Statistics, pricing and model risk

In dieser Arbeit entwickeln wir neue Methoden und Verfahren, um aktuelle Modellierungsverfahren zu ergänzen und zu verbessern und um so ein tieferes Verständnis von Energiemärkten zu gewinnen. Wir untersuchen verschiedene Aspekte der stochastischen Modellierung von Energiemärkten: wir analysieren stochastische Eigenschaften von Elektrizitätsmärkten, betrachten Bewertungsmethoden für verschiedene Energie-verwandte Finanzinstrumente, entwerfen ein neues Speichermodell und untersuchen Modellrisiko. Im Zuge dessen wenden wir Methoden der verschiedenen Bereiche der angewandten Mathematik, von statistischen und ökonometrischen Techniken über einen auf partielle Differenzialgleichung basierenden Ansatz bis hin zu Algorithmen der numerischen Analysis, an. Wir modifizieren und erweitern diese Methoden, um sie auf unsere Problemstellung anwenden zu können. Die Resultate der Arbeit sind theoretischer und praktischer Natur. Folgende Ergebnisse der Arbeit seien besonders hervorgehoben: 1. Ein kritischer Vergleich der Eigenschaften und der Schätzverfahren von drei kürzlich veröffentlichten und weitverbreiteten stochastischen Elektrizitätspreismodellen zeigt, dass keines der Modelle eines der anderen übertrifft. Wichtiger bei der Modellierung von Elektrizitätspreisen ist, dass additive Modelle aufgrund ihrer analytischen Lenkbarkeit effizienter sind und die Elektrizitätspreise als Summe verschiedener stochastischer Prozesse verantwortlich für unterschiedliche Preisschwankungsausschläge und mean-reversion Kräfte darstellen. 2. Eine auf integro-partielle Differenzialgleichung (integro-PDE) basierende Methode wird implementiert, um die Dynamiken des Elektrizitätsforwardpreises für ein regime-switching Elektrizitätspreismodell zu finden, die für Hedging von grundlegender Bedeutung sind. 3. Ein neuer Ansatz der Speicherbewertung wird entwickelt, um aktuelle stochastische Methoden der optimalen Steuerung zu ergänzen und eine optimale Speichersteuerung zu finden. Die Hauptneuheit ist der Speicherstandsprozess, der als beschränkte Diffusion dargestellt wird. Hierzu können wir Formeln für die Übergangswahrscheinlichkeitsdichten herleiten, die eine große Variabilität weiterer Anwendungen in der Bepreisung und Speicherbewertung erlauben. 4. Wir wenden eine detaillierte Untersuchung der verschiedenen Risikoquellen bei der Elektrizitätspreismodellierung auf das Beispiel eines Gaskraftwerkes an and finden, dass das Risiko von Preisspikes bei weitem die wichtigste Quelle des Modellrisikos ist.In this thesis we develop new methods and procedures to complement and improve current modelling frameworks and to provide a deeper and better understanding of energy markets. We investigate various aspects of stochastic modelling of energy markets: we analyse statistical properties of power markets, study pricing methods for different financial energy-related instruments, design a new storage model and examine model risk. In doing so we apply a wide range of methods from different branches of applied mathematics ranging from statistical and econometric techniques to a partial differential equations based approach and algorithms from numerical analysis. We modify and extend these methods to make them applicable to our problem setting. The study reveals results of both theoretical and practical importance. In particular, there are the main findings of this thesis: 1. A critical comparison of the properties and estimation procedures of three recently proposed and widely used stochastic power price models shows that none of the models outperforms each other, as all of them have some drawbacks. The more important issue when modelling power prices is that it is more efficient to use additive models (due to their analytical tractability) which present a power price as a sum of various stochastic process responsible for different price fluctuation magnitudes and mean-reversion forces. 2. An integro-partial differential equation (integro-PDE) based method is implemented to find the power forward price dynamics for a regime-switching power price model which is a critical issue for hedging purposes. 3. A new approach to storage value modelling is developed to complement current stochastic optimal control methods on finding an optimal storage policy. The main novelty is that the storage level process is represented as a bounded diffusion for which we are able to derive the transition probability density formula which in turn allows for a great variability of further applications to pricing and value storage. 4. A detailed investigation of various sources of risks when modelling power price is applied to the example of a gas-fired power plant and finds that spike risk is by far the most important source of model risk

