Atlas-based segmentation of pathological brain MR images

We propose a method for brain atlas deformation inpresence of large space-occupying tumors, based on an apriori model of lesion growth that assumes radialexpansion of the lesion from its starting point. First,an affine registration brings the atlas and the patientinto global correspondence. Then, the seeding of asynthetic tumor into the brain atlas provides a templatefor the lesion. Finally, the seeded atlas is deformed,combining a method derived from optical flow principlesand a model of lesion growth (MLG). Results show that themethod can be applied to the automatic segmentation ofstructures and substructures in brains with grossdeformation, with important medical applications inneurosurgery, radiosurgery and radiotherapy.

High-SNR power offset in multiantenna communication

The analysis of the multiantenna capacity in the high-SNR regime has hitherto focused on the high-SNR slope (or maximum multiplexing gain), which quantifies the multiplicative increase as function of the number of antennas. This traditional characterization is unable to assess the impact of prominent channel features since, for a majority of channels, the slope equals the minimum of the number of transmit and receive antennas. Furthermore, a characterization based solely on the slope captures only the scaling but it has no notion of the power required for a certain capacity. This paper advocates a more refined characterization whereby, as function of SNRjdB, the high-SNR capacity is expanded as an affine function where the impact of channel features such as antenna correlation, unfaded components, etc, resides in the zero-order term or power offset. The power offset, for which we find insightful closed-form expressions, is shown to play a chief role for SNR levels of practical interest.

Automatic low baseline stereo in urban areas

In this work we propose a new automatic methodology for computing accurate digital elevation models (DEMs) in urban environments from low baseline stereo pairs that shall be available in the future from a new kind of earth observation satellite. This setting makes both views of the scene similarly, thus avoiding occlusions and illumination changes, which are the main disadvantages of the commonly accepted large-baseline configuration. There still remain two crucial technological challenges: (i) precisely estimating DEMs with strong discontinuities and (ii) providing a statistically proven result, automatically. The first one is solved here by a piecewise affine representation that is well adapted to man-made landscapes, whereas the application of computational Gestalt theory introduces reliability and automation. In fact this theory allows us to reduce the number of parameters to be adjusted, and tocontrol the number of false detections. This leads to the selection of a suitable segmentation into affine regions (whenever possible) by a novel and completely automatic perceptual grouping method. It also allows us to discriminate e.g. vegetation-dominated regions, where such an affine model does not apply anda more classical correlation technique should be preferred. In addition we propose here an extension of the classical ”quantized” Gestalt theory to continuous measurements, thus combining its reliability with the precision of variational robust estimation and fine interpolation methods that are necessary in the low baseline case. Such an extension is very general and will be useful for many other applications as well.

Speculation, risk premia and expectations in the yield curve

An affine asset pricing model in which traders have rational but heterogeneous expectations aboutfuture asset prices is developed. We use the framework to analyze the term structure of interestrates and to perform a novel three-way decomposition of bond yields into (i) average expectationsabout short rates (ii) common risk premia and (iii) a speculative component due to heterogeneousexpectations about the resale value of a bond. The speculative term is orthogonal to public informationin real time and therefore statistically distinct from common risk premia. Empirically wefind that the speculative component is quantitatively important accounting for up to a percentagepoint of yields, even in the low yield environment of the last decade. Furthermore, allowing for aspeculative component in bond yields results in estimates of historical risk premia that are morevolatile than suggested by standard Affine Gaussian term structure models which our frameworknests.

