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.

Dynamics of experimental populations of native and introduced blowflies (Diptera: Calliphoridae): mathematical modelling and the transition from asymptotic equilibrium to bounded oscillations

The equilibrium dynamics of native and introduced blowflies is modelled using a density-dependent model of population growth that takes into account important features of the life-history in these flies. A theoretical analysis indicates that the product of maximum fecundity and survival is the primary determinant of the dynamics. Cochliomyia macellaria, a blowfly native to the Americas and the introduced Chrysomya megacephala and Chrysomya putoria, differ in their dynamics in that the first species shows a damping oscillatory behavior leading to a one-point equilibrium, whereas in the last two species population numbers show a two-point limit cycle. Simulations showed that variation in fecundity has a marked effect on the dynamics and indicates the possibility of transitions from one-point equilibrium to bounded oscillations and aperiodic behavior. Variation in survival has much less influence on the dynamics.

Dynamics of experimental populations of native and introduced blowflies (Diptera: Calliphoridae): mathematical modelling and the transition from asymptotic equilibrium to bounded oscillations

The equilibrium dynamics of native and introduced blowflies is modelled using a density-dependent model of population growth that takes into account important features of the life-history in these flies. A theoretical analysis indicates that the product of maximum fecundity and survival is the primary determinant of the dynamics. Cochliomyia macellaria, a blowfly native to the Americas and the introduced Chrysomya megacephala and Chrysomya putoria, differ in their dynamics in that the first species shows a damping oscillatory behavior leading to a one-point equilibrium, whereas in the last two species population numbers show a two-point limit cycle. Simulations showed that variation in fecundity has a marked effect on the dynamics and indicates the possibility of transitions from one-point equilibrium to bounded oscillations and aperiodic behavior. Variation in survival has much less influence on the dynamics.

Transition to Product Service Systems: methodology based on scenarios identification, modelling and evaluation

Part 4: Transition Towards Product-Service Systems

Numerical modelling of single-layer folding: clarification of an issue regarding the possible effect of computer codes and the influence of initial irregularities

The influence of initial perturbation geometry and material propel-ties on final fold geometry has been investigated using finite-difference (FLAC) and finite-element (MARC) numerical models. Previous studies using these two different codes reported very different folding behaviour although the material properties, boundary conditions and initial perturbation geometries were similar. The current results establish that the discrepancy was not due to the different computer codes but due to the different strain rates employed in the two previous studies (i.e. 10(-6) s(-1) in the FLAC models and 10(-14) s(-1) in the MARC models). As a result, different parts of the elasto-viscous rheological field were bring investigated. For the same material properties, strain rate and boundary conditions, the present results using the two different codes are consistent. A transition in Folding behaviour, from a situation where the geometry of initial perturbation determines final fold shape to a situation where material properties control the final geometry, is produced using both models. This transition takes place with increasing strain rate, decreasing elastic moduli or increasing viscosity (reflecting in each case the increasing influence of the elastic component in the Maxwell elastoviscous rheology). The transition described here is mechanically feasible but is associated with very high stresses in the competent layer (on the order of GPa), which is improbable under natural conditions. (C) 2000 Elsevier Science Ltd. All rights reserved.

Concurreny based transition refinement for the verification of distributed algorithms

We suggest a new notion of behaviour preserving transition refinement based on partial order semantics. This notion is called transition refinement. We introduced transition refinement for elementary (low-level) Petri Nets earlier. For modelling and verifying complex distributed algorithms, high-level (Algebraic) Petri nets are usually used. In this paper, we define transition refinement for Algebraic Petri Nets. This notion is more powerful than transition refinement for elementary Petri nets because it corresponds to the simultaneous refinement of several transitions in an elementary Petri net. Transition refinement is particularly suitable for refinement steps that increase the degree of distribution of an algorithm, e.g. when synchronous communication is replaced by asynchronous message passing. We study how to prove that a replacement of a transition is a transition refinement.

