## Fachbereich Mathematik

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- Fachbereich Mathematik (195)
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- Doctoral Thesis (195) (remove)

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- Aspects of Optimal Capital Structure and Default Risk (2006)
- In this thesis, we have dealt with two modeling approaches of the credit risk, namely the structural (firm value) and the reduced form. In the former one, the firm value is modeled by a stochastic process and the first hitting time of this stochastic process to a given boundary defines the default time of the firm. In the existing literature, the stochastic process, triggering the firm value, has been generally chosen as a diffusion process. Therefore, on one hand it is possible to obtain closed form solutions for the pricing problems of credit derivatives and on the other hand the optimal capital structure of a firm can be analysed by obtaining closed form solutions of firm's corporate securities such as; equity value, debt value and total firm value, see Leland(1994). We have extended this approach by modeling the firm value as a jump-diffusion process. The choice of the jump-diffusion process was a crucial step to obtain closed form solutions for corporate securities. As a result, we have chosen a jump-diffusion process with double exponentially distributed jump heights, which enabled us to analyse the effects of jump on the optimal capital structure of a firm. In the second part of the thesis, by following the reduced form models, we have assumed that the default is triggered by the first jump of a Cox process. Further, by following Schönbucher(2005), we have modeled the forward default intensity of a firm as a geometric Brownian motion and derived pricing formulas for credit default swap options in a more general setup than the ones in Schönbucher(2005).

- Inflation-linked Products and Optimal Investment with Macro Derivatives (2006)
- In this thesis diverse problems concerning inflation-linked products are dealt with. To start with, two models for inflation are presented, including a geometric Brownian motion for consumer price index itself and an extended Vasicek model for inflation rate. For both suggested models the pricing formulas of inflation-linked products are derived using the risk-neutral valuation techniques. As a result Black and Scholes type closed form solutions for a call option on inflation index for a Brownian motion model and inflation evolution for an extended Vasicek model as well as for an inflation-linked bond are calculated. These results have been already presented in Korn and Kruse (2004) [17]. In addition to these inflation-linked products, for the both inflation models the pricing formulas of a European put option on inflation, an inflation cap and floor, an inflation swap and an inflation swaption are derived. Consequently, basing on the derived pricing formulas and assuming the geometric Brownian motion process for an inflation index, different continuous-time portfolio problems as well as hedging problems are studied using the martingale techniques as well as stochastic optimal control methods. These utility optimization problems are continuous-time portfolio problems in different financial market setups and in addition with a positive lower bound constraint on the final wealth of the investor. When one summarizes all the optimization problems studied in this work, one will have the complete picture of the inflation-linked market and both counterparts of market-participants, sellers as well as buyers of inflation-linked financial products. One of the interesting results worth mentioning here is naturally the fact that a regular risk-averse investor would like to sell and not buy inflation-linked products due to the high price of inflation-linked bonds for example and an underperformance of inflation-linked bonds compared to the conventional risk-free bonds. The relevance of this observation is proved by investigating a simple optimization problem for the extended Vasicek process, where as a result we still have an underperforming inflation-linked bond compared to the conventional bond. This situation does not change, when one switches to an optimization of expected utility from the purchasing power, because in its nature it is only a change of measure, where we have a different deflator. The negativity of the optimal portfolio process for a normal investor is in itself an interesting aspect, but it does not affect the optimality of handling inflation-linked products compared to the situation not including these products into investment portfolio. In the following, hedging problems are considered as a modeling of the other half of inflation market that is inflation-linked products buyers. Natural buyers of these inflation-linked products are obviously institutions that have payment obligations in the future that are inflation connected. That is why we consider problems of hedging inflation-indexed payment obligations with different financial assets. The role of inflation-linked products in the hedging portfolio is shown to be very important by analyzing two alternative optimal hedging strategies, where in the first one an investor is allowed to trade as inflation-linked bond and in the second one he is not allowed to include an inflation-linked bond into his hedging portfolio. Technically this is done by restricting our original financial market, which is made of a conventional bond, inflation index and a stock correlated with inflation index, to the one, where an inflation index is excluded. As a whole, this thesis presents a wide view on inflation-linked products: inflation modeling, pricing aspects of inflation-linked products, various continuous-time portfolio problems with inflation-linked products as well as hedging of inflation-related payment obligations.