Exploring scientific language in biologists’ academic course of English

The article is devoted to the questions connected with teaching English to students of non-linguistic specialties. For example, teaching professionally focused reading and writing scientific articles and organization of listening on professional topics. In these cases, as it is mentioned teacher must choose teaching materials carefully and very often use discursive analysis. The methods used in the article are questionnaire and observation. The main purpose of the article is to correlate results of the questionnaire which was connected with expectations of foreign language course and which was done by the first-year students of the Institute of Fundamental Medicine and Biology and some features of teaching "English for specific purposes" which can help to satisfy expectations. Materials of the article can be useful for university foreign language teachers during elaboration of "English for specific purposes" course.peer-reviewe

ФОРМУВAННЯ ПОДAТКОВОЇ ПОВЕДIНКИ З УРAХУВAННЯМ НAЯВНОСТI ТIНЬОВОЇ ЕКОНОМІКИ

In this study, the main attention is paid to the problem of "shadowing" the Ukrainian economy during the crisis period. Theoretical approaches to determining the functions of taxes and factors affecting real tax revenues were studied. A scientific study was carried out that will reveal the motives of the behavior of taxpayers, who are explicitly or implicitly laid in the basis of approaches to the formation of the mechanism of taxation and tax policy of the state. Consequently, we tried to determine motives of the behavior of taxpayers, which explicitly or implicitly form the basis of approaches to the formation of the tax mechanism and the tax policy of the state.  So, we tried to determine the level of the shadow economy, taking into account the modeling of the dynamics of tax behavior of economic entities, which, of course, will allow to increase the efficiency of management of the budget process, in particular, planning of budget expenditures to regional authorities.The article defines the necessity of improving the tools of state regulation of the economy, taking into account the specific conditions of development, and creates scientific and methodological support for the formation of concepts, strategies and programs of socio-economic development of the country and regions by the authorities. The theoretical positions concerning the role of the state in the regulation of fiscal-budgetary relations in the light of the evolution of the views of the known economic schools are outlined, and the expediency of introducing the views of well-known economic schools into practice has been outlined, which will help to develop regulatory measures to overcome negative phenomena in the economyIt is generally agreed that evasion of payment of taxes and fees leads to a number of negative consequences for both state power, and for the country's society (the threat of development, the collapse of the national economy, the negative influence on the distribution of resources redistribution between the spheres of economy, the threat to democratic values and social institutions). Systematically conceptualized the motives of the behavior of the subtitles, which were used as the basis for the formation of the mechanism of the podcasting and subjective policy of the state. Factors influencing the regulatory policy of the country and the factors influencing the adoption of decisions by the parties associated with the subtraction of subtractions are considered. The structure of the mechanization of the formation of a subtle behavior is proposed. The problems of tax evasion were identified and countermeasures were proposed to facilitate the development of an effective state anti-political policy in Ukraine.Основное внимание уделено проблеме «тенизации» экономики Украины в кризисный период. Обосновано, что уклонение от уплаты налогов и сборов приводит к ряду негативных  последствий как для государственной власти, так и для социума страны (угроза развития, угроза национальной экономике, негативное влияние на распределение и перераспределение ресурсов между сферами экономики, угроза демократическим ценностям и социальным институтам). Систематизированы концепции  мотивов поведения плательщиков налогов, которые положены в основу подходов к формированию механизмов налогообложения и налоговой политики государства. Рассмотрены факторы влияния на регуляторную политику Украины и факторы, которые влияют на принятия плательщиками решений, связанных с оплатой налогов. Предложена структура механизма формирования налогового поведения. Выявлены проблемы уклонения от уплаты налогов и предложены механизмы противодействия с целью содействия разработке эффективной государственной антитеневой политики в Украине.Основну увагу приділено проблемі «тінізації» економіки України в кризовий період. Вивчено теоретичні підходи до визначення функцій податків і факторів, що впливають на реальні податкові надходження. Проведено наукове дослідження, яке дозволить виявити мотиви поведінки платників податків, які явно або неявно закладаються в основу підходів до формування механізму оподаткування і податкової політики держави. Отже, ми спробували визначити рівень тіньової економіки при врахуванні моделювання динаміки податкової поведінки економічних суб’єктів, що, безумовно, дозволить підвищити ефективність управління бюджетним процесом, зокрема планування бюджетних видатків регіональним органам влади.Визначено необхідність удосконалення інструментарію державного регулювання економіки, що ураховує конкретні умови розвитку і створює науково-методичне забезпечення формування органами влади концепцій, стратегій та програм соціально-економічного розвитку країни та регіонів. Окреслено теоретичні положення щодо ролі держави в регулюванні фінансово-бюджетних відносин у світлі еволюції поглядів відомих економічних шкіл, у результаті чого встановлено доцільність у впровадженні поглядів відомих економічних шкіл у практику, що допоможе виробити регулятивні заходи подолання негативних явищ в економіці.Обґрунтовано, що ухилення вiд сплaти подaткiв тa зборiв призводить до низки негaтивних нaслiдкiв як для держaвної влaди, тaк i для соцiуму крaїни (зaгрозa розвитку, зaгрозa нaцiонaльнiй економiцi, негaтивний вплив нa розподiл тa перерозподiл ресурсiв мiж сферaми економiки, зaгрозa демокрaтичним цiнностям тa соцiaльним iнститутaм). Системaтизовaно концепцiї про мотиви поведiнки плaтникiв подaткiв, якi поклaдено в основу пiдходiв до формувaння мехaнiзму оподaтковувaння тa подaткової полiтики держaви. Розглянуто фaктори впливу нa регуляторну полiтику крaїни та фaктори, якi впливaють нa ухвалення плaтникaми рiшень, пов’язaних зi сплaтою подaткiв. Запропоновано структуру мехaнiзму формувaння подaткової поведiнки. Виявлено проблеми ухилення від сплати податків та запропоновано механізми протидії з метою сприяння розробленню ефективної державної антитіньової політики в Україні

