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1	Comparative analysis of the SVJJ and the Hyperbolic models on the Swedish market Anisimova, Ekaterina, Lapinski, Tomasz January 2008 (has links) <p>In this thesis we investigate and compare two recently developed models of the option valuation according to the Swedish market. The first model is the Stochastic Volatility model with jumps in the stock price and the volatility (SVJJ) and the second is the Hyperbolic model. First of all we make brief introduction about the valuation of derivatives and considered models. Then we introduce methods for the estimation of parameters for each model. To solve this problem for the SVJJ model we use the Empirical Characteristic Function Estimation and for the Hyperbolic we use the Maximum Likelihood Method. Before explicit calculations (with estimated parameters) we describe the derivation of the pricing formula which is based on characteristic functions and densities. In conclusion we made numerical valuations of the call option prices for the OMXS30 index on the Swedish Stock Exchange. The main idea of this thesis is to compare 2 different models using numerical methods and the real data sets. To achieve this goal we firstly, compare the empirical characteristic function obtained from the market and the analytical ones for estimated parameters in case of both models. Secondly, we make a comparison of calculated call option prices and produce the summary.</p> SVJJ model hyperbolic model
2	Comparative analysis of the SVJJ and the Hyperbolic models on the Swedish market Anisimova, Ekaterina, Lapinski, Tomasz January 2008 (has links) In this thesis we investigate and compare two recently developed models of the option valuation according to the Swedish market. The first model is the Stochastic Volatility model with jumps in the stock price and the volatility (SVJJ) and the second is the Hyperbolic model. First of all we make brief introduction about the valuation of derivatives and considered models. Then we introduce methods for the estimation of parameters for each model. To solve this problem for the SVJJ model we use the Empirical Characteristic Function Estimation and for the Hyperbolic we use the Maximum Likelihood Method. Before explicit calculations (with estimated parameters) we describe the derivation of the pricing formula which is based on characteristic functions and densities. In conclusion we made numerical valuations of the call option prices for the OMXS30 index on the Swedish Stock Exchange. The main idea of this thesis is to compare 2 different models using numerical methods and the real data sets. To achieve this goal we firstly, compare the empirical characteristic function obtained from the market and the analytical ones for estimated parameters in case of both models. Secondly, we make a comparison of calculated call option prices and produce the summary. SVJJ model hyperbolic model
3	Experimental and numerical analysis of a pipe arch culvert subjected to exceptional live load Chelliah, Devarajan January 1992 (has links) No description available. Engineering, Civil experimental and numerical analysis pipe arch culvert exceptional live load Duncan's hyperbolic model vertical deflection
4	Practical approach to predict the shear strength of fibre-reinforced clay Mirzababaei, M., Mohamed, Mostafa H.A., Arulrajah, A., Horpibulsuk, S., Anggraini, V. 22 September 2017 (has links) yes / Carpet waste fibres have a higher volume to weight ratios and once discarded into landfills, these fibres occupy a larger volume than other materials of similar weight. This research evaluates the efficiency of two types of carpet waste fibre as sustainable soil reinforcing materials to improve the shear strength of clay. A series of consolidated undrained (CU) triaxial compression tests were carried out to study the shear strength of reinforced clays with 1%, to 5% carpet waste fibres. The results indicated that carpet waste fibres improve the effective shear stress ratio and deviator stress of the host soil significantly. Addition of 1%, 3% and 5% carpet fibres could improve the effective stress ratio of the unreinforced soil by 17.6%, 53.5% and 70.6%, respectively at an initial effective consolidation stress of 200 kPa. In this study, a nonlinear regression model was developed based on a modified form of the hyperbolic model to predict the relationship between effective shear stress ratio, deviator stress and axial strain of fibre-reinforced soil samples with various fibre contents when subjected to various initial effective consolidation stresses. The proposed model was validated using the published experimental data, with predictions using this model found to be in excellent agreement.
