Measuring the risk of financial portfolios with nonlinear instruments and non-Gaussian risk factors

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.The focus of my research has been computationally efficient means of computing measures of risk for portfolios of nonlinear financial instruments when the risk factors might be possibly non-Gaussian. In particular, the measures of risk chosen have been Value-at-Risk (VaR) and conditional Value-at-Risk (CVaR). I have studied the problem of computation of risk in two types of financial portfolios with nonlinear instruments which depend on possibly non-Gaussian risk factors: 1. Portfolios of European stock options when the stock return distribution may not be Gaussian; 2. Portfolios of sovereign bonds (which are nonlinear in the underlying risk factor, i.e. the short rate) when the risk factor may or may not be Gaussian. Addressing both these problems need a wide array of mathematical tools both from the field of applied statistics (Delta-Gamma-Normal models, characteristic function inversion, probability conserving transformation) and systems theory (Vasicek stochastic differential equation model, Kalman filter). A new heuristic is proposed for addressing the first problem, while an empirical study is presented to support the use of filter-based models for addressing the second problem. In addition to presenting a discussion of these underlying mathematical tools, the dissertation also presents comprehensive numerical experiments in both cases, with simulated as well as rea

Numerical study of drag reduction through rotating actuators in a wall-bounded turbulent flow

The reduction of frictional drag generated by turbulent fluid flow on solid surfaces is an important problem in fluid mechanics, with the long-term potential to impact the energy efficiency and the performance of many engineering systems. This thesis consists of three essays that elaborate on turbulent drag reduction through wall-mounted rotating discs, originally introduced by Ricco and Hahn (2013). The proposed methods are evaluated via direct numerical simulation of turbulent channel flow using the high-performance solver Incompact3D. In the first, turbulent channel flow altered by the combination of flush-mounted spinning rings and vertical-velocity opposition control or hydrophobic surfaces is studied. The two types of distributed control are applied over the surface area that is not occupied by the spinning rings. Drag reduction is enhanced by the novel combined methods, with up to 27% reduction compared to 20% of the simple rotating rings. A idealized predictive model of the combined drag-reduction performance is presented. A spatially-dependent variant of the Fukagata-Iwamoto-Kasagi integral identity is developed to explain the influence of the highly non-uniform spatial structure of the flow on the skin-friction. The streamwise structures forming between discs have a drag-increasing contribution, while drag is highly reduced over the central region where the rings generate a triangular wave of spanwise velocity. The different outcome of combining the rings with the opposition control and the hydrophobic surface are clarified by the alteration to the elongated structures between rings. The second part investigates the dynamics of rigid discs that are free to rotate under a turbulent channel flow. Simple yet realistic models are introduced for the actuator geometry and the frictional torques that are generated by fluid motion in the cavity underneath the disc and in the support bearing, and the related assumptions are discussed critically. Firstly, the dynamics of isolated, passively rotating discs of increasing diameter is simulated, finding that the discs oscillate around rest under the action of the shear-stress fluctuations at the wall. The root-mean-square of the turbulence-induced torque and the disc velocity show power-law dependence on the disc diameter, respectively positive and negative in the large-diameter range. A uncoupled model of the disc dynamics, where the disc do not move, is used as a small-velocity approximation of the disc-fluid system, leading to better understanding of the frequency-domain response of the disc to the turbulent excitation and the root-mean-square dependence on the disc diameter. Furthermore, half discs i.e. semicircular free-to-move actuators aligned to the streamwise direction and arranged in a rectangular array are considered. This configuration simulates the concept developed experimentally by Kocha and Kozulovic (2013) of partially covered discs. The mean-shear generates a non-zero torque on the disc half and the discs rotate with a finite mean angular velocity, locally producing a slip velocity at the wall. Drag reduction is found to be directly correlated to the rotation rate of the discs, the fastest-rotating case yielding above 5% globally and 20% on the disc surface. Dependence of the rotation velocity on the disc model parameter is discussed and a series of simulations aimed at a more comprehensive investigation of the half-disc technique is laid out. The third part of the work proposes a simple proportional feedback-control scheme for the array of discs, whereby the motor-powered discs are switched on or off to maintain the discs within a pre-determined velocity range. The actuator model developed previously is augmented with the inclusion of a model of a typical electric motor, used to power the discs. The optimal values of the control parameters i.e. the velocity range bounds and the motor torque are investigated by means of a Bayesian Optimization algorithm, capable of efficiently performing an autonomous search of the three-dimensional parameter space with a minimal number of simulations. The motorised steadily-rotating case is also simulated and its performance compared to the ideal model and to the feedback-controlled flow, concluding that it is highly likely that net power saving can be achieved even accounting for realistic losses in the disc housing. The power-budget dependence on the feedback-control parameters is analysed extensively and special consideration is given to its correlation to the disc mean velocity and to the characteristics of the transients. Although the on-off control can achieve marginal improvements on the reference steady activation of the discs, an optimised constant-velocity control is superior

The deep space network

Deep Space Network progress in flight support, tracking and data acquisition research and technology, network engineering, hardware and software implementation, and operations are reported

Inexact inverse iteration using Galerkin Krylov solvers

EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Advances in Robot Kinematics : Proceedings of the 15th international conference on Advances in Robot Kinematics

International audienceThe motion of mechanisms, kinematics, is one of the most fundamental aspect of robot design, analysis and control but is also relevant to other scientific domains such as biome- chanics, molecular biology, . . . . The series of books on Advances in Robot Kinematics (ARK) report the latest achievement in this field. ARK has a long history as the first book was published in 1991 and since then new issues have been published every 2 years. Each book is the follow-up of a single-track symposium in which the participants exchange their results and opinions in a meeting that bring together the best of world’s researchers and scientists together with young students. Since 1992 the ARK symposia have come under the patronage of the International Federation for the Promotion of Machine Science-IFToMM.This book is the 13th in the series and is the result of peer-review process intended to select the newest and most original achievements in this field. For the first time the articles of this symposium will be published in a green open-access archive to favor free dissemination of the results. However the book will also be o↵ered as a on-demand printed book.The papers proposed in this book show that robot kinematics is an exciting domain with an immense number of research challenges that go well beyond the field of robotics.The last symposium related with this book was organized by the French National Re- search Institute in Computer Science and Control Theory (INRIA) in Grasse, France

Documentation of the GLAS fourth order general circulation model. Volume 1: Model documentation

The volume 1, of a 3 volume technical memoranda which contains a documentation of the GLAS Fourth Order General Circulation Model is presented. Volume 1 contains the documentation, description of the stratospheric/tropospheric extension, user's guide, climatological boundary data, and some climate simulation studies

Fracture mechanics data for 2024-T861 and 2124-T851 aluminum

The fracture toughness and fatigue flaw growth characteristics of 2024-T861 and 2124-T851 aluminum were evaluated under plane stress conditions. Center cracked tension specimens were employed to evaluate these properties under a number of different test conditions which included variations in specimen thickness, specimen orientation, test environment, and initial flaw size. The effect of buckling was also investigated for all tests of thin gage specimens, and the effect of frequency and stress ratio was evaluated for the cyclic tests. Fracture toughness test results were analyzed and presented in terms of fracture resistance curves; fatigue flaw growth data was analyzed using empirical rate models. The results of the study indicate that both fracture toughness and resistance to fatigue crack growth improve with increasing temperature and decreasing thickness. The presence of buckling during testing of thin gage panels was found to degrade the resistance to fatigue flaw growth only at elevated temperatures

LIPIcs, Volume 261, ICALP 2023, Complete Volume

LIPIcs, Volume 261, ICALP 2023, Complete Volum