Erratum to: 36th International Symposium on Intensive Care and Emergency Medicine

[This corrects the article DOI: 10.1186/s13054-016-1208-6.]

Option pricing with perturbation methods

This thesis discusses the use of perturbation theory in the context of financial mathematics, in particular on the use of matched asymptotic expansions in option pricing. Our methods are applied to the ordinary Black-Scholes model for illustration. In this simple example of the Black-Scholes model an exact solution is available, so it is in fact not neccessary to apply the method of asymptotic expansions on this model. However, in case we do apply the method, two artificial layers have to be constructed. Making smart choices for the local variables leads to a transformation of the equations into a heat equation, which can easily be solved. Finally, the results are compared to a Taylor expansion of the exact solution to see that this method is very accurate. After this first instructive model, the method of matched asymptotic expansions is applied to two more advanced models based on papers by Sam Howison and Patrick Hagan et al.. Here, different choices for the scalings are made. The former discusses a fast mean-reverting stochastic volatility model that turns out to have many open ends. In Howison's paper quite a lot of assumptions and simplifications are made. Unfortunately, often the motivation for them is not explicitly given in the paper, and in some cases we even think these assumptions and simplifications are incorrect. The latter examines a new three-parameter stochastic volatility model that successfully prices back the volatility smile as observed in the market nowadays, and that is commonly used. The derivation of this model is the main focus of this thesis. The resulting expression for the implied volatility under the SABR model is obtained by considering the forward and backward Kol-mogorov equations per order in epsilon, making some smart choices for local variables and functions in order to transform them into an equation that looks like a heat equation, which is easier to solve. Recommendations for further investigation on these models would be to consider several different choices for the scalings and see which one works best.Computational Science and Engineering (CSE)Applied mathematicsElectrical Engineering, Mathematics and Computer Scienc

Social practice theory as design approach for reducting energy use for indoor climate management in Dutch dwellings

Explorelab/ Climate adaptation labArchitectureArchitectur

Motief voor herhaling

Mexx in Voorschoten Het decadente design Het provisorium Woontoren BezuidenhoutArchitectur

A Practice Oriented Approach to User Centered Sustainable Design

This paper describes a method for insight generation for sustainable innovations. The method takes a practice oriented approach aiming for product ideas for practice level innovations. The method was applied in a case study on the practice of bathing. Insights on sustainable bathing innovations were gathered during a two-week period in which sixteen participants were asked to create and execute their own experiment for less resource intensive ways of bathing at home. In a group session these insights were translated into product ideas. It was concluded that it is indeed possible to generate product ideas with a practice oriented approach. The experiments in the home context helped the participants to come up with practice level bathing innovations. As predicted, they turned out to have potential to yield strong reductions in resource consumption and compete with the currently dominant practice of daily showering.Industrial DesignIndustrial Design Engineerin

