In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). By solving a simplied version of the Dupire equation under the assumption of a continuous ve parameter di usion term, we derive a parameterization dened for strikes in an interval of arbitrary size. The parameterization produces positive option prices which satisfy both conditions for absence of arbitrage in a one maturity setting, i.e. all adjacent vertical spreads and buttery spreads are priced non-negatively. The method is implemented and tested in the FX-option market. We suggest two sub-models, one with three and one with ve degrees of freedom. By using a least-square approach, we calibrate the two sub-models against 416 Reuters quoted volatility smiles. Both sub-models succeeds in generating prices within the bid-ask spread for all options in the sample. Compared to the three parameter model, the model with ve parameters calibrates more exactly to market quoted mids but has a longer calibration time. The three parameter model calibrates remarkably quickly; in a MATLAB implementation using a Levenberg-Marquardt algorithm the average calibration time is approximately 1 ms. Both sub-models produce volatility smiles which are C2 and well-behaving. Further, we suggest a technique allowing for arbitrage-free interpolation of calibrated option price functions in the maturity dimension. The interpolation is performed in parameter space, where every set of parameters uniquely determines an option price function. Furthermore, we produce sucient conditions to ensure absence of calendar spread arbitrage when calibrating the proposed model to several maturities. We use this technique to produce implied volatility surfaces which are suciently smooth, satisfy all conditions for absence of arbitrage and fit market quoted volatility surfaces within the bid-ask spread. In the final chapter we use the results for producing Dupire local volatility surfaces and for pricing variance swaps.

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Traitement et séchage de sol-gels est une pratique utilisée couramment dans l'industrie en raison du grand nombre d'applications existantes pour les produits en aval. Parmi eux, un produit spécifique capte une grande attention en raison de son élevé potentiel principalement pour l’application dans l'isolation thermique résidentielles, industrielles et même l'aérospatiale. Ce type de produit, appelé aérogel est un matériau dont la structure nanoporeuse marque une très faible densité et de conductivité thermique. La production d'aérogel peut être réalisée par diverses méthodes en fonction de la technique de séchage utilisée pour évacuer le liquide retenu dans les pores de gel: Tourner autour du point triple, franchissant la ligne d'évaporation ou contourner le point critique. L'objet de cette thèse consiste à fournir la base technologique nécessaire pour le développement d'un programme de la commercialisation industrielle des aérogels. A cet effet, la poursuite soutiendra sur la compréhension et l'identification de la présente maturité technologique, le développement et la mise à l'échelle d'un processus et de produits optimisés, et l'évaluation d'un plan d'affaires pour la production commerciale d'aérogels. L'environnement dans lequel s’effectue cette thèse se compose de deux domaines différents. Une consisté dans la conception, construction et opération des équipements spécifiques au sein de SEPAREX, et l'autre était dirigé dans la participation et la gestion de quatre projets européens du 7ème framework program: AEROCOINs, AerSUS, HIPIN et RESEEPE. Tous engagée dans la recherche et le développement de divers matériaux à base d’aérogels pour des applications dans l'isolation et la rénovation des bâtiments et dans l'isolation des vaisseaux spatiaux et des satellites. SEPAREX a participé en tant qu'expert dans le procédé de séchage de ces matériaux et aussi comme expert dans la conception et la mise à l'échelle d'équipements pour le processus concerné / Processing and drying of sol-gels is a widely practice used in industry due to the large number of existing applications for the downstream products. Among them, a specific product captures a great attention due to its high potential mainly for thermal insulation as residential, industrial and even aerospace applications. This product type, called aerogel, is a nanoporous material whose structure having extremely low density and thermal conductivity. Aerogel production can be carried out by various methods depending on the drying technique used to evacuate the liquid retained within the gel pores: Turning around the triple point, crossing the evaporation line or turning around the critical point. The purpose of the present thesis is to provide the technological basis required for the development of a program for the industrial commercialization of aerogels. For this purpose, the survey shall cover the understanding and identification of the present technology maturity, the development and scaling of an optimized process and products, and evaluation of a commercial business plan for the production of aerogels. The environment in which takes place this thesis is comprised in two different areas. One consisted in designing, construction and operation of a specific equipment within SEPAREX, and the other one was led in participation and management of four European projects of the 7th framework program: AEROCOINs, AerSUS, HIPIN and RESEEPE. All of them engaged in the research and development of diverse aerogels-based materials for applications in insulation and retrofitting of buildings and insulation of spacecraft and satellites. SEPAREX participated as expert in the drying process of such materials and also as expert in the design and scale-up of equipment for the process therefore

