In dieser Arbeit werden die nichtlokalen sowie nichtlinearen Eigenschaften plasmonischer Nanopartikel behandelt, wie sie im hydrodynamischen Modell enthalten sind. Das hydrodynamische Materialmodell stellt eine Erweiterung des Drude Modells dar, in der Korrekturen in der Beschreibung des Elektronenplasmas berücksichtigt werden. Einer ausführlichen Einführung des Materialmodells folgt eine analytische Diskussion der Auswirkungen der Nichtlokalität am Beispiel eines einzelnen Zylinders. Hierbei werden die durch die Nichtlokalität herbeigeführten Frequenzverschiebungen in den Streu- und Absorptionsspektren quantifiziert und asymptotisch behandelt. Des Weiteren wird mit Hilfe einer konformen Abbildung das Problem eines zylindrischen Dimers in der Elektrostatischen Näherung gelöst und die Moden der Struktur bestimmt. Diese Untersuchungen dienen als maßgebliche Grundlage für weiterführende numerische Studien die mit der diskontinuierlichen Galerkin Zeitraummethode durchgeführt werden. Die durch die analytischen Betrachtungen gewonnene Kenntnis der Moden ermöglicht es, im Zusammenhang mit gruppentheoretischen Betrachtungen und numerischen Untersuchungen, rigorose Auswahlregeln für die Anregung der Moden durch lineare und nichtlineare Prozesse aufzustellen. In weiterführenden numerischen Simulationen werden außerdem Strukturen niedrigerer Symmetrie, auf die sich die Auswahlregeln übertragen lassen, untersucht. Zudem werden numerische Studien präsentiert in denen der Einfluss der Nichtlokalität auf Feldüberhöhungen in Dimeren und doppel-resonantes Verhalten (es liegt sowohl bei der Frequenz des eingestrahlten Lichtes als auch bei der zweiten harmonischen eine Resonanz vor) untersucht werden. / This thesis deals with the nonlocal and nonlinear properties of plasmonic nanoparticles, as described by the hydrodynamic model. The hydrodynamic material model represents an extension of the Drude model that contains corrections to the descriptions of the electron plasma. After a thorough derivation of the material model, analytical discussions of nonlocality are presented for the example of a single cylinder. The frequency shifts in the scattering and absorption spectra are quantified and treated asymptotically. Furthermore, by applying a conformal map, the problem of a cylindrical dimer is solved in the electrostatic limit and the modes of the structure are determined. These investigations lay the foundations for numerical investigations which are performed employing the discontinuous Galerkin time domain method. The analytical knowledge of the modes, in conjunction with group theoretical considerations and numerical analysis, enables the formulation of rigorous selection rules for the excitation of modes by linear and nonlinear processes. In further numerical studies, the influence of nonlocality on the field enhancement in dimer structures and double-resonant behavior (a resonance is found at the frequency of the incoming light and at the second harmonic) are investigated.

O principal objetivo deste estudo é descrever modelos para séries temporais de ativos financeiros que sejam robustos às tradicionais hipóteses: distribuição gaussiana e continuidade. O primeiro capítulo está preocupado em apresentar, de uma maneira geral, os conceitos matemáticos mais importantes relacionadas a processos estocásticos e difusões. O segundo capítulo trata de processos de incrementos independentes e estacionários, i.e., processos de Lévy, suas trajetórias estocásticas, propriedades distribucionais e, a relação entre processos markovianos e martingales. Alguns dos resultados apresentados neste capítulo são: a estrutura e as propriedades dos processos compostos de Poisson, medida de Lévy, decomposição de Lévy-Itô e representação de Lévy-Khinchin. O terceiro capítulo mostra como construir processos de Lévy por meio de transformações lineares, inclinação da medida de Lévy e subordina ção. Uma atenção especial é dada aos processos subordinados, tais como os modelos variância gama, normal gaussiana invertida e hiperbólico generalizado. Neste capítulo também é apresentado um exemplo pragmático com dados brasileiros de estimação de parâmetros por meio do método de máxima Verossimilhança. O quarto capítulo é devotado aos modelos multidimensionais e, introduz os conceito de cópula ordinária e de Lévy. Mostra-se que é possível caracterizar a dependência entre os componentes de um processo de Lévy multidimensional por meio da cópula de Lévy. Entre os resultados apresentados estão as generalizações do teorema de Sklar e a família de cópulas de Arquimedes aos processos de Lévy. Este capítulo também apresenta alguns exemplos que utilizam métodos de Monte Carlo, para simular processos de Lévy bidimensionais. / The main objective of this study is to describe models for financial assets time series that are robust to the traditional hypothesis: gaussian distributed and continuity. The first chapter are devoted to introduce the most important mathematical tools related to difusions and stochastic processes in general. The second chapter is concerned in the study of independent and stationary increments, i.e., Lévy processes, their sample paths behavior, distributional properties, and the relation to Markov and martingales processes. Some of the results presented are the structure and properties of a compound Poisson processes, Lévy measure, Lévy-Itô decomposition and Lévy-Khinchin representation. The third chapter demonstrates how to construct Lévy processes via linear transformation, tempering the Lévy measure and subordination. A special attention is given to several types of subordinated processes, comprising the variance gamma, the normal inverse gaussian and the generalized hyperbolic models. A pragmatic example of parameter estimation for brazilian data using the method of maximum likelihood is also given. Chapter four is devoted to multidimensional models, which introduces the notion of ordinary and Lévy copulas. It is shown that modelling via Lévy copula it is possible to characterize the dependence among components of multidimensional Lévy processes. Some of the results presented are generalizations of the Sklar’s theorem and the Archmedian family of copulas for Lévy processes. This chapter also presents some examples using Monte Carlo methods for simulating bidimensional Lévy processes.