Response of a multi-domain continental margin to compression: Study from seismic reflection-refraction and numerical modelling in the Tagus Abyssal Plain

The effects of the Miocene through Present compression in the Tagus Abyssal Plain are mapped using the most up to date available to scientific community multi-channel seismic reflection and refraction data. Correlation of the rift basin fault pattern with the deep crustal structure is presented along seismic line IAM-5. Four structural domains were recognized. In the oceanic realm mild deformation concentrates in Domain I adjacent to the Tore-Madeira Rise. Domain 2 is characterized by the absence of shortening structures, except near the ocean-continent transition (OCT), implying that Miocene deformation did not propagate into the Abyssal Plain, In Domain 3 we distinguish three sub-domains: Sub-domain 3A which coincides with the OCT, Sub-domain 3B which is a highly deformed adjacent continental segment, and Sub-domain 3C. The Miocene tectonic inversion is mainly accommodated in Domain 3 by oceanwards directed thrusting at the ocean-continent transition and continentwards on the continental slope. Domain 4 corresponds to the non-rifted continental margin where only minor extensional and shortening deformation structures are observed. Finite element numerical models address the response of the various domains to the Miocene compression, emphasizing the long-wavelength differential vertical movements and the role of possible rheologic contrasts. The concentration of the Miocene deformation in the transitional zone (TC), which is the addition of Sub-domain 3A and part of 3B, is a result of two main factors: (1) focusing of compression in an already stressed region due to plate curvature and sediment loading; and (2) theological weakening. We estimate that the frictional strength in the TC is reduced in 30% relative to the surrounding regions. A model of compressive deformation propagation by means of horizontal impingement of the middle continental crust rift wedge and horizontal shearing on serpentinized mantle in the oceanic realm is presented. This model is consistent with both the geological interpretation of seismic data and the results of numerical modelling.

Urban land use change analysis and modelling: a case study of Setubal-Sesimbra, Portugal

Dissertation submitted in partial fulfilment of the requirements for the Degree of Master of Science in Geospatial Technologies

Clearing the cloudy crystal balls: Hybrid modelling for energy and climate change mitigation scenarios – A case study for Portugal

Dissertação para obtenção do Grau de Doutor em Ambiente

Conceptual Foundations of Modelling of Innovative Production Projects

At the moment there is a lack of methodological approaches to formalization of management of innovative projects relating to production systems, as well as to adaptation and practical use of the existing approaches. This article is about one potential approach to the management of innovative projects, which makes the building of innovative process models possible based on objective approach. It outlines the frameworks for the building of innovative project models, and describes the method of transition from conceptual modelling to innovative project management. In this case, the model alone and together with parameters used for evaluation of the project may be unique and depends on the special features of the project, preferences of decision-making person, and production and economic system in which it is to be implemented. Unlike existing approaches, this concept does not place any restrictions on types of models and makes it possible to take into account the specificities of economic and production systems. Principles embodied in the model allow its usage as a basis for simulation model to be used in one of specialized simulation systems, as well as for information system providing information support of decision-making process in production and economic systems both newly developed by the company (enterprise) and designed on the basis of available information systems that interact through the exchange of data. In addition, this article shows that the development of conceptual foundations of innovative project management in the economic and production systems is inseparable from the development of the theory of industrial control systems, and their comprehensive study may be reduced to a set of elements represented as certain algorithms, models and evaluations. Thus, the study of innovative process may be conducted in both directions: from general to particular, and vice versa.

Individual-based modelling of bacterial cultures to study the lag ohase

Els bacteris són la forma dominant de vida del planeta: poden sobreviure en medis molt adversos, i en alguns casos poden generar substàncies que quan les ingerim ens són tòxiques. La seva presència en els aliments fa que la microbiologia predictiva sigui un camp imprescindible en la microbiologia dels aliments per garantir la seguretat alimentària. Un cultiu bacterià pot passar per quatre fases de creixement: latència, exponencial, estacionària i de mort. En aquest treball s’ha avançat en la comprensió dels fenòmens intrínsecs a la fase de latència, que és de gran interès en l’àmbit de la microbiologia predictiva. Aquest estudi, realitzat al llarg de quatre anys, s’ha abordat des de la metodologia Individual-based Modelling (IbM) amb el simulador INDISIM (INDividual DIScrete SIMulation), que ha estat millorat per poder fer-ho. INDISIM ha permès estudiar dues causes de la fase de latència de forma separada, i abordar l’estudi del comportament del cultiu des d’una perspectiva mesoscòpica. S’ha vist que la fase de latència ha de ser estudiada com un procés dinàmic, i no definida per un paràmetre. L’estudi de l’evolució de variables com la distribució de propietats individuals entre la població (per exemple, la distribució de masses) o la velocitat de creixement, han permès distingir dues etapes en la fase de latència, inicial i de transició, i aprofundir en la comprensió del que passa a nivell cel•lular. S’han observat experimentalment amb citometria de flux diversos resultats previstos per les simulacions. La coincidència entre simulacions i experiments no és trivial ni casual: el sistema estudiat és un sistema complex, i per tant la coincidència del comportament al llarg del temps de diversos paràmetres interrelacionats és un aval a la metodologia emprada en les simulacions. Es pot afirmar, doncs, que s’ha verificat experimentalment la bondat de la metodologia INDISIM.

