Risikomaße in der Finanzmathematik

„Risikomaße in der Finanzmathematik“ Der Value-at -Risk (VaR) ist ein Risikomaß, dessen Verwendung von der Bankenaufsicht gefordert wird. Der Vorteil des VaR liegt – als Quantil der Ertrags- oder Verlustverteilung - vor allem in seiner einfachen Interpretierbarkeit. Nachteilig ist, dass der linke Rand der Wahrscheinlichkeitsverteilung nicht beachtet wird. Darüber hinaus ist die Berechnung des VaR schwierig, da Quantile nicht additiv sind. Der größte Nachteil des VaR ist in der fehlenden Subadditivität zu sehen. Deswegen werden Alternativen wie Expected Shortfall untersucht. In dieser Arbeit werden zunächst finanzielle Risikomaße eingeführt und einige ihre grundlegenden Eigenschaften festgehalten. Wir beschäftigen uns mit verschiedenen parametrischen und nichtparametrischen Methoden zur Ermittlung des VaR, unter anderen mit ihren Vorteilen und Nachteilen. Des Weiteren beschäftigen wir uns mit parametrischen und nichtparametrischen Schätzern vom VaR in diskreter Zeit. Wir stellen Portfoliooptimierungsprobleme im Black Scholes Modell mit beschränktem VaR und mit beschränkter Varianz vor. Der Vorteil des erstens Ansatzes gegenüber dem zweiten wird hier erläutert. Wir lösen Nutzenoptimierungsprobleme in Bezug auf das Endvermögen mit beschränktem VaR und mit beschränkter Varianz. VaR sagt nichts über den darüber hinausgehenden Verlust aus, während dieser von Expected Shortfall berücksichtigt wird. Deswegen verwenden wir hier den Expected Shortfall anstelle des von Emmer, Korn und Klüppelberg (2001) betrachteten Risikomaßes VaR für die Optimierung des Portfolios im Black Scholes Modell.

Study of the interactions of Neptunium with humic substances and the clay mineral montmorillonite by direct and non direct speciation methods

For the safety assessment of radioactive waste, the possibility of radionuclide migration has to be considered. Since Np (and also Th due to the long-lived 232-Th) will be responsible for the greatest amount of radioactivity one million years after discharge from the reactor, its (im)-mobilization in the geosphere is of great importance. Furthermore, the chemistry of Np(V) is quite similar (but not identical) to the chemistry of Pu(V). Three species of neptunium may be found in the near field of the waste disposal, but pentavalent neptunium is the most abundant species under a wide range of natural conditions. Within this work, the interaction of Np(V) with the clay mineral montmorillonite and melanodins (as model substances for humic acids) was studied. The sorption of neptunium onto gibbsite, a model clay for montmorillonite, was also investigated. The sorption of neptunium onto γ-alumina and montmorillonite was studied in a parallel doctoral work by S. Dierking. Neptunium is only found in ultra trace amounts in the environment. Therefore, sensitive and specific methods are needed for its determination. The sorption was determined by γ spectroscopy and LSC for the whole concentration range studied. In addition the combination of these techniques with ultrafiltration allowed the study of Np(V) complexation with melanoidins. Regrettably, the available speciation methods (e.g. CE-ICP-MS and EXAFS) are not capable to detect the environmentally relevant neptunium concentrations. Therefore, a combination of batch experiments and speciation analyses was performed. Further, the preparation of hybrid clay-based materials (HCM) montmorillonitemelanoidins for sorption studies was achieved. The formation of hybrid materials begins in the interlayers of the montmorillonite, and then the organic material spreads over the surface of the mineral. The sorption of Np onto HCM was studied at the environmentally relevant concentrations and the results obtained were compared with those predicted by the linear additive model by Samadfam. The sorption of neptunium onto gibbsite was studied in batch experiments and the sorption maximum determined at pH~8.5. The sorption isotherm pointed to the presence of strong and weak sorption sites in gibbsite. The Np speciation was studied by using EXAFS, which showed that the sorbed species was Np(V). The influence of M42 type melanodins on the sorption of Np(V) onto montmorillonite was also investigated at pH 7. The sorption of the melanoidins was affected by the order in which the components were added and by ionic strength. The sorption of Np was affected by ionic strength, pointing to outer sphere sorption, whereas the presence of increasing amounts of melanoidins had little influence on Np sorption.