L’imagerie du sous-sol par équations d’onde est une application de l’ingénierie pétrolière qui mobilise des ressources de calcul très importantes. On dispose aujourd’hui de calculateurs puissants qui rendent accessible l’imagerie de régions complexes mais des progrès sont encore nécessaires pour réduire les coûts de calcul et améliorer la qualité des simulations. Les méthodes utilisées aujourd’hui ne permettent toujours pas d’imager correctement des régions très hétérogènes 3D parce qu’elles sont trop coûteuses et /ou pas assez précises. Les méthodes d’éléments finis sont reconnues pour leur efficacité à produire des simulations de qualité dans des milieux hétérogènes. Dans cette thèse, on a fait le choix d’utiliser une méthode de Galerkine discontinue (DG) d’ordre élevé à flux centrés pour résoudre l’équation des ondes acoustiques et on développe un schéma d’ordre élevé pour l’intégration en temps qui peut se coupler avec la technique de discrétisation en espace, sans générer des coûts de calcul plus élevés qu’avec le schéma d’ordre deux Leap-Frog qui est le plus couramment employé. Le nouveau schéma est comparé au schéma d’ordre élevé ADER qui s’avère plus coûteux car il requiert un plus grand nombre d’opérations pour un niveau de précision fixé. De plus, le schéma ADER utilise plus de mémoire, ce qui joue aussi en faveur du nouveau schéma car la production d’images du sous-sol consomme beaucoup de mémoire et justifie de développer des méthodes numériques qui utilisent la mémoire au minimum. On analyse également la précision des deux schémas intégrés dans un code industriel et appliqués à des cas test réalistes. On met en évidence des phénomènes de pollution numériques liés à la mise en oeuvre d'une source ponctuelle dans le schéma DG et on montre qu'on peut éliminer ces ondes parasites en introduisant un terme de pénalisation non dissipatif dans la formulation DG. On finit cette thèse en discutant les difficultés engendrées par l'utilisation de schémas numériques dans un contexte industriel, et en particulier l'effet des calculs en simple précision. / Oil engineering uses a wide variety of technologies including imaging wave equation which involves very large computing resources. Very powerful computers are now available that make imaging of complex areas possible, but further progress is needed both to reduce the computational cost and improve the simulation accuracy. The current methods still do not allow to image properly heterogeneous 3D regions because they are too expensive and / or not accurate enough. Finite element methods turn out to be efficient for producing good simulations in heterogeneous media. In this thesis, we thus chose to use a high order Discontinuous Galerkin (DG) method based upon centered fluxes to solve the acoustic wave equation and developed a high-order scheme for time integration which can be coupled with the space discretization technique, without generating higher computational cost than the second-order Leap Frog scheme which is the most widely used . The new scheme is compared to the high order ADER scheme which is more expensive because it requires a larger number of computations for a fixed level of accuracy. In addition, the ADER scheme uses more memory, which also works in favor of the new scheme since producing subsurface images consumes lots of memory and justifies the development of low-memory numerical methods. The accuracy of both schemes is then analyzed when they are included in an industrial code and applied to realistic problems. The comparison highlights the phenomena of numerical pollution that occur when injecting a point source in the DG scheme and shows that spurious waves can be eliminated by introducing a non-dissipative penalty term in the DG formulation. This work ends by discussing the difficulties induced by using numerical methods in an industrial framework, and in particular the effect of single precision calculations.

