• Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 3
  • 3
  • 2
  • 1
  • 1
  • 1
  • Tagged with
  • 10
  • 10
  • 3
  • 3
  • 3
  • 3
  • 3
  • 3
  • 3
  • 3
  • 3
  • 3
  • 3
  • 3
  • 3
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Importance des politiques de conservation pour faciliter l'ajustement des communautés d'oiseaux d'eau hivernants au réchauffement climatique en Méditerranée / Importance of the conservation policies for facilitate community adjustment to climate warming of the Mediterranean wintering waterbirds

Gaget, Élie 18 December 2018 (has links)
Les activités humaines menacent gravement la biodiversité. Sous le terme de changements globaux, la sur-exploitation des populations et la destruction/dégradation des habitats arrivent en tête de liste des facteurs responsables de l’érosion de la biodiversité. Le changement climatique gagne en magnitude et ajoute une pression supplémentaire sur les espèces. En réponse à l’augmentation des températures du globe, les communautés se réorganisent suite au déplacement de la distribution géographique des espèces vers les pôles. Mais l’accumulation des pressions anthropiques est susceptible de produire des effets d’interaction limitant l’ajustement des communautés au réchauffement climatique. Dans ce contexte critique, la biologie de la conservation a pour but de concilier les activités humaines avec la conservation de la biodiversité. Dans cette thèse j’ai cherché à comprendre comment l’accumulation des pressions anthropiques peut limiter l’ajustement des communautés au réchauffement climatique et à identifier les solutions qui pourraient être mises en place pour faciliter leur adaptation à ce réchauffement. J’ai pris pour modèle d’étude les espèces d’oiseaux d’eau hivernants dans les pays du bassin méditerranéen. Ces espèces emblématiques bénéficient d’un dénombrement international destiné à suivre leurs populations en réponse aux prélèvements par la chasse et à la dégradation des zones humides dont elles dépendent. La Méditerranée est une région fortement anthropisée où l’utilisation des ressources naturelles exerce d’importantes pressions sur les zones humides et leur biodiversité. En réponse, les pays ont différentes stratégies pour protéger ces écosystèmes, ce qui fait de cette région un plan expérimental intéressant pour mesurer l’impact dans changements globaux sur l’assemblage des espèces en fonction des mesures de conservation mises en oeuvre. En étudiant la réponse des communautés au réchauffement climatique sous un gradient de perte/dégradation d’habitat, je montre que l’ajustement des communautés est réduit, voire empêché, par la dégradation des zones humides. La Convention Ramsar vise justement à protéger les zones humides et leur biodiversité en maintenant une exploitation raisonnée des ressources naturelles. En évaluant l’effet de cette convention, je montre que son efficacité à conserver les populations d’oiseaux est dépendante de l’implémentation d’autres outils de protection, mais que son rôle est crucial dans les pays où la législation environnementale est faible. Enfin, j’évalue la capacité des conventions internationales à faciliter l’ajustement des communautés au réchauffement climatique grâce à la réduction des pressions qui s’exercent sur les populations. J’ai comparé la réponse des communautés entre les pays ayant ratifié la Convention de Berne, ceux ayant engagé son application strictement réglementaire sous la Directive Oiseaux (Union Européenne) et ceux n’ayant pas ratifié ces conventions. Le résultat est clair, plus la réglementation est précise et strictement réglementaire, plus les communautés et les espèces strictement protégées s’ajustent à l’augmentation des températures.En conclusion, les activités humaines sont une menace pour la biodiversité, mais les mesures de conservation, en réduisant les pressions sur les populations facilitent leur adaptation au changement climatique. La conservation des oiseaux d’eau nécessite une collaboration internationale et l’établissement de lois strictement réglementaires protégeant les zones humides et les espèces, tout en assurant une utilisation durable des ressources. / Human activities seriously threaten biodiversity. In terms of global changes, overexploitation of populations and habitat destruction/degradation are at the top of the list of factors responsible for biodiversity loss. Climate change is increasing in magnitude and adding additional pressure on species. In response to the increase in global temperatures, communities are changing as a result of the shift in the geographical distribution of species towards the poles. But the accumulation of anthropogenic pressures is likely to produce interaction effects that limit community adjustment to global warming. In this critical context, conservation biology aims to reconcile human activities with biodiversity conservation. In this thesis I have investigate how the accumulation of anthropogenic pressures can limit the adjustment of communities to global warming and to identify solutions that could be put in place to facilitate their adaptation to this warming. I have used the wintering waterbird species in the countries of the Mediterranean basin as a model for my study. These iconic species benefit from an international census to monitor their populations in response to hunting and the degradation of the wetlands on which they depend. The Mediterranean is a highly anthropized region where the use of natural resources exerts significant pressures on wetlands and their biodiversity. In response, countries have different strategies to protect these ecosystems, making this region an interesting experimental plan to measure the impact in global changes on species assemblage based on conservation measures implemented. By studying the response of communities to global warming under a gradient of habitat loss/degradation, I show that community adjustment is reduced or even prevented by wetland degradation. The Ramsar Convention aims to protect wetlands and their biodiversity by maintaining a rational use of natural resources. In assessing the effect of this convention, I show that its effectiveness in conserving bird populations depends on the implementation of other protection tools, but that its role is crucial in countries where environmental legislation is weak. Finally, I assess the capacity of international conventions to facilitate community adjustment to global warming by reducing population pressures. I compared the communities' response between countries that have ratified the Bern Convention, those that have started its strictly regulatory application under the Birds Directive (European Union) and those that have not ratified these conventions. The result is clear, the more precise and strictly regulatory the regulations, the more communities and strictly protected species adjust to the increase in temperatures.In conclusion, human activities are a threat to biodiversity, but conservation measures, by reducing pressures on populations, facilitate their adaptation to climate change. Waterbird conservation requires international collaboration and the establishment of strictly regulatory laws to protect wetlands and species, while ensuring sustainable use of resources.
2

