New simulation schemes for the Heston model

Les titres financiers sont souvent modélisés par des équations différentielles stochastiques (ÉDS). Ces équations peuvent décrire le comportement de l'actif, et aussi parfois certains paramètres du modèle. Par exemple, le modèle de Heston (1993), qui s'inscrit dans la catégorie des modèles à volatilité stochastique, décrit le comportement de l'actif et de la variance de ce dernier. Le modèle de Heston est très intéressant puisqu'il admet des formules semi-analytiques pour certains produits dérivés, ainsi qu'un certain réalisme. Cependant, la plupart des algorithmes de simulation pour ce modèle font face à quelques problèmes lorsque la condition de Feller (1951) n'est pas respectée. Dans ce mémoire, nous introduisons trois nouveaux algorithmes de simulation pour le modèle de Heston. Ces nouveaux algorithmes visent à accélérer le célèbre algorithme de Broadie et Kaya (2006); pour ce faire, nous utiliserons, entre autres, des méthodes de Monte Carlo par chaînes de Markov (MCMC) et des approximations. Dans le premier algorithme, nous modifions la seconde étape de la méthode de Broadie et Kaya afin de l'accélérer. Alors, au lieu d'utiliser la méthode de Newton du second ordre et l'approche d'inversion, nous utilisons l'algorithme de Metropolis-Hastings (voir Hastings (1970)). Le second algorithme est une amélioration du premier. Au lieu d'utiliser la vraie densité de la variance intégrée, nous utilisons l'approximation de Smith (2007). Cette amélioration diminue la dimension de l'équation caractéristique et accélère l'algorithme. Notre dernier algorithme n'est pas basé sur une méthode MCMC. Cependant, nous essayons toujours d'accélérer la seconde étape de la méthode de Broadie et Kaya (2006). Afin de réussir ceci, nous utilisons une variable aléatoire gamma dont les moments sont appariés à la vraie variable aléatoire de la variance intégrée par rapport au temps. Selon Stewart et al. (2007), il est possible d'approximer une convolution de variables aléatoires gamma (qui ressemble beaucoup à la représentation donnée par Glasserman et Kim (2008) si le pas de temps est petit) par une simple variable aléatoire gamma.

Simulation de la nage anguilliforme

Ce document traite premièrement des diverses tentatives de modélisation et de simulation de la nage anguilliforme puis élabore une nouvelle technique, basée sur la méthode de la frontière immergée généralisée et la théorie des poutres de Reissner-Simo. Cette dernière, comme les équations des fluides polaires, est dérivée de la mécanique des milieux continus puis les équations obtenues sont discrétisées afin de les amener à une résolution numérique. Pour la première fois, la théorie des schémas de Runge-Kutta additifs est combinée à celle des schémas de Runge-Kutta-Munthe-Kaas pour engendrer une méthode d’ordre de convergence formel arbitraire. De plus, les opérations d’interpolation et d’étalement sont traitées d’un nouveau point de vue qui suggère l’usage des splines interpolatoires nodales en lieu et place des fonctions d’étalement traditionnelles. Enfin, de nombreuses vérifications numériques sont faites avant de considérer les simulations de la nage.

Theory and numerical integration of subsurface light transport

En synthèse d’images, reproduire les effets complexes de la lumière sur des matériaux transluminescents, tels que la cire, le marbre ou la peau, contribue grandement au réalisme d’une image. Malheureusement, ce réalisme supplémentaire est couteux en temps de calcul. Les modèles basés sur la théorie de la diffusion visent à réduire ce coût en simulant le comportement physique du transport de la lumière sous surfacique tout en imposant des contraintes de variation sur la lumière incidente et sortante. Une composante importante de ces modèles est leur application à évaluer hiérarchiquement l’intégrale numérique de l’illumination sur la surface d’un objet. Cette thèse révise en premier lieu la littérature actuelle sur la simulation réaliste de la transluminescence, avant d’investiguer plus en profondeur leur application et les extensions des modèles de diffusion en synthèse d’images. Ainsi, nous proposons et évaluons une nouvelle technique d’intégration numérique hiérarchique utilisant une nouvelle analyse fréquentielle de la lumière sortante et incidente pour adapter efficacement le taux d’échantillonnage pendant l’intégration. Nous appliquons cette théorie à plusieurs modèles qui correspondent à l’état de l’art en diffusion, octroyant une amélioration possible à leur efficacité et précision.

