The growth of the financial risk management industry has been motivated by the increased volatility of financial markets combined with the rapid innovation of derivatives. Since the 1970s, several financial crises have occurred globally with devastating consequences for financial and non-financial institutions and for the real economy. The most recent US subprime crisis led to enormous losses for financial and non-financial institutions and to a recession in many countries including the US and UK. A common lesson from these crises is that advanced financial risk management systems are required. Financial risk management is a continuous process of identifying, modeling, forecasting and monitoring risk exposures arising from financial investments. The Value at Risk (VaR) methodology has served as one of the most important tools used in this process. This quantitative tool, which was first invented by JPMorgan in its Risk-Metrics system in 1995, has undergone a considerable revolution and development during the last 15 years. It has now become one of the most prominent tools employed by financial institutions, regulators, asset managers and nonfinancial corporations for risk measurement. My PhD research undertakes a comprehensive and practical study of market risk modeling in modern finance using the VaR methodology. Two newly developed risk models are proposed in this research, which are derived by integrating volatility modeling and the quantile regression technique. Compared to the existing risk models, these two new models place more emphasis on dynamic risk adjustment. The empirical results on both real and simulated data shows that under certain circumstances, the risk prediction generated from these models is more accurate and efficient in capturing time varying risk evolution than traditional risk measures. Academically, the aim of this research is to make some improvements and extensions of the existing market risk modeling techniques. In practice, the purpose of this research is to support risk managers developing a dynamic market risk measurement system, which will function well for different market states and asset categories. The system can be used by financial institutions and non-financial institutions for either passive risk measurement or active risk control.

The aim of this doctoral research is to understand domain evolution processes in ferroelectrics using piezoresponse force microscopy (PFM) and Monte Carlo simulation. The results provide improved knowledge of domain evolution processes, and systematic experimental methods for research on domain evolution. There has been extensive previous research on domain evolution in ferroelectrics, but the research was mainly constrained to simple domain patterns. However, ferroelectric domains tend to form complex patterns that generate low-energy domain configurations. In this research, several methods such as statistical analysis of PFM data, ex situ/in situ PFM observation under electrical/mechanical loading and combining PFM with electron backscatter diffraction are employed to study domain evolution processes in complex domain patterns. The results show that domain switching almost always takes place by the evolution of pre-existing domain patterns, rather than direct flipping of polarization. Also the net effect of domain evolution processes follows a primary principle that positive work is done by external loads. But this principle is not always followed for microscopic switching processes. Multiple types of domain switching occur simultaneously, and occasionally an overwriting process involves unfavourable as well as favourable domain switching. Domain switching is significantly constrained by the pre-existing domain patterns. Meanwhile, angle-resolved PFM is developed for the systematic interpretation of PFM signal. Using lateral PFM images taken from multiple sample orientations, angle-resolved PFM maps are generated based on the angle of phase reversal in the PFM signal. The resulting maps reliably show complex domain patterns which may not appear in vertical and lateral PFM images. A model of domain evolution is developed using Monte Carlo simulation. Polarization switching by electric field and mechanical stress in the model is shown to take place via the motion of domain walls between pre-existing domains. Typical domain broadening processes are reproduced through this simulation.

Radio-Frequency (RF) lesioning, or RF ablation, is a method that uses high frequency currents for thermal coagulation of pathological tissue or signal pathways. The current is delivered from an electrode, which also contains a temperature sensor permitting control of the current at a desired target temperature. In the brain, RF lesioning can e.g. be used for treatment of severe chronic pain and movement disorders such as Parkinson’s disease. This thesis focuses on modelling and simulation with the aim of gaining better understanding and predictability of the lesioning process in the central brain.   The finite element method (FEM), together with experimental comparisons, was used to study the effects of electric and thermal conductivity, blood perfusion (Paper I), and cerebrospinal fluid (CSF) filled cysts (Paper II) on resulting lesion volume and shape in brain tissue. The influence of blood perfusion was modelled as an increase in thermal conductivity in non-coagulated tissue. This model gave smaller simulated lesions with increasing blood perfusion as heat was more efficiently conducted from the rim of the lesion. If the coagulation was not taken into consideration, the lesion became larger with increasing thermal conductivity instead, as the increase in conducted heat was compensated for through an increased power output in order to maintain the target temperature. Simulated lesions corresponded well to experimental in-vivo lesions. The electric conductivity in a homogeneous surrounding had little impact but this was not true for a heterogeneous surrounding. CSF has a much higher electric conductivity than brain tissue, which focused the current to the cyst if the electrode tip was in contact with both a cyst and brain tissue. Heating of CSF could also cause considerable convective flow and as a result a very efficient heat transfer. This affected both simulated and experimental lesion sizes and shapes. As a result both very large and very small lesions could be obtained depending on whether sufficient power was supplied or if the heating was mitigated over a large volume.   Clinical (Paper IV) and experimental (Paper III) measurements were used for investigation of changes in reflected light intensity from undamaged and coagulating brain tissue respectively. Monte Carlo (MC) simulations for light transport were made for comparison (Paper V). For the optical measurements, an RF electrode with adjacent optical fibres was used and this electrode was also modelled for the optical simulations. According to the MC simulations, coagulation should make grey matter lighter and white matter darker, while thalamic light grey should remain approximately the same. Experiments in ex-vivo porcine tissue gave an increase in reflected light intensity from grey matter at approximately 50 °C but the signal was very variable and the isotherm 60 °C gave better agreement between simulated and experimental lesions. No consistent decrease in reflected light intensity could be seen during coagulation of white matter. Clinical measurements were performed during the creation of 21 trajectories for deep brain stimulation electrodes. In agreement with the simulations, reflected light intensity was found to differentiate well between undamaged grey, light grey and white matter.   In conclusion, blood perfusion and CSF in particular may greatly affect the lesioning process and can be important to consider when planning surgery. Reflected light intensity seems unreliable for the detection of coagulation in light grey brain matter such as the thalamus. However, it seems very promising for navigation in the brain and for detection of coagulation in other tissue types such as muscle.