5	Comparative Studies On Slope Stability Analysis Bijoy, A C 05 1900 (has links) (PDF) No description available. Slopes (Soil Mechanics) - Stability Embarkments Slopes (Soil Mechanics) - Deformation Slope Stability Analysis Duncan's Hyperbolic Model Mohr-Coloumb Model Structural Engineering
6	Análise do efeito do comportamento não linear dos solos em radier estaqueado / Analysis of effect of behavioral nonlinear soil in piled raft Sousa, Mauro Alexandre Paula de 26 September 2014 (has links) Submitted by Erika Demachki (erikademachki@gmail.com) on 2015-04-24T18:19:07Z No. of bitstreams: 2 Dissertação - Mauro Alexandre Paula de Sousa - 2014.pdf: 7399985 bytes, checksum: b0bdd649a43901b5d6a2830d1ba7eed8 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Approved for entry into archive by Erika Demachki (erikademachki@gmail.com) on 2015-04-24T18:22:57Z (GMT) No. of bitstreams: 2 Dissertação - Mauro Alexandre Paula de Sousa - 2014.pdf: 7399985 bytes, checksum: b0bdd649a43901b5d6a2830d1ba7eed8 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Made available in DSpace on 2015-04-24T18:22:57Z (GMT). No. of bitstreams: 2 Dissertação - Mauro Alexandre Paula de Sousa - 2014.pdf: 7399985 bytes, checksum: b0bdd649a43901b5d6a2830d1ba7eed8 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Previous issue date: 2014-09-26 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / With the increasing development of large urban centers in the country, the buildings are presenting more audacious forms in respect to the architectural project. The buildings got taller and as a result, the loads imposed to the foundations have also become larger. Knowing this, the concept of piled raft foundations began to be usually employed in many projects. These type of foundations assume that a load portion is supported by the surface layer that is in direct contact with the raft. The piled raft may contain a large number of piles, and some of them bearing high loads and resulting in a pronounced non-linear behavior. Aiming to describe the stress-strain behavior more accurately, a form of nonlinear analysis was implemented in FENF program (Ferramenta Numérica para Análise de Fundações). It is a specific finite element program for 3D foundation analysis of piled rafts. The program was developed at UFG using the language “C” and differs from the others programs by providing a more direct way to access the efforts that the foundation elements are submitted. The dissertation aims to do a literature review of linear and non-linear behavior of foundations and make the implementation of a hyperbolic model for modeling soil behavior. After verifying some literature cases, three different piled rafts (2x2, 4x4 and 6x6) were analyzed considering linear and non-linear soil behavior. The settlement, pile load distribution and internal efforts were compared, discussing the importance of taking into account the non-linear soil behavior. / Com o crescente desenvolvimento dos grandes centros urbanos no país, as edificações passaram a apresentar formas mais arrojadas no que diz respeito à parte arquitetônica, os edifícios ficaram mais altos e como consequência disso as cargas impostas às fundações também passaram a ser maiores. Sabendo disso, o conceito de fundações mistas passou a ser empregado na realização dos projetos. Esses tipos de fundações partem do princípio de que uma parcela do carregamento é absorvida pela camada mais superficial que está em contato direto com o bloco de coroamento ou sapata. Estas fundações mistas, também conhecidas como radier estaqueado, podem conter um número elevado de estacas e algumas delas suportarem carga elevada e com comportamento não linear pronunciado. Visando descrever o comportamento tensão-deformação de maneira mais precisa, foi implementado uma forma de análise não linear no programa FENF (Ferramenta Numérica para Análise de Fundações). Trata-se de um programa de elementos finitos especifico para analise em 3D de fundações estaqueadas e não estaqueadas. O programa foi desenvolvido na UFG em linguagem C e se diferencia dos demais por fornecer de maneira mais direta os esforços nos quais os elementos de fundações estão submetidos. A dissertação tem como objetivo fazer uma revisão bibliográfica do comportamento linear e não linear de fundações e fazer a implementação de um modelo hiperbólico para a modelagem do solo. Após a verificação da literatura, três radiers diferentes (2x2, 4x4 e 6x6), eles foram analisados considerando o solo com comportamento linear e não linear. Os recalques, a distribuição de carga e os esforços internos são comparados, discute-se a importância do comportamento não linear do solo. Radier estaqueado Análise numérica Método dos Elementos Finitos Modelo hiperbólico Projeto de fundações Piled Raft Numerical analysis Finite Element Method Hyperbolic model Foundation projects ENGENHARIA CIVIL::GEOTECNICA
