Hedging under liquidity constraints

Although risk management can be justified by financial distress, the theoretical models usually contain hedging instruments free of funding risk. In practice, management of the counterparty risk in derivative transactions is of enhanced importance, consequently not only is trading on exchanges subject to the presence of a margin account, but also in bilateral (OTC) agreements parties will require margins or collateral from their partners in order to hedge the mark-tomarket loss of the transaction. The aim of this paper is to present and compare two models where the financing need of the hedging instrument also appears, influencing the hedging strategy and the optimal hedging ratio. Both models contain the same source of risk and optimisation criterion, but the liquidity risk is modelled in different ways. In the first model, there is no additional financing resource that can be used to finance the margin account in case of a margin call, which entails the risk of liquidation of the hedging position. In the second model, the financing is available but a given credit spread is to be paid for this, so hedging can become costly.

Robust and high current cold electron source based on carbon nanotube field emitters and electron multiplier microchannel plate

The aim of this research was to demonstrate a high current and stable field emission (FE) source based on carbon nanotubes (CNTs) and electron multiplier microchannel plate (MCP) and design efficient field emitters. In recent years various CNT based FE devices have been demonstrated including field emission displays, x-ray source and many more. However to use CNTs as source in high powered microwave (HPM) devices higher and stable current in the range of few milli-amperes to amperes is required. To achieve such high current we developed a novel technique of introducing a MCP between CNT cathode and anode. MCP is an array of electron multipliers; it operates by avalanche multiplication of secondary electrons, which are generated when electrons strike channel walls of MCP. FE current from CNTs is enhanced due to avalanche multiplication of secondary electrons and in addition MCP also protects CNTs from irreversible damage during vacuum arcing. Conventional MCP is not suitable for this purpose due to the lower secondary emission properties of their materials. To achieve higher and stable currents we have designed and fabricated a unique ceramic MCP consisting of high SEY materials. The MCP was fabricated utilizing optimum design parameters, which include channel dimensions and material properties obtained from charged particle optics (CPO) simulation. Child Langmuir law, which gives the optimum current density from an electron source, was taken into account during the system design and experiments. Each MCP channel consisted of MgO coated CNTs which was chosen from various material systems due to its very high SEY. With MCP inserted between CNT cathode and anode stable and higher emission current was achieved. It was ∼25 times higher than without MCP. A brighter emission image was also evidenced due to enhanced emission current. The obtained results are a significant technological advance and this research holds promise for electron source in new generation lightweight, efficient and compact microwave devices for telecommunications in satellites or space applications. As part of this work novel emitters consisting of multistage geometry with improved FE properties were was also developed.

Quick and robust method for trace determination of MeHg in rice and rice products without derivatisation

Peer reviewed

Quick and robust method for trace determination of MeHg in rice and rice products without derivatisation

Peer reviewed

Quick and robust method for trace determination of MeHg in rice and rice products without derivatisation

Peer reviewed

A reliable and robust algorithm to identify episodes of hospitalizations using RAMQ medical services claims : methodology issues & data validation

Thèse numérisée par la Direction des bibliothèques de l'Université de Montréal.

Robust H.264/AVC video transmission using data partitioning and unequal loss protection

In this work, we present an adaptive unequal loss protection (ULP) scheme for H264/AVC video transmission over lossy networks. This scheme combines erasure coding, H.264/AVC error resilience techniques and importance measures in video coding. The unequal importance of the video packets is identified in the group of pictures (GOP) and the H.264/AVC data partitioning levels. The presented method can adaptively assign unequal amount of forward error correction (FEC) parity across the video packets according to the network conditions, such as the available network bandwidth, packet loss rate and average packet burst loss length. A near optimal algorithm is developed to deal with the FEC assignment for optimization. The simulation results show that our scheme can effectively utilize network resources such as bandwidth, while improving the quality of the video transmission. In addition, the proposed ULP strategy ensures graceful degradation of the received video quality as the packet loss rate increases. © 2010 IEEE.

Data to Decision in a Dynamic Ocean: Robust Species Distribution Models and Spatial Decision Frameworks

Human use of the oceans is increasingly in conflict with conservation of endangered species. Methods for managing the spatial and temporal placement of industries such as military, fishing, transportation and offshore energy, have historically been post hoc; i.e. the time and place of human activity is often already determined before assessment of environmental impacts. In this dissertation, I build robust species distribution models in two case study areas, US Atlantic (Best et al. 2012) and British Columbia (Best et al. 2015), predicting presence and abundance respectively, from scientific surveys. These models are then applied to novel decision frameworks for preemptively suggesting optimal placement of human activities in space and time to minimize ecological impacts: siting for offshore wind energy development, and routing ships to minimize risk of striking whales. Both decision frameworks relate the tradeoff between conservation risk and industry profit with synchronized variable and map views as online spatial decision support systems.

