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Congress Report 2007.03-04
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The scope of this diploma thesis is to examine the four generations of asset pricing models and the corresponding volatility dynamics which have been devepoled so far. We proceed as follows: In chapter 1 we give a short repetition of the Black-Scholes first generation model which assumes a constant volatility and we show that volatility should not be modeled as constant by examining statistical data and introducing the notion of implied volatility. In chapter 2, we examine the simplest models that are able to produce smiles or skews - local volatility models. These are called second generation models. Local volatility models model the volatility as a function of the stock price and time. We start with the work of Dupire, show how local volatility models can be calibrated and end with a detailed discussion of the constant elasticity of volatility model. Chapter 3 focuses on the Heston model which represents the class of the stochastic volatility models, which assume that the volatility itself is driven by a stochastic process. These are called third generation models. We introduce the model structure, derive a partial differential pricing equation, give a closed-form solution for European calls by solving this equation and explain how the model is calibrated. The last part of chapter 3 then deals with the limits and the mis-specifications of the Heston model, in particular for recent exotic options like reverse cliquets, Accumulators or Napoleons. In chapter 4 we then introduce the Bergomi forward variance model which is called fourth generation model as a consequence of the limits of the Heston model explained in chapter 3. The Bergomi model is a stochastic local volatility model - the spot price is modeled as a constant elasticity of volatility diffusion and its volatility parameters are functions of the so called forward variances which are specified as stochastic processes. We start with the model specification, derive a partial differential pricing equation, show how the model has to be calibrated and end with pricing examples and a concluding discussion.
This technical report contains the preliminary versions of the regular papers presented at the first workshop on Verification of Adaptive Systems (VerAS) that has been held in Kaiserslautern, Germany, on September 14th, 2007 as part of the 20th International Conference on Theorem Proving in Higher Order Logics. The final versions will be published with Elsevier's Electronic Notes on Theoretical Computer Science (ENTCS). VerAS is the first workshop that aims at considering adaptation as a cross-cutting system aspect that needs to be explicitly addressed in system design and verification. The program committee called for original submissions on formal modeling, specification, verification, and implementation of adaptive systems. There were six submissions from different countries of Europe. Each submission has been reviewed by three programme committee members. Finally, the programme committee decided to accept three of the six submissions. Besides the presentations of the regular papers, the workshop's programme included a tutorial on the `Compositional Verification of Self-Optimizing Mechatronic Systems' held by Holger Giese (University of Paderborn, Germany) as well as three presentations of DASMOD projects on the verification of adaptive systems.
This technical report is the Emerging Trends proceedings of the 20th International Conference on Theorem Proving in Higher Order Logics (TPHOLs 2007), which was held during 10-13 September in Kaiserslautern, Germany. TPHOLs covers all aspects of theorem proving in higher order logics as well as related topics in theorem proving and verification.
In this thesis we classify simple coherent sheaves on Kodaira fibers of types II, III and IV (cuspidal and tacnode cubic curves and a plane configuration of three concurrent lines). Indecomposable vector bundles on smooth elliptic curves were classified in 1957 by Atiyah. In works of Burban, Drozd and Greuel it was shown that the categories of vector bundles and coherent sheaves on cycles of projective lines are tame. It turns out, that all other degenerations of elliptic curves are vector-bundle-wild. Nevertheless, we prove that the category of coherent sheaves of an arbitrary reduced plane cubic curve, (including the mentioned Kodaira fibers) is brick-tame. The main technical tool of our approach is the representation theory of bocses. Although, this technique was mainly used for purely theoretical purposes, we illustrate its computational potential for investigating tame behavior in wild categories. In particular, it allows to prove that a simple vector bundle on a reduced cubic curve is determined by its rank, multidegree and determinant, generalizing Atiyah's classification. Our approach leads to an interesting class of bocses, which can be wild but are brick-tame.
In urban planning, sophisticated simulation models are key tools to estimate future population growth for measuring the impact of planning decisions on urban developments and the environment. Simulated population projections usually result in large, macro-scale, multivariate geospatial data sets. Millions of records have to be processed, stored, and visualized to help planners explore and analyze complex population patterns. We introduce a database driven framework for visualizing geospatial multidimensional simulation data based on the output from UrbanSim, a software for the analysis and planning of urban developments. The designed framework is extendable and aims at integrating empirical-stochastic methods and urban simulation models with techniques developed for information visualization and cartography. First, we develop an empirical model for the estimation of residential building types based on demographic household characteristics. The predicted dwelling type information is important for the analysis of future material use, carbon footprint calculations, and for visualizing simultaneously the results of land usage, density, and other significant parameters in 3D space. Our model uses multinomial logistic regression to derive building types at different scales. The estimated regression coefficients are applied to UrbanSim output in order to predict residential building types. The simulation results and the estimated building types are managed in an object-relational geodatabase. From the database, density, building types, and significant demographic variables are visually encoded as scalable, georeferenced 3D geometries and displayed on top of aerial photographs in a Google Earth visual synthesis. The geodatabase can be accessed and the visualization parameters can be chosen through a web-based user interface. The geometries are encoded in KML, Google's markup language, as ready-to-visualize data sets. The goal is to enhance human cognition by displaying abstract representations of multidimensional data sets in a realistic context and thus to support decision making in planning processes.