A new compact linear programming formulation for choice network revenue management

The choice network revenue management model incorporates customer purchase behavioras a function of the offered products, and is the appropriate model for airline and hotel networkrevenue management, dynamic sales of bundles, and dynamic assortment optimization.The optimization problem is a stochastic dynamic program and is intractable. A certainty-equivalencerelaxation of the dynamic program, called the choice deterministic linear program(CDLP) is usually used to generate dyamic controls. Recently, a compact linear programmingformulation of this linear program was given for the multi-segment multinomial-logit (MNL)model of customer choice with non-overlapping consideration sets. Our objective is to obtaina tighter bound than this formulation while retaining the appealing properties of a compactlinear programming representation. To this end, it is natural to consider the affine relaxationof the dynamic program. We first show that the affine relaxation is NP-complete even for asingle-segment MNL model. Nevertheless, by analyzing the affine relaxation we derive a newcompact linear program that approximates the dynamic programming value function betterthan CDLP, provably between the CDLP value and the affine relaxation, and often comingclose to the latter in our numerical experiments. When the segment consideration sets overlap,we show that some strong equalities called product cuts developed for the CDLP remain validfor our new formulation. Finally we perform extensive numerical comparisons on the variousbounds to evaluate their performance.

Generic finiteness of equilibrium payoffs for bimatrix games

It is shown that in any affine space of payoff matrices the equilibriumpayoffs of bimatrix games are generically finite.

On bounds for network revenue management

The Network Revenue Management problem can be formulated as a stochastic dynamic programming problem (DP or the\optimal" solution V *) whose exact solution is computationally intractable. Consequently, a number of heuristics have been proposed in the literature, the most popular of which are the deterministic linear programming (DLP) model, and a simulation based method, the randomized linear programming (RLP) model. Both methods give upper bounds on the optimal solution value (DLP and PHLP respectively). These bounds are used to provide control values that can be used in practice to make accept/deny decisions for booking requests. Recently Adelman [1] and Topaloglu [18] have proposed alternate upper bounds, the affine relaxation (AR) bound and the Lagrangian relaxation (LR) bound respectively, and showed that their bounds are tighter than the DLP bound. Tight bounds are of great interest as it appears from empirical studies and practical experience that models that give tighter bounds also lead to better controls (better in the sense that they lead to more revenue). In this paper we give tightened versions of three bounds, calling themsAR (strong Affine Relaxation), sLR (strong Lagrangian Relaxation) and sPHLP (strong Perfect Hindsight LP), and show relations between them. Speciffically, we show that the sPHLP bound is tighter than sLR bound and sAR bound is tighter than the LR bound. The techniques for deriving the sLR and sPHLP bounds can potentially be applied to other instances of weakly-coupled dynamic programming.

Atlas-based segmentation of pathological MR brain images using a model of lesion growth.

We propose a method for brain atlas deformation in the presence of large space-occupying tumors, based on an a priori model of lesion growth that assumes radial expansion of the lesion from its starting point. Our approach involves three steps. First, an affine registration brings the atlas and the patient into global correspondence. Then, the seeding of a synthetic tumor into the brain atlas provides a template for the lesion. The last step is the deformation of the seeded atlas, combining a method derived from optical flow principles and a model of lesion growth. Results show that a good registration is performed and that the method can be applied to automatic segmentation of structures and substructures in brains with gross deformation, with important medical applications in neurosurgery, radiosurgery, and radiotherapy.

Biovolúmenes de zooplancton, eufáusidos e ictioplancton de la costa peruana, primavera 2006

En el crucero de Evaluación Hidroacústica de Recursos Pelágicos 0611-12, el biovolumen de zooplancton varió entre 0,8 y 50,0 mL/muestra, mayores núcleos se detectaron fuera de la plataforma. Los eufáusidos, más frecuentes fueron Euphausia mucronata (37,1%), E. eximia (19,3%) y Stylocheiron affine (15,5%). El máximo desove de anchoveta fue en aguas costeras frías y aguas de mezcla; las larvas alcanzaron hasta 200 mn de la costa frente al Callao. Entre los mictófidos destacaron Diogenichthys laternatus, Lampanyctus parvicauda y Triphoturus oculeus.