Dans cette thèse, nous nous intéressons à la modélisation mathématique des hétérogénéités de longueurs caractéristiques beaucoup plus petites que la longueur d'ondes. La thèse consiste en deux parties. La partie théorique est dédiée à l'obtention d'un développement asymptotique raccordé: la solution est décrite à l'aide d'un développement de champ proche au voisinage de l'obstacle et par un développement de champ lointain hors de ce voisinage. Le développement de champ lointain met en jeu des solutions singulières de l'équation des ondes tandis que le champ proche lui est régi par un modèle quasi-statique. Ces deux développements sont alors raccordés dans une zone intermédiaire dite de raccord. Nous obtenons alors des estimations d'erreurs permettant de rendre rigoureux ce développement asymptotique formel. La deuxième partie est numérique. Elle décrit à la fois la méthode de Galerkine discontinue, une méthode de raffinement de maillage espace-temps et propose une discrétisation des modèles asymptotiques obtenues précédemment. Elle est illustrée par un certain nombre de tests numériques. / In this thesis, we focus our attention on the modeling of heterogeneities which are smaller than the wavelength. The document is decomposed into two parts : a theoretical one and a numerical one. In the first part, we derive a matched asymptotic expansion composed of a far-field expansion and a near-field expansion. The terms of the far-field expansion are singular solutions of the wave equation whereas the terms of the near-field expansion satisfy quasistatic problems. These expansions are matched in an intermediate region. We justify mathematically this theory by proving error estimates. In the second part, we describe the Discontinuous Galerkin method, a local time stepping method and the implementation of the matched asymptotic method. Numerical simulations illustrate these results.

La caractérisation d’objets enfouis à partir de mesures d’ondes diffractées est un problème présent dans de nombreuses applications comme l’exploration géophysique, le contrôle non-destructif, l’imagerie médicale, etc. Elle peut être obtenue numériquement par la résolution d’un problème inverse. Néanmoins, c’est un problème non linéaire et mal posé, ce qui rend la tâche difficile. Une reconstruction précise nécessite un choix judicieux de plusieurs paramètres très différents, dépendant des données de la méthode numérique d’optimisation choisie.La contribution principale de cette thèse est une étude de la reconstruction complète d’obstacles élastiques immergés à partir de mesures du champ lointain diffracté. Les paramètres à reconstruire sont la frontière, les coefficients de Lamé, la densité et la position de l’obstacle. On établit tout d’abord des résultats d’existence et d’unicité pour un problème aux limites généralisé englobant le problème direct d’élasto-acoustique. On analyse la sensibilité du champ diffracté par rapport aux différents paramètres du solide, ce qui nous conduit à caractériser les dérivées partielles de Fréchet comme des solutions du problème direct avec des seconds membres modifiés. Les dérivées sont calculées numériquement grâce à la méthode de Galerkine discontinue avec pénalité intérieure et le code est validé par des comparaisons avec des solutions analytiques. Ensuite, deux méthodologies sont introduites pour résoudre le problème inverse. Toutes deux reposent sur une méthode itérative de type Newton généralisée et la première consiste à retrouver les paramètres de nature différente indépendamment, alors que la seconde reconstruit tous les paramètre en même temps. À cause du comportement différent des paramètres, on réalise des tests de sensibilité pour évaluer l’influence de ces paramètres sur les mesures. On conclut que les paramètres matériels ont une influence plus faible sur les mesures que les paramètres de forme et, ainsi, qu’une stratégie efficace pour retrouver des paramètres de nature distincte doit prendre en compte ces différents niveaux de sensibilité. On a effectué de nombreuses expériences à différents niveaux de bruit, avec des données partielles ou complètes pour retrouver certains paramètres, par exemple les coefficients de Lamé et les paramètres de forme, la densité, les paramètres de forme et la localisation. Cet ensemble de tests contribue à la mise en place d’une stratégie pour la reconstruction complète des conditions plus proches de la réalité. Dans la dernière partie de la thèse, on étend ces résultats à des matériaux plus complexes, en particulier élastiques anisotropes. / The characterization of hidden objects from scattered wave measurements arises in many applications such as geophysical exploration, non destructive testing, medical imaging, etc. It can be achieved numerically by solving an Inverse Problem. However, this is a nonlinear and ill-posed problem, thus a difficult task. A successful reconstruction requires careful selection of very different parameters depending on the data and the chosen optimization numerical method.The main contribution of this thesis is an investigation of the full reconstruction of immersed elastic scatterers from far-field pattern measurements. The sought-after parameters are the boundary, the Lamé coefficients, the density and the location of the obstacle. First, existence and uniqueness results of a generalized Boundary Value Problem including the direct elasto-acoustic problem are established. The sensitivity of the scattered field with respect to the different parametersdescribing the solid is analyzed and we end up with the characterization of the corresponding partial Fréchet derivatives as solutions to the direct problem with modified right-hand sides. These Fréchet derivatives are computed numerically thanks to the Interior Penalty Discontinuous Galerkin method and the code is validated thanks to comparison with analytical solutions. Then, two solution methodologies are introduced for solving the inverse problem. Both are based on an iterative regularized Newton-type methodology and the first one consists in retrieving the parameters of different nature independently, while the second one reconstructs all parameters together. Due to the different behavior of the parameters, sensitivity tests are performed to assess the impact of the parameters on the measurements. We conclude that material parameters have a weaker influence on the measurements than shape parameters, and therefore, a successful strategy to retrieve parameters of distinct nature should take into account these different levels of sensitivity. Various experiments at different noise levels and with full or limited aperture data are carried out to retrieve some of the physical properties, e.g. Lamé coefficients with shape parameters, density with shape parameters a, density, shape and location. This set of tests contributes to a final strategy for the full reconstruction and in more realistic conditions. In the final part of the thesis, we extend the results to more complex material parameters, in particular anisotropic elastic.

