Στοχαστικά επιτόκια

Τις τελευταίες δεκαετίες και πιο συγκεκριμένα τα τελευταία χρόνια, όλο και περισσότεροι μελετητές έχουν στρέψει το ερευνητικό τους αντικείμενο στα στοχαστικά υποδείγματα επιτοκίων, καθώς αποτελούν έναν σημαντικό προσδιοριστικό παράγοντα στην χρηματοοικονομική επιστήμη και την διαχείριση κινδύνων. Πολλοί από τους ερευνητές, ξεκίνησαν να μελετούν και να παρουσιάζουν τις δικές τους παραδοχές για την ανάπτυξη νέων στοχαστικών υποδειγμάτων, καθώς και την ανάπτυξη αυτών που ήδη υπάρχουν στην επιστημονική βιβλιογραφία. O λόγος που άρχισε όλο αυτό το ερευνητικό κομμάτι του συγκεκριμένου κλάδου να ακμάζει, είναι η ανάπτυξη της αγοράς των επιτοκιακών παραγώγων και η επιβολή από την Βασιλεία ΙΙΙ (Basel III) για την χρήση του υπολογισμού του επιτοκιακού κινδύνου (Interest Rate Risk), πράγμα που θα αναπτυχθεί ακόμα περισσότερο στο πλαίσιο της Βασιλείας IV (Basel IV). Επομένως, η ακριβής εκτίμηση της μελλοντικής διάρθρωσης των επιτοκίων αποτελεί κρίσιμο παράγοντα για να είναι εφικτή η τιμολόγηση και η αντιστάθμιση του επιτοκίου παράγωγων προϊόντων. Σκοπός της παρούσας διπλωματικής εργασίας, είναι να κατανοήσουμε την μαθηματική προέλευση αυτών των στοχαστικών υποδειγμάτων και έπειτα να παρουσιάσουμε κατά τον δυνατόν καλύτερο τρόπο, το κάθε ένα από τα στοχαστικά επιτόκια που έχουν αναπτυχθεί στην παγκόσμια βιβλιογραφία, να τα συγκρίνουμε και να οδηγηθούμε στο βέλτιστο υπόδειγμα διάρθρωσης στοχαστικών επιτοκίων. Εν κατακλείδι, θα είναι δύσκολο να καταλήξουμε σε κάποιο βέλτιστο υπόδειγμα. Αυτό οφείλεται στο γεγονός ότι το κάθε υπόδειγμα είναι βέλτιστο για την κάθε μία διαφορετική περίπτωση χρήσης του. Όμως τα <<καλύτερα>> υποδείγματα, είναι εκείνα που ενσωματώνουν τη μεταβλητότητα των επιτοκίων, ενώ ο σημαντικότερος προσδιοριστικός παράγοντας είναι η βραχυπρόθεσμη τιμή του επιτοκίου.In the last decades and more specifically the last years, more and more scholars have turned their research object into stochastic interest rate models as they are an important determinant in financial science and risk management. Many of the researchers began to study and present their own assumptions about the development of new stochastic models, as well as the development of what already exists in the scientific literature. The reason why this sector's research has started to flourish, is the growth of the interest rate derivatives market and Basel III's use of interest rate risk, will be further developed under Basel IV. Therefore, a precise assessment of the future interest rate structure is a critical factor in making it possible to pricing and offsetting the interest rate on derivative products. The aim of this diploma thesis is to understand the mathematical origin of these stochastic models and then to present in the best possible way each of the stochastic interest rates developed in the world literature to compare them and to lead to the optimal model of structure stochastic interest rates. In conclusion, it will be difficult to come up with an optimal model. This is because each model is optimal for each different case of use. However, the "best" models are those that incorporate the interest rate volatility, while the most important determinant is the short-term interest rate

Curing Pressure Influence of Out-of-Autoclave Processing on Structural Composites for Commercial Aviation

Autoclaving is a process that ensures the highest quality of carbon fiber reinforced polymer (CFRP) composite structures used in aviation. During the autoclave process, consolidation of prepreg laminas through simultaneous elevated pressure and temperature results in a uniform high-end material system. This work focuses on analyzing in a fundamental way the applications of pressure and temperature separately during prepreg consolidation. A controlled pressure vessel (press-clave) has been designed that applies pressure during the curing process while the temperature is being applied locally by heat blankets. This vessel gives the ability to design manufacturing processes with different pressures while applying temperature at desired regions of the composite. The pressure role on the curing extent and its effect on the interlayer region are also tested in order to evaluate the consolidation of prepregs to a completely uniform material. Such studies may also be used to provide insight into the morphology of interlayer reinforcement concepts, which are widely used in the featherweight composites. Specimens manufactured by press-clave, which separates pressure from heat, are analytically tested and compared to autoclaved specimens in order to demonstrate the suitability of the press-clave to manufacture high-quality composites with excessively reduced cost