"Tanti e sì fatti suoni un suono esprime" : metrica e stile della Gerusalemme Liberata

La prima parte della ricerca è un approfondito studio dell'endecasillabo della Gerusalemme Liberata: in particolar modo, analizzo con un metodo statistico-quantitativo morfologia prosodica e tipologie del verso epico tassiano e distribuzione dei diversi tipi ritmici all'interno dell'ottava, tenendo naturalmente conto della necessaria connessione tra fisionomia ritmico-prosodica del verso e le strutture retoriche e sintattiche. Tale analisi, condotta con una prospettiva comparativa nei confronti di altre opere tassiane (Rinaldo, Conquistata) e della precedente tradizione in ottave, porta a riscontrare delle linee evolutive coerenti nella direzione di un progressivo innalzamento verso il modello lirico petrarchesco e dellacasiano e di un complessivo 'aggravamento' delle strutture stilistiche. I risultati permettono di mettere in discussione la vulgata critica che considererebbe monotono l'endecasillabo della Liberata: questo è negato, oltre che dall'evidenza delle statistiche, dal piano melodico e intonativo del verso, dato che diversi fattori stilistici interagenti (inarcature; struttura prevalentemente paratattica; dispositio molto mossa; moltiplicazione delle pause interne al verso) contribuiscono a minare la stabilità intonativa dell'endecasillabo, nella direzione del contrappunto tra movimento della frase e cadenze del verso. Analogamente, lo studio della fisionomia dell'ottava (seconda parte della ricerca) mostra da un lato il mantenimento di un modello di stanza 'pari', sostanzialmente affine al modello ariostesco, dall'altro una disposizione dei materiali verbali tesa a sommuovere internamente l'incedere per distici. Questo è legato alla strategia narrativa, di disposizione delle sequenze diegetiche: si possono infatti notare sovente aggregazioni di distici la cui continuità logico-argomentativa travalica la misura dell'ottava, rinnovando il rapporto dinamico e contrappuntistico tra forme metriche e fluire della narrazione. Ciò ha una funzione solidale proprio con lo sviluppo narrativo, dato che diversi espedienti stilistici paiono concorrere alla realizzazione di quella varietà nell'unità aristotelicamente centrale nell'elaborazione teorica tardocinquecentesca e tassiana in particolare. Nella terza parte del lavoro, infine, provo ad allontanare la lente dalla microscopia metrica e cerco di porre in relazione i dati metrico-stilistici con quelli sintattico-retorici già studiati dalla critica, provando a verificare nella concreta prassi poetica la teoria della commistione degli stili, così come viene progressivamente definendosi nella ricca produzione teorica del Tasso: centrale è la questione del dosaggio di artifici simmetrici, tipici del genere lirico, e asimmetrici, caratteristici dello stile grave, dosaggio coerente che si rivela in grado di illuminare da una prospettiva appunto stilistica le oscillazioni e le screziature del più grande poema tardorinascimentale.