For siting offshore wind energy development (OWED) in the U.S. Atlantic (chapter 4), bird density maps are combined across species with weights of OWED sensitivity to collision and displacement and 10 km2 sites are compared against OWED profitability based on average annual wind speed at 90m hub heights and distance to transmission grid. A spatial decision support system enables toggling between the map and tradeoff plot views by site. A selected site can be inspected for sensitivity to a cetaceans throughout the year, so as to capture months of the year which minimize episodic impacts of pre-operational activities such as seismic airgun surveying and pile driving.

Routing ships to avoid whale strikes (chapter 5) can be similarly viewed as a tradeoff, but is a different problem spatially. A cumulative cost surface is generated from density surface maps and conservation status of cetaceans, before applying as a resistance surface to calculate least-cost routes between start and end locations, i.e. ports and entrance locations to study areas. Varying a multiplier to the cost surface enables calculation of multiple routes with different costs to conservation of cetaceans versus cost to transportation industry, measured as distance. Similar to the siting chapter, a spatial decisions support system enables toggling between the map and tradeoff plot view of proposed routes. The user can also input arbitrary start and end locations to calculate the tradeoff on the fly.

Essential to the input of these decision frameworks are distributions of the species. The two preceding chapters comprise species distribution models from two case study areas, U.S. Atlantic (chapter 2) and British Columbia (chapter 3), predicting presence and density, respectively. Although density is preferred to estimate potential biological removal, per Marine Mammal Protection Act requirements in the U.S., all the necessary parameters, especially distance and angle of observation, are less readily available across publicly mined datasets.

In the case of predicting cetacean presence in the U.S. Atlantic (chapter 2), I extracted datasets from the online OBIS-SEAMAP geo-database, and integrated scientific surveys conducted by ship (n=36) and aircraft (n=16), weighting a Generalized Additive Model by minutes surveyed within space-time grid cells to harmonize effort between the two survey platforms. For each of 16 cetacean species guilds, I predicted the probability of occurrence from static environmental variables (water depth, distance to shore, distance to continental shelf break) and time-varying conditions (monthly sea-surface temperature). To generate maps of presence vs. absence, Receiver Operator Characteristic (ROC) curves were used to define the optimal threshold that minimizes false positive and false negative error rates. I integrated model outputs, including tables (species in guilds, input surveys) and plots (fit of environmental variables, ROC curve), into an online spatial decision support system, allowing for easy navigation of models by taxon, region, season, and data provider.

For predicting cetacean density within the inner waters of British Columbia (chapter 3), I calculated density from systematic, line-transect marine mammal surveys over multiple years and seasons (summer 2004, 2005, 2008, and spring/autumn 2007) conducted by Raincoast Conservation Foundation. Abundance estimates were calculated using two different methods: Conventional Distance Sampling (CDS) and Density Surface Modelling (DSM). CDS generates a single density estimate for each stratum, whereas DSM explicitly models spatial variation and offers potential for greater precision by incorporating environmental predictors. Although DSM yields a more relevant product for the purposes of marine spatial planning, CDS has proven to be useful in cases where there are fewer observations available for seasonal and inter-annual comparison, particularly for the scarcely observed elephant seal. Abundance estimates are provided on a stratum-specific basis. Steller sea lions and harbour seals are further differentiated by ‘hauled out’ and ‘in water’. This analysis updates previous estimates (Williams & Thomas 2007) by including additional years of effort, providing greater spatial precision with the DSM method over CDS, novel reporting for spring and autumn seasons (rather than summer alone), and providing new abundance estimates for Steller sea lion and northern elephant seal. In addition to providing a baseline of marine mammal abundance and distribution, against which future changes can be compared, this information offers the opportunity to assess the risks posed to marine mammals by existing and emerging threats, such as fisheries bycatch, ship strikes, and increased oil spill and ocean noise issues associated with increases of container ship and oil tanker traffic in British Columbia’s continental shelf waters.

Starting with marine animal observations at specific coordinates and times, I combine these data with environmental data, often satellite derived, to produce seascape predictions generalizable in space and time. These habitat-based models enable prediction of encounter rates and, in the case of density surface models, abundance that can then be applied to management scenarios. Specific human activities, OWED and shipping, are then compared within a tradeoff decision support framework, enabling interchangeable map and tradeoff plot views. These products make complex processes transparent for gaming conservation, industry and stakeholders towards optimal marine spatial management, fundamental to the tenets of marine spatial planning, ecosystem-based management and dynamic ocean management.

Experimental and Conceptual Approaches to Studying Bet Hedging in Microorganisms

Bet-hedging strategies are used by organisms to survive in

unpredictable environments. To pursue a bet-hedging strategy, an

organism must produce multiple phenotypes from a single genotype. What

molecular mechanisms allow this to happen? To address this question, I

created a synthetic system that displays bet-hedging behavior, and

developed a new technique called `TrackScar' to measure the fitness

and stress-resistance of individual cells. I found that bet-hedging

can be generated by actively sensing the environment, and that

bet-hedging strategies based on active sensing need not be

metabolically costly. These results suggest that to understand how

bet-hedging strategies are produced, microorganisms must be

examined in the actual environments that they come from.