Análise da sensação do conforto térmico nos verões do Rio Grande do Sul entre 2006 e 2014

Baldasso, Tais Bavaresco January 2016 (has links)
No verão do Rio Grande do Sul (RS) são frequentes os registros de temperatura do ar acima de 30°C por alguns dias consecutivos, o que gera um fenômeno denominado de ondas de calor que associadas à atuação da massa de ar tropical continental, afetam o conforto térmico e o bem-estar das pessoas. Essa constante troca de massas de ar ocasiona extremos de temperatura e interfere no conforto térmico. Os estudos sobre o conforto térmico usando dados horários no RS são raros, e, portanto, são desconhecidas as diferentes condições térmicas para a sensação do conforto. O presente estudo analisou a sensação de conforto térmico e sua variabilidade para nove municípios do RS empregando o Índice de Temperatura Efetiva (ITE) para os verões de 2006/2007 a 2013/2014. Essa sensação varia no RS de acordo com a região geográfica, onde se identificou três padrões de conforto térmico na análise do ITE máximo e mínimo. Os municípios de menor altitude, como Porto Alegre, Santa Maria e Uruguaiana, são os que mais registraram desconforto térmico. A faixa térmica do calor moderado ocorre com maior frequência no ITE das máximas, seguido pela faixa de calor. A sensação de calor extremo é registrada nesses três municípios. No ITE das mínimas a faixa do confortável é predominante, seguida pela de ligeiramente quente. A maior continentalidade de Santa Maria e Uruguaiana faz com que esses dois municípios sejam os mais quentes do RS. Bento Gonçalves, Caçapava do Sul e Erechim, com altitudes de 623 m, 421 m e 777 m, respectivamente, registram sensação térmica de calor moderado nas máximas de ITE, seguido pela sensação de ligeiramente quente. Já as mínimas correspondem à faixa do confortável e de ligeiramente fresco. Torres e Rio Grande, que são litorâneos e ao nível do mar, tiveram registros na faixa do calor moderado no ITE máximo e de confortável no ITE mínimo. São José dos Ausentes, que apresenta a maior altitude, registrou ITE mais baixo, com índice na faixa do ligeiramente quente nas máximas e de frescor no registro das mínimas. / In summer of Rio Grande do Sul (RS) are frequent air temperature records above 30°C for a few several days, which generates a phenomenon called heat waves associated with the action of the continental tropical air mass, affecting thermal comfort and the well-being of people. This constant exchange of air masses causes extreme temperature events and interferes in the thermal comfort. Studies about thermal comfort using hourly data of RS are rare, and therefore are unknown the different thermal conditions for the sensation of thermal comfort. This study analyzed the sensation of thermal comfort and variability for nine municipalities in the RS using the Effective Temperature Index (ETI) for the summers of 2006/2007 to 2013/2014. This sensation varies in RS according to the geographical region, where it was identified three patterns of thermal comfort in the analysis of maximum and minimum ETI. The municipalities with the lowest altitude, in Porto Alegre, Santa Maria and Uruguaiana, are the most recorded thermal discomfort. The temperature range of moderate heat occurs most frequently in the maximum ETI, followed by heat range. The sensation of extreme heat have been recorded in these three municipalities. In minimum ETI, the comfortable range is predominant, followed by slightly warm. The continentality effect of Santa Maria and Uruguaiana makes these two cities the hottest places of the RS. Bento Gonçalves, Caçapava do Sul and Erechim, with altitudes of 623 m, 421 m and 777 m, respectively, recorded thermal sensation moderate heat in maximum ETI, followed by sensation slightly warm. Already the minimum correspond to the comfortable and slightly cool range. Torres and Rio Grande, which are coastal places at the sea level, had records in the range of moderate heat maximum ETI and comfortable minimum ETI. São José dos Ausentes, with the highest altitude, recorded lower ETI, with index in the range of slightly warm at maximum freshness in the record minimum.
3

