On Incentives for Sustainable Investments

There is a trend among institutional investors to split their assets between index-managers and specialists. The specialist mandates are typically delegated to specialist asset managers, who are assumed to generate "alpha", take on large risks and whose remuneration is performance based. In this paper, we will study how the optimal behavior of the specialist manager will depend on the remuneration structure.Incentives; portfolio choice; sustainable investments; value function

Markov Processes

This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel. </p> The L\'evy process papers relate the distribution of the supremum of a L\'evy process over a compact time interval to the distribution of the process value at the right endpoint of this interval. L\'evy processes are sorted into different classes depending on the tails of their univariate marginal distributions. In the first paper we treat processes with heavier tails, while processes with lighter tails are handled in the second paper. Our results are applicable to many processes recently introduced in mathematical finance. For instance, they may be used to approximate the distribution of the maximum of a stock price over a finite time span. </p> The papers on the Kac model mainly deal with an approximation of the Kac model with unbounded collsion kernel where small jumps are replaced by a Brownian motion. In the first and more theoretical of these papers we prove convergence of the approximating processes to the process with unbounded collision kernel. We also give results on the spectral gap of the Kac model with unbounded collision kernel. In the second paper on the Kac model we present numerical results which show that our approximation scheme gives a considerable improvement of the standard approximation which uses only a truncated collision kernel and that this improvement is more obvious as the collsion kernel gets more singular. Our numerical investigations are carried out for the Kac model with Gaussian thermostat as well as for a more physically relevant three-dimensional model

Självkompakterande betong

Validerat; 20111221 (anonymous

On the Asymptotic Behaviour of Superexponential Lévy Processes

We study tail probabilities of superexponential infinite divisible distributions as well as tail probabilities of suprema of Lévy processes with superexponential marginal distributions over compact intervals

Brownian Approximation and Monte Carlo Simulation of the Non-Cutoff Kac Equation

The non-cutoff Boltzmann equation can be simulated using the DSMC method, by a truncation of the collision term. However, even for computing stationary solutions this may be very time consuming, in particular in situations far from equilibrium. By adding an appropriate diffusion, to the DSMC-method, the rate of convergence when the truncation is removed, may be greatly improved. We illustrate the technique on a toy model, the Kac equation, as well as on the full Boltzmann equation in a special case

On the asymptotic behaviour of Lévy processes, Part I: Subexponential and exponential processes

We study tail probabilities of the suprema of Lévy processes with subexponential or exponential marginal distributions over compact intervals. Several of the processes for which the asymptotics are studied here for the first time have recently become important to model financial time series. Hence our results should be important, for example, in the assessment of financial risk.CGMY process Esscher transform Exponential distribution Extreme value theory GH process GZ process Infinitely divisible distribution Lévy process Long-tailed distribution Semi-heavy-tailed distribution Subexponential distribution

Effect of Piston Shape and Swirl Ratio on Engine Heat Transfer in a Light-Duty Diesel Engine

Heat transfer losses are one of the largest loss contributions in a modern internal combustion engine. The aim of this study is to evaluate the contribution of the piston bowl type and swirl ratio to heat losses and performance. A commercial CFD tool is used to carry out simulations of four different piston bowl geometries, at three engine loads with two different swirl ratios at each load point. One of the geometries is used as a reference point, where CFD results are validated with engine test data. All other bowl geometries are scaled to the same compression ratio and make use of the same fuel injection, with a variation in the spray target between cases. The results show that the baseline case, which is of a conventional diesel bowl shape, provides the best emission performance, while a more open, tapered, lip-less combustion bowl is the most thermodynamically efficient. The results also show that the effects of swirl are not consequent throughout all piston geometries, as the flow field response to swirl variations is different in the various piston geometries

Citizen science in radiation research

A growing trend in science is that research institutions reach out to members of the public for participating in research. The reasons for outreach are many, spanning from the desire to collect and/or analyse large sets of data efficiently, to the idea of including the general public on a very fundamental level in science-making and ultimately decision-making. The presented project is curriculum-based and carried out in 240 lower secondary school classes (pupils of age 13-16). The task, as designed by the participating universities, is to collect mushrooms, soil and animal droppings from different parts of Sweden, do preliminary sample preparation and analyses and send the samples to the university institutions for radioactivity measurement. Behind the project is a desire to compare today’s levels of 137Cs with those deposited right after the Chernobyl accident in 1986, but also to study the exchange of caesium between organisms as well as the impacts of biological and geological processes on uptake and retention. The scientific outcome is a geodatabase with the 137Cs activity (Bq/m2) present in the Swedish environment, where radioactivity data can be linked to the species (fungi, competing species, animals foraging), forest type, land type, land use and other environmental factors. The science question is of interest to the general public as foraging for mushrooms, as well as spending recreational time in forests is widely popular in Sweden. In this article, we will discuss the current status of the project and the observations we have made about how well the public can participate in scientific research. Focus will be on organization of the project, such as logistics, preparation of supportive material, feedback and communication between researchers and schools. We will present observations about the impact the project has had on the participants, based on quantitative and qualitative evaluations