The study seeks to determine the effect upon the F-statistic of violating the assumption of homogeneity of regression slopes in the one-way, fixed-effects analysis of covariance model. The study employs a Monte Carlo simulation technique to vary the degree of heterogeneity of regression slopes with varied sample sizes within experiments to determine the effect of such conditions. One hundred and eighty-three simulations were used.

English The thesis explores the topic of cost planning of Public-Private-Partnership (PPP) projects in the Czech Republic, especially with respect to institutional settings and road infrastructure. First, the PPP concept is introduced from a theoretical perspective and compared to traditional public procurement. Then the financing of PPP projects is discussed in the context of project finance and the European PPP market. The main part of the thesis focuses on public procurement of road infrastructure and the advantages of the PPP organizational structure. Initially, flaws of the procurement institutions are identified and a number of solutions suggested. The solutions cover four main areas: improvement of procurement laws, better qualifications of public officials, strategic planning of needed roads and asset management perspective on the existing infrastructure. The question whether Czech institutions are hindering the potential of PPP projects is answered positively. Follows a thorough empirical analysis of a World Bank PPP model for highways through a Monte Carlo simulation. A particular case of R35 motorway is evaluated as a PPP project and key drivers of public and private NPV are identified and compared across three different scenarios. Heavyweight traffic intensity, its toll revenue and...

[pt] O presente documento tem por objetivo realizar a análise de viabilidade econômica para a implantação e operação da Fase 1 de um modelo de negócios voltado para a produção, no mercado brasileiro, de tintas especiais para aplicações industriais. Tal análise foi desenvolvida utilizando-se a Teoria das Opções Reais em um processo de simulação de Monte Carlo onde os custos (fatores de incerteza) serão considerados estocásticos seguindo um movimento de reversão à média. Desta forma serão quantificados os efeitos das flexibilidades gerenciais e como estes afetam o valor do projeto através de uma forma eficiente de simular fluxos de caixa. O mercado dessas tintas especiais e patenteadas, tem hoje participação expressiva na Europa e, pelas características dos seus produtos, observa-se um alto potencial de entrada no Brasil. São tintas anticorrosivas isentas de pigmentos metálicos e solventes, indicadas para todos os segmentos industriais, com alta resistência química e mecânica e diversos tipos de acabamento. Uma das grandes vantagens das tintas que utilizam essa tecnologia é que o processo de cura não requer nenhum tipo de exposição ao sol, evaporação ou radiação ultravioleta, resultando em produtos com a fase de secagem mais rápida e vida útil muito maior. O modelo de negócio da fase 1 consiste na terceirização da produção onde, através da supervisão direta, será verificada a correta alocação dos insumos de modo garantir a qualidade das tintas. A forma como está representada traz vantagens como a redução de investimentos iniciais para implementação e a revelação de valiosas informações de mercado. / [en] The present document has as objective to analyze the investment of the fase one start up of a business based on special licenced industrial paint on the brazilian market. Such analysis was accomplished with the Real Options Theory based on a Monte Carlo Simulation process where the costs (uncertainty factors) are stochastic and will follow the Mean Reversion Model. Therefore, it will be able to quantify the management flexibility and how they affect the project value. Nowadays, this industrial paint market has expressive profit share in Europe and a great potential in Brazil. Those paints are anticorrosive and do not have metallic pigments or solvents. They are indicated for all industrial sectors with high chemistry and mechanic resistence application. One of the great advantages on this kind of paint is the lack of extensive time to become dry. The fase one business model is bases on an outside production and the correct formula will be obtained throught direct supervision of qualified internal employees. The bus iness model has advantages such as the reduction of the inicial investments and the development of market knowledge.