Robust Uncertainty Quantification and Scalable Computation for Computer Models with Massive Output

Uncertainty quantification (UQ) is both an old and new concept. The current novelty lies in the interactions and synthesis of mathematical models, computer experiments, statistics, field/real experiments, and probability theory, with a particular emphasize on the large-scale simulations by computer models. The challenges not only come from the complication of scientific questions, but also from the size of the information. It is the focus in this thesis to provide statistical models that are scalable to massive data produced in computer experiments and real experiments, through fast and robust statistical inference.

Chapter 2 provides a practical approach for simultaneously emulating/approximating massive number of functions, with the application on hazard quantification of Soufri\`{e}re Hills volcano in Montserrate island. Chapter 3 discusses another problem with massive data, in which the number of observations of a function is large. An exact algorithm that is linear in time is developed for the problem of interpolation of Methylation levels. Chapter 4 and Chapter 5 are both about the robust inference of the models. Chapter 4 provides a new criteria robustness parameter estimation criteria and several ways of inference have been shown to satisfy such criteria. Chapter 5 develops a new prior that satisfies some more criteria and is thus proposed to use in practice.

A reliable and robust algorithm to identify episodes of hospitalizations using RAMQ medical services claims : methodology issues & data validation

Thèse numérisée par la Direction des bibliothèques de l'Université de Montréal.

Robust scenario formulations for strategic supply chain optimization under uncertainty

Strategic supply chain optimization (SCO) problems are often modelled as a two-stage optimization problem, in which the first-stage variables represent decisions on the development of the supply chain and the second-stage variables represent decisions on the operations of the supply chain. When uncertainty is explicitly considered, the problem becomes an intractable infinite-dimensional optimization problem, which is usually solved approximately via a scenario or a robust approach. This paper proposes a novel synergy of the scenario and robust approaches for strategic SCO under uncertainty. Two formulations are developed, namely, naïve robust scenario formulation and affinely adjustable robust scenario formulation. It is shown that both formulations can be reformulated into tractable deterministic optimization problems if the uncertainty is bounded with the infinity-norm, and the uncertain equality constraints can be reformulated into deterministic constraints without assumption of the uncertainty region. Case studies of a classical farm planning problem and an energy and bioproduct SCO problem demonstrate the advantages of the proposed formulations over the classical scenario formulation. The proposed formulations not only can generate solutions with guaranteed feasibility or indicate infeasibility of a problem, but also can achieve optimal expected economic performance with smaller numbers of scenarios.

Statistically robust representation and comparison of mortality profiles in archaeozoology

Archaeozoological mortality profiles have been used to infer site-specific subsistence strategies. There is however no common agreement on the best way to present these profiles and confidence intervals around age class proportions. In order to deal with these issues, we propose the use of the Dirichlet distribution and present a new approach to perform age-at-death multivariate graphical comparisons. We demonstrate the efficiency of this approach using domestic sheep/goat dental remains from 10 Cardial sites (Early Neolithic) located in South France and the Iberian Peninsula. We show that the Dirichlet distribution in age-at-death analysis can be used: (i) to generate Bayesian credible intervals around each age class of a mortality profile, even when not all age classes are observed; and (ii) to create 95% kernel density contours around each age-at-death frequency distribution when multiple sites are compared using correspondence analysis. The statistical procedure we present is applicable to the analysis of any categorical count data and particularly well-suited to archaeological data (e.g. potsherds, arrow heads) where sample sizes are typically small.

Robust indoor speaker recognition in a network of audio and video sensors

Situational awareness is achieved naturally by the human senses of sight and hearing in combination. Automatic scene understanding aims at replicating this human ability using microphones and cameras in cooperation. In this paper, audio and video signals are fused and integrated at different levels of semantic abstractions. We detect and track a speaker who is relatively unconstrained, i.e., free to move indoors within an area larger than the comparable reported work, which is usually limited to round table meetings. The system is relatively simple: consisting of just 4 microphone pairs and a single camera. Results show that the overall multimodal tracker is more reliable than single modality systems, tolerating large occlusions and cross-talk. System evaluation is performed on both single and multi-modality tracking. The performance improvement given by the audio–video integration and fusion is quantified in terms of tracking precision and accuracy as well as speaker diarisation error rate and precision–recall (recognition). Improvements vs. the closest works are evaluated: 56% sound source localisation computational cost over an audio only system, 8% speaker diarisation error rate over an audio only speaker recognition unit and 36% on the precision–recall metric over an audio–video dominant speaker recognition method.

On covariate factor detection and removal for robust gait recognition

We propose a novel bolt-on module capable of boosting the robustness of various single compact 2D gait representations. Gait recognition is negatively influenced by covariate factors including clothing and time which alter the natural gait appearance and motion. Contrary to traditional gait recognition, our bolt-on module remedies this by a dedicated covariate factor detection and removal procedure which we quantitatively and qualitatively evaluate. The fundamental concept of the bolt-on module is founded on exploiting the pixel-wise composition of covariate factors. Results demonstrate how our bolt-on module is a powerful component leading to significant improvements across gait representations and datasets yielding state-of-the-art results.