7	Modélisation et estimation des paramètres liés au succès reproducteur d'un ravageur de la vigne (Lobesia botrana DEN. & SCHIFF.) / Modeling and parameter estimation retated to the reproductive success of the european grapevinemoth (Lobesia botrana DEN. & SCHIFF.) Picart, Delphine 12 February 2009 (has links) L'objectif de ce travail de thèse est de développer un modèle mathématique pour l'étude et la compréhension de la dynamique des populations d'un insecte ravageur, l'Eudémis de la vigne (Lobesia botrana Den. & Schiff.), dans son écosystème. Le modèle proposé est un système d'équations aux dérivées partielles de type hyperbolique qui décrit les variations numériques au cours du temps de la population en fonction des stades de développement, du sexe des individus et des conditions environnementales. La ressource alimentaire, la température, l'humidité et la prédation sont les principaux facteurs environnementaux du modèle expliquant les fluctuations du nombre d'individus au cours du temps. Les différences de développement qui existent dans une cohorte d'Eudémis sont aussi modélisées pour affiner les prédictions du modèle. A partir de données expérimentales obtenues par les entomologistes de l'INRA, situé à Bordeaux, les paramètres du modèle sont estimés. Ce modèle ainsi ajusté nous permet alors d’étudier quelques aspects biologiques et écologiques de l’insecte comme par exemple l'impact de scénarios climatiques sur la ponte des femelles ou sur la dynamique d’attaque de la vigne par les jeunes larves. Les analyses mathématique et numérique du modèle mathématique et des problèmes d'estimation des paramètres sont développées dans cette thèse. / The objective of the thesis is to develop a mathematical model for studying the population dynamics of the European grapevine moth (Lobesia botrana Den. & Schiff.) in its ecosystem. The model proposed is a system of hyperbolic equations that describe the numerical variations in time of the population with respect to developmental stage, the gender and the environmental conditions. The food, the temperature, the humidity and the predation are the main environmental factors of the model that explain the fluctuations of the population in time. The differences in growth inside a cohort are modeled in order to precise the model simulations. We use experimental data obtained by entomologists of the National Research Institut of Agronomy to estimate the parameters of the model. This ajusted model allows us to study some biological and ecological aspects of this pest like for example the impact of climate change on the female laying or on the young larvae dynamic, main actors in the depredation of the Vine. The mathematical analysis and the numerical analysis of the mathematical model and of the parameters estimation problems are presented in this thesis. Population structurée en âge et stade Dynamique des populations Système d'équations hyperboliques Estimation des paramètres Quasi-Newton Optimisation Contrôle optimal Modélisation Population dynamics Partial differential equations Hyperbolic model Parameter estimation problem Quasi-Newton method Optimisation Optimal control
8	Modélisation et simulation d'écoulements transitoires diphasiques eau-air dans les circuits hydrauliques / Modelling and simulation of transient air-water two-phase flows in hydraulic pipes Demay, Charles 15 November 2017 (has links) Ce travail est consacré à la modélisation mathématique et numérique des écoulements eau-air en conduite qui interviennent notamment dans les centrales de production d’électricité ou les réseaux d’eaux usées. On s’intéresse particulièrement aux écoulements mixtes caractérisés par la présence de régimes stratifiés pilotés par des ondes gravitaires lentes, de régimes en charge ou secs (conduite remplie d’eau ou d’air) pilotés par des ondes acoustiques rapides, et de poches d’air piégées. Une modélisation précise de ces écoulements est nécessaire afin de garantir le bon fonctionnement du circuit hydraulique sous-jacent. Alors que la plupart des modèles disponibles dans la littérature se concentrent sur la phase eau en négligeant la présence de l’air, un modèle bicouche compressible prenant en compte les interactions eau-air est proposé dans cette thèse. Sa construction réside dans l’intégration des équations d’Euler barotropes sur la hauteur de chaque phase et dans l’application de la contrainte hydrostatique sur le gradient de pression de l’eau. Le modèle obtenu est hyperbolique et satisfait une inégalité d’entropie en plus d’autres propriétés mathématiques notables, telles que l’unicité des relations de saut ou la positivité des hauteurs et densités de chaque phase. Au niveau discret, la simulation d’écoulements mixtes avec le modèle bicouche compressible soulève plusieurs défis en raison de la disparité des vitesses d’ondes caractérisant chaque régime, des processus de relaxation rapide sous-jacents, et de la disparition de l’une des phases dans les régimes en charge ou sec. Une méthode à pas fractionnaires implicite-explicite est alors développée en s’appuyant sur la relaxation rapide en pression et sur le mimétisme avec les équations de Saint-Venant pour la dynamique lente de la phase eau. En particulier, une approche par relaxation permet d’obtenir une stabilisation du schéma en fonction du régime d’écoulement. Plusieurs cas tests sont traités et démontrent la capacité du modèle proposé à gérer des écoulements mixtes incluant la présence de poches d’air piégées. / The present work is dedicated to the mathematical and numerical modelling of transient air-water flows in pipes which occur in piping systems of several industrial areas such as nuclear or hydroelectric power plants or sewage pipelines. It deals more specifically with the so-called mixed flows which involve stratified regimes driven by slow gravity waves, pressurized or dry regimes (pipe full of water or air) driven by fast acoustic waves and entrapped air pockets. An accurate modelling of these flows is necessary to guarantee the operability of the related hydraulic system. While most of available models in the literature focus on the water phase neglecting the air phase, a compressible two-layer model which accounts for air-water interactions is proposed