Many financial contracts can be regarded as derivative securities where the underlying state variable is one or more rates of interest. A partial list of such contracts would include zero-coupon bonds, coupon paying bonds, callable bonds, convertible bonds, retractable/extendable bonds, etc., along with a number of popular interest rate derivatives such as swaps, swaptions, caps, and floors. A commonly used strategy for valuing these contracts is to base a continuous time model for the stochastic behaviour of the short term rate of interest. Three key features of most of the models currently in use are (i) the drift, or expected change over a short time period in the level of the short term interest rate, is a linear function; (ii) the conditional variance of changes in short term interest rates is not strongly related to the level of interest rates; and (iii) the short term interest rate is assumed to follow a diffusion process, which effectively means that it cannot change too rapidly over short periods of time. Each of these assumptions appears to be made primarily for modeling convenience, as they make it possible in some cases to derive analytical expressions for the values of bonds and European-style bond options. If such solutions are not available, then numerical techniques such as Monte Carlo simulation or the numerical solution of partial differential equations are needed. However, available econometric evidence indicates that all of the assumptions noted above are questionable: changes in short term interest rates may be characterized by drift which is nonlinear and by conditional variance that depends more heavily on the level of interest rates than is assumed in models with analytic solutions. Moreover, they may be better approximated by a jump-diffusion process which allows for sudden discontinuous changes. Consequently, it is of interest to develop numerical techniques to value interest rate derivative securities for cases where the short term interest rate follows a jump-diffusion process featuring non-linear drift. This thesis describes and illustrates the use of such techniques.

Many financial contracts can be regarded as derivative securities where the underlying state variable is one or more rates of interest. A partial list of such contracts would include zero-coupon bonds, coupon paying bonds, callable bonds, convertible bonds, retractable/extendable bonds, etc., along with a number of popular interest rate derivatives such as swaps, swaptions, caps, and floors. A commonly used strategy for valuing these contracts is to base a continuous time model for the stochastic behaviour of the short term rate of interest. Three key features of most of the models currently in use are (i) the drift, or expected change over a short time period in the level of the short term interest rate, is a linear function; (ii) the conditional variance of changes in short term interest rates is not strongly related to the level of interest rates; and (iii) the short term interest rate is assumed to follow a diffusion process, which effectively means that it cannot change too rapidly over short periods of time. Each of these assumptions appears to be made primarily for modeling convenience, as they make it possible in some cases to derive analytical expressions for the values of bonds and European-style bond options. If such solutions are not available, then numerical techniques such as Monte Carlo simulation or the numerical solution of partial differential equations are needed. However, available econometric evidence indicates that all of the assumptions noted above are questionable: changes in short term interest rates may be characterized by drift which is nonlinear and by conditional variance that depends more heavily on the level of interest rates than is assumed in models with analytic solutions. Moreover, they may be better approximated by a jump-diffusion process which allows for sudden discontinuous changes. Consequently, it is of interest to develop numerical techniques to value interest rate derivative securities for cases where the short term interest rate follows a jump-diffusion process featuring non-linear drift. This thesis describes and illustrates the use of such techniques.

Transportation accidents and the resulting fires are an important field of study. At the University of Waterloo Live Fire Research Facility (UWLFRF), an experiment was conducted in partnership with Sandia National Laboratories in Albuquerque, New Mexico. This experiment was designed to simulate an aircraft accident where fuel is spilled on the runway and is subsequently ignited. A crosswind pushes the 2.0 m diameter pool fire towards the aircraft fuselage and the conditions around the fire are monitored. Literature on the subject is examined first, examining the relationship between the fire, the crosswind, and the 2.7 m diameter blocking object (aircraft fuselage). A full wind characterization is then presented of the UWLFRF both with and without the blocking object in place, using five distinct wind speeds ranging from 3 m/s to 13.5 m/s. Turbulence intensity measurements are made on the centerline of the facility when possible. Details about the two sets of live fire tests are presented, a control experiment without the blocking object in place and then fire tests with the blocking object in place. Additionally, the control experiment has two different setups, one involving a floor surround in order to diminish the effect of the forward facing step on the front of the fuel pan. The fuel regression rate, the wind speed, the ambient conditions and the heat flux near the fuel pan are monitored during each live fire test. The fuel regression rate, defined as the rate at which the height of the liquid fuel level decreases as the fire burns, is then analyzed versus all other monitored variables. During no blocking object tests, trends of increasing wind speed and increasing heat flux on some gauges and decreasing flux on others was observed with increasing fuel regression rate when the floor surround was in place. During no blocking object tests without the floor surround and tests with the blocking object in place, no strong trends were observed when comparing the monitored variables. The ambient conditions were not observed to have an effect on any test. The average fuel regression for tests without the blocking object in place is 4.0 mm/min without the floor surround, and 4.4 mm/min with it in place. With the blocking object in place the average fuel regression rate was measured to be 4.8 mm/min using load cells and 4.1 mm/min using the sight glass.

