Generating samples from generalized hyperbolic distributions and non-central chi-square distributions by inversion has become an important task for the simulation of recent models in finance in the framework of (quasi-) Monte Carlo. However, their distribution functions are quite expensive to evaluate and thus numerical methods like root finding algorithms are extremely slow. In this paper we demonstrate how our new method based on Newton interpolation and Gauss-Lobatto quadrature can be utilized for financial applications. Its fast marginal generation times make it competitive, even for situations where the parameters are not always constant. / Series: Research Report Series / Department of Statistics and Mathematics

The main goal of this thesis is to suggest an appropriate approach to interest rate risk modeling in the Czech financial market environment in various situations. Three distinct periods are analyzed. These periods, which are the period before the global financial crisis, period during the financial crisis and in the aftermath of the global financial crisis and calming subsequent debt crisis in the eurozone, are characterized by different evaluation of liquidity and credit risk, different relationship between financial variables and market participants and different degree of market regulations. Within this goal, an application of the BGM model in the Czech financial market environment is crucial. Use of the BGM model for the purpose of predicting a dynamics of a yield curve is not very common. This is firstly due to the fact that primary use of this model is a valuation of interest rate derivatives while ensuring the absence of arbitrage and secondly its application is relatively difficult. Nevertheless, I apply the BGM model to obtain predictions of the probability distributions of interest rates in the Czech and eurozone market environment, because its complexity, direct modeling of a yield curve based on market rates and especially a possibility of parameter estimation based on current swaptions volatilities quotations may lead to a significant improvement of predictions. This improvement was also confirmed in this thesis. Use of swaptions volatilities market quotations is especially useful in the period of unprecedented mone- tary easing and increased number of central banks and other regulators interventions into financial markets that occur after the financial crisis, because it reflects current market expectations which also include future interventions. As a consequence of underdevelopment of the Czech financial market there are no market quotations of Czech koruna denominated swaptions volatilities. I suggest their approximations based on quotations of euro denominated swaptions volatilities and also using volatilities of koruna and euro forward rates. Use of this approach ensures that predictions of the Czech yield curve dynamics contain current market expectations. To my knowledge, any other author has not presented similar application of the BGM model in the Czech financial market environment. In this thesis I further predict a Czech and Euro area money market yield curve dynamics using the CIR and the GP models as representatives of various types of interest rates models to compare these predictions with BGM predictions. I suggest a comprehensive system of three criteria, based on comparison of predicti- ons with reality, to describe a predictive power of selected models and an appropria- teness of their use in the Czech market environment during different situations in the market. This analysis shows that predictions of the Czech money market yield curve dynamics based on the BGM model demonstrate high predictive power and the best 8 quality in comparison with other models. GP model also produces relatively good qua- lity predictions. Conversely, predictions based on the CIR model as a representative of short rate model family completely failed when describing reality. In a situation when the economy allows negative rates and there is simultaneously a significant likelihood of their implementation, I recommend to obtain predictions of Czech money market yield curve dynamics using GP model which allows existence of negative interest rates. This analysis also contains a statistical test for validating the predictive power of each model and information on other tests. Berkowitz test rejects a hypothesis of accurate predictions for each model. However, this fact is common in real data testing even when using relatively good model. This fact is especially caused by difficult fulfilment of test conditions in real world. To my knowledge, such an analysis of the predictive power of selected interest rate models moreover in the Czech financial market environment has not been published yet. The last goal of this thesis is to suggest an appropriate approach to obtaining pre- dictions of Czech government bonds risk premium dynamics. I define this risk premium as a difference between government bond yields and fixed rate of CZK IRS with the same length. I apply the GP model to describe the dynamics of this indicator of the Czech Republic credit risk. In order to obtain a time series of the risk premium which are necessary for estimation of GP model parameters I firstly estimate yield curves of Czech government bonds using Svensson model for each trading day since 2005. Resulting si- mulations of risk premium show that the GP model predicts the real development of risk premiums of all maturities relatively well. Hence, the proposed approach is suitable for modeling of Czech Republic credit risk based on the use of information extracted from financial markets. I have not registered proposed approach to risk premium modeling moreover in the Czech financial market environment in other publications.

