Cette thèse porte sur la valorisation et les stratégies financières de couverture des risques dans les marchés de l'énergie. Ces marchés présentent des particularités qui les distinguent des marchés financiers standards, notamment l'illiquidité et l'incomplétude. L'illiquidité se reflète par des coûts de transactions importants et des contraintes sur les volumes échangés. L'incomplétude est l'incapacité de pouvoir répliquer parfaitement des produits dérivés. Nous nous intéressons à différents aspects de l'incomplétude de marché. La première partie porte sur la valorisation dans les modèles de Lévy. Nous obtenons une formule approximative du prix d'indifférence et nous mesurons la prime minimale à apporter par rapport au modèle de Black-Scholes. La deuxième partie concerne la valorisation d'options spread en présence de corrélation stochastique. Les options spread portent sur la différence de prix entre deux sous-jacents -- par exemple gaz et électricité -- et sont très utilisées sur les marchés de l'énergie. Nous proposons une procédure numérique efficace pour calculer le prix de ces options. Enfin, la troisième partie traite de la valorisation d'un produit comportant un risque exogène dont il existe des prévisions. Nous proposons une stratégie dynamique optimale en présence de risque de volume, et l'appliquons à la valorisation des fermes éoliennes. De plus, une partie est consacrée aux stratégies optimales asymptotiques en présence de coûts de transactions. / This thesis tackles three issues on pricing and hedging in energy markets. Energy markets differ from financial markets mainly in two ways: illiquidity and incompletness. Illiquidity (or lack of liquidity) translates into transaction costs and volume constraints. Incompletness means incapacity to perfectly hedge derivatives. We study different aspects of incomplete markets. First, we focus on indifference pricing in exponential Lévy models. We obtained an approximate formula by considering a Lévy process as a perturbed Brownian motion. That way we obtain the minimal correction from Black-Scholes price. Second, we present a numerical procedure to price spread options when underlyings are stochastically correlated. These options are very popular in energy markets, underlyings being for instance gas and electricity. Third, we derive optimal strategies using exogeneous factors forecasts. We exhibit an explicit pricing formula and an optimal strategy handling volume risk and apply it to wind farms valuation. Finally, a short review of optimal strategies taking into account transaction costs is made

In First-Person shooter video games, spread is a mechanic that adds a random artificial inaccuracy to the player’s shots. Movement-amplified spread is a particular implementation of spread which amplifies the inaccuracy based on the speed the player is moving at. As a consequence, players that are moving are unable to fire accurate shots, whereas players standing still remain accurate. The purpose of this thesis is to study the effects of movement-amplified spread of different intensities on gameplay dynamics. To this end, we created a First-Person shooter target practice course for testers to complete 15 times. For every third completion we made movement-amplified spread more intense. The results showed that as movement-amplified spread increased, testers were more prone to halt before shooting, firing more shots and engaging with targets at a somewhat shorter distance. / I förstapersonsskjutare, även kallat FPS, är spread en spelmekanik som applicerar enslumpmässig inexakthet till spelarens precision när de skjuter. Movement-amplified spread ären specifik implementering av spread som amplifierar inexaktheten baserat på spelarens rörelse och hastighet. Som en konsekvens av detta så har spelare som rör på sig svårt att samtidigt vara träffsäkra, medan spelare som står still förblir precisa. Syftet med denna uppsats är att studera hur effekterna av en ökande movement-amplified spread påverkar spelkänsla och dynamik i spel. För detta har vi byggt en FPS hinderbana med stationära mål som testare har fått springa igenom 15 gånger. För vart tredje genomförande har vi ökat intensiteten av movement-amplified spread. Resultaten visar att när movement-amplified spread ökade, så var testarna mer benägna att stanna före de avlossade skott, de sköt mer eller så sprang de närmare för att bekämpa måltavlorna på ett kortare avstånd.