- Quasiregular Projective Panes of Order 16 -- A Computational Approach (2006)
- This thesis discusses methods for the classification of finite projective planes via exhaustive search. In the main part the author classifies all projective planes of order 16 admitting a large quasiregular group of collineations. This is done by a complete search using the computer algebra system GAP. Computational methods for the construction of relative difference sets are discussed. These methods are implemented in a GAP-package, which is available separately. As another result --found in cooperation with U. Dempwolff-- the projective planes defined by planar monomials are classified. Furthermore the full automorphism group of the non-translation planes defined by planar monomials are classified.

- On numerical simulations of viscoelastic fluids. (2006)
- This thesis deals with modeling aspects of generalized Newtonian and of non-Newtonian fluids, as well as with development and validation of algorithms used in simulation of such fluids. The main contribution in the modeling part are the introduction and analysis of a new model for the generalized Newtonian fluids, where constitutive equation is of an algebraic form. Distinction between shear and extensional viscosities leads to anisotropic viscosity model. It can be considered as a natural extension of the well known (isotropic viscosity) Carreau model, which deals only with shear viscosity properties of the fluid. The proposed model takes additionally into account extensional viscosity properties. Numerical results show that the anisotropic viscosity model gives much better agreement with experimental observations than the isotropic one. Another contribution of the thesis consists of the development and analysis of robust and reliable algorithms for simulation of generalized Newtonian fluids. For such fluids the momentum equations are strongly coupled through mixed derivatives appearing in the viscous term (unlike the case of Newtonian fluids). It is shown in this thesis, that a careful treatment of those derivatives is essential in deriving robust algorithms. A modification of a standard SIMPLE-like algorithm is given, where all the viscous terms from the momentum equations are discretized in an implicit manner. Moreover, it is shown that a block diagonal preconditioner to the viscous operator is good enough to be used in simulations. Furthermore, different solution techniques, namely projection type methods (consists of solving momentum equations and pressure correction equation) and fully coupled methods (momentum and continuity equations are solved together), are compared. It is shown, that explicit discretization of the mixed derivatives lead to stability problems. Further, analytical estimates of eigenvalue distribution for three different preconditioners, applied to the transformed system arising after discretization and linearization of the momentum and continuity equations, are provided. We propose to apply a block Gauss-Seidel preconditioner to the transformed system. The analysis shows, that this preconditioner is able to cluster eigenvalues around unity independent of the transformation step. It is not the case for other preconditioners applied to the transformed system as discussed in the thesis. The block Gauss-Seidel preconditioner has also shown the best behavior (among all preconditioners discussed in the thesis) in numerical experiments. Further contribution consists of comparison and validation of numerical algorithms applied in simulations of non-Newtonian fluids modeled by time integral constitutive equations. Numerical results from simulations of dilute polymer solutions, described by the integral Oldroyd B model, have shown very good quantitative agreement with the results obtained by differential Oldroyd B counterpart in 4:1 planar contraction domain at low Weissenberg numbers. In this case, the Weissenberg number is changed by changing the relaxation time. However, contrary to the differential Oldroyd B model, the integral one allows to perform stable simulations also in the range of high Weissenberg numbers. Moreover, very good agreement with experimental observations has been achieved. Simulations of concentrated polymer solutions (polystyrene and polybutadiene solutions), modeled by the integral Doi Edwards model, supplemented by chain length fluctuations, have shown very good qualitative agreement with the results obtained by its differential approximation in 4:1:4 constriction domain. Again, much higher Weissenberg numbers can be achieved when the integral model is used. Moreover, very good quantitative results with experimental data of polystyrene solution for the first normal stress difference and shear viscosity defined here as the quotient of a shear stress and a shear rate. Finally, comparison of the two methods used for approximating the time integral constitutive equation, namely Deformation Field Method (DFM) and Backward Lagrangian Particle Method (BLPM), is performed. In BLPM the particle paths are recalculated at every time step of the simulations, what has never been tried before. The results have shown, that in the considered geometries both methods give similar results.

