## Fachbereich Mathematik

### Refine

#### Year of publication

- 2007 (34) (remove)

#### Document Type

- Doctoral Thesis (14)
- Preprint (14)
- Master's Thesis (3)
- Report (3)

#### Keywords

- Elastoplastizität (2)
- Mixture Models (2)
- Optionspreistheorie (2)
- Sobolev spaces (2)
- Spline-Approximation (2)
- localizing basis (2)
- 2-d kernel regression (1)
- A-infinity-bimodule (1)
- A-infinity-category (1)
- A-infinity-functor (1)

- Soft Operators Decision Trees. Uncertainty and stability related issues (2007)
- 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.

- Vector bundles on degenerations of elliptic curves of types II, III and IV (2007)
- 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.

- Four Generations of Asset Pricing Models and Volatility Dynamics (2007)
- 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.

- Intersection Theory of the Tropical Moduli Spaces of Curves (2007)
- Tropical geometry is a very new mathematical domain. The appearance of tropical geometry was motivated by its deep relations to other mathematical branches. These include algebraic geometry, symplectic geometry, complex analysis, combinatorics and mathematical biology. In this work we see some more relations between algebraic geometry and tropical geometry. Our aim is to prove a one-to-one correspondence between the divisor classes on the moduli space of n-pointed rational stable curves and the divisors of the moduli space of n-pointed abstract tropical curves. Thus we state some results of the algebraic case first. In algebraic geometry these moduli spaces are well understood. In particular, the group of divisor classes is calculated by S. Keel. We recall the needed results in chapter one. For the proof of the correspondence we use some results of toric geometry. Further we want to show an equality of the Chow groups of a special toric variety and the algebraic moduli space. Thus we state some results of the toric geometry as well. This thesis tries to discover some connection between algebraic and tropical geometry. Thus we also need the corresponding tropical objects to the algebraic objects. Therefore we give some necessary definitions such as fan, tropical fan, morphisms between tropical fans, divisors or the topical moduli space of all n-marked tropical curves. Since we need it, we show that the tropical moduli space can be embedded as a tropical fan. After this preparatory work we prove that the group of divisor classes in v classical algebraic geometry has it equivalence in tropical geometry. For this it is useful to give a map from the group of divisor classes of the algebraic moduli space to the group of divisors of the tropical moduli space. Our aim is to prove the bijectivity of this map in chapter three. On the way we discover a deep connection between the algebraic moduli space and the toric variety given by the tropical fan of the tropical moduli space.