Análise da sensação do conforto térmico nos verões do Rio Grande do Sul entre 2006 e 2014

Baldasso, Tais Bavaresco January 2016 (has links)
No verão do Rio Grande do Sul (RS) são frequentes os registros de temperatura do ar acima de 30°C por alguns dias consecutivos, o que gera um fenômeno denominado de ondas de calor que associadas à atuação da massa de ar tropical continental, afetam o conforto térmico e o bem-estar das pessoas. Essa constante troca de massas de ar ocasiona extremos de temperatura e interfere no conforto térmico. Os estudos sobre o conforto térmico usando dados horários no RS são raros, e, portanto, são desconhecidas as diferentes condições térmicas para a sensação do conforto. O presente estudo analisou a sensação de conforto térmico e sua variabilidade para nove municípios do RS empregando o Índice de Temperatura Efetiva (ITE) para os verões de 2006/2007 a 2013/2014. Essa sensação varia no RS de acordo com a região geográfica, onde se identificou três padrões de conforto térmico na análise do ITE máximo e mínimo. Os municípios de menor altitude, como Porto Alegre, Santa Maria e Uruguaiana, são os que mais registraram desconforto térmico. A faixa térmica do calor moderado ocorre com maior frequência no ITE das máximas, seguido pela faixa de calor. A sensação de calor extremo é registrada nesses três municípios. No ITE das mínimas a faixa do confortável é predominante, seguida pela de ligeiramente quente. A maior continentalidade de Santa Maria e Uruguaiana faz com que esses dois municípios sejam os mais quentes do RS. Bento Gonçalves, Caçapava do Sul e Erechim, com altitudes de 623 m, 421 m e 777 m, respectivamente, registram sensação térmica de calor moderado nas máximas de ITE, seguido pela sensação de ligeiramente quente. Já as mínimas correspondem à faixa do confortável e de ligeiramente fresco. Torres e Rio Grande, que são litorâneos e ao nível do mar, tiveram registros na faixa do calor moderado no ITE máximo e de confortável no ITE mínimo. São José dos Ausentes, que apresenta a maior altitude, registrou ITE mais baixo, com índice na faixa do ligeiramente quente nas máximas e de frescor no registro das mínimas. / In summer of Rio Grande do Sul (RS) are frequent air temperature records above 30°C for a few several days, which generates a phenomenon called heat waves associated with the action of the continental tropical air mass, affecting thermal comfort and the well-being of people. This constant exchange of air masses causes extreme temperature events and interferes in the thermal comfort. Studies about thermal comfort using hourly data of RS are rare, and therefore are unknown the different thermal conditions for the sensation of thermal comfort. This study analyzed the sensation of thermal comfort and variability for nine municipalities in the RS using the Effective Temperature Index (ETI) for the summers of 2006/2007 to 2013/2014. This sensation varies in RS according to the geographical region, where it was identified three patterns of thermal comfort in the analysis of maximum and minimum ETI. The municipalities with the lowest altitude, in Porto Alegre, Santa Maria and Uruguaiana, are the most recorded thermal discomfort. The temperature range of moderate heat occurs most frequently in the maximum ETI, followed by heat range. The sensation of extreme heat have been recorded in these three municipalities. In minimum ETI, the comfortable range is predominant, followed by slightly warm. The continentality effect of Santa Maria and Uruguaiana makes these two cities the hottest places of the RS. Bento Gonçalves, Caçapava do Sul and Erechim, with altitudes of 623 m, 421 m and 777 m, respectively, recorded thermal sensation moderate heat in maximum ETI, followed by sensation slightly warm. Already the minimum correspond to the comfortable and slightly cool range. Torres and Rio Grande, which are coastal places at the sea level, had records in the range of moderate heat maximum ETI and comfortable minimum ETI. São José dos Ausentes, with the highest altitude, recorded lower ETI, with index in the range of slightly warm at maximum freshness in the record minimum.
4