A new combination of techniques for the numerical computation of incompressible flow is presented. The temporal discretization bases on the discontinuous Galerkin-formulation. Both constant (DG(0)) and linear approximation (DG(1)) in time is discussed. In case of DG(1) an iterative method reduces the problem to a sequence of problems each with the dimension of the DG(0) approach. For the semi-discrete problems a Galerkin/least-squares method is applied. Furthermore a non-overlapping domain decomposition method can be used for a parallelized computation. The main advantage of this approach is the low amount of information which must be exchanged between the subdomains. Due to the slight bandwidth a workstation-cluster is a suitable platform. Otherwise this method is efficient only for a small number of subdomains. The interface condition is of the Robin/Robin-type and for the Navier-Stokes equation a formulation introducing a further pressure interface condition is used. Additionally a suggestion for the implementation of the standard k-epsilon turbulence model with special wall function is done in this context. All the features mentioned above are implemented in a code called ParallelNS. Using this code the verification of this approach was done on a large number of examples ranging from simple advection-diffusion problems to turbulent convection in a closed cavity.

This thesis is concerned with motion planning for the classical two-phase Stefan problem in level set formulation. The interface separating the fluid phases from the solid phases is represented as the zero level set of a continuous function whose evolution is described by the level set equation. Heat conduction in the two phases is modeled by the heat equation. A quadratic tracking-type cost functional that incorporates temperature tracking terms and a control cost term that expresses the desire to have the interface follow a prescribed trajectory by adjusting the heat flux through part of the boundary of the computational domain. The formal Lagrange approach is used to establish a first-order optimality system by applying shape calculus tools. For the numerical solution, the level set equation and its adjoint are discretized in space by discontinuous Galerkin methods that are combined with suitable explicit Runge-Kutta time stepping schemes, while the temperature and its adjoint are approximated in space by the extended finite element method (which accounts for the weak discontinuity of the temperature by a dynamic local modification of the underlying finite element spaces) combined with the implicit Euler method for the temporal discretization. The curvature of the interface which arises in the adjoint system is discretized by a finite element method as well. The projected gradient method, and, in the absence of control constraints, the limited memory BFGS method are used to solve the arising optimization problems. Several numerical examples highlight the potential of the proposed optimal control approach. In particular, they show that it inherits the geometric flexibility of the level set method. Thus, in addition to unidirectional solidification, closed interfaces and changes of topology can be tracked. Finally, the Moreau-Yosida regularization is applied to transform a state constraint on the position of the interface into a penalty term that is added to the cost functional. The optimality conditions for this penalized optimal control problem and its numerical solution are discussed. An example confirms the efficacy of the state constraint. / Die vorliegende Arbeit beschäftigt sich mit einem Optimalsteuerungsproblem für das klassische Stefan-Problem in zwei Phasen. Die Phasengrenze wird als Niveaulinie einer stetigen Funktion modelliert, was die Lösung der so genannten Level-Set-Gleichung erfordert. Durch Anpassen des Wärmeflusses am Rand des betrachteten Gebiets