[pt] Este trabalho investiga empiricamente como as taxas de negociação no mercado secundário de debêntures se correlacionam com mudanças na atividade econômica do país. A base de dados analisada se refere a debêntures com remuneração indexada a CDI (mais) spread de janeiro de 2010 até dezembro de 2019. Para isso, criou-se um Índice de Spread de Crédito, visando ser um indicador da atividade econômica. Em um segundo passo, o Índice é decomposto em um componente que captura a expectativa de default das companhias, observando seus dados dos balanços financeiros, e um componente residual – o Excess Bond Premium. Em linha com a literatura, o estudo sugere que um aumento do Excess Bond Premium evidencia uma redução na oferta de crédito, assim como uma alta nas taxas das debêntures, o que, segundo a teoria estudada, leva a uma desaceleração na atividade econômica. O estudo sugere que um aumento de 100 basis points no Excess Bond Premium leva a uma retração de aproximadamente 4,2 por cento na taxa de crescimento do PIB. / [en] This paper empirically investigates how trading rates in the secondary corporate bond s market correlate with changes in the country s economic activity. The database consists of corporate bonds with floating rates tied to CDI (plus) spread from January 2010 to December 2019. For this purpose, a Credit Spread Index was created, aiming to be an indicator of economic activity. The second step was to decompose the Index into a component that captures companies default expectations, observing their financial statement data, and a residual component – the Excess Bond Premium. In line with references, the paper suggests that an increase in Excess Bond Premium, generates a reduction in the supply of credit, as well as an increase in the rates of corporate bonds, which, according to the theory studied, leads to a slowdown in economic activity. The study suggests that an increase of 100 basis points in the Excess Bond Premium leads to a drop of 4.2 percent in GDP growth rate.

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[pt] O objetivo deste trabalho é avaliar o investimento em uma refinaria de petróleo no Brasil, país importador de derivados de petróleo, através da Teoria de Opções Reais, abordagem de grande valor prático e acadêmico, que realiza uma valoração mais justa da refinaria, ao incluir a modelagem das incertezas e incorporar flexibilidades gerenciais, negligenciadas pela análise tradicional. As incertezas, modeladas através de processos estocásticos, são o câmbio e o crack spread, adaptando-se o crack spread para o refino brasileiro. São avaliadas as opções de postergação, de parada temporária e sua interação. É apresentada a melhor decisão para o investimento remanescente no projeto e como ela seria alterada se o projeto ainda fosse ser iniciado. Para o investimento remanescente, a melhor decisão é postergar o projeto se a opção for perpétua e investir imediatamente se expirar em até 5 anos. Sensibilidades alterando volatilidade e taxa de conveniência apresentam recomendações diferentes, reduzindo a robustez dos resultados. Quando se considera o valor completo do investimento, a postergação é recomendada em todos os cenários analisados. A opção de parada temporária aumenta o valor da refinaria e reduz o valor da opção de postergação. O modelo desenvolvido permitiu aperfeiçoar a análise de investimento da refinaria em questão e pode ser replicado para análise de investimento em outras refinarias pertencentes à mesma empresa ou a outras. Para trabalhos futuros, recomenda-se calcular a opção de troca input–output, aperfeiçoar a modelagem do crack spread e incorporar o preço do gás como incerteza. / [en] The main objective of this study is to provide an investment analysis of a crude oil refinery in Brazil, an oil products importer country, under the real option theory, an approach with great academic and practical use, allowing a fairer refinery valuation by modeling uncertainty and including managerial flexibility, neglected in traditional analysis. The uncertainties considered, described by stochastic process, are the exchange rate and the crack spread, adapting the crack spread to the Brazilian refining. The options to defer, to shut down and their interaction are analyzed. It is shown the best decision considering the remaining investment and how this decision would be changed if the project hadn t been started. Considering the remaining investment, the best decision is to defer the investment if it is an infinitely-lived option and invest immediately if the right to invest expires upon 5 years. The influence of volatility e convenience yield was also taken into account and shows different recommendations, reducing the results robustness. When the full investment is analyzed, postponement is recommended in all analyzed scenarios. The shutdown option increases the refinery value and reduces the option to defer value. The developed model allowed an improvement in the investment analysis of this refinery and can be replicated to other refineries investment analysis, owned by the same company or not. For further works, we propose to include the switch input-output option, improve the crack spread modeling and consider the gas price as uncertainty.