Análise da sensação do conforto térmico nos verões do Rio Grande do Sul entre 2006 e 2014

Baldasso, Tais Bavaresco January 2016 (has links)
No verão do Rio Grande do Sul (RS) são frequentes os registros de temperatura do ar acima de 30°C por alguns dias consecutivos, o que gera um fenômeno denominado de ondas de calor que associadas à atuação da massa de ar tropical continental, afetam o conforto térmico e o bem-estar das pessoas. Essa constante troca de massas de ar ocasiona extremos de temperatura e interfere no conforto térmico. Os estudos sobre o conforto térmico usando dados horários no RS são raros, e, portanto, são desconhecidas as diferentes condições térmicas para a sensação do conforto. O presente estudo analisou a sensação de conforto térmico e sua variabilidade para nove municípios do RS empregando o Índice de Temperatura Efetiva (ITE) para os verões de 2006/2007 a 2013/2014. Essa sensação varia no RS de acordo com a região geográfica, onde se identificou três padrões de conforto térmico na análise do ITE máximo e mínimo. Os municípios de menor altitude, como Porto Alegre, Santa Maria e Uruguaiana, são os que mais registraram desconforto térmico. A faixa térmica do calor moderado ocorre com maior frequência no ITE das máximas, seguido pela faixa de calor. A sensação de calor extremo é registrada nesses três municípios. No ITE das mínimas a faixa do confortável é predominante, seguida pela de ligeiramente quente. A maior continentalidade de Santa Maria e Uruguaiana faz com que esses dois municípios sejam os mais quentes do RS. Bento Gonçalves, Caçapava do Sul e Erechim, com altitudes de 623 m, 421 m e 777 m, respectivamente, registram sensação térmica de calor moderado nas máximas de ITE, seguido pela sensação de ligeiramente quente. Já as mínimas correspondem à faixa do confortável e de ligeiramente fresco. Torres e Rio Grande, que são litorâneos e ao nível do mar, tiveram registros na faixa do calor moderado no ITE máximo e de confortável no ITE mínimo. São José dos Ausentes, que apresenta a maior altitude, registrou ITE mais baixo, com índice na faixa do ligeiramente quente nas máximas e de frescor no registro das mínimas. / In summer of Rio Grande do Sul (RS) are frequent air temperature records above 30°C for a few several days, which generates a phenomenon called heat waves associated with the action of the continental tropical air mass, affecting thermal comfort and the well-being of people. This constant exchange of air masses causes extreme temperature events and interferes in the thermal comfort. Studies about thermal comfort using hourly data of RS are rare, and therefore are unknown the different thermal conditions for the sensation of thermal comfort. This study analyzed the sensation of thermal comfort and variability for nine municipalities in the RS using the Effective Temperature Index (ETI) for the summers of 2006/2007 to 2013/2014. This sensation varies in RS according to the geographical region, where it was identified three patterns of thermal comfort in the analysis of maximum and minimum ETI. The municipalities with the lowest altitude, in Porto Alegre, Santa Maria and Uruguaiana, are the most recorded thermal discomfort. The temperature range of moderate heat occurs most frequently in the maximum ETI, followed by heat range. The sensation of extreme heat have been recorded in these three municipalities. In minimum ETI, the comfortable range is predominant, followed by slightly warm. The continentality effect of Santa Maria and Uruguaiana makes these two cities the hottest places of the RS. Bento Gonçalves, Caçapava do Sul and Erechim, with altitudes of 623 m, 421 m and 777 m, respectively, recorded thermal sensation moderate heat in maximum ETI, followed by sensation slightly warm. Already the minimum correspond to the comfortable and slightly cool range. Torres and Rio Grande, which are coastal places at the sea level, had records in the range of moderate heat maximum ETI and comfortable minimum ETI. São José dos Ausentes, with the highest altitude, recorded lower ETI, with index in the range of slightly warm at maximum freshness in the record minimum.
5

