Financial Securities Under Nonlinear Diffusion Asset Pricing Model

In this thesis we investigate two pricing models for valuing financial derivatives. Both models are diffusion processes with a linear drift and nonlinear diffusion coefficient. The forward price process of these models is a martingale under an assumed risk-neutral measure and the transition probability densities are given in analytically closed form. Specifically, we study and calibrate two different families of models that are constructed based on a so-called diffusion canonical transformation. One family follows from the Ornstein-Uhlenbeck diffusion (the UOU family) and the other—from the Cox-Ingersoll-Ross process (the Confluent-U family). The first part of the thesis considers single-asset and multi-asset modeling under the ∪O∪ model. By applying a Gaussian copula, a multivariate UOU model is constructed whereby all discounted asset (forward) prices are martingales. We succeed in calibrating the ∪O∪ model to market call option prices for various companies. Moreover, the multivariate ∪O∪ model is calibrated to historical return data and captures the correlations for a pool of 4 assets. In the second part of the thesis we examine the application of the Confluent-U model to the credit risk modeling. An equity-based structural first-passage time default model is constructed based on the Confluent-U model with efficient closed-form (i.e. spectral expansions) formulas for default probabilities. The model robustness is tested by its calibration to the credit default swap (CDS) spreads for companies with various credit ratings. It is shown that the model can be accurately calibrated to the credit spreads with a piecewise default barrier level. Finally, we investigate the linkage between CDS spreads and out-of-the-money put options

Modelling polymer electrolyte membrane fuel cells for dynamic reliability assessment

Tackling climate change is arguably the biggest challenge humanity faces in the 21st century. Rising average global temperatures threaten to destabilize the fragile ecosystem of the Earth and bring unprecedented changes to human lives if nothing is done to prevent it. This phenomenon is caused by the anthropogenic greenhouse effect due to the increasing atmospheric concentrations of carbon dioxide (CO2). One way to avert the disaster is to drastically reduce the consumption of fossil fuels in all spheres of human activities, including transportation. To do this, research and development of electric vehicles (EVs) to make them more efficient, reliable and accessible is essential. [Continues.

Assortment optimization using an attraction model in an omnichannel environment

Making assortment decisions is becoming an increasingly difficult task for many retailers worldwide as they implement omnichannel initiatives. Discrete choice modeling lies at the core of this challenge, yet existing models do not sufficiently account for the complex shopping behavior of customers in an omnichannel environment. In this paper, we introduce a discrete choice model called the multichannel attraction model (MAM). A key feature of the MAM is that it specifically accounts for both the product substitution behavior of customers within each channel and the switching behavior between channels. We formulate the corresponding assortment optimization problem as a mixed integer linear program and provide a computationally efficient heuristic method that can be readily used for obtaining high-quality solutions in large-scale omnichannel environments. We also present three different methods to estimate the MAM parameters based on aggregate sales transaction data. Finally, we describe general effects of the implementation of widely-used omnichannel initiatives on the MAM parameters, and carry out numerical experiments to explore the structure of optimal assortments, thereby gaining new insights into omnichannel assortment optimization. Our work provides the analytical framework for future studies to assess the impact of different omnichannel initiatives

Experience and perspectives of using active noise and vibration control for reduction of low frequency noise and vibration in gas guide systems of power plants

One of the main reasons of generation of intensive noise and vibration in low frequency range are gas pressure pulsations (oscillations) in gas guide systems of power plants. Active noise and vibration control now is considered as efficient method of low frequency noise and vibration for different applications, including reduction of low frequency noise and vibration in gas guide systems of power plants. Results of analysis of application of active noise and vibration control systems for the reduction of power plants low frequency noise and vibration are described. The examples are showing high possibilities and efficiency of active noise and vibration control method. In a meantime, existing constructions of ANVC systems are having some drawbacks. Author’s experience of development of constructions and technical solutions of ANVC systems for reduction of low frequency noise and vibration in power plants gas guide systems is presented. Further perspectives of increasing of efficiency of ANVC control of low frequency noise and vibration reduction generated by power plants are discussed

Electrical Conductivity of Water Treated by Spark Discharge

Electrical conductivity is an electrophysical characteristic, which is considered to be an estimate of the ability of substances to miss electrical current. Achieving the result of the formation of electrohydraulic discharges in water directly depends on the magnitude of the electrical conductivity, which argues the relevance of the topic. The paper presents the results of a study of the influence of electrohydraulic treatment on the change in the electrical conductivity of water. As a result of identifying significant factors influencing the process, rational parameters of the technological mode of electrohydraulic treatment of distilled, lake and tap water were selected. Curves of functional dependences of electrical conductivity on the number of spark high-voltage pulsed discharges are constructed. The relationship between the electrical conductivity of water and the modes of electrohydraulic effects is established