PROBLEMATIQUE DE LA CULTURE EN MEDECINE DE FAMILLE, UNE APPROCHE CENTREE SUR LE PATIENT

Problématique : En réaction à l'émergence de société plurielle, la communauté médicale a mis en place des outils de prise en charge de l'altérité. Cependant, la culture, issue notamment des origines, des croyances et des expériences est unique à chaque patient et lui sert à appréhender la maladie. Ce pourquoi, les outils de prise en compte de la culture, et de valorisation du patient, peuvent être potentiellement étendus à tous. Objectifs : Déterminer la place de la culture en médecine de famille, les enjeux qui en dépendent et la pertinence de l'utilisation des compétences transculturelles avec tous les patients. Perfectionner ces compétences dans le but de créer un modèle bio-psycho-socio-culturel améliorant la communication et la compréhension entre patients et thérapeutes. Méthodologie : Réalisation d'une revue de la littérature en déterminant comment la culture est intégrée à la médecine sous forme de savoir théorique. Réalisation d'une recherche qualitative de type exploratoire sur la base d'entretiens enregistrés auprès de 7 médecins de famille romands, pour montrer comment la notion de culture est intégrée en pratique. Comparaison entre médecine transculturelle et approche pratique de terrain. Résultats : La culture influe sur toutes les étapes de la consultation. La pratique des médecins est influencée par leur conception de la culture. La construction commune d'une représentation de la maladie, basée sur les conceptions du patient, améliore la collaboration thérapeutique. Les compétences cliniques transculturelles actuelles semblent être applicables à tous, mais nécessitent un léger développement en intégrant l'expérience pratique quotidienne de la médecine de famille. Conclusion : L'utilisation des compétences cliniques transculturelles (savoir, savoir-faire, savoir-être) avec tous les patients est réalisable et peut être affinée d'une quatrième compétence le savoir- percevoir : capacité d'être alerte et réceptif à toute subtilité culturelle qui ressurgit de l'interaction.

Cheminformatic studies of molecular properties and their influence on bioactivity in the context of drug discovery