Structural characterization of intermediate and metastable phases by electron microscopy

Structure characterization of nanocrystalline intermediates and metastable phases is of primary importance for a deep understanding of synthetic processes undergoing solid-to-solid state phase transitions. Understanding the evolution from the first nucleation stage to the final synthetic product supports not only the optimization of existing processes, but might assist in tailoring new synthetic paths. A systematic investigation of intermediates and metastable phases is hampered because it is impossible to produce large crystals and only in few cases a pure synthetic product can be obtained. Structure investigation by X-ray powder diffraction methods is still challenging on nanoscale, especially when the sample is polyphasic. Electron diffraction has the advantage to collect data from single nanoscopic crystals, but is limited by data incompleteness, dynamical effects and fast deterioration of the sample under the electron beam. Automated diffraction tomography (ADT), a recently developed technique, making possible to collect more complete three-dimensional electron diffraction data and to reduce at the same time dynamical scattering and beam damage, thus allowing to investigate even beam sensitive materials (f.e. hydrated phases and organics). At present, ADT is the only technique able to deliver complete three-dimensional structural information from single nanoscopic grains, independently from other surrounding phases. Thus, ADT is an ideal technique for the study of on-going processes where different phases exist at the same time and undergo several structural transitions. In this study ADT was used as the main technique for structural characterization for three different systems and combined subsequently with other techniques, among which high-resolution transmission electron microscopy (HRTEM), cryo-TEM imaging, X-ray powder diffraction (XRPD) and energy disperse X-ray spectroscopy (EDX).rnAs possible laser host materials, i.e. materials with a broad band emission in the near-infrared region, two unknown phases were investigated in the ternary oxide system M2O-Al2O3-WO3 (M = K, Na). Both phases exhibit low purity as well as non-homogeneous size distribution and particle morphology. The structures solved by ADT are also affected by pseudo-symmetry. rnSodium titanate nanotubes and nanowires are both intermediate products in the synthesis of TiO2 nanorods which are used as additives to colloidal TiO2 film for improving efficiency of dye-sensitized solar cells (DSSC). The structural transition from nantubes to nanowires was investigated in a step by step time-resolved study. Nanowires were discovered to consist of a hitherto unknown phase of sodium titanate. This new phase, typically affected by pervasive defects like mutual layer shift, was structurally determined ab-initio on the basis of ADT data. rnThe third system is related with calcium carbonate nucleation and early crystallization. The first part of this study is dedicated to the extensive investigations of calcium carbonate formation in a step by step analysis, up to the appearance of crystalline individua. The second part is dedicated to the structure determination by ADT of the first-to-form anhydrated phase of CaCO3: vaterite. An exhaustive structure analysis of vaterite had previously been hampered by diffuse scattering, extra periodicities and fast deterioration of the material under electron irradiation. rn

Optimization of RNA-based transgene expression by targeting Protein Kinase R

The aim of this thesis was to establish a method for repeated transfection of in vitro transcribed RNA (IVT-RNA) leading to a sustained protein expression lasting for days or even weeks. Once transfected cells recognize IVT-RNA as "non-self" and initiate defense pathways leading to an upregulated interferon (IFN) response and stalled translation. In this work Protein Kinase R (PKR) was identified as the main effector molecule mediating this cellular response. We assessed four strategies to inhibit PKR and the IFN response: A small molecule PKR inhibitor enhanced protein expression and hampered the induction of IFN-transcripts, but had to be excluded due to cytotoxicity. A siRNA mediated PKR knockdown and the overexpression of a kinase inactive PKR mutant elevated the protein expression, but the down-regulation of the IFN response was insufficient. The co-transfer of the viral inhibitors of PKR and the IFN response was most successful. The use of E3, K3 and B18R co-transfection enabled repeated IVT-RNA-based transfection of human fibroblasts. Thus, the developed protocol allows a continuous IVT-RNA encoded protein expression of proteins, which could be the basis for the generation of induced pluripotent stem cells (iPS) for several therapeutic applications in regenerative medicine or drug research.