Valuing American Style Options by Least Squares Methods

We investigate the finite sample performance of some recent Monte Carlo estimators under different market scenarios. We find that the accuracy and efficiency of these estimators are remarkable, even when more exotic financial instruments are considered. Finally, we extend the Glasserman and Yu (2004b) methodology to price Asian Bermudan options and basket options

A continuing mission to optimize the care of older women with breast cancer

The majority of cases of breast cancer occur in the older population who are often un-represented in clinical trials. Given the growing ageing population globally, it becomes urgent and important to identify an optimal approach so that older women with breast cancer are neither under- or over-treated. An inter-disciplinary research program is ongoing to investigate differing tumor biology according to age, and the potential use of a geriatric assessment tool, aiming to help select older women with primary breast cancer for a personalized and optimal treatment. Full considerations of the biology of the patient’s cancer and the geriatric domains of the patient must be taken into account when making treatment decisions

Site-wide and supply chain optimisation for continuous chemical processes

Imperial Users onl

Generating eScience Workflows from Statistical Analysis of Prior Data

A number of workflow design tools have been developed specifically to enable easy graphical specification of workflows that ensure systematic scientific data capture and analysis and precise provenance information. We believe that an important component that is missing from these existing workflow specification and enactment systems is integration with tools that enable prior detailed analysis of the existing data - and in particular statistical analysis. By thoroughly analyzing the existing relevant datasets first, it is possible to determine precisely where the existing data is sparse or insufficient and what further experimentation is required. Introducing statistical analysis to experimental design will reduce duplication and costs associated with fruitless experimentation and maximize opportunities for scientific breakthroughs. In this paper we describe a workflow specification system that we have developed for a particular eScience application (fuel cell optimization). Experimental workflow instances are generated as a result of detailed statistical analysis and interactive exploration of the existing datasets. This is carried out through a graphical data exploration interface that integrates the widely-used open source statistical analysis software package, R, as a web service

A quantitative comparison of load balancing approaches in distributed object computing systems

Several load balancing schemes are recently proposed for distributed object computing systems, which are widely envisioned to be the desired distributed software development paradigm due to the higher modularity and the capability of handling machine and operating system heterogeneity. However, while the rationales and mechanisms employed are dramatically different, the relative strengths and weaknesses of these approaches are unknown, making it difficult for a practitioner to choose an appropriate approach for the problem at hand. In this paper, we describe in detail three representative approaches, which are all practicable, and present a quantitative comparison using our experimental distributed object computing platform. Among these three approaches, namely, JavaSpaces based, request redirection based, and fuzzy decision based, we find that the fuzzy decision based algorithm outperforms the other two considerably.published_or_final_versio

Audit committee characteristics, trust and audit quality: Evidence from Hong Kong

This thesis comprises of two parts. Part One of the thesis denotes an archival modelling study that evaluates the relationships between effective audit committee characteristics (size, independence, financial expertise, meeting frequency, directorship, tenure and age of audit commit-tees) and perceived audit quality in Hong Kong. Part Two is a questionnaire survey study exploring the effects of external auditors’ trust in audit committee members on both their interactions and perceived audit quality in Hong Kong.In the archival modelling study, discretionary accruals estimated by the modified Jones model were employed in order to measure perceived audit quality. Fixed effect panel data regression with robust standard errors was used as primary analysis. On the basis of data obtained from the Hong Kong Hang Seng Composite Index between 2010 and 2015, the findings suggest that their financial expertise, size, tenure and age are important determinants of perceived audit quality. This result indicates that their expertise enables them to fulfil their oversight role competently, whereas their size provides them with sufficient resources to be able to perform their roles. Similarly, their length of tenure enables them to obtain more experience and knowledge of the operations of companies, while their age indicates that they may have less energy to perform their oversight role and have difficulties in keeping abreast of changing environment of companies. Thus, an audit committee with old members may reduce audit quality. Audit fees and choice of auditor are used as the measures of audit quality for the robustness checks. The results of robustness checks demonstrate that a large audit committee with financial expertise demands greater efforts from external auditors, as indicated in higher audit fees. However, audit commit-tee members’ directorships are found to be negatively associated with audit fees but positively related to the appointment of Big 4 auditors.In the questionnaire survey study, perceived audit quality is measured based on external auditors’ interactions with audit committee members. Semi-structured questionnaires were used in order to assess the levels of their trust in audit committee members and their interactions. Ordinary least square with robust standard errors, independent t-tests and thematic analysis were used in this study. According to the findings, the external auditors trust them because they have and display integrity, competence and goodwill. These findings also suggest that their trust in audit commit-tee members improve their interactions in terms of sharing information, devoting their time and efforts to an external audit and providing their comments on managers.Overall, both findings are congruent with agency theory and social interdependence theory. On the one hand, agency theory states that higher quality audit committees are associated with effective monitoring, which, in turn, helps to improve audit quality so that earnings management is constrained. On the other hand, social interdependence theory states that when two parties (external auditors and audit committee members, in this case) depend on one another, they will try to improve their interactions so that their common goals (high audit quality) can be achieved on the basis of trust. The findings are of potential interest to policy makers, professionals, boards of directors and audit firms, particularly on issues relating to audit quality and the mandating of corporate governance practices