Molecular shape has long been known to be an important property for the process of molecular recognition. Previous studies postulated the existence of a drug-like shape space that could be used to artificially bias the composition of screening libraries, with the aim to increase the chance of success in Hit Identification. In this work, it was analysed to which extend this assumption holds true. Normalized Principal Moments of Inertia Ratios (NPRs) have been used to describe the molecular shape of small molecules. It was investigated, whether active molecules of diverse targets are located in preferred subspaces of the NPR shape space. Results illustrated a significantly stronger clustering than could be expected by chance, with parts of the space unlikely to be occupied by active compounds. Furthermore, a strong enrichment of elongated, rather flat shapes could be observed, while globular compounds were highly underrepresented. This was confirmed for a wide range of small molecule datasets from different origins. Active compounds exhibited a high overlap in their shape distributions across different targets, making a purely shape­ based discrimination very difficult. An additional perspective was provided by comparing the shapes of protein binding pockets with those of their respective ligands. Although more globular than their ligands, it was observed that binding sites shapes exhibited a similarly skewed distribution in shape space: spherical shapes were highly underrepresented. This was different for unoccupied binding pockets of smaller size. These were on the contrary identified to possess a more globular shape. The relation between shape complementarity and exhibited bioactivity was analysed; a moderate correlation between bioactivity and parameters including pocket coverage, distance in shape space, and others could be identified, which reflects the importance of shape complementarity. However, this also suggests that other aspects are of relevance for molecular recognition. A subsequent analysis assessed if and how shape and volume information retrieved from pocket or respective reference ligands could be used as a pre-filter in a virtual screening approach. ln Lead Optimization compounds need to get optimized with respect to a variety of pararneters. Here, the availability of past success stories is very valuable, as they can guide medicinal chemists during their analogue synthesis plans. However, although of tremendous interest for the public domain, so far only large corporations had the ability to mine historical knowledge in their proprietary databases. With the aim to provide such information, the SwissBioisostere database was developed and released during this thesis. This database contains information on 21,293,355 performed substructural exchanges, corresponding to 5,586,462 unique replacements that have been measured in 35,039 assays against 1,948 molecular targets representing 30 target classes, and on their impact on bioactivity . A user-friendly interface was developed that provides facile access to these data and is accessible at http//www.swissbioisostere.ch. The ChEMBL database was used as primary data source of bioactivity information. Matched molecular pairs have been identified in the extracted and cleaned data. Success-based scores were developed and integrated into the database to allow re-ranking of proposed replacements by their past outcomes. It was analysed to which degree these scores correlate with chemical similarity of the underlying fragments. An unexpectedly weak relationship was detected and further investigated. Use cases of this database were envisioned, and functionalities implemented accordingly: replacement outcomes are aggregatable at the assay level, and it was shawn that an aggregation at the target or target class level could also be performed, but should be accompanied by a careful case-by-case assessment. It was furthermore observed that replacement success depends on the activity of the starting compound A within a matched molecular pair A-B. With increasing potency the probability to lose bioactivity through any substructural exchange was significantly higher than in low affine binders. A potential existence of a publication bias could be refuted. Furthermore, often performed medicinal chemistry strategies for structure-activity-relationship exploration were analysed using the acquired data. Finally, data originating from pharmaceutical companies were compared with those reported in the literature. It could be seen that industrial medicinal chemistry can access replacement information not available in the public domain. In contrast, a large amount of often-performed replacements within companies could also be identified in literature data. Preferences for particular replacements differed between these two sources. The value of combining different endpoints in an evaluation of molecular replacements was investigated. The performed studies highlighted furthermore that there seem to exist no universal substructural replacement that always retains bioactivity irrespective of the biological environment. A generalization of bioisosteric replacements seems therefore not possible. - La forme tridimensionnelle des molécules a depuis longtemps été reconnue comme une propriété importante pour le processus de reconnaissance moléculaire. Des études antérieures ont postulé que les médicaments occupent préférentiellement un sous-ensemble de l'espace des formes des molécules. Ce sous-ensemble pourrait être utilisé pour biaiser la composition de chimiothèques à cribler, dans le but d'augmenter les chances d'identifier des Hits. L'analyse et la