In France, road transport accounts for 50% and 30% of the NOx and CO2 emissions respectively. Asphalt recycling consists in including Reclaimed Asphalt Pavement (RAP) into new Asphalt Concrete. This technique can allow firms in the road construction field to reduce their impacts on the environment and thus to achieve the goals set by the European Commission. Unfortunately, asphalt recycling just began to have more importance in France. Additionally, the lack of easily available data and studies about this method makes it complicated to enhance the development of asphalt recycling. The thesis aimed to picture a good overview of the current asphalt recycling practices in France and to analyze them from an environmental point of view. The main attention was concentrated on GreenHouse Gases (GHGs) emissions and energy consumptions of those techniques. Moreover, the thesis tried to describe the main advantages and drawbacks of the different asphalt recycling techniques in order to understand their proportions in France. The study also aimed to learn from the experiences of other regions by comparing the French practices with other European countries and analyzing these differences. The methodology used is literature review, interviews and use of a Life Cycle Assessment (LCA) tool: asPECT.  The literature review provided all the theoretical background needed to understand asphalt recycling and also data about its impacts on the environment. In order to add a current component that reflects the reality of road constructions firms, data was also collected with interviews and interpreted with the LCA tool. Finally, the LCA approach was used to compare and analyze all the results collected by providing the necessary simplifications. Study results show that France increased its proportion of RAP recycled significantly lately to reach 63%. The main two asphalt recycling techniques used are Hot In-Plant recycling and Cold In-Place Recycling (CIR). CIR is the most environmental friendly asphalt recycling technique, reaching a reduction of 80% in GHGs emissions and energy consumptions compared to a classical rehabilitation method. Hot In-Plant recycling only allows a reduction of approximately 30% in the same environmental factors. Thanks to those techniques 113 000 tons of CO2e and 10,3 * 105 GJ have been saved in 2010. Asphalt recycling also enables making economic profits and improving social conditions. However, pollutants, tar or asbestos contaminated asphalt, haulage distance limit the development of asphalt recycling in France. It was also observed that France is behind its neighbors but is catching up lately. The main reasons for this delay are the aggregates’ supplies; the number of plants fit for recycling and the legislation about waste disposal and RAP recycling rates. It was concluded that to enhance the use of asphalt recycling in France, French authorities, research centers, road construction firms and certification organisms have to cooperate and work together in order to stem the main drawbacks of asphalt recycling, settle the LCA problems, to win the trust of the State and the firms and to increase the competition.

In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. Both models are analysed and simulated, and the parameters are estimated based on empirical data of S&P 500. Results are based on simulations and characteristic functions which are presented with figures of probability density functions.

<p> In this thesis, we calibrated a one factor CIR model for interest rate and a two factor CIR model for each hazard rate of 21 firms. The time series of the interest rate and each hazard rate for 21 firms are also obtained. Extended Kalman Filter and Quasi-Maximum Likelihood Estimation are used as the numerical scheme. The empirical results suggest that multifactor CIR models are not better than multifactor Hull-White model. Positive correlations between hazard rate and interest rate are discovered, although most hazard rates are found to be negatively correlated with the default-free interest rate. The 21 filtered time series of the hazard rates suggest that there maybe a hidden common factor shared only by the intensities. Monte Carlo Simulation is conducted both for interest rate and hazard rates. The simulation indicate that both the SKF and the EKF work pretty well as a filter tool but may produce bad estimation for the value of the likelihood function. QMLE works fine in linear state space form model, but it does a poor job in the case of non-linear state space form.</p> / Thesis / Master of Science (MSc)

Lately, models utilizing channel impulse response (CIR) data for training deep neural networks used for positioning in radio networks have shown promise, particularly in simulated indoor environments. Research has extended to real outdoor setups as well. In this study, deep neural networks originally designed for image classification were employed to estimate positions using both real and simulated outdoor CIR data. A ray tracing simulator was utilized to generate a simulated dataset which corresponded to a real-world dataset. Models were trained and tested on both datasets. To facilitate training on simulated data and testing on real data, a generative adversarial network (GAN) was employed. The thesis concludes that deep neural networks can effectively be used in real outdoor scenarios, but dense data sampling is likely necessary to achieve satisfactory performance across an area. Additionally, it was found that the simulated data used in this study differed significantly from reality, and the employed GAN could not effectively bridge this gap. Consequently, models trained on simulated data performed poorly when tested on real data. However, it was found that deep neural networks significantly outperformed the baseline K-nearest neighbor algorithm when trained and tested on simulated data. However, this was the only case where such a significant advantage for the deep models was observed.