Aplikace degree-day modelu akumulace a tání sněhu v povodí Ptačího potoka / Application of degree-day accumulation and snowmelt model in the Ptačí Brook basin

Beitlerová, Hana January 2012 (has links)
Snow accumulation and snowmelt research is one of the most important hydrological issues in mountain areas World-wide. Spring snowmelt, usually in the combination with intensive rainfall or high air temperature, is one of the most common causes of flooding in the Czech Republic. Mathematical modeling of hydrological processes belongs to effective instruments of flood protection and finds its use in a variety of areas. For example, water management, hydrological forecasts for agriculture, information for dam regulation or for recreational areas and water sports are all affected. This thesis focuses on snow accumulation and snowmelt modeling with use of the empirical Degree-day method. This method is based on the relationship between snowmelt rate and air temperature. The American HAC-HMS programme is used for the simulation of hydrological processes. The main goal of this thesis is to calibrate the model and to simulate snow accumulation, snowmelt and run-off from the watershed. The experimental basin 'Ptačí potok' is situated in the central part of the Šumava Mountains, in altitude of about 1,200 m. Two winter seasons, 2011 and 2012, were simulated. Simulations showed high reliability and correct calibration of the Temperature index snowmelt model. Simulations of the snow water equivalent evolution...
6

Glacier-climate interactions : a synoptic approach

Matthews, Tom K. R. January 2013 (has links)
The reliance on freshwater released by mountain glaciers and ice caps demands that the effects of climate change on these thermally-sensitive systems are evaluated thoroughly. Coupling climate variability to processes of mass and energy exchange at the glacier scale is challenged, however, by a lack of climate data at an appropriately fine spatial resolution. The thesis addresses this challenge through attempting to reconcile this scale mismatch: glacier boundary-layer observations of meteorology and ablation at Vestari Hagafellsjökull, Iceland, and Storglaciären, Sweden, are related to synoptic-scale meteorological variability recorded in gridded, reanalysis data. Specific attention is directed toward synoptic controls on: i) near-surface air temperature lapse rates; ii) stationarity of temperature-index melt model parameters; and iii) glacier-surface ablation. A synoptic weather-typing procedure, which groups days of similar reanalysis meteorology into weather categories , forms the basis of the analytical approach adopted to achieve these aims. Lapse rates at Vestari Hagafellsjökull were found to be shallowest during weather categories characterised by warm, cloud-free weather that encouraged katabatic drainage; steep lapse rates were encountered in weather categories associated with strong synoptic winds. Quantitatively, 26% to 38% of the daily lapse-rate variability could be explained by weather-category and regression-based models utilizing the reanalysis data: a level of skill sufficient to effect appreciable improvements in the accuracy of air temperatures extrapolated vertically over Vestari Hagafellsjökull. Weather categories also highlighted the dynamic nature of the temperature-ablation relationship. Notably, the sensitivity of ablation to changes in air temperature was observed to be non-stationary between weather categories, highlighting vulnerabilities of temperature-index models. An innovative solution to this limitation is suggested: the relationship between temperature and ablation can be varied as a function of weather-category membership. This flexibility leads to an overall improvement in the simulation of daily ablation compared to traditional temperature-index formulations (up to a 14% improvement in the amount of variance explained), without the need for additional meteorological data recorded in-situ. It is concluded that weather categories are highly appropriate for evaluating synoptic controls on glacier meteorology and surface energetics; significant improvements in the parameterization of boundary-layer meteorology and ablation rates are realised through their application.
7