validation de cette assertion fait l'objet de cette première partie. Les Ratios de Moments Principaux d'Inertie Normalisés (RPN) ont été utilisés pour décrire la forme tridimensionnelle de petites molécules de type médicament. Il a été étudié si les molécules actives sur des cibles différentes se co-localisaient dans des sous-espaces privilégiés de l'espace des formes. Les résultats montrent des regroupements de molécules incompatibles avec une répartition aléatoire, avec certaines parties de l'espace peu susceptibles d'être occupées par des composés actifs. Par ailleurs, un fort enrichissement en formes allongées et plutôt plates a pu être observé, tandis que les composés globulaires étaient fortement sous-représentés. Cela a été confirmé pour un large ensemble de compilations de molécules d'origines différentes. Les distributions de forme des molécules actives sur des cibles différentes se recoupent largement, rendant une discrimination fondée uniquement sur la forme très difficile. Une perspective supplémentaire a été ajoutée par la comparaison des formes des ligands avec celles de leurs sites de liaison (poches) dans leurs protéines respectives. Bien que plus globulaires que leurs ligands, il a été observé que les formes des poches présentent une distribution dans l'espace des formes avec le même type d'asymétrie que celle observée pour les ligands: les formes sphériques sont fortement sous­ représentées. Un résultat différent a été obtenu pour les poches de plus petite taille et cristallisées sans ligand: elles possédaient une forme plus globulaire. La relation entre complémentarité de forme et bioactivité a été également analysée; une corrélation modérée entre bioactivité et des paramètres tels que remplissage de poche, distance dans l'espace des formes, ainsi que d'autres, a pu être identifiée. Ceci reflète l'importance de la complémentarité des formes, mais aussi l'implication d'autres facteurs. Une analyse ultérieure a évalué si et comment la forme et le volume d'une poche ou de ses ligands de référence pouvaient être utilisés comme un pré-filtre dans une approche de criblage virtuel. Durant l'optimisation d'un Lead, de nombreux paramètres doivent être optimisés simultanément. Dans ce contexte, la disponibilité d'exemples d'optimisations réussies est précieuse, car ils peuvent orienter les chimistes médicinaux dans leurs plans de synthèse par analogie. Cependant, bien que d'un extrême intérêt pour les chercheurs dans le domaine public, seules les grandes sociétés pharmaceutiques avaient jusqu'à présent la capacité d'exploiter de telles connaissances au sein de leurs bases de données internes. Dans le but de remédier à cette limitation, la base de données SwissBioisostere a été élaborée et publiée dans le domaine public au cours de cette thèse. Cette base de données contient des informations sur 21 293 355 échanges sous-structuraux observés, correspondant à 5 586 462 remplacements uniques mesurés dans 35 039 tests contre 1948 cibles représentant 30 familles, ainsi que sur leur impact sur la bioactivité. Une interface a été développée pour permettre un accès facile à ces données, accessible à http:/ /www.swissbioisostere.ch. La base de données ChEMBL a été utilisée comme source de données de bioactivité. Une version modifiée de l'algorithme de Hussain et Rea a été implémentée pour identifier les Matched Molecular Pairs (MMP) dans les données préparées au préalable. Des scores de succès ont été développés et intégrés dans la base de données pour permettre un reclassement des remplacements proposés selon leurs résultats précédemment observés. La corrélation entre ces scores et la similarité chimique des fragments correspondants a été étudiée. Une corrélation plus faible qu'attendue a été détectée et analysée. Différents cas d'utilisation de cette base de données ont été envisagés, et les fonctionnalités correspondantes implémentées: l'agrégation des résultats de remplacement est effectuée au niveau de chaque test, et il a été montré qu'elle pourrait également être effectuée au niveau de la cible ou de la classe de cible, sous réserve d'une analyse au cas par cas. Il a en outre été constaté que le succès d'un remplacement dépend de l'activité du composé A au sein d'une paire A-B. Il a été montré que la probabilité de perdre la bioactivité à la suite d'un remplacement moléculaire quelconque est plus importante au sein des molécules les plus actives que chez les molécules de plus faible activité. L'existence potentielle d'un biais lié au processus de publication par articles a pu être réfutée. En outre, les stratégies fréquentes de chimie médicinale pour l'exploration des relations structure-activité ont été analysées à l'aide des données acquises. Enfin, les données provenant des compagnies pharmaceutiques ont été comparées à celles reportées dans la littérature. Il a pu être constaté que les chimistes médicinaux dans l'industrie peuvent accéder à des remplacements qui ne sont pas disponibles dans le domaine public. Par contre, un grand nombre de remplacements fréquemment observés dans les données de l'industrie ont également pu être identifiés dans les données de la littérature. Les préférences pour certains remplacements particuliers diffèrent entre ces deux sources. L'intérêt d'évaluer les remplacements moléculaires simultanément selon plusieurs paramètres (bioactivité et stabilité métabolique par ex.) a aussi été étudié. Les études réalisées ont souligné qu'il semble n'exister aucun remplacement sous-structural universel qui conserve toujours la bioactivité quel que soit le contexte biologique. Une généralisation des remplacements bioisostériques ne semble donc pas possible.

