear regression fit in the action plane as diagnostics of a set of model Hamiltonians on a grid in a suitable parameter space. We find we are able to constrain the parameters of a model Hamiltonian by this method. Finally, we reject the null hypothesis that resonant structures in phase space can be found by traditional methods of density estimation.

Keywords: galactic dynamics
dynamics
classical mechanics
Advisor: Binney, J
Operator logarithms and exponentials

Since Mclntosh's introduction of the 𝛨∞-calculus for sectorial operators, the topic has been studied by many authors. Haase has constructed a similar functional calculus for strip-type operators, and has also developed an abstract framework which unifies both of these examples and more. In this thesis we use this abstract functional calculus setting to study two particular problems in operator theory.
The first of these is concerned with operator sums. We ask the question of when the sum log A+log B is closed, where A and B are a pair of injective sectorial operators whose resolvents commute. We show that the sum is always closable and, when A and B are invertible, we determine sufficient conditions for the sum to be closed. These conditions are of Kalton-Weis type, and in fact ensure that AB is sectorial and that the identity log A + log B = log(AB) holds. We then identify an interpolation space on which these conditions are automatically satisfied.
Our second problem is connected to the exponential of a strip-type operator B
, specifically the question of whether eB is sectorial. When -1 ∈ p(eB), the spectrum of eB lies in a sector, and we obtain an estimate on the resolvent outside this sector. This estimate becomes closer to sectoriality as more restrictions are placed on the resolvents of B itself. This leads us to introduce the ideas of F-sectorial and F-strong strip-type operators, whose spectra are contained in a sector or strip, but which satisfy a different resolvent estimate from that of a sectorial or strong striptype operator. In some cases it is possible to define the logarithm of an F-sectorial operator or the exponential of an F-strong strip-type operator. We prove resolvent estimates for the resulting logarithms and exponentials, and explore the relationships between the various classes of operators considered.

Advisor: Batty, C
The development of intra-train beam stabilisation system prototypes for a future linear collider

Any future linear collider requires a beam stabilisation system at the interaction point to the to maintain luminosities. This thesis details the development of prototypes of three such systems based at the Accelerator Test Facility 2 (ATF2) at KEK, Japan.
The upstream feedback system utilises two stripline beam position monitors (BPMs) and two stripline kickers located in the ATF2 extraction line to stabilise the position and angle of the beam; the correction is then measured downstream at the ATF2 beam waist by a cavity BPM. The feedforward system uses the two upstream stripline BPMs to measure the position of the beam and calculate a correction signal which is then implemented locally by a stripline kicker located near the beam waist; the correction is then measured at the beam waist by a cavity BPM. The IP feedback system uses the position measured at the ATF2 beam waist by a cavity BPM and implements a correction based on this position using the local stripline kicker; the correction is then measured at the beam waist by a cavity BPM. Tests of the upstream feedback system have demonstrated stabilisation of the ATF2 beam waist at approximately the 300 nm level; tests of the feedforward and IP feedback systems have demonstrated stabilisation of the ATF2 beam waist at approximately the 100 nm level.
Additional work undertaken to improve the processing electronics of the stripline BPMs is detailed. The cavity BPMs and their electronics are characterised and offline analysis techniques to improve the BPM resolutions set out. Results demonstrating resolutions of approximately 350 nm for the stripline BPMs and 80 nm for the cavity BPMs are presented.

Keywords: Linear colliders
Particle accelerators
Advisor: Burrows, P