soll ein gewünschter Verlauf der Phasengrenze angesteuert werden. Zusammen mit dem Wunsch, ein vorgegebenes Temperaturprofil zu approximieren, wird dieses Ziel in einem quadratischen Zielfunktional formuliert. Die notwendigen Optimalitätsbedingungen erster Ordnung werden formal mit Hilfe der entsprechenden Lagrange-Funktion und unter Benutzung von Techniken aus der Formoptimierung hergeleitet. Für die numerische Lösung müssen die auftretenden partiellen Differentialgleichungen diskretisiert werden. Dies geschieht im Falle der Level-Set-Gleichung und ihrer Adjungierten auf Basis von unstetigen Galerkin-Verfahren und expliziten Runge-Kutta-Methoden. Die Wärmeleitungsgleichung und die entsprechende Gleichung im adjungierten System werden mit einer erweiterten Finite-Elemente-Methode im Ort sowie dem impliziten Euler-Verfahren in der Zeit diskretisiert. Dieser Zugang umgeht die aufwändige Adaption des Gitters, die normalerweise bei der FE-Diskretisierung von Phasenübergangsproblemen unvermeidbar ist. Auch die Krümmung der Phasengrenze wird numerisch mit Hilfe der Methode der finiten Elemente angenähert. Zur Lösung der auftretenden Optimierungsprobleme werden ein Gradienten-Projektionsverfahren und, im Fall dass keine Kontrollschranken vorliegen, die BFGS-Methode mit beschränktem Speicherbedarf eingesetzt. Numerische Beispiele beleuchten die Stärken des vorgeschlagenen Zugangs. Es stellt sich insbesondere heraus, dass sich die geometrische Flexibilität der Level-Set-Methode auf den vorgeschlagenen Zugang zur optimalen Steuerung vererbt. Zusätzlich zur gerichteten Bewegung einer flachen Phasengrenze können somit auch geschlossene Phasengrenzen sowie topologische Veränderungen angesteuert werden. Exemplarisch, und zwar an Hand einer Beschränkung an die Lage der Phasengrenze, wird auch noch die Behandlung von Zustandsbeschränkungen mittels der Moreau-Yosida-Regularisierung diskutiert. Ein numerisches Beispiel demonstriert die Wirkung der Zustandsbeschränkung.

Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4. In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky. Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans. In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC. The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.

Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4. In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky. Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans. In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC. The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.

Title: Fluid-structure interaction of compressible flow Author: RNDr. Jaroslava Hasnedlová Department: Department of Numerical Mathematics, Institute of Applied Mathematics Supervisors: Prof. RNDr. Miloslav Feistauer, DrSc., Dr. h. c., Prof. Dr. Dr. h. c. Rolf Rannacher Supervisors' e-mail addresses: feist@karlin.mff.cuni.cz, rannacher@iwr.uni-heidelberg.de Abstract: The presented work is split into two parts. The first part is devoted to the theory of the discontinuous Galerkin finite element (DGFE) method for the space-time discretization of a nonstationary convection-diffusion initial-boundary value problem with nonlinear convection and linear diffusion. The DGFE method is applied sep- arately in space and time using, in general, different space grids on different time levels and different polynomial degrees p and q in space and time discretization. The main result is the proof of error estimates in L2 (L2 )-norm and in DG-norm formed by the L2 (H1 )-seminorm and penalty terms. The second part of the thesis deals with the realization of fluid-structure interaction problem of the compressible viscous flow with the elastic structure. The time-dependence of the domain occupied by the fluid is treated by the ALE (Arbitrary Lagrangian-Eulerian) method, when the compress- ible Navier-Stokes equations are formulated in...