Unternehmen sind heute mit einem globalen Wettbewerb und großen Herausforderungen konfrontiert, wie z. B. kurzen Produktlebenszyklen oder hohen Anforderungen an die Prozess- und Ergebnissicherheit. Verschiedene daten- und technologiegetriebene sowie prozessorientierte Ansätze der Produktionsgestaltung versuchen, Lösungen für Produktionssysteme zu entwickeln, um diese Herausforderungen zu bewältigen und im globalen Wettbewerb bestehen zu können. Jede einzelne Richtung der Produktionsgestaltung weist dabei Vorteile und Defizite auf. Durch „Smart Production Systems“ werden die Grundideen der einzelnen Ansätze, die bisher als unvereinbar galten, zusammengeführt. Dadurch können einzelne Defizite ausgeglichen werden, ohne auf die bekannten Vorteile zu verzichten. Der Grundgedanke von „Smart Production Systems“ ist es, „wissensinkorporierte Objekte“ in Produktionsprozessen einzusetzen, um die Abläufe jederzeit nachvollziehbar und damit das zugehörige Produktionssystem sicher, effizient und flexibel zu gestalten. Wissensinkorporierte Objekte stellen dabei Produktionsobjekte dar, die neben ihrer eigentlichen Funktion informationstechnische Funktionen besitzen, mittels derer sie Daten speichern und wieder bereitstellen können. Der Einsatz wissensinkorporierter Objekte in „Smart Production Systems“ kann mit Hilfe des Konzepts Gestaltungswürfels „Smart Cube“ strukturiert analysiert, geplant, konzeptioniert, bewertet, implementiert, genutzt und gesichert werden. Das Konzept des Gestaltungswürfels „Smart Cube“ wird durch ein Organisations-, ein Referenz-, ein Umsetzungsmodell und mehrere spezifische Anwendungsmodelle beschrieben: 1) Das Organisationsmodell erläutert als Ansatzpunkt von „Smart Production Systems“ die Stellung des Informationsflusses und Materialfluss sowie den Zusammenhang zwischen Datenmenge und Entscheidungsreichweite innerhalb einer Produktionsorganisation. 2) Das Referenzmodell wird aus den drei räumlichen Achsen Wirkungs-, Objekt- und Prozess- sowie Informationsstruktur aufgebaut. Es erfüllt folgende Aufgaben: - Es beschreibt die grundsätzlichen Ausprägungen von Wirkungs-, Objekt- und Prozess- sowie Informationsstrukturen und deren Kombinationsmöglichkeiten innerhalb von Produktionssystemen. - Es erläutert die Zusammenhänge zwischen Technologie-, Logistik- und Kommunikationskomplexität und ermöglicht damit die Einordnung von spezifischen Produktionssystemen in das Referenzmodell. - Mit den verschiedenen Koordinaten der einzelnen Achsen liefert es eine Systematik zur Bezeichnung der verschiedenen möglichen Kombinationen, die es ermöglicht, Anwendungsmodelle aus dem Referenzmodell abzuleiten. 3) Die Anwendungsmodelle konkretisieren das Referenzmodell hinsichtlich der in einem Produktionssystem enthaltenen Objekte und Prozesse. Aufgrund der verschiedenen möglichen Kombinationen der Ausprägungen der einzelnen Strukturen im Referenzmodell lassen sich 27 verschiedene Anwendungsmodelle bilden. 4) Das Umsetzungsmodell beschreibt das Vorgehen bei der Gestaltung von Produktionssystemen mit Hilfe des Gestaltungswürfels „Smart Cube“ . Am Beispiel eines Neugestaltungsprojektes in einem Unternehmen aus der Automobilzulieferindustrie wird gezeigt, wie mit Hilfe des entwickelten Konzeptes Gestaltungswürfel „Smart Cube“ der Einsatz von wissensinkorporierten Objekten systematisch gestaltet werden kann: - Mit der Gestaltung von Kanbankarten zu wissensinkorporierten Objekten kann der manuelle Buchungsaufwand minimiert und der Anteil nicht-wertschöpfender Tätigkeiten klein gehalten werden. - Mit Hilfe des Einsatzes wissensinkorporierter Objekte in einem Fabriksystem können Zielkonflikte zwischen Sicherheit und Effizienz gelöst werden.
The nowadays increasing number of fields where large quantities of data are collected generates an emergent demand for methods for extracting relevant information from huge databases. Amongst the various existing data mining models, decision trees are widely used since they represent a good trade-off between accuracy and interpretability. However, one of their main problems is that they are very instable, which complicates the process of the knowledge discovery because the users are disturbed by the different decision trees generated from almost the same input learning samples. In the current work, binary tree classifiers are analyzed and partially improved. The analysis of tree classifiers goes from their topology from the graph theory point of view to the creation of a new tree classification model by means of combining decision trees and soft comparison operators (Mlynski, 2003) with the purpose to not only overcome the well known instability problem of decision trees, but also in order to confer the ability of dealing with uncertainty. In order to study and compare the structural stability of tree classifiers, we propose an instability coefficient which is based on the notion of Lipschitz continuity and offer a metric to measure the proximity between decision trees. This thesis converges towards its main part with the presentation of our model ``Soft Operators Decision Tree\'\' (SODT). Mainly, we describe its construction, application and the consistency of the mathematical formulation behind this. Finally we show the results of the implementation of SODT and compare numerically the stability and accuracy of a SODT and a crisp DT. The numerical simulations support the stability hypothesis and a smaller tendency to overfitting the training data with SODT than with crisp DT is observed. A further aspect of this inclusion of soft operators is that we choose them in a way so that the resulting goodness function (used by this method) is differentiable and thus allows to calculate the best split points by means of gradient descent methods. The main drawback of SODT is the incorporation of the unpreciseness factor, which increases the complexity of the algorithm.
The provision of quality-of-service (QoS) on the network layer is a major challenge in communication networks. This applies particularly to mobile ad-hoc networks (MANETs) in the area of Ambient Intelligence (AmI), especially with the increasing use of delay and bandwidth sensitive applications. The focus of this survey lies on the classification and analysis of selected QoS routing protocols in the domain of mobile ad-hoc networks. Each protocol is briefly described and assessed, and the results are summarized in multiple tables.