Submitted by Setor de Tratamento da Informa??o - BC/PUCRS (tede2@pucrs.br) on 2015-07-15T15:40:28Z No. of bitstreams: 1 472305 - Texto Completo.pdf: 11662378 bytes, checksum: 4fe1ede28b6e0e1ba0ea85af9d135c86 (MD5) / Made available in DSpace on 2015-07-15T15:40:28Z (GMT). No. of bitstreams: 1 472305 - Texto Completo.pdf: 11662378 bytes, checksum: 4fe1ede28b6e0e1ba0ea85af9d135c86 (MD5) Previous issue date: 2015-02-26 / Objective : The thesis has as main goal the improvement of electrical safety in surgical procedures. It can be find risks of health hazards of the patients from the use of electromedical equipment (EME) that operates with electricity and are susceptible to failure. The consequence of these electrical failures taken into account in this thesis is a differential current (leakage) improper passing through a patient?s body, thus creating a microshock. Materials and Methods : A literature review was performed, concerning the electrical safety norms related with EMEs, facilities in critical hospital environments such as surgical centers and physiological effects of electrical current on the human body. A study about mathematical/statistical methods that can be used to calculate similarity between electrical current waveforms was also built. Therefore, a reference platform capable of capturing EMEs differential current during surgical procedures was developed. Accordingly, a methodology of differential current analysis is proposed, generating a scale of dangerousness relating to electrical current value, frequency spectrum and the similarity between simultaneous waveforms. Results : The reference platform was validated in the laboratory using TN-S and IT medical earthing systems. For validation, in both grounding systems were artificially produced leakage currents and microshocks, which were analyzed in the scales dangerousness proposed. Furthermore, differential current events were captured with the reference platform embedded in gas and socket panel of an operating room, in order to provide an evaluation in real environment of use. Discussion of results : laboratory tests have proven that the reference platform is able to capture the differential current events with the necessary precision to a broad analysis. The proposed dangerousness scales proved to be adequate for the analysis of the events captured in six months of use at the surgical center. In this period, at least 49 situations with danger alert were detected. With the similarity scale between electric current waveforms, progress was made in the detection of microshock. Conclusion : It can be stated that this thesis contributed to the improvement of electrical safety during surgical procedures. The reference platform, using the dangerousness scale proposed, can distinguish between a meaningless event and an event with a real risk. Maybe in the future, the knowledge produced in this thesis can incorporate electrical safety norms in surgical procedures. / Objetivo : Esta tese possui como principal objetivo a melhoria da seguran?a el?trica em procedimentos cir?rgicos. Pode-se encontrar riscos de danos ? sa?de dos pacientes a partir do uso dos equipamentos eletrom?dicos (EEM), que usam a eletricidade e podem ser acometidos de falhas. A consequ?ncia destas falhas el?tricas levada em considera??o nesta tese ? uma corrente diferencial (fuga) indevida circulando por um paciente, configurando assim um microchoque. Materiais e M?todos : Uma revis?o bibliogr?fica acerca das normas de seguran?a el?trica relacionadas com EEM, das instala??es em ambientes hospitalares cr?ticos como centros cir?rgicos e dos efeitos fisiol?gicos da corrente el?trica no corpo humano foi realizada. Um estudo sobre m?todos matem?ticos/estat?sticos que podem ser usados para calcular a similaridade entre formas de onda (FO) de corrente el?trica tamb?m foi constru?da. Ent?o, uma plataforma de refer?ncia capaz de capturar correntes diferenciais de EEM durante procedimentos m?dicos foi desenvolvida. ? proposta ainda uma metodologia de an?lise dessas correntes diferenciais, produzindo escalas de periculosidade a sa?de em rela??o ao valor da corrente, ao espectro de frequ?ncia e ? similaridade entre FO simult?neas. Resultados : A plataforma de refer?ncia foi validada em laborat?rio usando o sistema de aterramento Terra/Neutro (TN-S) e com sistema isolado sem alimenta??o referenciada ao Terra (IT-M?dico). Para a valida??o, em ambos os sistemas de aterramento, foram produzidos artificialmente correntes de fuga e microchoques, que foram analisados nas escalas periculosidade propostas. Foram ainda coletados, com a plataforma de referencia embarcada no painel de gases e tomadas de um centro cir?rgico, eventos de corrente diferencial, a fim de proporcionar uma avalia??o em ambiente real de uso. Discuss?o dos resultados : Os testes em laborat?rio comprovaram que a plataforma de refer?ncia consegue capturar os eventos de corrente diferencial com a precis?o necess?ria para uma ampla an?lise. As escalas de periculosidade propostas se mostraram adequadas na an?lise dos eventos capturados em seis meses de uso junto ao centro cir?rgico. Nesse per?odo, foram detectados pelo menos 49 situa??es com a produ??o de alertas de Perigo. Com a escala de similaridade entre FO de corrente el?trica ainda conseguiu-se avan?ar na detec??o de microchoques. Conclus?es : Pode-se afirmar que esta tese contribuiu para a melhoria da seguran?a el?trica em procedimentos m?dicos. A plataforma de refer?ncia, utilizando as escalas de periculosidade propostas, consegue distinguir entre um evento sem significado e um evento com um risco real. Talvez no futuro, o conhecimento produzido nesta tese possa ser parte das normas de seguran?a el?trica em procedimentos cir?rgico.