In an effort to improve the fuel efficiency of automobiles, car designers are investigating new materials to reduce the overall vehicle weight. Magnesium alloys are good candidates to achieve that weight reduction due in part to their low density and high specific strength. To support their introduction into vehicle body structures, the dynamic behavior of magnesium alloys must be determined to assess their performance during a crash event. In this work, the tensile high strain rate behavior of AZ31B magnesium alloy sheets was characterized. Two different temper conditions were considered: AZ31B-O (fully annealed) and AZ31B-H24 (partially hardened). Three different sheet thicknesses were considered for the O temper condition, 1.0, 1.6 and 2.5 mm, while the H24 temper was 1.6 mm in thickness. The sheet condition of the magnesium alloys implies an in-plane anisotropy induced by the rolling process. Therefore, both the rolling and transverse directions were investigated in the current research. In order to characterize the constitutive behaviour of AZ31B-O and AZ31B-H24 magnesium alloy sheets, tensile tests were performed over a large range of strain rates. Quasi-static experiments were performed at nominal strain rates of 0.003s-1, 0.1s-1 and 1s-1 using a servohydraulic tensile machine. Intermediate strain rate experiments were performed at 30s-1 and 100s-1 using an instrumented falling weight impact (IFWI) apparatus, and high strain rate experimental data at 500s-1, 1000s-1 and 1500s-1 was collected using a tensile split Hopkinson bar (TSHB) apparatus. Elevated temperature experiments (up to 300°C) were also performed at high strain rates using a radiative furnace mounted on the TSHB apparatus. The tensile experiments show a significant strain rate sensitivity of the constitutive behavior of both the O and H24 temper conditions. The two tempers exhibit an average increase of stress level of 60-65 MPa over the range of strain rates considered. As the strain rate increases, the strain rate sensitivity of both tempers also increases. The strain rate has a different effect on the ductility of the two material conditions. The ductility of AZ31B-O is significantly improved under high strain rate deformations, whereas the AZ31B-H24 exhibits similar ductility at low and high strain rates. Both material conditions presented a strong in-plane anisotropy, with an average stress level in the transverse direction higher than in the rolling direction by 15 MPa and 35 MPa for the O and H24 tempers, respectively. The thermal sensitivity for both tempers at high strain rates was obtained. The two material conditions exhibit a clear thermal softening. From room temperature to 250°C, the loss in strength at 5% plastic strain was found to be 55 MPa and 125 MPa for the AZ31B-O and AZ31B-H24 materials, respectively. The thickness of the AZ31B-O sheets has a mild effect on the measured constitutive behavior. The flow stress increases with increasing thickness. An average difference of 10-15 MPa was seen between the flow stress of the 1.0mm and 2.5mm sheets. However, similar strain rate sensitivity was seen for the three thicknesses. The experimental data was fit to three constitutive models: the Johnson-Cook model, its modified version with a Cowper-Symonds strain rate sensitivity formulation, and the Zerilli-Armstrong model. The three models were evaluated by numerical simulation of the TSHB experiment under various testing conditions. It was found that the Zerilli-Armstrong model was the most accurate in predicting the flow stress of the different material conditions. However, finite element models incorporating the three constitutive fits failed to predict necking in the specimen.

The viscoelastic and creep properties of salt create challenges in the design of salt mines. Salt undergoes steady state creep for a long period of time, and the time of failure is not easily predicted. Developing functions for creep behavior is important in predicting the deformation of salt pillars. Through literature reviews, it was found that there are many relationships to determine the deformation rate of salt specimens through constitutive models. Mine panels have also been modeled to understand the stress and deformational behavior of the pillars. The purpose of this was project was to develop a relationship that determines the convergence rate from knowing the pillar width to pillar height ratio and thickness of the salt strata immediately above and below the mine. The third power law was adopted in the modeling of salt pillars, which is applicable to low stresses of less than 10 MPa that is typical of salt mine conditions. The finite difference software, FLAC3D was used for the simulations of salt pillar models. A square pillar was modeled using four pillar width to pillar height ratios from 1.5 to 4.6. In mining practices, the pillar width to pillar height ratios are designed to be 1.0 to 5.0. Three sets of pillar dimensions were used for each pillar width to pillar height ratio, this was done to determine whether different room and pillar dimensions for each pillar width to pillar height ratio resulted in different convergence rates. Eight salt thicknesses of 0 m to 26 m were modeled for each set of pillar dimensions, which was sufficient to determine the effect of salt thickness on convergence rate. From the modeled results, general trends among the various pillar width to pillar height ratios were observed. The convergence rate increased as the pillar width to pillar height ratio decreased. In addition, an exponential relationship was found between the convergence rate and the pillar width to pillar height ratio. There was a strong correlation between convergence values calculated from the developed function and the modeled values for the power law exponent of three. The developed expression can be used to estimate the convergence rate due to pillar compression and room convergence.