Kinetic viscoelasticity modeling applied to degradation during carbon–carbon composite processing

Kinetic viscoelasticity modeling has been successfully utilized to describe phenomena during cure of thermoset based carbon fiber reinforced matrices. The basic difference from classic viscoelasticity is that the fundamental material descriptors change as a result of reaction kinetics. Accordingly, we can apply the same concept for different kinetic phenomena with simultaneous curing and degradation. The application of this concept can easily be utilized in processing and manufacturing of carbon–carbon composites, where phenolic resin matrices are cured degraded and reinfused in a carbon fiber bed. This work provides a major step towards understanding complex viscoelastic phenomena that go beyond simple thermomechanical descriptors.United States. Air Force Office of Scientific ResearchNational Science Foundation (U.S.) (Joint U.S.-Greece Program

Baselines for lifetime of organic solar cells

The process of accurately gauging lifetime improvements in organic photovoltaics (OPVs) or other similar emerging technologies, such as perovskites solar cells is still a major challenge. The presented work is part of a larger effort of developing a worldwide database of lifetimes that can help establishing reference baselines of stability performance for OPVs and other emerging PV technologies, which can then be utilized for pass-fail testing standards and predicting tools. The study constitutes scanning of literature articles related to stability data of OPVs, reported until mid-2015 and collecting the reported data into a database. A generic lifetime marker is utilized for rating the stability of various reported devices. The collected data is combined with an earlier developed and reported database, which was based on articles reported until mid-2013. The extended database is utilized for establishing the baselines of lifetime for OPVs tested under different conditions. The work also provides the recent progress in stability of unencapsulated OPVs with different architectures, as well as presents the updated diagram of the reported record lifetimes of OPVs. The presented work is another step forward towards the development of pass-fail testing standards and lifetime prediction tools for emerging PV technologies.This work has been supported by European Commission StableNextSol COST Action MP1307. The research leading to these results has received funding from the European Union Seventh Framework Programme (FP7/2007-2013) under grant agreement n° 609788 (CHEETAH)

Keratin: Structure, mechanical properties, occurrence in biological organisms, and efforts at bioinspiration

A ubiquitous biological material, keratin represents a group of insoluble, usually high-sulfur content and filament-forming proteins, constituting the bulk of epidermal appendages such as hair, nails, claws, turtle scutes, horns, whale baleen, beaks, and feathers. These keratinous materials are formed by cells filled with keratin and are considered 'dead tissues'. Nevertheless, they are among the toughest biological materials, serving as a wide variety of interesting functions, e.g. scales to armor body, horns to combat aggressors, hagfish slime as defense against predators, nails and claws to increase prehension, hair and fur to protect against the environment. The vivid inspiring examples can offer useful solutions to design new structural and functional materials. Keratins can be classified as α- and β-types. Both show a characteristic filament-matrix structure: 7 nm diameter intermediate filaments for α-keratin, and 3 nm diameter filaments for β-keratin. Both are embedded in an amorphous keratin matrix. The molecular unit of intermediate filaments is a coiled-coil heterodimer and that of β-keratin filament is a pleated sheet. The mechanical response of α-keratin has been extensively studied and shows linear Hookean, yield and post-yield regions, and in some cases, a high reversible elastic deformation. Thus, they can be also be considered 'biopolymers'. On the other hand, β-keratin has not been investigated as comprehensively. Keratinous materials are strain-rate sensitive, and the effect of hydration is significant. Keratinous materials exhibit a complex hierarchical structure: polypeptide chains and filament-matrix structures at the nanoscale, organization of keratinized cells into lamellar, tubular-intertubular, fiber or layered structures at the microscale, and solid, compact sheaths over porous core, sandwich or threads at the macroscale. These produce a wide range of mechanical properties: the Young's modulus ranges from 10 MPa in stratum corneum to about 2.5 GPa in feathers, and the tensile strength varies from 2 MPa in stratum corneum to 530 MPa in dry hagfish slime threads. Therefore, they are able to serve various functions including diffusion barrier, buffering external attack, energy-absorption, impact-resistance, piercing opponents, withstanding repeated stress and aerodynamic forces, and resisting buckling and penetration. A fascinating part of the new frontier of materials study is the development of bioinspired materials and designs. A comprehensive understanding of the biochemistry, structure and mechanical properties of keratins and keratinous materials is of great importance for keratin-based bioinspired materials and designs. Current bioinspired efforts including the manufacturing of quill-inspired aluminum composites, animal horn-inspired SiC composites, and feather-inspired interlayered composites are presented and novel avenues for research are discussed. The first inroads into molecular-based biomimicry are being currently made, and it is hoped that this approach will yield novel biopolymers through recombinant DNA and self-assembly. We also identify areas of research where knowledge development is still needed to elucidate structures and deformation/failure mechanisms