本文的主要內容為評價JPMorgan Chase & Co.（美國摩根大通銀行）及UBS（瑞士銀行）所發行的兩檔結構型票券，共同的特色是票券為保本型且不付息，報酬條款中附有雙重界限觸及失效選擇權，其價值對於標的資產的波動程度相當敏感。一旦標的資產價格觸及任一界限，具有額外收益的選擇權將失效，投資人僅能拿回原始投資本金，相當於損失了原本可能獲得的無風險利息。 　　針對雙重界限觸及失效選擇權，我們使用顯式、隱式以及Crank-Nicolson三種有限差分法來進行評價，並比較蒙地卡羅模擬和封閉解的結果，藉以了解各種方法的準確性及效率。接著我們求算避險參數Greeks，分析發行商所面臨的風險。同時根據市場未來的情況，分析投資人的預期收益，進而了解這種商品在市場上廣為流通的原因，以及此類新奇結構型商品對於風險的重分配方式，如何締造買方賣方雙贏的局面。

Ce travail porte sur le problème des partitions minimales, à l'interface entre théorie spectrale et optimisation de forme. Une introduction générale précise le problème et présente des résultats, principalement dûs à B. Helffer, T. Hoffmann-Ostenhof et S. Terracini, qui sont utilisés dans le reste de la thèse.Le premier chapitre est une étude spectrale asymptotique du laplacien de Dirichlet sur une famille de domaines en dimension deux qui tend vers un segment. L'objectif est d'obtenir une localisation des lignes nodales dans la limite des domaines minces. En appliquant les résultats de Helffer, Hoffmann-Ostenhof et Terracini, on montre ainsi que les domaines nodaux des premières fonctions propres forment des partitions minimales.Le deuxième chapitre étudie les valeurs propres de certains opérateurs de Schrödinger sur un domaine plan avec condition au bord de Dirichlet. On considère des opérateurs qui ont un potentiel électrique nul et un potentiel magnétique d'un type particulier, dit d'Aharonov-Bohm, avec des singularités en un nombre fini de points appelés pôles. On démontre que les valeurs propres dépendent continuement des pôles. Dans le cas de pôles distincts et éloignés du bord, on prouve que cette dépendance est analytique lorsque la valeur propre est simple. On exprime de plus une condition suffisante pour que la fonction qui aux pôles associe une valeur propre présente un point critique. On utilise alors la caractérisation magnétique des partitions minimales pour montrer que l'énergie minimale est une valeur critique d'une de ces fonctions.Le troisième chapitre est un article écrit en collaboration avec Virginie Bonnaillie-Noël. Il porte sur une famille d'exemples, les secteurs angulaires de rayon unité et d'ouverture variable, dont on tente de déterminer les partitions minimales. On applique pour cela les théorèmes généraux rappelés dans l'introduction afin de déterminer les partitions nodales qui sont minimales. On s'intéresse plus particulièrement aux partitions minimales en trois domaines. En appliquant les idées du deuxième chapitre, on montre que pour certaines valeur de l'angle, il n'existe aucune partition minimale qui soit symétrique par rapport à la bissectrice du domaine. D'un point de vue quantitatif, on obtient des encadrements précis de l'énergie minimale.Le quatrième chapitre consiste en l'étude des partitions minimales de tores plats dont on fait varier le rapport entre longueur et largeur. On utilise une méthode numérique très différente de celle du troisième chapitre, basée sur un article de B. Bourdin, D. Bucur et É. Oudet. Elle consiste en une relaxation suivie d'une optimisation par un algorithme de gradient projeté. On peut ainsi tester des résultats théoriques antérieurs. Les résultats présentés suggèrent de plus la construction explicite de familles de partitions (en liaison avec des pavages du tore) qui donnent une nouvelle majoration de l'énergie minimale.Un dernier chapitre de perspectives présente plusieurs applications possibles des méthodes décrites dans la thèse. / This work is concerned with the problem of minimal partitions, at the interface between spectral theory and shape optimization. A general introduction gives a precise statement of the problem and recall results, mainly due to B. Helffer, T. Hoffmann-Ostenhof and S.Terracini, that are used in the rest of the thesis.The first chapter is an asymptotic spectral study of the Dirichlet Laplacian on a familly of two-dimensional domains converging to a line segment. The aim is to localize the nodal lines when the domains become very thin. With the help of the results of Helffer, Hoffmann-Ostenhof, and Terracini, we then show that the nodal domains of the first eigenfunctions give minimal partitions.The second chapter studies the eigenvalues of some Schrödinger operators on a domain with Dirichlet boundary conditions. We consider operators that have no electric potential and a so-called Aharonov-Bohm magnetic potential, which has singularities at a finite number of points called poles. We prove that the eigenvalues are continuous functions of the poles. When the poles are distinct and far from the boundary, we prove that this function is analytic, assuming the eigenvalue is simple. We also give a sufficient condition for the