- Optimization of Beam Orientation in Intensity Modulated Radiation Therapy Planning (2006)
- For the last decade, optimization of beam orientations in intensity-modulated radiation therapy (IMRT) has been shown to be successful in improving the treatment plan. Unfortunately, the quality of a set of beam orientations depends heavily on its corresponding beam intensity profiles. Usually, a stochastic selector is used for optimizing beam orientation, and then a single objective inverse treatment planning algorithm is used for the optimization of beam intensity profiles. The overall time needed to solve the inverse planning for every random selection of beam orientations becomes excessive. Recently, considerable improvement has been made in optimizing beam intensity profiles by using multiple objective inverse treatment planning. Such an approach results in a variety of beam intensity profiles for every selection of beam orientations, making the dependence between beam orientations and its intensity profiles less important. This thesis takes advantage of this property to accelerate the optimization process through an approximation of the intensity profiles that are used for multiple selections of beam orientations, saving a considerable amount of calculation time. A dynamic algorithm (DA) and evolutionary algorithm (EA), for beam orientations in IMRT planning will be presented. The DA mimics, automatically, the methods of beam's eye view and observer's view which are recognized in conventional conformal radiation therapy. The EA is based on a dose-volume histogram evaluation function introduced as an attempt to minimize the deviation between the mathematical and clinical optima. To illustrate the efficiency of the algorithms they have been applied to different clinical examples. In comparison to the standard equally spaced beams plans, improvements are reported for both algorithms in all the clinical examples even when, for some cases, fewer beams are used. A smaller number of beams is always desirable without compromising the quality of the treatment plan. It results in a shorter treatment delivery time, which reduces potential errors in terms of patient movements and decreases discomfort.

- Statistical aspects of setting up a credit rating system (2006)
- The new international capital standard for credit institutions (“Basel II”) allows banks to use internal rating systems in order to determine the risk weights that are relevant for the calculation of capital charge. Therefore, it is necessary to develop a system that enfolds the main practices and methods existing in the context of credit rating. The aim of this thesis is to give a suggestion of setting up a credit rating system, where the main techniques used in practice are analyzed, presenting some alternatives and considering the problems that can arise from a statistical point of view. Finally, we will set up some guidelines on how to accomplish the challenge of credit scoring. The judgement of the quality of a credit with respect to the probability of default is called credit rating. A method based on a multi-dimensional criterion seems to be natural, due to the numerous effects that can influence this rating. However, owing to governmental rules, the tendency is that typically one-dimensional criteria will be required in the future as a measure for the credit worthiness or for the quality of a credit. The problem as described above can be resolved via transformation of a multi-dimensional data set into a one-dimensional one while keeping some monotonicity properties and also keeping the loss of information (due to the loss of dimensionality) at a minimum level.

- Optimization and Control of Traffic Flow Networks (2006)
- Traffic flow on road networks has been a continuous source of challenging mathematical problems. Mathematical modelling can provide an understanding of dynamics of traffic flow and hence helpful in organizing the flow through the network. In this dissertation macroscopic models for the traffic flow in road networks are presented. The primary interest is the extension of the existing macroscopic road network models based on partial differential equations (PDE model). In order to overcome the difficulty of high computational costs of PDE model an ODE model has been introduced. In addition, steady state traffic flow model named as RSA model on road networks has been dicsussed. To obtain the optimal flow through the network cost functionals and corresponding optimal control problems are defined. The solution of these optimization problems provides an information of shortest path through the network subject to road conditions. The resulting constrained optimization problem is solved approximately by solving unconstrained problem invovling exact penalty functions and the penalty parameter. A good estimate of the threshold of the penalty parameter is defined. A well defined algorithm for solving a nonlinear, nonconvex equality and bound constrained optimization problem is introduced. The numerical results on the convergence history of the algorithm support the theoretical results. In addition to this, bottleneck situations in the traffic flow have been treated using a domain decomposition method (DDM). In particular this method could be used to solve the scalar conservation laws with the discontinuous flux functions corresponding to other physical problems too. This method is effective even when the flux function presents more than one discontinuity within the same spatial domain. It is found in the numerical results that the DDM is superior to other schemes and demonstrates good shock resolution.