Master of Science / Department of Food Science / Delores Chambers / Research has shown that trans fat consumption increases the levels of low-density lipoprotein (LDL) and has a direct correlation to the incidence of heart disease. It is now widely believed that trans fat intake adversely affects the health of consumers. A Food and Drug Administration (FDA) ruling, effective January 1, 2006, required declaration of trans fat content on all Nutrition Facts labels of food products. Around the same time local governments, such as the city of New York, and some restaurants followed suit by eliminating trans fats from their menus. The food industry’s initial concern with trans fat elimination/reduction was the loss of some functionality such as shelf life, stability, and creaming ability with trans-free fats and oils. Researchers are working to develop new trans-free fats and oils that do not have negative sensory properties and maintain the functionality of traditionally hydrogenated oils when used in baked and fried goods. This is an overview of the chemistry, health risks, and research that has been performed to either reduce or eliminate trans fats in food products.

Master of Science / Department of Industrial & Manufacturing Systems Engineering / Todd W. Easton / Epidemics have been modeled mathematically as a way to safely understand them. For many of these mathematical models, the underlying assumptions they make provide excellent mathematical results, but are unrealistic for practical use. This research branches out from previous work by providing a model of the spread of infectious diseases and a model of quarantining this disease without the limiting assumptions of previous research. One of the main results of this thesis was the development of a core simulation that rapidly simulates the spread of an epidemic on a contact network. This simulation can be easily adapted to any disease through the adjustment of many parameters. This research provides the first definition for a quarantine cut and an ellipsoidal geographic network. This thesis uses the ellipsoidal geographic network to determine what is, and what is not, a feasible quarantine region. The quarantine cut is a new approach to partitioning quarantined and saved individuals in an optimized way. To achieve an optimal quarantine cut, an integer program was developed. Although this integer program runs in polynomial time, the preparation required to execute this algorithm is unrealistic in a disease outbreak scenario. To provide implementable results, a heuristic and some general theory are provided. In a study, the heuristic performed within 10% of the optimal quarantine cut, which shows that the theory developed in this thesis can be successfully used in a disease outbreak scenario.

Master of Science / Department of Architectural Engineering and Construction Science / Kimberly W. Kramer / Soils conditions vary throughout the United States and effect the behavior of the foundation system for building structures. The structural engineer needs to design a foundation system for a superstructure that is compatible with the soil conditions present at the site. Foundation systems can be classified as shallow and deep, and behave differently with different soils. Shallow foundation systems are typically used on sites with stiff soils, such as compacted sands or firm silts. Deep foundation systems are typically used on sites with soft soils, such as loose sands and expansive clays. A parametric study is performed within this report analyzing tilt-up concrete structures in Dallas, Texas, Denver, Colorado, and Kansas City, Missouri to determine the most economical tilt-up wall panel and foundation support system. These three locations represent a broad region within the Midwest of low-seismic activity, enabling the use of Ordinary Precast Wall Panels for the lateral force resisting system. Tilt-up wall panels are slender load-bearing walls constructed of reinforced concrete, cast on site, and lifted into their final position. Both a 32 ft (9.75 m) and 40 ft (12 m) tilt-up wall panel height are designed on three foundation systems: spread footings, continuous footings, and drilled piers. These two wall heights are typical for single-story or two-story structures and industrial warehouse projects. Spread footings and continuous footings are shallow foundation systems and drilled piers are a deep foundation system. Dallas and Denver both have vast presence of expansive soils while Kansas City has more abundant stiff soils. The analysis procedure used for the design of the tilt-up wall panels is the Alternative Design of Slender Walls in the American Concrete Institute standard ACI 318-05 Building Code and Commentary Section 14.8. Tilt-up wall panel design is typically controlled by lateral instability as a result from lateral loads combining with the axial loads to produce secondary moments. The provisions in the Alternative Design of Slender Walls consider progressive collapse of the wall panel from the increased deflection resulting from the secondary moments. Each tilt-up wall panel type studied is designed in each of the three locations on each foundation system type and the most economical section is recommended.

International Telemetering Conference Proceedings / October 20-23, 2003 / Riviera Hotel and Convention Center, Las Vegas, Nevada / In this paper, based on the parallel move equivalent sequence of m sequence ,one type of CDM telemetry system is issued. Also the method for anti multi-path interference(MPI) of the system is proposed and its performance is analyzed. We proved that this system not only holds the merits which are inherent in common spread-spectrum communication system, but also has better transmission efficiency.