function to have a critical point. Using the magnetic characterization of minimal partitions, we show that the minimal enery is a critical value for one of these functions.The third chapter in an article written in collaboration with Virginie Bonnaillie-Noël. It studies minimal partitions for sectors of unit radius with a variable angular opening. We apply the general results presented in the introduction, together with numerical computations, to determine nodal partitions that are minimal. We focus on partitions into three domains. Using ideas from the second chapter, we show that, for some values of the angle, there is no minimal partition that is symmetric with respect to the bisector. Form a quantitative point of view, we obtain precise bounds on the minimal energy.The fourth chapter studies the minimal partitions of flat tori in function of the ratio between width and length. We use a numerical method that is quite different from chapter three, and is based on an article by B. Bourdin, D. Bucur, and É. Oudet. It consists in a relaxation of the problem, followed by optimization with the help of a projected gradient algorithm. The results shown here additionally suggest explicit families of partitions, which consist in tilings of tori by polygons, that give upper bounds on the minimal energy. In the last chapter we consider several possible applications of the methods described in the thesis.

In this thesis we will investigate how the SBP-SAT finite difference method behave with and without an interface. As model problem, we consider the heat equation with piecewise constant coefficients. The thesis is split in two main parts. In the first part we look at the heat equation in one-dimension, and in the second part we expand the problem to a two-dimensional domain. We show how the SAT-parameters are chosen such that the scheme is dual consistent and stable. Then, we perform numerical experiments, now looking at the static case. In the one-dimensional case we see that the second order SBP-SAT method with an interface converge with an order of two, while the second order SBP-SAT method without an interface converge with an order of one.

Made available in DSpace on 2016-08-10T10:40:19Z (GMT). No. of bitstreams: 1 Noeli Antonia Pimentel Vaz.pdf: 27939265 bytes, checksum: a285e763b07345fb2801fce0e9ed4cfe (MD5) Previous issue date: 2013-05-15 / The generation of a pattern of navigation in Virtual Learning Environments (VLE) closer to the characteristics of the student is a question relevant of research. This paper takes as its starting point a Hybrid Intelligent Tutoring System (HITS) already proposed in the literature that uses the Artificial Neural Networks MLP (Multi Layer Perceptron) and rules of faculty experts, and adds a methodology using Partial Differential Equations (PDE) calculated by the method of finite differences, in order to improve the navigation decision to lead the student in a personalized way, adding to their biggest gains learning process. The original HITS developed for web platform has been adapted using technologies that enable the evolution system and the integration of the system settings for navigation mid-level, system without adaptive capacity, and the smart navigation were conducted to verify the effectiveness of the proposed system. Data obtained were evaluated by statistical tests with 5% level of significance, which proved the efficiency of the proposed model. / A geração de um padrão de navegação em Ambientes Virtuais de Aprendizagem (AVA) mais próximo das características do estudante é uma questão relevante de pesquisa. Esta dissertação toma como ponto de partida um Sistema Tutor Inteligente (STI) Híbrido já proposto na literatura que utiliza Redes Neurais Artificiais do tipo MLP (Multi Layer Perceptron) e regras de docentes especialistas; e agrega uma metodologia utilizando Equações Diferenciais Parciais (EDP) calculadas pelo método das diferenças finitas, com o objetivo de melhorar a decisão de navegação, para conduzir o estudante de forma personalizada, agregando melhores ganhos ao seu processo de aprendizado. O STI original, desenvolvido para plataforma web, foi adaptado utilizando tecnologias que possibilitem a evolução do sistema e a integração a Ambientes Virtuais de Aprendizagem, como o Moodle, por exemplo. Experimentos com o sistema em configurações para a navegação nível médio (sistema sem capacidade adaptativa) e a navegação inteligente foram realizados para verificação da efetividade do sistema proposto. Os dados obtidos foram avaliados por meio de testes estatísticos com nível de significância de 5%, que comprovam a eficiência do modelo proposto.