In ecological risk assessment, mechanistic effect models (MEMs) are thought to overcome the limitation of standard laboratory single species test by accurately extrapolating the models to population-level. This review introduces the basic theory of MEMs-dynamic energy budget theory which can connect with toxicokinetic/ toxicodynamic models to describe the interaction of toxicants and organisms. This review summarizes some typical MEMs which simulate different scenarios, pesticides and species, and compared their modelling performance according to the guidance on good effect models of European Food Safety Authority, in order to judge if it is accounting for all modelling steps. In addition, a summary of the linkage of MEMs in pesticides ecological risk assessment have been discussed, especially evaluating the linkage results of ‘MODELINK’ workshop. However, there is no genuine application of MEMs in pesticides ecological risk assessment in real world today, because there is no validated model built with acceptable predictive power to motivate the ecological assessors or shareholders to use effect models confidently. Therefore, there is still a long way to develop an effect model which is valid enough and has strong prediction power.

Le marché des alicaments est en pleine évolution et fait l'objet de recherches importantes dans le secteur agroalimentaire. Cette thèse a pour objectif de caractériser expérimentalement un procédé de production de caramels riches en dianhydrides de fructose (DAF) à l'échelle laboratoire en vue d'une extrapolation à l'échelle semi-pilote par CFD (Computational Fluid Dynamics). Ces caramels ont été préparés à partir d'un sirop de fructose en présence d'une résine qui joue le rôle de catalyseur. L'influence du titre en fructose, de la teneur en résine et de la température a été étudiée. Dans un premier temps, une étude a été menée pour établir des lois de vitesse à partir d'un mécanisme de réaction simplifié. Le suivi cinétique permet d'atteindre jusqu'à 50% de DAF selon les conditions opératoires. Dans un second temps, la caractérisation des fluides prenant part lors de la réaction de caramélisation a été étudiée. Un changement de comportement a été observé lors de la réaction. Le fluide newtonien devient non-newtonien (rhéofluidifiant). Dans un troisième temps, le comportement hydrodynamique du système a été analysé par CFD afin de proposer un semi-pilote présentant des résultats similaires à ceux mesurés à l'échelle laboratoire. La proposition issue du calcul numérique basé sur les nombres adimensionnels est un réacteur discontinu de géométrie cylindrique muni d'un agitateur de type semi-circulaire. Le mélangeur statique a été aussi envisagé. Dans ce cas, la vitesse radiale du fluide (0,2 m.s-1) est le facteur d'extrapolation. Enfin, la faible consommation énergétique de ce réacteur continu présente unvéritable atout pour produire des caramels à l'échelle industrielle. / The functional food market (foods with beneficial properties for health) is increasing and is subject of important research in the food industry. The goal of this thesis has been experimental characterization of caramels with high proportion of di-fructose anhydrides (DFA) processes, using laboratory-scale experiments with the aim to design a semi-pilot-scale reactor by CFD (Computational Fluid Dynamics). These caramels were prepared from a solution of fructose syrup with a resin catalyst. The influence of the ratio fructose/water, proportion of resin and temperature were studied. In a first step, a study was carried out to establish the kinetics laws from a simplified reaction mechanism. The results showed a DAF’s yield of up to 50% depending on the operating conditions. In a second step, the fluids involved in caramelization reaction were characterized. A behavior change outcome was observed during the reaction: the Newtonian fluid becomes non-Newtonian (rheofluidifying). In a third step, the hydrodynamic behavior was analyzed by CFD in order to propose a semi-pilot-scale reactor with similar results to laboratory scale. The numerical modeling based on non-dimensional numbers proposes a batch reactor with cylindrical geometry equipped with a stirrer of semi-circular type. The static mixer was also contemplated. In this case, the radial velocity of fluid (0.2 m.s-1) is the scale up factor. Finally, the low energy consumption of this continuous reactor represents a real advantage to produce caramel to industrial scale / El mercado de los alimentos funcionales (alimentos con propiedades benéficas para la salud) está en plena evolución y ha sidoobjeto de investigación en la industria alimentaria. Esta tesis tiene como objetivo caracterizar experimentalmente un proceso aescala de laboratorio para producir caramelos con alto contenido en dianhídridos de fructosa (DAF), con el fin de extrapolar a unaescala semi-piloto utilizando CFD (Computational Fluid Dynamics). Estos caramelos son obtenidos a partir de jarabe de fructosautilizando una resina como catalizador. Se estudió la influencia de la proporción de fructosa, la proporción de resina y de latemperatura. En una primera etapa, se realizó un estudio para establecer las leyes de velocidad a partir de un mecanismo dereacción simplificado. El seguimiento cinético permitió alcanzar un rendimiento de hasta 50% en DAF dependiendo de lascondiciones operatorias. En una segunda etapa, se realizó una caracterización de los fluidos implicados en la reacción decaramelización. Un cambio en el comportamiento del fluido durante la reacción fue observado. El fluido newtoniano se comportacomo fluido no-newtoniano (adelgazante). En una tercera etapa, el comportamiento hidrodinámico del sistema fue analizadomediante CFD, a fin de proponer un reactor semi-piloto que presente resultados similares a los calculados para la escalalaboratorio. La propuesta resultante del modelo matemático basado en los números adimensionales, es un reactor por lotes con unageometría cilíndrica y un agitador de tipo semicircular. Un mezclado estático fue también conceptualizado. En este caso, lavelocidad radial del fluido (0,2 m.s-1) fue el factor de extrapolación del proceso. Por último, el bajo consumo de energía de estereactor continuo representa una verdadera ventaja para la producción de caramelos a nivel industrial.