Umhlanga Rocks coastal defense

The eThekwini coastline is a vulnerable coastline subject to chronic erosion and damage due to sea level rise. In 2007 a severe storm caused major physical and economic damage along the coastline, proving the need for action. Umhlanga Rocks is a densely populated premium holiday destination on the eThekwini coastline suffering from similar problems due to its narrow beaches and lack of dunes in certain places. Interference with the coast of Umhlanga can entice fierce resistance from different groups of stakeholders, which makes finding a suitable solution more difficult. The above leads to the following problem definition: Due to erosion and extreme weather conditions the coastline of Umhlanga Rocks is shifting on shore, causing narrow beaches, decrease of tourism and increased risk of failures of the coastal structures. The current situation requires a new long term safety strategy, taking into account the social, economic and environmental vitality of the Umhlanga Rocks area as well. To solve the problem definition the main question states: How can the eThekwini municipality create a sustainable Umhlanga coastline while adding value to the area? To answer the main question many different elements, varying from conventional coastal protection measures to experimental ideas that would increase local business, were formulated during a brainstorm session. These elements are ranked on their cost, added value and technological feasibility. From the highest ranked elements in each category 11 different alternatives are created. By performing a multi criteria analysis these 11 alternatives are narrowed down to three alternatives and an additional `do nothing’ option is included. The do nothing option assumes that the beach will be completely gone in 30-40 years. It is further assumed Umhlanga Rocks recreational businesses are coupled to the beach and property values will drop by 12% once the beach is gone. This gives a NPV of R.15,000,000,000. It is suspected that the equilibrium that normally exists in the cross shore sediment transport is disturbed and more sediment moves offshore than onshore. The sill is designed to prevent the sediment form moving too far offshore and thus to create a new equilibrium. The bar retaining sill consists of prefab concrete elements located just outside the surf zone. From the Delft3D model it followed that the beach stays roughly the same size after construction of the sill. The NPV bases the cost of the sill on reference projects. With the beach maintaining its current size the total NPV amounts to R.116,000,000,000. The nourishment option adds enough sand to the beach to compensate for erosion and add 15 meters of beach according to the Delft3D model. It is assumed the nearby sand depot can be used to perform the nourishment. The nourishment itself will be done using a dredger connected to a floating pipeline to pump the sand to the beach. Shovels will be used to divide the sand over the beach area. The cost of the nourishment is based on the cost of a similar project, with the benefit of the added beach area the total NPV is R.142,000,000,000. The submerged breakwater creates a calmer wave climate near the coast and will thereby reduce erosion and increase beach growth. The Delft3D model suggests an average beach growth of 20 meters. For the breakwater design different materials are considered. Geotextile systems look very promising and have several advantages over a rock or concrete breakwater. A design with geotextile bags and one with geotextile tubes is made for the Umhlanga Rocks area. The NPV of the breakwater amounts to R.131,000,000,000. A second multi criteria analysis is performed to determine the overall best option. According to this analysis the construction of a submerged breakwater made of geotextile tubes provides the best solution to the problem from social and technical preferences. Social preferences include perceptions of stakeholders involved like environmental groups and property owners, but take the construction and maintenance costs of the alternative into account as well. In this case the geotextile tube breakwater uses conforming materials, does not cause any visual horizon pollution and seems to deliver the best benefits for the price involved. At the same time the results from the 3D simulations have shown that the breakwater is able to perform well on the technical preferences including the breakage of waves offshore and increase of beach width.Hydraulic EngineeringCivil Engineering and Geoscience

A Culture-Inspired Approach to Gaining Insights for Designing Sustainable Practices

This paper explores a design method to generate insights for designing less resource-intensive forms of everyday life. This study takes the assumption that looking at cultural diversity can widen the variety of insights which can be used as a source of inspiration for designing sustainable practices. However, there is a lack of clear-cut approaches for collecting information on sustainable everyday practices from multiple cultures. Therefore, this study explores: 1) how to collect information about resource-consuming everyday practice from different cultures, and 2) what kinds of insights can be gained from this information. An experimental culture survey was conducted. The survey had the practice ‘bathing’ as the central topic, and featured three countries; the Netherlands, Japan and India. The results suggest that a self-observation probe with a feature of recording the practice by a set of elements was successful in collecting information from users in three countries. From this information, three types of insights were generated, which are expected to be useful in the context of designing sustainable practices. These are: 1) different styles of bathing and their respective resource consumption, 2) relations between the contextual elements and 3) particular actions which have a considerable impact on the total resource consumption.Industrial DesignIndustrial Design Engineerin

Wire Separation From Automotive Shredder Residue

The investigation discussed in this article concerned the removal of wires and cables fraction contained in automotive shredder residue (ASR) through a newly invented device, called the nail roll. Series of tests were carried out with three ASR samples of different origin and the influence of the setting parameters of the machine was analyzed. Other separation techniques and their combination with nail roll were also investigated, pursuing the objective of the increasing profit of the entire processing chain. The results indicate that the recovery index achievable by a very cost effective treatment is higher than 70% in the best case for all the three tested samples, while the grade index in the best case is 87% for the first sample, 70% for the second and 35% for the third. Nail roll efficiency is mostly dependent on the properties of the material treated and on its setting based on them.Civil Engineering and Geoscience

Eve: A Novel Open-sourceWeb-based Agent Platform (abstract)

The existing approaches to build multi-agent systems fail at addressing the challenges posed by the current technology, where ubiquitous interconnected electronic devices are no more passive machines operated by humans but rather active computational components cooperating with humans. In this paper, we present a novel open-source web-based agent platform called \u91Eve\u92 that features some specific characteristics (eg, platform and language independence, openness) that make it particularly suitable to be applied to real-life applications

Shrinking population: Less mobility?

Infrastructures, Systems and ServicesTechnology, Policy and Managemen