本論文主要目標為發展金融互換的定價模型。既是欲建立量化模型，首要 工作在於對量化對象 --- 金融互換工具的實際特性， 實務上的運作，有 瞭解與掌握，再輔以必要的數量基礎，方不致於`` 失真 '' 。本文共分 五章首章為緒論，第二章為對金融互換工具的全盤認識，試圖由金融互換 的契約切入，進而歸納分類要件，演化及最終種類，最後提出定價時的幾 個思維面向(Dimensions )。第三章為文獻回顧，指出金融互換定價模型 的基礎，為建立在具浮動利率金融工具的定價模型上。 第四章為發展理 論模型基礎及數值分析結果。第五章為結論。

In heavily settled areas, deformations induced by the tunnel excavation may cause serious damage to nearby structures. In this study it is aimed to model ground deformations induced by main tunnels and connection tunnels excavations as well as groundwater drainage. Therefore, it is necessary to study effective means of controlling tunnel induced deformations. The main parameters affecting the failure and deformation state of the soil around a circular underground opening are the physical characteristics of the soil, the diameter of the opening, and the support pressure. During the construction stage of Necatibey Station of Kizilay&Ccedil / ayyolu metro line (Ankara, Turkey), challenging ground conditions involving highly heterogeneous and locally water saturated foundation soils have been encountered. Possibility of damage at the surface and/or on the underground structures can be estimated using finite difference method (FDM) of analysis. In this study, two geophysical methods namely Electrical Resistivity Imaging (ERI) and Ground Penetrating Radar (GPR) were utilized to distinguish soil types at the study area. By correlating these geophysical survey results with the boring v logs, 3-Dimensional soil profile was revealed at the study area to build up a basis for numerical models. 3-Dimensional (3D) FDM analyses were conducted to assess tunneling induced deformations, along with movements around shallow soft ground main tunnels and connection tunnels. During sequential excavations, temporary and permanent shotcrete lining was also simulated. The soil behavior is assumed to be governed by an elastic-perfectly plastic constitutive relation based on the Mohr&ndash / Coulomb criterion. The computed deformations around these openings have been compared with the in-situ measurements. The results of the study revealed that the 3-D elasto-plastic analyses yield comparably good correlation with the in-situ measurements. Also, in this study, the effects of main tunnels excavations on each other and the effects of connection tunnels excavations on main tunnels were identified in terms of ground deformations. In order to simulate induced surface settlement due to groundwater withdrawal at the site 3-D fully coupled (fluidmechanical) numerical models were run using different time durations. The model studies revealed that deformations monitored at the ground surface are directly related with the tunnel construction practice. Pumping groundwater has very little or no effect on the measured deformations.