Chironomid-based temperature reconstruction for the Eemian Interglacial (MIS 5e) at Sokli, northeast Finland

Peer reviewe

Vulvar intraepithelial neoplasia associated with HPV infection: clinical, diagnostic, therapeutic and prophylactic aspects: A review

The analytical review presents data from the world literature, which discusses the relevance of vulvar intraepithelial neoplasia associated with human papillomavirus (uVIN). The incidence of uVIN is steadily increasing, especially in young women, and 1011.2% of cases can progress to vulvar carcinoma. More than 50% of uVIN cases are associated with anogenital diseases associated with the human papillomavirus, which determines the need for a comprehensive assessment and proper treatment of uVIN patients

Application of PEG-Covered Non-Biodegradable Polyelectrolyte Microcapsules in the Crustacean Circulatory System on the Example of the Amphipod Eulimnogammarus verrucosus

Layer-by-layer assembled microcapsules are promising carriers for the delivery of various pharmaceutical and sensing substances into specific organs of different animals, but their utility in vivo inside such an important group as crustaceans remains poorly explored. In the current study, we analyzed several significant aspects of the application of fluorescent microcapsules covered by polyethylene glycol (PEG) inside the crustacean circulatory system, using the example of the amphipod Eulimnogammarus verrucosus. In particular, we explored the distribution dynamics of visible microcapsules after injection into the main hemolymph vessel; analyzed the most significant features of E. verrucosus autofluorescence; monitored amphipod mortality and biochemical markers of stress response after microcapsule injection, as well as the healing of the injection wound; and finally, we studied the immune response to the microcapsules. The visibility of microcapsules decreased with time, however, the central hemolymph vessel was confirmed to be the most promising organ for detecting the spectral signal of implanted microencapsulated fluorescent probes. One million injected microcapsules (sufficient for detecting stable fluorescence during the first hours after injection) showed no toxicity for six weeks, but in vitro amphipod immune cells recognize the PEG-coated microcapsules as foreign bodies and try to isolate them by 12 h after contact

Management of patients with vulvovaginal atrophy and cytological abnormalities

The data on managing patients with vulvovaginal atrophy and abnormal cytological results are provided for obstetrician-gynecologists

The impact of secondary mineral formation on Na-K-geothermometer readings: a case study for the Valley of Geysers hydrothermal system (Kronotsky State Nature Biosphere Reserve, Kamchatka)

The temperature in the Valley of Geysers (Kamchatka) geothermal reservoir calculated using the feldspar Na-K-geothermometer has been steadily increasing over the past 10 years on average from 165 to 235 °C, which is close to the temperature values of a hydrothermal explosion of the steam and water mixture. For the analysis of chemical geothermometers, TOUGHREACT-simulation was used, with the help of which the previously known Na-K feldspar geothermometer was reproduced on a single-element model and new formulas were obtained for three Na-K geothermometers: zeolite, smectite, and based on volcanic glass. Data of chemical analysis for the period 1968-2018, in which the chloride ion is considered as an inert tracer of geofiltration processes, indicates that after 2007 a significant inflow of infiltration water (its mass fraction is estimated from 5 to 15 %) into the Geyser reservoir. It is assumed that the Na-K increased values of the feldspar geothermometer are not the result of the temperature increase in the Geyser reservoir, but the effect of smectite water dilution