The Study of Temporal and Spatial Variability of Degree Day Factor of Snowmelt in Colorado

Pokhrel, Pranav 05 1900 (has links)
Snowmelt is one of the major sources of surface water supply and ground-water recharge in high elevation areas and can also cause flooding in snow dominated watersheds. Direct estimation of daily snowmelt requires daily snow water equivalent (SWE) measurements that are not always available, especially in places without monitoring stations. There are two alternative approaches to modeling snowmelt without using direct measurements of SWE, temperature-based and energy-based models. Due to its simplicity, computational efficiency, and less input data requirement, the temperature-based method is commonly used than the energy-based method. In the temperature-index approach snowmelt is estimated as a linear function of average air temperature, and the slope of the linear function is called the degree-day factor (DDF). Hence, the DDF is an essential parameter for utilizing the temperature-based method to estimate snowmelt. Thereby, to analyze the spatial properties of DDF, 10 years DDF from the entire state of Colorado was calculated for this research. Likewise, to study the temporal properties, DDFs for 27 years from the White Yampa water basin and the Colorado Headwaters water basin were calculated. As a part of the spatial analysis, the calculated DDFs were correlated with spatial variables (slope, aspect, latitude and elevation) and a spatial correlation graph was created to observe the possibility of predicting DDF. Also a multivariate regression model was prepared using these spatial variables to predict the DDF using spatial variables. Further, the DDFs calculated from Colorado headwaters and the White Yampa water basins were correlated for annual temporal variation, daily variation, variation with peak snow water equivalent and variation with important temporal cycles like accumulation period and melting period of snowmelt. The result obtained from this study showed that the variability of DDF is more dependent upon temporal factors compared to the spatial factors. Also, the results showed that predicting DDF is a difficult process and requires complex methods than simple linear models or multivariate models.
8

Snow depth measurements and predictions : Reducing environmental impact for artificial grass pitches at snowfall

Forsblom, Findlay, Ulvatne, Lars Petter January 2020 (has links)
Rubber granulates, used at artificial grass pitches, pose a threat to the environment when leaking into the nature. As the granulates leak to the environment through rain water and snow clearances, they can be transported by rivers and later on end up in the marine life. Therefore, reducing the snow clearances to its minimum is of importance. If the snow clearance problem is minimized or even eliminated, this will have a positive impact on the surrounding nature. The object of this project is to propose a method for deciding when to remove snow and automate the information dispersing upon clearing or closing a pitch. This includes finding low powered sensors to measure snow depth, find a machine learning model to predict upcoming snow levels and create an application with a clear and easy-to-use interface to present weather information and disperse information to the responsible persons. Controlled experiments is used to find the models and sensors that are suitable to solve this problem. The sensors are tested on a single snow quality, where ultrasonic and infrared sensors are found suitable. However, fabricated tests for newly fallen snow questioned the possibility of measuring snow depth using the ultrasonic sensor in the general case. Random Forest is presented as the machine learning model that predicts future snow levels with the highest accuracy. From a survey, indications is found that the web application fulfills the intended functionalities, with some improvements suggested.
9