herein. The derivation process relies on a depth averaging of the isentropic Euler set of equations for both phases where the hydrostatic constraint is applied on the water pressure gradient. The resulting system is hyperbolic and satisfies an entropy inequality in addition to other significant mathematical properties, including the uniqueness of jump conditions and the positivity of heights and densities for each layer. Regarding the discrete level, the simulation of mixed flows with the compressible two-layer model raises key challenges due to the discrepancy of wave speeds characterizing each regime combined with the fast underlying relaxation processes and with phase vanishing when the flow becomes pressurized or dry. Thus, an implicit-explicit fractional step method is derived. It relies on the fast pressure relaxation in addition to a mimetic approach with the shallow water equations for the slow dynamics of the water phase. In particular, a relaxation method provides stabilization terms activated according to the flow regime. Several test cases are performed and attest the ability of the compressible two-layer model to deal with mixed flows in pipes involving air pocket entrapment. Modèle bicouche Modèle hyperbolique Ecoulement eau-Air Ecoulement mixte Poche d'air piégée Schéma implicite-Explicite Two-Layer model Hyperbolic model Air-Water flow Mixed flow Entrapped air pocket Implicit-Explicit scheme 510
9	Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement El-Khatib, Mayar January 2010 (has links) While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond. highway development decision making under uncertainty real options jump processes infinitely divisible distributions Lévy processes measure theory characteristic function characteristic exponent Lévy jump measure probability measure cádlág stochastic process Wiener process Poisson process compound Poisson process finite activity models jump diffusion models Merton model Gaussian jump process Kou model double exponential jump process leptokurtic volatility smile infinite activity models pure jumps process generalized hyperbolic model modified Bessel function negative inverse Gaussian model geometric Brownian motion model log-normal distribution model normality assumption heavy-tailed distribution asymmetric distribution quantile-quantile plot Rydberg algorithm parameter calibration moments cummulants sum of squares Monte Carlo simulation least-squares regression backward dynamic programming discrete-time Markov chain land price traffic demand highway service quality index data collection traffic volume Annual Average Daily Traffic Ontario Ministry of Transportation Land Registry Office Freedom of Information Act seasonality value of transportation types of transportation systems importance of highway systems cost of wrong decisions monetary cost private sector cost human cost land expropriation environmental cost irreversibility cost factor time cost factor political cost factor opportunity cost opportunity cost of wrong decisions economic cost of wrong decisions economic cost of mis-estimation economic profit of wrong decisions cost of inaction price of making right decisions scope of decisions rehabilitation decision land acquisition decision expansion decision uncertainty modeling land acquisition cost expropriation cost construction cost material cost Montréal-Mirabel International Airport Pickering Airport 407 Express Toll Route Highway 407 Statistics
10	Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement El-Khatib, Mayar January 2010 (has links) While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond. highway development decision making under uncertainty real options jump processes infinitely divisible distributions Lévy processes measure theory characteristic function characteristic exponent Lévy jump measure probability measure cádlág stochastic process Wiener process Poisson process compound Poisson process finite activity models jump diffusion models Merton model Gaussian jump process Kou model double exponential jump process leptokurtic volatility smile infinite activity models pure jumps process generalized hyperbolic model modified Bessel function negative inverse Gaussian model geometric Brownian motion model log-normal distribution model normality assumption heavy-tailed distribution asymmetric distribution quantile-quantile plot Rydberg algorithm parameter calibration moments cummulants sum of squares Monte Carlo simulation least-squares regression backward dynamic programming discrete-time Markov chain land price traffic demand highway service quality index data collection traffic volume Annual Average Daily Traffic Ontario Ministry of Transportation Land Registry Office Freedom of Information Act seasonality value of transportation types of transportation systems importance of highway systems cost of wrong decisions monetary cost private sector cost human cost land expropriation environmental cost irreversibility cost factor time cost factor political cost factor opportunity cost opportunity cost of wrong decisions economic cost of wrong decisions economic cost of mis-estimation economic profit of wrong decisions cost of inaction price of making right decisions scope of decisions rehabilitation decision land acquisition decision expansion decision uncertainty modeling land acquisition cost expropriation cost construction cost material cost Montréal-Mirabel International Airport Pickering Airport 407 Express Toll Route Highway 407 Statistics

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