The objective of this thesis is to provide a life insurance company with a stochastic model for the term structure of interest rates. The term structure of interest rates affects the structure of an optimal portfolio and the calculation of risk measures. Therefore, the term structure of interest rates for the DEM/Euro market is analyzed. On the basis of the theory of affine term structure model...

Modeling multi-factor financial derivatives by a Partial Differential Equation approach with efficient implementation on Graphics Processing Units Duy Minh Dang Doctor of Philosophy Graduate Department of Computer Science University of Toronto 2011 This thesis develops efficient modeling frameworks via a Partial Differential Equation (PDE) approach for multi-factor financial derivatives, with e...

One of the problems of the data envelopment analysis traditional models in the multiple form that is the weights corresponding to certain inputs and outputs are considered zero in the calculation of efficiency and this means that not all input and output components are utilized for the evaluation of efficiency, as some are ignored. The above issue causes the efficiency score of the under evalua...

We extend recently introduced latent threshold dynamic models to include dependencies among dynamic latent factors underlying multivariate volatility. With an ability to induce time-varying sparsity into factor loadings, these models now also allow time-varying correlations among factors; this may be exploited to improve volatility forecasts. We couple multi-period, out-of-sample forecasting wi...

In recent years the financial world has seen an increasing demand for faster risk simulations, driven by increasing contract complexity and client portfolio growth. Traditionally many financial models employ Monte-Carlo simulation, which can take excessively long to compute in software. Hence, commonly a hardware accelerator is sought out. This thesis focuses on accelerating structured financia...

In this paper, Using a 2D photonic crystal and a novel square ring resonator,several compact and simple structures have been introduced in the present paper toconstruct optical add/drop filters and multi-channel filter. The difference structures hasbeen designed and simulated by using the proposed square ring resonator and differentdropping waveguides. To do analyses, th...