The Libor Market Model: from theory to calibration

This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justified by a theoretical demonstration and the resulting formula to price the swaptions coincides with the Black’s one. However, the two models are not compatible from a theoretical point. Therefore, we derive various analytical approximating formulae to price the swaptions in the LIBOR market model and we explain how to perform a Monte Carlo simulation. Finally, we present the calibration of the LIBOR market model to the markets of both caps and swaptions, together with various examples of application to the historical correlation matrix and the cascade calibration of the forward volatilities to the matrix of implied swaption volatilities provided by the market.

Influence of advanced load simulation models on fatigue design of jackets for offshore wind turbines.

Constant developments in the field of offshore wind energy have increased the range of water depths at which wind farms are planned to be installed. Therefore, in addition to monopile support structures suitable in shallow waters (up to 30 m), different types of support structures, able to withstand severe sea conditions at the greater water depths, have been developed. For water depths above 30 m, the jacket is one of the preferred support types. Jacket represents a lightweight support structure, which, in combination with complex nature of environmental loads, is prone to highly dynamic behavior. As a consequence, high stresses with great variability in time can be observed in all structural members. The highest concentration of stresses occurs in joints due to their nature (structural discontinuities) and due to the existence of notches along the welds present in the joints. This makes them the weakest elements of the jacket in terms of fatigue. In the numerical modeling of jackets for offshore wind turbines, a reduction of local stresses at the chord-brace joints, and consequently an optimization of the model, can be achieved by implementing joint flexibility in the chord-brace joints. Therefore, in this work, the influence of joint flexibility on the fatigue damage in chord-brace joints of a numerical jacket model, subjected to advanced load simulations, is studied.

Design and management of a supply chain: a joint location-inventory problem under uncertainty (Part B)

In recent years, global supply chains have increasingly suffered from reliability issues due to various external and difficult to-manage events. The following paper aims to build an integrated approach for the design of a Supply Chain under the risk of disruption and demand fluctuation. The study is divided in two parts: a mathematical optimization model, to identify the optimal design and assignments customer-facility, and a discrete-events simulation of the resulting network. The first one describes a model in which plant location decisions are influenced by variables such as distance to customers, investments needed to open plants and centralization phenomena that help contain the risk of demand variability (Risk Pooling). The entire model has been built with a proactive approach to manage the risk of disruptions assigning to each customer two types of open facilities: one that will serve it under normal conditions and a back-up facility, which comes into operation when the main facility has failed. The study is conducted on a relatively small number of instances due to the computational complexity, a matheuristic approach can be found in part A of the paper to evaluate the problem with a larger set of players. Once the network is built, a discrete events Supply Chain simulation (SCS) has been implemented to analyze the stock flow within the facilities warehouses, the actual impact of disruptions and the role of the back-up facilities which suffer a great stress on their inventory due to a large increase in demand caused by the disruptions. Therefore, simulation follows a reactive approach, in which customers are redistributed among facilities according to the interruptions that may occur in the system and to the assignments deriving from the design model. Lastly, the most important results of the study will be reported, analyzing the role of lead time in a reactive approach for the occurrence of disruptions and comparing the two models in terms of costs.