This work deals with discretizing viscous fluxes in the context of unstructured data based finite volume and meshless solvers, two competing methodologies for simulating viscous flows past complex industrial geometries. The two important requirements of a viscous discretization procedure are consistency and positivity. While consistency is a fundamental requirement, positivity is linked to the robustness of the solution methodology. The following advancements are made through this work within the finite volume and meshless frameworks. Finite Volume Method: Several viscous discretization procedures available in the literature are reviewed for: 1. ability to handle general grid elements 2. efficiency, particularly for 3D computations 3. consistency 4. positivity as applied to a model equation 5. global error behavior as applied to a model equation. While some of the popular procedures result in inconsistent formulation, the consistent procedures are observed to be computationally expensive and also have problems associated with robustness. From a systematic global error study, we have observed that even a formally inconsistent scheme exhibits consistency in terms of global error i.e., the global error decreases with grid refinement. This observation is important and also encouraging from the view point of devising a suitable discretization scheme for viscous fluxes. This study suggests that, one can relax the consistency requirement in order to gain in terms of robustness and computational cost, two key ingredients for any industrial flow solver. Some of the procedures are analysed for positivity as applied to a Laplacian and it is found that the two requirements of a viscous discretization procedure, consistency(accuracy) and positivity are essentially conflicting. Based on the review, four representative schemes are selected and used in HIFUN-2D(High resolution Flow Solver on UNstructured Meshes), an unstructured data based cell center finite volume flow solver, to simulate standard laminar and turbulent flow test cases. From the analysis, we can advocate the use of Green Gauss theorem based diamond path procedure which can render high level of robustness to the flow solver for industrial computations. Meshless Method: An Upwind-Least Squares Finite Difference(LSFD-U) meshless solver is developed for simulating viscous flows. Different viscous discretization procedures are proposed and analysed for positivity and the procedure which is found to be more positive is employed. Obtaining suitable point distribution, particularly for viscous flow computations happens to be one of the important components for the success of the meshless solvers. In principle, the meshless solvers can operate on any point distribution obtained using structured, unstructured and Cartesian meshes. But, the Cartesian meshing happens to be the most natural candidate for obtaining the point distribution. Therefore, the performance of LSFD-U for simulating viscous flows using point distribution obtained from Cartesian like grids is evaluated. While we have successfully computed laminar viscous flows, there are difficulties in terms of solving turbulent flows. In this context, we have evolved a strategy to generate suitable point distribution for simulating turbulent flows using meshless solver. The strategy involves a hybrid Cartesian point distribution wherein the region of boundary layer is filled with high aspect ratio body-fitted structured mesh and the potential flow region with unit aspect ratio Cartesian mesh. The main advantage of our solver is in terms of handling the structured and Cartesian grid interface. The interface algorithm is considerably simplified compared to the hybrid Cartesian mesh based finite volume methodology by exploiting the advantage accrue out of the use of meshless solver. Cheap, simple and robust discretization procedures are evolved for both inviscid and viscous fluxes, exploiting the basic features exhibited by the hybrid point distribution. These procedures are also subjected to positivity analysis and a systematic global error study. It should be remarked that the viscous discretization procedure employed in structured grid block is positive and in fact, this feature imparts the required robustness to the solver for computing turbulent flows. We have demonstrated the capability of the meshless solver LSFDU to solve turbulent flow past complex aerodynamic configurations by solving flow past a multi element airfoil configuration. In our view, the success shown by this work in computing turbulent flows can be considered as a landmark development in the area of meshless solvers and has great potential in industrial applications.