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Made available in DSpace on 2014-10-09T12:26:51Z (GMT). No. of bitstreams: 0 / Made available in DSpace on 2014-10-09T14:06:14Z (GMT). No. of bitstreams: 0 / Dissertacao (Mestrado) / IPEN/D / Instituto de Pesquisas Energeticas e Nucleares - IPEN-CNEN/SP

Orientador: Celia Marina de A. Freire / Tese (doutorado) - Universidade Estadual de Campinas, Faculdade de Engenharia Mecanica / Made available in DSpace on 2018-07-29T00:11:40Z (GMT). No. of bitstreams: 1 Beserra_AntonioAdelmoFreire_D.pdf: 6476925 bytes, checksum: 51577bdfab4d41fd0bb2c35bf250bfc2 (MD5) Previous issue date: 2001 / Resumo: O revestimento de Al55-Zn apresenta uma resistência à corrosão atmosférica em média doze vezes superior à do revestimento galvanizado. Entretanto, após deformação mecânica, o revestimento de Al55-Zn apresenta microtrincas que comprometem a sua resistência à corrosão. Neste trabalho estudou-se a variação na resistência à corrosão do revestimento de Al55-Zn após deformação sob tração ou dobramento e a influência de tratamentos térmicos a '200 GRAUS' e a '360 GRAUS' durante 16h na resistência à corrosão do revestimento antes e depois das deformações. Para isso, um grupo de amostras do material foi deformado sob tensão de tração até 10% ou 15% de seu comprimento inicial e outro grupo foi dobrado até '90 GRAUS' ou '180 GRAUS'. A variação na resistência à corrosão do revestimento foi analisada através das técnicas de extrapolação de Tafel e de espectroscopia de impedância eletroquímica. Como resultado, observou-se que tanto a deformação axial quanto o dobramento do material reduzem a sua resistência à corrosão. Após o tratamento térmico a '360 GRAUS' as amostras deformadas até 10% ou 15% recuperaram a sua resistência à corrosão, entretanto, as amostras dobradas até '90 GRAUS' ou '180 GRAUS' apresentaram apenas uma recuperação parcial na sua resistência à corrosão após os tratamentos térmicos / Abstract: The atmospheric corrosion resistance of 55%Al-Zn alloy coating on average is twelve times that of an equal thickness of galvanized coating. However, it has been shown that microcracks were observed at all levels of strain under simple uniaxial tension. Our research has been focused on determining the degree of corrosion experienced by these coatings after deformation under simple tension or bending and how much the heat treatment at '200 DEGREES' or '360 DEGREES' for 16h can influence the corrosion resistance of the coating. The coated sheet samples were strained to 10% or 15% engineering strain while another group of samples was bent to bend angles of '90 DEGREES' or '180 DEGREES'. The corrosion resistance of the samples was evaluated trhough Tafel extrapolation and electrochemical impedance spectroscopy methods. As a result, it was observed that both the straining and the bending of the coating reduces its corrosion resistance. After the heat treatment at '360 DEGREES' the samples strained to 10% or 15% recover their corrosion resistance, but the specimens bended to '90 DEGREES' or '180 DEGREES' recuperate only partially the corrosion resistance after the heat treatments / Doutorado / Materiais e Processos de Fabricação / Doutor em Engenharia Mecânica

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Made available in DSpace on 2014-10-09T12:49:55Z (GMT). No. of bitstreams: 0 / Made available in DSpace on 2014-10-09T14:02:14Z (GMT). No. of bitstreams: 1 10308.pdf: 5951521 bytes, checksum: c3f464af4f9a5b567dacd34287e1566f (MD5) / Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) / Tese (Doutoramento) / IPEN/T / Intituto de Pesquisas Energeticas e Nucleares, IPEN/CNEN-SP / FAPESP:01/00231-5