Geometric stopping of a random walk and its applications to valuing equity-linked death benefits

We study discrete-time models in which death benefits can depend on a stock price index, the logarithm of which is modeled as a random walk. Examples of such benefit payments include put and call options, barrier options, and lookback options. Because the distribution of the curtate-future-lifetime can be approximated by a linear combination of geometric distributions, it suffices to consider curtate-future-lifetimes with a geometric distribution. In binomial and trinomial tree models, closed-form expressions for the expectations of the discounted benefit payment are obtained for a series of options. They are based on results concerning geometric stopping of a random walk, in particular also on a version of the Wiener-Hopf factorization.

Beyond Value-at-Risk : GlueVaR Distortion Risk Measures

We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measures. Analytical closed-form expressions are shown for the most frequently used distribution functions in financial and insurance applications. The relationship between Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) is explained. Tail-subadditivity is investigated and it is shown that some GlueVaR risk measures satisfy this property. An interpretation in terms of risk attitudes is provided and a discussion is given on the applicability in non-financial problems such as health, safety, environmental or catastrophic risk management

The connection between distortion risk measures and ordered weighted averaging operators

Distortion risk measures summarize the risk of a loss distribution by means of a single value. In fuzzy systems, the Ordered Weighted Averaging (OWA) and Weighted Ordered Weighted Averaging (WOWA) operators are used to aggregate a large number of fuzzy rules into a single value. We show that these concepts can be derived from the Choquet integral, and then the mathematical relationship between distortion risk measures and the OWA and WOWA operators for discrete and finite random variables is presented. This connection offers a new interpretation of distortion risk measures and, in particular, Value-at-Risk and Tail Value-at-Risk can be understood from an aggregation operator perspective. The theoretical results are illustrated in an example and the degree of orness concept is discussed.

The octagon, the hendecagon and the approximation of pi: the geometric design of the clypeus in the enclosure of Imperial cult in Tarraco

The ancient temple dedicated to the Roman Emperor Augustus on the hilltop of Tarraco (today’s Tarragona), was the main element of the sacred precinct of the Imperial cult. It was a two hectare square, bordered by a portico with an attic decorated with a sequence of clypeus (i.e. monumental shields) made with marble plates from the Luni-Carrara’s quarries. This contribution presents the results of the analysis of a three-dimensional photogrammetric survey of one of these clipeus, partially restored and exhibited at the National Archaeological Museum of Tarragona. The perimeter ring was bounded by a sequence of meanders inscribed in a polygon of 11 sides, a hendecagon. Moreover, a closer geometric analysis suggests that the relationship between the outer meander rim and the oval pearl ring that delimited the divinity of Jupiter Ammon can be accurately determined by the diagonals of an octagon inscribed in the perimeter of the clypeus. This double evidence suggests a combined layout, in the same design, of an octagon and a hendecagon. Hypothetically, this could be achieved by combining the octagon with the approximation to Pi used in antiquity: 22/7 of the circle’s diameter. This method allows the drawing of a hendecagon with a clearly higher precision than with other ancient methods. Even the modelling of the motifs that separate the different decorative stripes corroborates the geometric scheme that we propose.

Simulation-based evaluation of susceptibility distortion correction methods in diffusion MRI for connectivity analysis

Connectivity analysis on diffusion MRI data of the whole- brain suffers from distortions caused by the standard echo- planar imaging acquisition strategies. These images show characteristic geometrical deformations and signal destruction that are an important drawback limiting the success of tractography algorithms. Several retrospective correction techniques are readily available. In this work, we use a digital phantom designed for the evaluation of connectivity pipelines. We subject the phantom to a âeurooetheoretically correctâeuro and plausible deformation that resembles the artifact under investigation. We correct data back, with three standard methodologies (namely fieldmap-based, reversed encoding-based, and registration- based). Finally, we rank the methods based on their geometrical accuracy, the dropout compensation, and their impact on the resulting connectivity matrices.

Distortion properties of quasiconformal maps

In this Licentiate thesis we investigate the absolute ratio δ, j, ˜j and hyperbolic ρ metrics and their relations with each other. Various growth estimates are given for quasiconformal mpas both in plane and space. Some Hölder constants were refined with respect δ, j ˜j metrics. Some new results regarding the Hölder continuity of quasiconformal and quasiregular mapping of unit ball with respect to Euclidean and hyperbolic metrics are given, which were obtained by many authors in 1980’s. Applications are given to the study of metric space, quasiconformal and quasiregular maps in the plane and as well as in the space.

Quasiconformal mappings and inequalities involving special functions

This PhD thesis in Mathematics belongs to the field of Geometric Function Theory. The thesis consists of four original papers. The topic studied deals with quasiconformal mappings and their distortion theory in Euclidean n-dimensional spaces. This theory has its roots in the pioneering papers of F. W. Gehring and J. Väisälä published in the early 1960’s and it has been studied by many mathematicians thereafter. In the first paper we refine the known bounds for the so-called Mori constant and also estimate the distortion in the hyperbolic metric. The second paper deals with radial functions which are simple examples of quasiconformal mappings. These radial functions lead us to the study of the so-called p-angular distance which has been studied recently e.g. by L. Maligranda and S. Dragomir. In the third paper we study a class of functions of a real variable studied by P. Lindqvist in an influential paper. This leads one to study parametrized analogues of classical trigonometric and hyperbolic functions which for the parameter value p = 2 coincide with the classical functions. Gaussian hypergeometric functions have an important role in the study of these special functions. Several new inequalities and identities involving p-analogues of these functions are also given. In the fourth paper we study the generalized complete elliptic integrals, modular functions and some related functions. We find the upper and lower bounds of these functions, and those bounds are given in a simple form. This theory has a long history which goes back two centuries and includes names such as A. M. Legendre, C. Jacobi, C. F. Gauss. Modular functions also occur in the study of quasiconformal mappings. Conformal invariants, such as the modulus of a curve family, are often applied in quasiconformal mapping theory. The invariants can be sometimes expressed in terms of special conformal mappings. This fact explains why special functions often occur in this theory.

