Algebro-Geometric Aspects of the Classical Yang-Baxter Equation

In this thesis we consider algebro-geometric aspects of the Classical Yang-Baxter Equation and the Generalised Classical Yang-Baxter Equation. In chapter one we present a method to construct solutions of the Generalised Classical Yang-Baxter Equation starting with certain sheaves of Lie algebras on algebraic curves. Furthermore we discuss a criterion to check unitarity of such solutions. In chapter two we consider the special class of solutions coming from sheaves of traceless endomorphisms of simple vector bundles on the nodal cubic curve. These solutions are quasi-trigonometric and we describe how they fit into the classification scheme of such solutions. Moreover, we describe a concrete formula for these solutions. In the third and final chapter we show that any unitary, rational solution of the Classical Yang-Baxter Equation can be obtained via the method of chapter one applied to a sheaf of Lie algebras on the cuspidal cubic curve.

Geometrical Methods in Multivariate Risk Management: Algorithms and Applications

This thesis builds a framework for evaluating downside risk from multivariate data via a special class of risk measures (RM). The peculiarity of the analysis lies in getting rid of strong data distributional assumptions and in orientation towards the most critical data in risk management: those with asymmetries and heavy tails. At the same time, under typical assumptions, such as the ellipticity of the data probability distribution, the conformity with classical methods is shown. The constructed class of RM is a multivariate generalization of the coherent distortion RM, which possess valuable properties for a risk manager. The design of the framework is twofold. The first part contains new computational geometry methods for the high-dimensional data. The developed algorithms demonstrate computability of geometrical concepts used for constructing the RM. These concepts bring visuality and simplify interpretation of the RM. The second part develops models for applying the framework to actual problems. The spectrum of applications varies from robust portfolio selection up to broader spheres, such as stochastic conic optimization with risk constraints or supervised machine learning.