Our knowledge of elastic wave propagation in general heterogeneous media with complex geological structures comes principally from numerical simulations. In this dissertation, I demonstrate through rigorous theoretical analyses and comprehensive numerical experiments that the Fourier method is a suitable method of choice for large scale 3D seismic modeling and imaging problems, due to its high accuracy and computational efficiency. The most attractive feature of the Fourier method is its ability to produce highly accurate solutions on relatively coarser grids, compared with other numerical methods for solving wave equations. To further advance the Fourier method, I identify two aspects of the method to focus on in this work, i.e., its implementation on modern clusters of computers and efficient high-order time stepping schemes. I propose two new parallel algorithms to improve the efficiency of the Fourier method on distributed memory systems using MPI. The first algorithm employs non-blocking all-to-all communications to optimize the conventional parallel Fourier modeling workflows by overlapping communication with computation. With a carefully designed communication-computation overlapping mechanism, a large amount of communication overhead can be concealed when implementing different kinds of wave equations. The second algorithm combines the advantages of both the Fourier method and the finite difference method by using convolutional high-order finite difference operators to evaluate the spatial derivatives in the decomposed direction. The high-order convolutional finite difference method guarantees a satisfactory accuracy and provides the flexibility of using non-blocking point-to-point communications for efficient interprocessor data exchange and the possibility of overlapping communication and computation. As a result, this hybrid method achieves an optimized balance between numerical accuracy and computational efficiency. To improve the overall accuracy of time domain Fourier simulations, I propose a family of new high-order time stepping schemes, based on a novel algorithm for designing time integration operators, to reduce temporal derivative discretization errors in a cost-effective fashion. I explore the pseudo-analytical method and propose high-order formulations to further improve its accuracy and ability to deal with spatial heterogeneities. I also extend the pseudo-analytical method to solve the variable-density acoustic and elastic wave equations. I thoroughly examine the finite difference method by conducting complete numerical dispersion and stability analyses. I comprehensively compare the finite difference method with the Fourier method and provide a series of detailed benchmarking tests of these two methods under a number of different simulation configurations. The Fourier method outperforms the finite difference method, in terms of both accuracy and efficiency, for both the theoretical studies and the numerical experiments, which provides solid evidence that the Fourier method is a superior scheme for large scale seismic modeling and imaging problems. / text

During this thesis, it has been proved that the electrical conductivity of multilayered and electrically anisotropic carbon fiber materials can be expressed by an equivalent second order tensor, which is equal to sum of each layer’s electrical conductivity tensor. The aforementioned equivalent electrical conductivity tensor is valid assuming that the material’s thickness is negligible compared to the other dimensions of the body. The mathematical expression for the prediction of the electrical conductivity of a multilayered material for any stacking sequence, is based on the electric current conservation, and was validated using different methods. Each layer’s electrical conductivity was experimentally studied at the two principal directions. Transverse to the fibers’ direction, an empirical model was developed for the prediction of the electrical conductivity as a function of the layer’s thickness, of the fibre volume fraction and of temperature. All cases involved the study of multidirectional and unidirectional carbon fiber materials without the presence of matrix (porous form – CF preform) as well as in the presence of polymeric matrix (CFRP). The validation of the equivalent tensor was achieved through three different ways: a) through the measurement of the electric resistance, for various stacking sequences, b) through the Joule heating effect, by recording and comparing the developing temperature field to the respective numerically calculated, c) through 3D numerical models which approximate the analytical solution of the 2D domain problem. Moreover using the finite difference method, certain electrothermal models were developed in order to study the temperature field for different stacking sequences. The electrical problem can be expressed by an elliptic PDE, for the case where the material is electrically anisotropic and homogeneous, or non-homogeneous. On the other hand, the transient heat transfer problem involves the case where the material is thermally anisotropic and homogeneous. Using the equivalent tensor, the 3D domain problem is simplified to a 2D domain problem resulting in less computational requirements for the