Invariant discretizations of partial differential equations

Un algorithme permettant de discrétiser les équations aux dérivées partielles (EDP) tout en préservant leurs symétries de Lie est élaboré. Ceci est rendu possible grâce à l'utilisation de dérivées partielles discrètes se transformant comme les dérivées partielles continues sous l'action de groupes de Lie locaux. Dans les applications, beaucoup d'EDP sont invariantes sous l'action de transformations ponctuelles de Lie de dimension infinie qui font partie de ce que l'on désigne comme des pseudo-groupes de Lie. Afin d'étendre la méthode de discrétisation préservant les symétries à ces équations, une discrétisation des pseudo-groupes est proposée. Cette discrétisation a pour effet de transformer les symétries ponctuelles en symétries généralisées dans l'espace discret. Des schémas invariants sont ensuite créés pour un certain nombre d'EDP. Dans tous les cas, des tests numériques montrent que les schémas invariants approximent mieux leur équivalent continu que les différences finies standard.

Nonlinear Dynamics of Semiconductor LasersControl and Synchronization of Chaos:

Nonlinear dynamics of laser systems has become an interesting area of research in recent times. Lasers are good examples of nonlinear dissipative systems showing many kinds of nonlinear phenomena such as chaos, multistability and quasiperiodicity. The study of these phenomena in lasers has fundamental scientific importance since the investigations on these effects reveal many interesting features of nonlinear effects in practical systems. Further, the understanding of the instabilities in lasers is helpful in detecting and controlling such effects. Chaos is one of the most interesting phenomena shown by nonlinear deterministic systems. It is found that, like many nonlinear dissipative systems, lasers also show chaos for certain ranges of parameters. Many investigations on laser chaos have been done in the last two decades. The earlier studies in this field were concentrated on the dynamical aspects of laser chaos. However, recent developments in this area mainly belong to the control and synchronization of chaos. A number of attempts have been reported in controlling or suppressing chaos in lasers since lasers are the practical systems aimed to operated in stable or periodic mode. On the other hand, laser chaos has been found to be applicable in high speed secure communication based on synchronization of chaos. Thus, chaos in laser systems has technological importance also. Semiconductor lasers are most applicable in the fields of optical communications among various kinds of laser due to many reasons such as their compactness, reliability modest cost and the opportunity of direct current modulation. They show chaos and other instabilities under various physical conditions such as direct modulation and optical or optoelectronic feedback. It is desirable for semiconductor lasers to have stable and regular operation. Thus, the understanding of chaos and other instabilities in semiconductor lasers and their xi control is highly important in photonics. We address the problem of controlling chaos produced by direct modulation of laser diodes. We consider the delay feedback control methods for this purpose and study their performance using numerical simulation. Besides the control of chaos, control of other nonlinear effects such as quasiperiodicity and bistability using delay feedback methods are also investigated. A number of secure communication schemes based on synchronization of chaos semiconductor lasers have been successfully demonstrated theoretically and experimentally. The current investigations in these field include the study of practical issues on the implementations of such encryption schemes. We theoretically study the issues such as channel delay, phase mismatch and frequency detuning on the synchronization of chaos in directly modulated laser diodes. It would be helpful for designing and implementing chaotic encryption schemes using synchronization of chaos in modulated semiconductor laser

Secret Sharing Schemes Using Visual Cryptography

Secret sharing schemes allow a secret to be shared among a group of participants so that only qualified subsets of participants can recover the secret. A visual cryptography scheme (VCS) is a special kind of secret sharing scheme in which the secret to share consists of an image and the shares consist of xeroxed transparencies which are stacked to recover the shared image. In this thesis we have given the theoretical background of Secret Sharing Schemes and the historical development of the subject. We have included a few examples to improve the readability of the thesis. We have tried to maintain the rigor of the treatment of the subject. The limitations and disadvantages of the various forms secret sharing schemes are brought out. Several new schemes for both dealing and combining are included in the thesis. We have introduced a new number system, called, POB number system. Representation using POB number system has been presented. Algorithms for finding the POB number and POB value are given.We have also proved that the representation using POB number system is unique and is more efficient. Being a new system, there is much scope for further development in this area.

Nonlinear Dynamics of Multiple Quantum Well Lasers: Chaos and Multistability

This thesis presents analytical and numerical results from studies based on the multiple quantum well laser rate equation model. We address the problem of controlling chaos produced by direct modulation of laser diodes. We consider the delay feedback control methods for this purpose and study their performance using numerical simulation. Besides the control of chaos, control of other nonlinear effects such as quasiperiodicity and bistability using delay feedback methods are also investigated.A number of secure communication schemes based on synchronization of chaos semiconductor lasers have been successfully demonstrated theoretically and experimentally. The current investigations in these field include the study of practical issues on the implementations of such encryption schemes. We theoretically study the issues such as channel delay, phase mismatch and frequency detuning on the synchronization of chaos in directly modulated laser diodes. It would be helpful for designing and implementing chaotic encryption schemes using synchronization of chaos in modulated semiconductor lasers.