PROBLEMATIQUE DE LA CULTURE EN MEDECINE DE FAMILLE, UNE APPROCHE CENTREE SUR LE PATIENT

Problématique : En réaction à l'émergence de société plurielle, la communauté médicale a mis en place des outils de prise en charge de l'altérité. Cependant, la culture, issue notamment des origines, des croyances et des expériences est unique à chaque patient et lui sert à appréhender la maladie. Ce pourquoi, les outils de prise en compte de la culture, et de valorisation du patient, peuvent être potentiellement étendus à tous. Objectifs : Déterminer la place de la culture en médecine de famille, les enjeux qui en dépendent et la pertinence de l'utilisation des compétences transculturelles avec tous les patients. Perfectionner ces compétences dans le but de créer un modèle bio-psycho-socio-culturel améliorant la communication et la compréhension entre patients et thérapeutes. Méthodologie : Réalisation d'une revue de la littérature en déterminant comment la culture est intégrée à la médecine sous forme de savoir théorique. Réalisation d'une recherche qualitative de type exploratoire sur la base d'entretiens enregistrés auprès de 7 médecins de famille romands, pour montrer comment la notion de culture est intégrée en pratique. Comparaison entre médecine transculturelle et approche pratique de terrain. Résultats : La culture influe sur toutes les étapes de la consultation. La pratique des médecins est influencée par leur conception de la culture. La construction commune d'une représentation de la maladie, basée sur les conceptions du patient, améliore la collaboration thérapeutique. Les compétences cliniques transculturelles actuelles semblent être applicables à tous, mais nécessitent un léger développement en intégrant l'expérience pratique quotidienne de la médecine de famille. Conclusion : L'utilisation des compétences cliniques transculturelles (savoir, savoir-faire, savoir-être) avec tous les patients est réalisable et peut être affinée d'une quatrième compétence le savoir- percevoir : capacité d'être alerte et réceptif à toute subtilité culturelle qui ressurgit de l'interaction.

Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

Detection, analysis and monitoring of slope movements by high-resolution digital elevation models

Summary Detection, analysis and monitoring of slope movements by high-resolution digital elevation modelsSlope movements, such as rockfalls, rockslides, shallow landslides or debris flows, are frequent in many mountainous areas. These natural hazards endanger the inhabitants and infrastructures making it necessary to assess the hazard and risk caused by these phenomena. This PhD thesis explores various approaches using digital elevation models (DEMs) - and particularly high-resolution DEMs created by aerial or terrestrial laser scanning (TLS) - that contribute to the assessment of slope movement hazard at regional and local scales.The regional detection of areas prone to rockfalls and large rockslides uses different morphologic criteria or geometric instability factors derived from DEMs, i.e. the steepness of the slope, the presence of discontinuities, which enable a sliding mechanism, and the denudation potential. The combination of these factors leads to a map of susceptibility to rockfall initiation that is in good agreement with field studies as shown with the example of the Little Mill Campground area (Utah, USA). Another case study in the Illgraben catchment in the Swiss Alps highlighted the link between areas with a high denudation potential and actual rockfall areas.Techniques for a detailed analysis and characterization of slope movements based on high-resolution DEMs have been developed for specific, localized sites, i.e. ancient slide scars, present active instabilities or potential slope instabilities. The analysis of the site's characteristics mainly focuses on rock slopes and includes structural analyses (orientation of discontinuities); estimation of spacing, persistence and roughness of discontinuities; failure mechanisms based on the structural setting; and volume calculations. For the volume estimation a new 3D approach was tested to reconstruct the topography before a landslide or to construct the basal failure surface of an active or potential instability. The rockslides at Åknes, Tafjord and Rundefjellet in western Norway were principally used as study sites to develop and test the different techniques.The monitoring of slope instabilities investigated in this PhD thesis is essentially based on multitemporal (or sequential) high-resolution DEMs, in particular sequential point clouds acquired by TLS. The changes in the topography due to slope movements can be detected and quantified by sequential TLS datasets, notably by shortest distance comparisons revealing the 3D slope movements over the entire region of interest. A detailed analysis of rock slope movements is based on the affine transformation between an initial and a final state of the rock mass and its decomposition into translational and rotational movements. Monitoring using TLS was very successful on the fast-moving Eiger rockslide in the Swiss Alps, but also on the active rockslides of Åknes and Nordnesfjellet (northern Norway). One of the main achievements on the Eiger and Aknes rockslides is to combine the site's morphology and structural setting with the measured slope movements to produce coherent instability models. Both case studies also highlighted a strong control of the structures in the rock mass on the sliding directions. TLS was also used to monitor slope movements in soils, such as landslides in sensitive clays in Québec (Canada), shallow landslides on river banks (Sorge River, Switzerland) and a debris flow channel (Illgraben).The PhD thesis underlines the broad uses of high-resolution DEMs and especially of TLS in the detection, analysis and monitoring of slope movements. Future studies should explore in more depth the different techniques and approaches developed and used in this PhD, improve them and better integrate the findings in current hazard assessment practices and in slope stability models.Résumé Détection, analyse et surveillance de mouvements de versant à l'aide de modèles numériques de terrain de haute résolutionDes mouvements de versant, tels que des chutes de blocs, glissements de terrain ou laves torrentielles, sont fréquents dans des régions montagneuses et mettent en danger les habitants et les infrastructures ce qui rend nécessaire d'évaluer le danger et le risque causé par ces phénomènes naturels. Ce travail de thèse explore diverses approches qui utilisent des modèles numériques de terrain (MNT) et surtout des MNT de haute résolution créés par scanner laser terrestre (SLT) ou aérien - et qui contribuent à l'évaluation du danger de mouvements de versant à l'échelle régionale et locale.La détection régionale de zones propices aux chutes de blocs ou aux éboulements utilise plusieurs critères morphologiques dérivés d'un MNT, tels que la pente, la présence de discontinuités qui permettent un mécanisme de glissement ou le potentiel de dénudation. La combinaison de ces facteurs d'instabilité mène vers une carte de susceptibilité aux chutes de blocs qui est en accord avec des travaux de terrain comme démontré avec l'exemple du Little Mill Campground (Utah, États-Unis). Un autre cas d'étude - l'Illgraben dans les Alpes valaisannes - a mis en évidence le lien entre les zones à fort potentiel de dénudation et les sources effectives de chutes de blocs et d'éboulements.Des techniques pour l'analyse et la caractérisation détaillée de mouvements de versant basées sur des MNT de haute résolution ont été développées pour des sites spécifiques et localisés, comme par exemple des cicatrices d'anciens éboulements et des instabilités actives ou potentielles. Cette analyse se focalise principalement sur des pentes rocheuses et comprend l'analyse structurale (orientation des discontinuités); l'estimation de l'espacement, la persistance et la rugosité des discontinuités; l'établissement des mécanismes de rupture; et le calcul de volumes. Pour cela une nouvelle approche a été testée en rétablissant la topographie antérieure au glissement ou en construisant la surface de rupture d'instabilités actuelles ou potentielles. Les glissements rocheux d'Åknes, Tafjord et Rundefjellet en Norvège ont été surtout utilisés comme cas d'étude pour développer et tester les diverses approches. La surveillance d'instabilités de versant effectuée dans cette thèse de doctorat est essentiellement basée sur des MNT de haute résolution multi-temporels (ou séquentiels), en particulier des nuages de points séquentiels acquis par SLT. Les changements topographiques dus aux mouvements de versant peuvent être détectés et quantifiés sur l'ensemble d'un glissement, notamment par comparaisons des distances les plus courtes entre deux nuages de points. L'analyse détaillée des mouvements est basée sur la transformation affine entre la position initiale et finale d'un bloc et sa décomposition en mouvements translationnels et rotationnels. La surveillance par SLT a démontré son potentiel avec l'effondrement d'un pan de l'Eiger dans les Alpes suisses, mais aussi aux glissements rocheux d'Aknes et Nordnesfjellet en Norvège. Une des principales avancées à l'Eiger et à Aknes est la création de modèles d'instabilité cohérents en combinant la morphologie et l'agencement structural des sites avec les mesures de déplacements. Ces deux cas d'étude ont aussi démontré le fort contrôle des structures existantes dans le massif rocheux sur les directions de glissement. Le SLT a également été utilisé pour surveiller des glissements dans des terrains meubles comme dans les argiles sensibles au Québec (Canada), sur les berges de la rivière Sorge en Suisse et dans le chenal à laves torrentielles de l'Illgraben.Cette thèse de doctorat souligne le vaste champ d'applications des MNT de haute résolution et particulièrement du SLT dans la détection, l'analyse et la surveillance des mouvements de versant. Des études futures devraient explorer plus en profondeur les différentes techniques et approches développées, les améliorer et mieux les intégrer dans des pratiques actuelles d'analyse de danger et surtout dans la modélisation de stabilité des versants.