Modelling Interbank Relations during the International Financial Crisis

This paper examines the effects of the current financial crisis on the correlations of four international banking stocks. We find that in the beginning of the crisis banks generally show a transition to a higher correlation followed by a dramatic decline towards the end of 2008. These findings are consistent with both traditional contagion theory and the more recent network theory of contagion. JEL classifications: C51; G15 Keywords: Financial Crises; Contagion; Interbank Markets.

Combining probabilistic land-use change and tree population dynamics modelling to simulate responses in mountain forests

Altitudinal tree lines are mainly constrained by temperature, but can also be influenced by factors such as human activity, particularly in the European Alps, where centuries of agricultural use have affected the tree-line. Over the last decades this trend has been reversed due to changing agricultural practices and land-abandonment. We aimed to combine a statistical land-abandonment model with a forest dynamics model, to take into account the combined effects of climate and human land-use on the Alpine tree-line in Switzerland. Land-abandonment probability was expressed by a logistic regression function of degree-day sum, distance from forest edge, soil stoniness, slope, proportion of employees in the secondary and tertiary sectors, proportion of commuters and proportion of full-time farms. This was implemented in the TreeMig spatio-temporal forest model. Distance from forest edge and degree-day sum vary through feed-back from the dynamics part of TreeMig and climate change scenarios, while the other variables remain constant for each grid cell over time. The new model, TreeMig-LAb, was tested on theoretical landscapes, where the variables in the land-abandonment model were varied one by one. This confirmed the strong influence of distance from forest and slope on the abandonment probability. Degree-day sum has a more complex role, with opposite influences on land-abandonment and forest growth. TreeMig-LAb was also applied to a case study area in the Upper Engadine (Swiss Alps), along with a model where abandonment probability was a constant. Two scenarios were used: natural succession only (100% probability) and a probability of abandonment based on past transition proportions in that area (2.1% per decade). The former showed new forest growing in all but the highest-altitude locations. The latter was more realistic as to numbers of newly forested cells, but their location was random and the resulting landscape heterogeneous. Using the logistic regression model gave results consistent with observed patterns of land-abandonment: existing forests expanded and gaps closed, leading to an increasingly homogeneous landscape.

Modelling world investment markets using threshold conditional correlation models

In this paper we propose a parsimonious regime-switching approach to model the correlations between assets, the threshold conditional correlation (TCC) model. This method allows the dynamics of the correlations to change from one state (or regime) to another as a function of observable transition variables. Our model is similar in spirit to Silvennoinen and Teräsvirta (2009) and Pelletier (2006) but with the appealing feature that it does not suffer from the course of dimensionality. In particular, estimation of the parameters of the TCC involves a simple grid search procedure. In addition, it is easy to guarantee a positive definite correlation matrix because the TCC estimator is given by the sample correlation matrix, which is positive definite by construction. The methodology is illustrated by evaluating the behaviour of international equities, govenrment bonds and major exchange rates, first separately and then jointly. We also test and allow for different parts in the correlation matrix to be governed by different transition variables. For this, we estimate a multi-threshold TCC specification. Further, we evaluate the economic performance of the TCC model against a constant conditional correlation (CCC) estimator using a Diebold-Mariano type test. We conclude that threshold correlation modelling gives rise to a significant reduction in portfolio´s variance.