Fabrication and characterisation of polymer optical fibers for smart sensing and optical amplification

The thesis presented the fabrication and characterisation of polymer optical fibers in their applications as optical amplifier and smart sensors.Optical polymers such as PMMA are found to be a very good host material due to their ability to incorporate very high concentration of optical gain media like fluorescent dyes and rare earth compounds. High power and high gain optical amplification in organic dye-doped polymer optical fibers is possible due to extremely large emission cross sections of oyes. Dye doped (Rhodamine 6G) optical fibers were fabricated by using indigenously developed polymer optical fiber drawing tower. Loss characterization of drawn dye doped fibers was carried out using side illumination technique. The advantage of the above technique is that it is a nondestructive method and can also be used for studying the uniformity in fiber diameter and doping. Sensitivity of the undoped polymer fibers to temperature and microbending were also studied in its application in smart sensors.Optical amplification studies using the dye doped polymer optical fibers were carried out and found that an amplification of l8dB could be achieved using a very short fiber of length lOcm. Studies were carried out in fibers with different dye concentrations and diameter and it was observed that gain stability was achieved at relatively high dye concentrations irrespective of the fiber diameter.Due to their large diameter, large numerical aperture, flexibility and geometrical versatility of polymer optical fibers it has a wide range of applications in the field of optical sensing. Just as in the case of conventional silica based fiber optic sensors, sensing techniques like evanescent wave, grating and other intensity modulation schemes can also be efficiently utilized in the case of POF based sensors. Since polymer optical fibers have very low Young's modulus when compared to glass fibers, it can be utilized for sensing mechanical stress and strain efficiently in comparison with its counterpart. Fiber optic sensors have proved themselves as efficient and reliable devices to sense various parameters like aging, crack formation, weathering in civil structures. A similar type of study was carried out to find the setting characteristics of cement paste used for constructing civil structures. It was found that the measurements made by using fiber optic sensors are far more superior than that carried out by conventional methods. More over,POF based sensors were found to have more sensitivity as well.

Synchronization and control of chaos in coupled chaotic multimode Nd:YAG lasers

In this Letter we numerically investigate the dynamics of a system of two coupled chaotic multimode Nd:YAG lasers with two mode and three mode outputs. Unidirectional and bidirectional coupling schemes are adopted; intensity time series plots, phase space plots and synchronization plots are used for studying the dynamics. Quality of synchronization is measured using correlation index plots. It is found that for laser with two mode output bidirectional direct coupling scheme is found to be effective in achieving complete synchronization, control of chaos and amplification in output intensity. For laser with three mode output, bidirectional difference coupling scheme gives much better chaotic synchronization as compared to unidirectional difference coupling but at the cost of higher coupling strength. We also conclude that the coupling scheme and system properties play an important role in determining the type of synchronization exhibited by the system.

Numerical study of reverse period doubling route from chaos to stability in a two-mode intracavity doubled Nd-YAG laser

We have numerically studied the behavior of a two-mode Nd-YAG laser with an intracavity KTP crystal. It is found that when the parameter, which is a measure of the relative orientations of the KTP crystal with respect to the Nd-YAG crystal, is varied continuously, the output intensity fluctuations change from chaotic to stable behavior through a sequence of reverse period doubling bifurcations. The graph of the intensity in the X-polarized mode against that in the Y-polarized mode shows a complex pattern in the chaotic regime. The Lyapunov exponent is calculated for the chaotic and periodic regions.

Numerical studies on bi-directionally coupled directly modulated semiconductor lasers

Results of a numerical study of synchronisation of two directly modulated semiconductor lasers, using bi-directional coupling, are presented. The effect of stepwise increase in the coupling strength (C) on the synchronisation of the chaotic outputs of two such lasers is studied, with the help of parameter space plots, synchronisation error plots, phase diagrams and time series outputs. Numerical results indicate that as C increases, the system achieves synchronisation as well as stability together with an increase in the output power. The stability of the synchronised states is checked by applying a perturbation to the system after it becomes synchronised and then noting the time it takes to regain synchronisation. For lower values of C the system does not regain synchronisation. But, with higher values synchronisation is regained within a very short time.