Modeling of residual stresses and distortion due to welding in fillet welds

Welding has a growing role in modern world manufacturing. Welding joints are extensively used from pipes to aerospace industries. Prediction of welding residual stresses and distortions is necessary for accurate evaluation of fillet welds in relation to design and safety conditions. Residual stresses may be beneficial or detrimental, depending whether they are tensile or compressive and the loading. They directly affect the fatigue life of the weld by impacting crack growth rate. Beside theoretical background of residual stresses this study calculates residual stresses and deformations due to localized heating by welding process and subsequent rapid cooling in fillet welds. Validated methods are required for this purpose due to complexity of process, localized heating, temperature dependence of material properties and heat source. In this research both empirical and simulation methods were used for the analysis of welded joints. Finite element simulation has become a popular tool of prediction of welding residual stresses and distortion. Three different cases with and without preload have been modeled during this study. Thermal heat load set is used by calculating heat flux from the given heat input energy. First the linear and then nonlinear material behavior model is modeled for calculation of residual stresses. Experimental work is done to calculate the stresses empirically. The results from both the methods are compared to check their reliability. Residual stresses can have a significant effect on fatigue performance of the welded joints made of high strength steel. Both initial residual stress state and subsequent residual stress relaxation need to be considered for accurate description of fatigue behavior. Tensile residual stresses are detrimental and will reduce the fatigue life and compressive residual stresses will increase it. The residual stresses follow the yield strength of base or filler material and the components made of high strength steel are typically thin, where the role of distortion is emphasizing.

Geometric nonlinear dynamic analysis of plates and shells using eight-node hexahedral finite elements with reduced integration

This work presents a geometric nonlinear dynamic analysis of plates and shells using eight-node hexahedral isoparametric elements. The main features of the present formulation are: (a) the element matrices are obtained using reduced integrations with hourglass control; (b) an explicit Taylor-Galerkin scheme is used to carry out the dynamic analysis, solving the corresponding equations of motion in terms of velocity components; (c) the Truesdell stress rate tensor is used; (d) the vector processor facilities existing in modern supercomputers were used. The results obtained are comparable with previous solutions in terms of accuracy and computational performance.

Constitutive laws for strong geometric non-linearity

This paper is divided into two different parts. The first one provides a brief introduction to the fractal geometry with some simple illustrations in fluid mechanics. We thought it would be helpful to introduce the reader into this relatively new approach to mechanics that has not been sufficiently explored by engineers yet. Although in fluid mechanics, mainly in problems of percolation and binary flows, the use of fractals has gained some attention, the same is not true for solid mechanics, from the best of our knowledge. The second part deals with the mechanical behavior of thin wires subjected to very large deformations. It is shown that starting to a plausible conjecture it is possible to find global constitutive equations correlating geometrical end energy variables with the fractal dimension of the solid subjected to large deformations. It is pointed out the need to complement the present proposal with experimental work.

Distortion and internal warping torsion of a double symmetric hollow section

This thesis is made in cooperation with Laboratory of Steel Structures and the steel company SSAB. Maximization of the benefits of high-strength steel usually requires the usage of thin wall thicknesses. This means the failures related to buckling, distortion and warping stand out. One must be aware of these phenomena to design thin-walled structures stressed with forces such as torsional loading. It is also important to take into account small stress ranges when evaluating the accurate fatigue strength of structures. The objective of this thesis is to clarify the theory of the uniform and non-uniform torsion. This paper focuses on warping due to the non-uniform torsion in double symmetric box girder and structural hollow section. The arisen stress states are explained and researched using the finite element method. Another research target is the distortion in double symmetric box girder due to torsion, and the restraining effect of transverse diaphragms at the load end. Multiple transverse diaphragms are used to study more efficient restraining against warping and distortion than a common one end plate structure.

Benefits of a low-cost one-phase current distortion detection device in appliance supply in low-voltage residential networks

In this bachelor’s thesis are examined the benefits of current distortion detection device application in customer premises low voltage networks. The purpose of this study was to find out if there are benefits for measuring current distortion in low-voltage residential networks. Concluding into who can benefit from measuring the power quality. The research focuses on benefits based on the standardization in Europe and United States of America. In this research, were also given examples of appliances in which current distortion detection device could be used. Along with possible illustration of user interface for the device. The research was conducted as an analysis of the benefits of current distortion detection device in residential low voltage networks. The research was based on literature review. The study was divided to three sections. The first explain the reasons for benefitting from usage of the device and the second portrays the low-cost device, which could detect one-phase current distortion, in theory. The last section discuss of the benefits of usage of current distortion detection device while focusing on the beneficiaries. Based on the result of this research, there are benefits from usage to the current distortion detection device. The main benefitting party of the current distortion detection device was found to be manufactures, as they are held responsible of limiting the current distortion on behalf of consumers. Manufactures could adjust equipment to respond better to the distortion by having access to on-going current distortion in network. The other benefitting party are system operators, who would better locate distortion issues in low-voltage residential network to start prevention of long-term problems caused by current distortion early on.