Made available in DSpace on 2016-04-28T20:18:31Z (GMT). No. of bitstreams: 1 2008 - Jose Luis Acceta.pdf: 1494804 bytes, checksum: 4db4aa22a40640a9df16fa4956f3db06 (MD5) Previous issue date: 2008-07-03 / This work?s objective was to evaluate the occlusion?s viability of the bronchial stump by use of cyanoacrylate, verifying your efficacy and velocity of adhesion, and after-surgery animals recovery. Fifteen dogs, without defined races, males and females, adults were utilized and submited to the partial lobectomy (after traumatism), and the bit extremity was full-filed with cyanoacrylate. The clinical evolution was observed on the 15 subsequent days, by verifying the breath pattern, blood presence and seroma and air in thoracic cavity. The dogs stay housed during 15 days; then the sucture points were take out and the animals go home. / O objetivo deste trabalho foi avaliar clinicamente a viabilidade da oclus?o do coto br?nquico com utililiza??o de adesivo a base de cianoacrilato ap?s lobectomia. Foram utilizados 15 c?es, SRD, machos e f?meas, acima de dois anos de idade, atendidos na Cl?nica Veterin?ria S?o Francisco e no Hospital das Cl?nicas Veterin?rias (HCV) da UNIPLI em emerg?ncia, com les?es pulmonares cujo tratamento cir?rgico necessitou lobectomia pulmonar. Realizou-se a lobectomia completa do lobo pulmonar comprometido, e a extremidade do coto foi preenchida com adesivo ? base de cianoacrilato. A evolu??o cl?nica foi avaliada nos 15 dias subsequentes, atrav?s da verifica??o do padr?o respirat?rio e presen?a de sangue, seroma ou ar na cavidade tor?cica. Os c?es ficaram internados por 15 dias, quando ent?o os pontos foram retirados e os animais receberam alta. O adesivo de cianoacrilato mostrou-se clinicamente eficiente na execu??o e manuten??o da pneumostasia de coto bronquial remanescente em lobectomias totais.

In financial markets, spread option is a derivative security with two underlying assets and the payoff of the spread option depends on the difference of these assets. We consider American style spread option which allows the owners to exercise it at any time before the maturity. The complexity of pricing American spread option is that the boundary of the corresponding partial differential equation which determines the option price is unknown and the model for the underlying assets is two-dimensional.In this dissertation, we incorporate the stochasticity to the interest rate and assume that it satisfies the Vasicek model or the CIR model. We derive the partial differential equations with terminal and boundary conditions which determine the American spread option with stochastic interest rate and formulate the associated free boundary problem. We convert the free boundary problem to the linear complimentarity conditions for the American spread option, so that we can go around the free boundary and compute the option price numerically. Alternatively, we approximate the option price using methods based on the Monte Carlo simulation, including the regression-based method, the Lonstaff and Schwartz method and the dual method. We make the comparisons among the option prices derived by the partial differential equation method and Monte Carlo methods to show the accuracy of the result.

In this paper, we investigate the problem of estimating the autocorrelation of squared returns modeled by diffusion processes with data observed at non-equi-spaced discrete times. Throughout, we will suppose that the stock price processes evolve in continuous time as the Heston-type stochastic volatility processes and the transactions arrive randomly according to a Poisson process. In order to estimate the autocorrelation at a fixed delay, the original non-equispaced data will be synchronized. When imputing missing data, we adopt the previous-tick interpolation scheme. Asymptotic property of the sample autocorrelation of squared returns based on the previous-tick synchronized data will be investigated. Simulation studies are performed and applications to real examples are illustrated.