solution of the problem. The present research study could be used in a plethora of application, such as the development of carbon fibre reinforced heating elements (direct heating CFRP molds) as well as damage detection in multidirectional composite materials with electrical conductive reinforcement. / Κατά τη διάρκεια της παρούσας διδακτορική διατριβής, αποδείχθηκε ότι η ηλεκτρική αγωγιμότητα των πολύστρωτων και ηλεκτρικά ανισότροπων υλικών με ίνες άνθρακα, μπορεί να εκφραστεί από έναν ισοδύναμο τανυστή δεύτερης τάξης, ο οποίος είναι το άθροισμα των τανυστών κάθε στρώσης. Ο ισοδύναμος τανυστής ισχύει υποθέτοντας ότι το πάχος συγκριτικά με τις υπόλοιπες διαστάσεις του υλικού είναι πολύ μικρό. Η μαθηματική έκφραση με την οποία μπορεί να προβλεφθεί η ηλεκτρική αγωγιμότητα ενός πολύστρωτου υλικού για οποιαδήποτε αλληλουχία στρώσεων αποδείχτηκε με συστηματικό τρόπο και βασίζεται στην αρχή διατήρησης του ηλεκτρικού φορτίου. Η ηλεκτρική αγωγιμότητα κάθε στρώσης μελετήθηκε πειραματικά στις δύο κύριες διευθύνσεις. Κάθετα στη διεύθυνση των ινών αναπτύχθηκε ένα εμπειρικό μοντέλο πρόβλεψης της ηλεκτρικής αγωγιμότητας συναρτήσει του πάχους της στρώσης, της περιεκτικότητας σε ίνες άνθρακα και της θερμοκρασίας. Σε όλες τις περιπτώσεις μελετήθηκαν πολύστρωτα υλικά ινών άνθρακα χωρίς μήτρα (πορώδης μορφή-CF preforms) και με πολυμερική μήτρα (CFRPs). Η επιβεβαίωση της εγκυρότητας του ισοδύναμου τανυστή έγινε με τρεις διαφορετικούς τρόπους: α) μέσω μετρήσεων της ηλεκτρικής αντίστασης, για διαφορετικές αλληλουχίες στρώσεων, β) μέσω του φαινομένου Joule, καταγράφοντας και συγκρίνοντας το αναπτυσσόμενο θερμοκρασιακό πεδίο με το θερμοκρασιακό πεδίο που υπολογίζεται αριθμητικά, γ) μέσω τρισδιάστατων αριθμητικών μοντέλων όπου τείνουν στην αναλυτική λύση του δισδιάστατου προβλήματος. Στη συνέχεια αναπτύχτηκαν ηλεκτροθερμικά μοντέλα με τη μέθοδο των πεπερασμένων διαφορών με σκοπό τη μελέτη του θερμοκρασιακού πεδίου για διαφορετικές αλληλουχίες στρώσεων. Το ηλεκτρικό πρόβλημα εκφράζεται από μία ελλειπτική διαφορική εξίσωση όπου το υλικό είναι ηλεκτρικά ανισότροπο και ομογενές ή μη ομογενές ενώ το θερμικό πρόβλημα είναι θερμικά ανισότροπο και ομογενές. Χρησιμοποιώντας τον ισοδύναμο τανυστή το τρισδιάστατο πρόβλημα μετατρέπεται σε ένα δισδιάστατο πρόβλημα με αποτέλεσμα να απαιτούνται λιγότεροι πόροι για την επίλυση του προβλήματος. Η συγκεκριμένη εργασία μπορεί να χρησιμοποιηθεί σε μία πληθώρα εφαρμογών όπως στην ανάπτυξη και στη λειτουργία θερμαινόμενων στοιχείων ενισχυμένων με ίνες άνθρακα (καλούπια όπου το θερμαντικό στοιχείο το αποτελούν οι ίνες άνθρακα) αλλά και στην ανίχνευση βλάβης συνθέτων υλικών με αγώγιμη ενίσχυση.

[pt] O estudo de controle de poço é fundamental para determinar as principais variáveis envolvidas nas operações de perfuração e construção de um poço. A análise dessas operações visa estabelecer parâmetros importantes que devem ser acompanhados, a fim de evitar um influxo de fluidos da formação para o poço (kick). Para que as operações de perfuração sejam sempre seguras, é necessário que a pressão hidrostática no fundo do poço seja superior a pressão de poros da formação. Este trabalho apresenta uma modelagem matemática, desenvolvida para simular um kick de água e óleo da formação que adentra um poço terrestre vertical e, assim, prever o comportamento da pressão dentro da coluna de produção e no espaço anular durante uma situação de controle de poço. A operação de controle é composta pelo influxo do kick, fechamento do poço e expulsão do fluido invasor. O caso de kick de gás não foi abordado devido à sua complexidade. O modelo estudado foi simulado no Visual Basic do Excel com emprego de uma formulação do método das características com diferenças finitas. Foram implementadas considerações sobre o efeito da geometria do poço, perdas de carga por fricção, expansão do influxo e modelo de escoamento bifásico. / [en] The study of well control is critical to determine the main variables involved in well drilling and construction operations. The analysis of these operations aims to establish important parameters that must be followed in order to avoid an influx of fluids from the formation into the well (kick). In order to guarantee safety during drilling operations, the hydrostatic pressure at the bottom of the well must be greater than the formation pore pressure. This work presents a mathematical modeling, developed to simulate a water and oil kick from the formation that enters a vertical onshore well and, thus, predict the pressure behavior inside the production string and the annular space during a well control situation. The control operation is composed of the kick inflow, well closure and expulsion of the invading fluid. The gas kick case was not assessed because of its complexity. The studied model has been simulated in Visual Basics, in Excel, using the characteristics method with finite difference formulation. Considerations were taken about the effect of well geometry, friction loss, influx expansion and two phase flow model.