The Universe 10 Billion years ago: Morphologies, Star-formation rates and Galactic-scale winds in z ∼ 2 Galaxies

This thesis is devoted to the study of the properties of high-redsfhit galaxies in the epoch 1 < z < 3, when a substantial fraction of galaxy mass was assembled, and when the evolution of the star-formation rate density peaked. Following a multi-perspective approach and using the most recent and high-quality data available (spectra, photometry and imaging), the morphologies and the star-formation properties of high-redsfhit galaxies were investigated. Through an accurate morphological analyses, the built up of the Hubble sequence was placed around z ~ 2.5. High-redshift galaxies appear, in general, much more irregular and asymmetric than local ones. Moreover, the occurrence of morphological k-­correction is less pronounced than in the local Universe. Different star-formation rate indicators were also studied. The comparison of ultra-violet and optical based estimates, with the values derived from infra-red luminosity showed that the traditional way of addressing the dust obscuration is problematic, at high-redshifts, and new models of dust geometry and composition are required. Finally, by means of stacking techniques applied to rest-frame ultra-violet spectra of star-forming galaxies at z~2, the warm phase of galactic-scale outflows was studied. Evidence was found of escaping gas at velocities of ~ 100 km/s. Studying the correlation of inter-­stellar absorption lines equivalent widths with galaxy physical properties, the intensity of the outflow-related spectral features was proven to depend strongly on a combination of the velocity dispersion of the gas and its geometry.

A Unified Model for XVA, including Interest Rates and Rating

We start in Chapter 2 to investigate linear matrix-valued SDEs and the Itô-stochastic Magnus expansion. The Itô-stochastic Magnus expansion provides an efficient numerical scheme to solve matrix-valued SDEs. We show convergence of the expansion up to a stopping time τ and provide an asymptotic estimate of the cumulative distribution function of τ. Moreover, we show how to apply it to solve SPDEs with one and two spatial dimensions by combining it with the method of lines with high accuracy. We will see that the Magnus expansion allows us to use GPU techniques leading to major performance improvements compared to a standard Euler-Maruyama scheme. In Chapter 3, we study a short-rate model in a Cox-Ingersoll-Ross (CIR) framework for negative interest rates. We define the short rate as the difference of two independent CIR processes and add a deterministic shift to guarantee a perfect fit to the market term structure. We show how to use the Gram-Charlier expansion to efficiently calibrate the model to the market swaption surface and price Bermudan swaptions with good accuracy. We are taking two different perspectives for rating transition modelling. In Section 4.4, we study inhomogeneous continuous-time Markov chains (ICTMC) as a candidate for a rating model with deterministic rating transitions. We extend this model by taking a Lie group perspective in Section 4.5, to allow for stochastic rating transitions. In both cases, we will compare the most popular choices for a change of measure technique and show how to efficiently calibrate both models to the available historical rating data and market default probabilities. At the very end, we apply the techniques shown in this thesis to minimize the collateral-inclusive Credit/ Debit Valuation Adjustments under the constraint of small collateral postings by using a collateral account dependent on rating trigger.