- The enumeration of plane tropical curves (2006)
- Tropical geometry is a rather new field of algebraic geometry. The main idea is to replace algebraic varieties by certain piece-wise linear objects in R^n, which can be studied with the aid of combinatorics. There is hope that many algebraically difficult operations become easier in the tropical setting, as the structure of the objects seems to be simpler. In particular, tropical geometry shows promise for application in enumerative geometry. Enumerative geometry deals with the counting of geometric objects that are determined by certain incidence conditions. Until around 1990, not many enumerative questions had been answered and there was not much prospect of solving more. But then Kontsevich introduced the moduli space of stable maps which turned out to be a very useful concept for the study of enumerative geometry. A well-known problem of enumerative geometry is to determine the numbers N_cplx(d,g) of complex genus g plane curves of degree d passing through 3d+g-1 points in general position. Mikhalkin has defined the analogous number N_trop(d,g) for tropical curves and shown that these two numbers coincide (Mikhalkin's Correspondence Theorem). Tropical geometry supplies many new ideas and concepts that could be helpful to answer enumerative problems. However, as a rather new field, tropical geometry has to be studied more thoroughly. This thesis is concerned with the ``translation'' of well-known facts of enumerative geometry to tropical geometry. More precisely, the main results of this thesis are: - a tropical proof of the invariance of N_trop(d,g) of the position of the 3d+g-1 points, - a tropical proof for Kontsevich's recursive formula to compute N_trop(d,0) and - a tropical proof of Caporaso's and Harris' algorithm to compute N_trop(d,g). All results were derived in joint work with my advisor Andreas Gathmann. (Note that tropical research is not restricted to the translation of classically well-known facts, there are actually new results shown by means of tropical geometry that have not been known before. For example, Mikhalkin gave a tropical algorithm to compute the Welschinger invariant for real curves. This shows that tropical geometry can indeed be a tool for a better understanding of classical geometry.)

- Meshfree Methods for the Dynamics of Solids (2005)
- Over the last decades, mathematical modeling has reached nearly all fields of natural science. The abstraction and reduction to a mathematical model has proven to be a powerful tool to gain a deeper insight into physical and technical processes. The increasing computing power has made numerical simulations available for many industrial applications. In recent years, mathematicians and engineers have turned there attention to model solid materials. New challenges have been found in the simulation of solids and fluid-structure interactions. In this context, it is indispensable to study the dynamics of elastic solids. Elasticity is a main feature of solid bodies while demanding a great deal of the numerical treatment. There exists a multitude of commercial tools to simulate the behavior of elastic solids. Anyhow, the majority of these software packages consider quasi-stationary problems. In the present work, we are interested in highly dynamical problems, e.g. the rotation of a solid. The applicability to free-boundary problems is a further emphasis of our considerations. In the last years, meshless or particle methods have attracted more and more attention. In many fields of numerical simulation these methods are on a par with classical methods or superior to them. In this work, we present the Finite Pointset Method (FPM) which uses a moving least squares particle approximation operator. The application of this method to various industrial problems at the Fraunhofer ITWM has shown that FPM is particularly suitable for highly dynamical problems with free surfaces and strongly changing geometries. Thereby, FPM offers exactly the features that we require for the analysis of the dynamics of solid bodies. In the present work, we provide a numerical scheme capable to simulate the behavior of elastic solids. We present the system of partial differential equations describing the dynamics of elastic solids and show its hyperbolic character. In particular, we focus our attention to the constitutive law for the stress tensor and provide evolution equations for the deviatoric part of the stress tensor in order to circumvent limitations of the classical Hooke's law. Furthermore, we present the basic principle of the Finite Pointset Method. In particular, we provide the concept of upwinding in a given direction as a key ingredient for stabilizing hyperbolic systems. The main part of this work describes the design of a numerical scheme based on FPM and an operator splitting to take the different processes within a solid body into account. Each resulting subsystem is treated separately in an adequate way. Hereby, we introduce the notion of system-inherent directions and dimensional upwinding. Finally, a coupling strategy for the subsystems and results are presented. We close this work with some final conclusions and an outlook on future work.

- The Dynamics of Viscous Fibers (2006)
- This work deals with the mathematical modeling and numerical simulation of the dynamics of a curved inertial viscous Newtonian fiber, which is practically applicable to the description of centrifugal spinning processes of glass wool. Neglecting surface tension and temperature dependence, the fiber flow is modeled as a three-dimensional free boundary value problem via instationary incompressible Navier-Stokes equations. From regular asymptotic expansions in powers of the slenderness parameter leading-order balance laws for mass (cross-section) and momentum are derived that combine the unrestricted motion of the fiber center-line with the inner viscous transport. The physically reasonable form of the one-dimensional fiber model results thereby from the introduction of the intrinsic velocity that characterizes the convective terms. For the numerical simulation of the derived model a finite volume code is developed. The results of the numerical scheme for high Reynolds numbers are validated by comparing them with the analytical solution of the inviscid problem. Moreover, the influence of parameters, like viscosity and rotation on the fiber dynamics are investigated. Finally, an application based on industrial data is performed.