Fotometrie a spektroradiometrie zapouzdřených LED čipů / Photometry and spectroradiometry of LEDs

Vysoudil, Martin January 2012 (has links)
This thesis deals with the processing of light technical parameters and performance of key LED chips for their applications in lighting systems. The aim is to create a laboratory model for measuring the qualitative and quantitative parameters of highly luminous light LED emitted depending on the angle, using a spherical integrator 0.3 m, goniometer and fiber spektroradiometr /luxmeters. Goniometer is designed using modular optomechanical parts company Thorlabs. Due to the current passing through the LED chips heat up considerably. To light LED chip parameters tested were not affected by heat from the chip is required to pay the heat generated by a passive radiator. Another part of this thesis is the reconstruction of an older model spherical integrator. Reconstruction must be undertaken so as to ensure sufficient cooling again tested LEDs. Light scattered in the ball of the integrator is led by the optical cable to the spektroradiometr that are subsequently recorded its parameters. The second element used to measure the light produced by the LED source is photocell. Spherical integrator must be appropriately modified to indicate the two measuring elements and also meet the standards of determining the correctness of measurement. At the end of the measurement results will be compared with catalog values provided by the manufacturer.
10

跳躍風險與隨機波動度下溫度衍生性商品之評價 / Pricing Temperature Derivatives under Jump Risks and Stochastic Volatility

莊明哲, Chuang, Ming Che Unknown Date (has links)
本研究利用美國芝加哥商品交易所針對 18 個城市發行之冷氣指數/暖氣指數衍生性商品與相對應之日均溫進行分析與評價。研究成果與貢獻如下:一、延伸 Alaton, Djehince, and Stillberg (2002) 模型,引入跳躍風險、隨機波動度、波動跳躍等因子,提出新模型以捕捉更多溫度指數之特徵。二、針對不同模型,分別利用最大概似法、期望最大演算法、粒子濾波演算法等進行參數估計。實證結果顯示新模型具有較好之配適能力。三、利用 Esscher 轉換將真實機率測度轉換至風險中立機率測度,並進一步利用 Feynman-Kac 方程式與傅立葉轉換求出溫度模型之機率分配。四、推導冷氣指數/暖氣指數期貨之半封閉評價公式,而冷氣指數/暖氣指數期貨之選擇權不存在封閉評價公式,則利用蒙地卡羅模擬進行評價。五、無論樣本內與樣本外之定價誤差,考慮隨機波動度型態之模型對於溫度衍生性商品皆具有較好之評價績效。六、實證指出溫度市場之市場風險價格為負,顯示投資人承受較高之溫度風險時會要求較高之風險溢酬。本研究可給予受溫度風險影響之產業,針對衍生性商品之評價與模型參數估計上提供較為精準、客觀與較有效率之工具。 / This study uses the daily average temperature index (DAT) and market price of the CDD/HDD derivatives for 18 cities from the CME group. There are some contributions in this study: (i) we extend the Alaton, Djehince, and Stillberg (2002)'s framework by introducing the jump risk, the stochastic volatility, and the jump in volatility. (ii) The model parameters are estimated by the MLE, the EM algorithm, and the PF algorithm. And, the complex model exists the better goodness-of-fit for the path of the temperature index. (iii) We employ the Esscher transform to change the probability measure and derive the probability density function of each model by the Feynman-Kac formula and the Fourier transform. (iv) The semi-closed form of the CDD/HDD futures pricing formula is derived, and we use the Monte-Carlo simulation to value the CDD/HDD futures options due to no closed-form solution. (v) Whatever in-sample and out-of-sample pricing performance, the type of the stochastic volatility performs the better fitting for the temperature derivatives. (vi) The market price of risk differs to zero significantly (most are negative), so the investors require the positive weather risk premium for the derivatives. The results in this study can provide the guide of fitting model and pricing derivatives to the weather-linked institutions in the future.

Page generated in 0.0738 seconds