This paper examines the explanatory variables that can affect the real exchange rate (RER). It aims at investigating the way in which RER (real exchange rate) misalignment relates to the Thai economy in regarding the financial crisis, capital control policy imposed by the central Bank of Thailand (BOT), and import/export. The RER (real exchange rate) at the equilibrium level will be estimated using the behavioral effective exchange rate model (BEER model). RER (real exchange rate) misalignment is observed through comparing the calculated RER (real exchange rate) and the estimated RER (real exchange rate) in the long run equilibrium. Using data from year 1993Q1 to 2010Q4, it can be observed the direction in which each main economic factors affecting RER (real exchange rate). The result reveals the RER (real exchange rate) misalignment; overvaluation in the period before 1997 Asian financial crisis and before US subprime crisis in 2008. These misalignments of RER (real exchange rate) correspond to the intervention from BOT. With RER (real exchange rate) misalignment, the impact on import/export sector plays vital role towards criteria of policy selection.

Since ten members of ASEAN are moving towards ASEAN Economic Community (AEC) in 2015 which ten member countries are integrating competitively into regional and global markets as well as continuing to build a people-oriented AEC. From this integration the unemployment rate will be affected through the mechanism of the export and GDP. With economics and econometrics models used, this paper will discuss and prove that the implication of AEC will lead to the decrease in unemployment rate.

Predation is one of the important selective factors that regulate the species composition of benthic invertebrate communities. The study objective was to investigate the invertebrate distribution in two contrasting habitats in Lake Takern, southern Sweden, submerged Chara vegetation and emergent Phragmites australis vegetation, and to investigate the influence of predation from fish on certain invertebrates. Laboratory studies were used to estimate handling time and the intake rate (mg/sec) by the fish based on the optimal foraging model. In the field, fish and invertebrates were collected with gill nets and hand nets respectively and the fish gut content was analyzed. In total, sixteen invertebrates’ taxa were collected from the two habitats. The proportion of the invertebrate’s overlaps from each of the habitat was calculated by Renkonen index and with Sorensen diversity index. Both indices showed a similarity larger than 65%, indicating that there was no significant difference in the invertebrates’ distribution in the P. australis and the Chara habitat. The fish caught with the gill nets were: roach (Rutilus rutilus), perch (Perca fluviatilis), tench (Tinca tinca), and rudd (Scardinius erythrophthalmus). The caught perch had eaten: Asellus aquaticus, Gammarus lacustris, Corixidae, and the larvae of Chironomidae and Zygoptera.A comparison was made on the invertebrates found in the field and the ones observed from the gut of the perch, and the findings were that the invertebrates that had more occurrence in the gut were less in proportion in the benthic samples. In the laboratory experiment perch ( Perca fluviatilis) was used as the predator fish and the prey organisms were Asellus aquaticus,Gammarus pulex, and Corixidae of three size categories. The results showed that perch handling time for A.aquaticus of the different size categories, was not significantly different (p>0.05); and the same results were valid for Corixidae and G. pulex. However, the intake rate of perch across the prey and their size categories were significantly different. The handling time was not significantly different which means that the predator fish will gain more in terms of intake rate as it prey on larger size prey items, thus harmonizing with the optimum foraging theory. / MSc Ecology and Environmental Science

An overview of the theoretical literature for the last two decades suggests that there is no clear-cut relationship one can pin down between exchange rate volatility and trade flows. Analytical results are based on specific assumptions and only hold in certain cases. Especially, the impact of exchange rate volatility on export and import activity investigated separately leads also to dissimilar conclusions among countries studied. The general presumption is that an increase in exchange rate volatility will have an adverse effect on trade flows and consequently, the overall heath of the world economy. However, neither theoretical models nor empirical studies provide us with a definitive answer, leaving obtained results highly ambiguous and inconsistent (Baum and Caglayan, 2006). We purposed to empirically investigate trade effects of exchange rate fluctuations in Sweden from the perspective of export and import in this research. The data comprises period from January 1993 to December 2006, where export and import volumes are considered from the point of their determinants, including exchange rate volatility, which has been measured through EGARCH model. The results for the case of Sweden show that short run dynamics of volatility negatively associated with both export and import, whereas considered from the case of previous period volatility it exhibits positive relationship. These results are consistent with the most findings of prior studies, where the relationship remained ambiguous.

Shape memory alloys (SMAs) are a class of alloys that display the unique ability to undergo nonlinear deformations and return to their original shape when heat is applied or the stress causing the deformation is removed. This unique shape memory characteristic is a result of a martensitic phase-change, which can be temperature induced (shape memory effect) or stress induced (superelastic effect). In this study, the cyclical behavior of NiTi, a binary shape memory alloy, is compared to the cyclical behavior of NiTiCr, a ternary SMA. The purpose of this study is to compare the behavior of a 0.085-in. diameter NiTiCr wire with the behavior of the same size NiTi wire to determine whether ternary SMAs are more viable ways to take advantage of the unique properties of SMAs for seismic applications. The experimental results showing the superelastic behavior of these alloys under cyclical tensile loading are summarized with attention to the effects of annealing temperature, strain rate, and cyclical training on the stress-strain hysteresis, maximum recoverable strain and equivalent viscous damping.