Student: Jonathan Moore
Faculty Advisor: Dr. Todd Coke
For my thesis, I have chosen to examine Fyodor Dostoevsky‚Äôs last great novel, The Brothers Karamazov, in order to come to an understanding of the author‚Äôs conclusions regarding the role of reason in determining ultimate truth. Although my primary emphasis lies in the novel itself, I have also referred to his previous works, including: Crime and Punishment as well as Notes from Underground- novels which, in my view, anticipate many of themes in his last work.
The primary critic to which I refer is Konstantin Mochulsky, specifically to his acclaimed biography: Dostoevsky: His Life and Work- an exhaustive volume of literary criticism, personal information, as well as valuable excerpts from Dostoevsky‚Äôs own correspondence with other intellectual figures, many of which convey his own personal philosophical intentions for his novels. My working assumption is simply that Dostoevsky (himself having embraced nihilistic socialism in his youth) sets out in his later work to attack pragmatist thought by proving its inherent incompatibility both with human nature and simply with the way the world functions. Dostoevsky posits that a God exists, in spite of all logical probabilities. In The Brothers Karamazov, his proof is grounded in what one critic termed ‚Äėconcrete gesture‚Äô. In other words, the way we know that God exists is simply by virtue of the fact that life itself suggests it. We know this not by mathematical formulae, but by indications of his presence on earth- namely, through human love- a phenomenon which by all accounts is illogical, improbable, and miraculous in its earthly manifestation.
Student: Michael Potapov
Faculty Advisor: Dr. Nancy Lumpkin
An Empirical Study of Black Scholes Options Pricing‚ÄĒThe London Market
Options are financial derivative contracts used both to hedge (protect) uncertainty about future market positions and to speculate for easy profits. Options derive their value from a few key variables: the value of the underlying security, the implied future volatility of that security, and the term to maturity for the option contract. An option valuation model developed by Nobel Prize-winning economists Fisher Black and Myron Scholes in 1973 is currently used widely by traders, investors and corporate accountants. Few studies on how well the Black Scholes option pricing model actually works have been completed using empirical analysis, and for those studies attempted, little consensus has really been achieved in the literature.
A 1996 study of the Black-Scholes option pricing model, performed by Peter Fortune of the Federal Reserve Bank of Boston, found some significant flaws with the predictive ability of the model. The study concentrated on European-style S&P 500 index options for transactions completed between 1992 and 1994. Fortune discovers serious discrepancies in the actual prices of both puts and calls from those predicted by the Black-Scholes model. In particular, the study found that the model had a lower bound error of 10% for calls and 15% for puts; the upper bound error was much more significant with 97% for calls and 40% for puts. In non-quantitative terminology, Fortune argues that if traders make their decisions to buy and sell options based on the predictions of Black-Scholes, they will encounter substantial profit losses. Unfortunately, to date, Black-Scholes was proven to be the best model available.
My project builds on Fortune‚Äôs analysis by employing his methodology on an alternative options market (London instead of Chicago) and updating the application to 2004 data. In the ten years that have passed from the time of Fortune‚Äôs paper, many improvements in technology and efficiency have been made in the marketplace improving the flow and accuracy of the information. The challenge was to determine whether Black-Scholes has regained any of its predictive powers.
I find that the theoretical model is less applicable today than even ten years ago. There exists a significant wedge between implied and actual volatility that is unaccounted for by the theory. The project analyzed over 128,000 transactions that took place in 2004 and my results, although slightly different from Fortune‚Äôs, confirm some considerable problems with the predictive power of the Black-Scholes model. I have planned further tests on the data to explore these problems in greater depth.
Student: Michael Puglisi
Faculty Advisor: Dr. Harold Tallant
In Virginia, the status of manumission, or emancipation, was largely governed by the attitudes of the white population toward the free black population.¬† At various points in the history of the Commonwealth, events caused the white population to rethink its position on manumission.¬† While white fears of blacks‚ÄĒand free blacks in particular‚ÄĒnever completely ceased during the pre-Civil War history of Virginia, at a certain point economic and humanitarian concerns took over and persuaded the legislature to allow unrestricted manumission.¬† This law, written shortly after the American Revolution, allowed slaveholders to free their slaves by will or deed and it allowed the freed slave to remain in the state.¬† However, at other times, fears of insurrection were pervasive, and the legislature acted sternly to mitigate the presumed threat.¬† This was the case in 1723 when the state outlawed manumission entirely, except for rare cases to be decided by the legislature and governor, and again in 1806 when the legislature required newly freed slaves to leave Virginia within a year of their emancipation.¬† In each instance in which the law tightened, fears of insurrection were prominent.¬† Between 1709 and 1723 numerous plots had emerged, and in 1800 a plot to burn Richmond and overtake the government was nearly carried into fruition.¬† So, faced with a presumed threat from free blacks, Virginia‚Äôs legislature chose to restrict manumission in an attempt to eliminate the threat that this population posed to white Virginians.
Student: Whitney Purcell
Faculty Advisor: Dr. Rosemary Allen
Richardson and Fielding explore the contrast between masculine and feminine authority, convention and invention, and classical literary canon versus the developing novel for the masses by centering their novels on traditional patriarchal authority of the gentleman versus the rise of the bourgeois middle class in eighteenth century England. For Richardson, Pamela and Clarissa represent the nouveau riche middle class, and the female characters assert their newfound power of virtue as though it holds as much value as the power of wealth or materialism. Richardson realizes that women can be both commodities and proprietors of their own marketability, and he portrays two very different outcomes of heroines who are forced to trade themselves among the world of men. The characters‚Äô power of privacy and power over the created ‚Äúself‚ÄĚ become their strongest ‚Äď sometimes their only ‚Äď assets, and Pamela and Clarissa seek to author their own feminine world of virtue and security through their letters.
By contrast, Fielding opposes this new world of attainable wealth and its threat of equality between bourgeois and aristocrat. His creation of characters like Shamela and Joseph Andrews reveal his attempt to sabotage Richardson‚Äôs heroines by portraying their true motives as mercenary rather than virtuous, with Fielding echoing themes of Pamela and Clarissa more cynically and traditionally than does his counterpart. Threatened by the new commercialism inherent in Richardson‚Äôs novels and by the authorial actions of his relatively strong heroines, Fielding attempts to undermine them both through parody as well as through an appeal to classical literature and the literary canon he himself seeks to enter.