[pt] A crescente preocupação ambiental e dependência energética de combustíveis fósseis têm aumentado a importância do desenvolvimento de combustí­veis renováveis e menos poluentes. Dentro deste cenário, o Biodiesel é uma alternativa que apresenta diversas vantagens em relação ao diesel fóssil, ou Petrodiesel, além de possuir propriedades fí­sicas semelhantes. Neste trabalho mensurou-se o valor que advêm da flexibilidade existente para o produtor de Biodiesel da escolha do insumo utilizado na sua produção através da Teoria de Opções Reais. Os resultados encontrados indicam que essa opção de escolha de insumos tem valor quando se assume que os preços futuros destes insumos seguem processos estocásticos como o Movimento de Reversão à  Média e o Movimento Geométrico Browniano, o que pode ser suficiente para viabilizar o uso de insumos que não seriam recomendados pela análise tradicional. Como esses processos estocásticos geram diferentes resultados, a seleção do modelo e dos parâmetros utilizados são fatores importantes na valoração desta classe de projetos. / [en] There has been a growing concern in recent years about the quality of our environment and dependence on fossil fuels to supply the energy needs of the world, which has created an interest in the development of renewable and less polluting energy sources. One of such alternatives is the Biodiesel, which has many advantages relative to the fossil based Diesel, or Petrodiesel, aside from being physically equivalent. We use the real options approach to determine the value of the managerial flexibility that a Biodiesel plant has to switch inputs among different grain commodities. Our results indicate that the option to choose inputs has value if we assume that the future prices follow stochastic processes such as Geometric Brownian Motion and Mean Reversion Models, and can be sufficient to recommend the use of input commodities that would not be recommended the traditional valuation methods. Given that each of these models provides different option values, the choice of model and parameters has a significant impact on the valuation of this class of projects.

This dissertation considers an American put option written on a single underlying which does not pay dividends, for which no closed form solution exists. As a conse- quence, numerical techniques have been developed to estimate the value of the Amer- ican put option. These include analytical approximations, tree or lattice methods, ¯nite di®erence methods, Monte Carlo simulation and integral representations. We ¯rst present the mathematical descriptions underlying these numerical techniques. We then provide an examination of a selection of algorithms from each technique, including implementation details, possible enhancements and a description of the convergence behaviour. Finally, we compare the estimates and the execution times of each of the algorithms considered.

In a collaboration between Kolmården Zoo and Linköping University, supported by the Norrköping municipality’s fund for research and innovation, mobility measurements have been performed inside the zoo. These measurements have been done by six WiFi sniffers collecting anonymised MAC addresses from the visitors smartphones. The aim of this thesis is to analyse these data to understand visitor flows in the park and other statistics using a model based mobility analysis. The work implies that one can make a rather good prediction of the geographical visitor distribution using this equipment and statistical models. / I ett samarbete mellan Kolmården djurpark och Linköpings universitet, sponsrat av Norrköpingskommuns fond för forskning och utveckling, har rörelsemätningar gjorts inuti parken. Mätningarna har utgjorts av sex WiFi-sniffers som samlar in anonymiserade MAC-adresser från besökares smartphones. Målet med detta arbete är att analysera denna data för att förstå besökarflöden i parken och annan statistik genom att använda en modellbaserad rörelseanalys. Arbetet visar att man med denna utrsutning och statistiska metoder kan skapa en god prediktion av hur den geografiska besökardistributionen ser ut över tid.

Derivativos exóticos são produtos com estrutura complexa e personalizada cujo apreçamento pode requerer o uso de simulações de Monte Carlo. Todavia, essas simulações têm alto custo computacional, o que torna lento o apreçamento de uma carteira com vários derivativos. Para mitigar esse problema, propõe-se o reuso de números aleatórios entre diferentes operações de uma mesma carteira apreçada através do método de Monte Carlo. Realiza-se o apreçamento de cinco carteiras de derivativos exóticos com duas implementações da simulação de Monte Carlo, uma sem e outra com reuso de números aleatórios. Observa-se que, quanto mais operações há na carteira, maior é a vantagem de performance da estratégia com reuso em relação à outra abordagem de implementação. O erro quadrático médio do preço dos derivativos obtidos através das simulações em relação ao preço teórico esperado mantém-se o mesmo em ambas as implementações. Portanto, é possível sugerir que o algoritmo com reuso de número aleatórios apresenta uma maneira de melhorar a performance do método de Monte Carlo sem aumentar o erro da simulação. / Exotic derivatives are products with complex and customized structure whose pricing may require the use of Monte Carlo simulation. However, this kind of simulation has high computational cost, which slows the pricing of a portfolio containing several derivatives. In order to mitigate this problem, it is proposed the reuse of random numbers across different trades in the same portfolio priced using the Monte Carlo method. Five portfolios of exotic derivatives are priced using two implementations of Monte Carlo simulation, with and without reuse of random numbers. It is observed that the more trades are in the portfolio, the better is the performance of the reuse approach compared to the regular implementation. The mean squared error of simulation prices compared to the theoretical value remain the same in both implementations. Therefore, it is possible to suggest that the algorithm which reuses random numbers presents a way to improve Monte Carlo method performance with no increment of simulation error.