Dissertations / Theses on the topic 'Modelling options and assumptions'

It has been proposed that agricultural futures options contain information which may be used by those involved in agriculture, such as rate setting for crop (revenue) insurance. Specifically, it is proposed that these options may be used to predict the variance and perhaps higher moments of the distribution of the respective futures prices. This thesis first tests distributional assumptions maintained by the Black-Scholes analysis. It is found that many of these assumptions, such as the commonly used lognormality, are empirically rejected. Furthermore, it is found that futures price change standard deviations and futures options implied volatilities display seasonal patterns. Second, this thesis tests whether com, soybean, and spring wheat futures options implied volatilities obtained from the Black formula are accurate predictors of futures price variance. Empirically, these implied volatilities are found to be very poor predictors of subsequent futures price variance. Furthermore, there is no empirical support to show that the agricultural futures options market has become more efficient since it first started trading in the mid-1980's.

Thesis (MCom)--Stellenbosch University, 2014.
ENGLISH ABSTRACT: A multi-state model is a way of describing a process in which a subject moves through a series of states in continuous time. The series of states might be the measurement of a disease for example in state 1 we might have subjects that are free from disease, in state 2 we might have subjects that have a disease but the disease is mild, in state 3 we might have subjects having a severe disease and in last state 4 we have those that die because of the disease. So Markov models estimates the transition probabilities and transition intensity rates that describe the movement of subjects between these states. The transition might be for example a particular subject or patient might be slightly sick at age 30 but after 5 years he or she might be worse. So Markov model will estimate what probability will be for that patient for moving from state 2 to state 3. Markov multi-state models were studied in this thesis with the view of assessing the Markov models assumptions such as homogeneity of the transition rates through time, homogeneity of the transition rates across the subject population and Markov property or assumption. The assessments of these assumptions were based on simulated panel or longitudinal dataset which was simulated using the R package named msm package developed by Christopher Jackson (2014). The R code that was written using this package is attached as appendix. Longitudinal dataset consists of repeated measurements of the state of a subject and the time between observations. The period of time with observations in longitudinal dataset is being made on subject at regular or irregular time intervals until the subject dies then the study ends.
AFRIKAANSE OPSOMMING: ’n Meertoestandmodel is ’n manier om ’n proses te beskryf waarin ’n subjek in ’n ononderbroke tydperk deur verskeie toestande beweeg. Die verskillende toestande kan byvoorbeeld vir die meting van siekte gebruik word, waar toestand 1 uit gesonde subjekte bestaan, toestand 2 uit subjekte wat siek is, dog slegs matig, toestand 3 uit subjekte wat ernstig siek is, en toestand 4 uit subjekte wat aan die siekte sterf. ’n Markov-model raam die oorgangswaarskynlikhede en -intensiteit wat die subjekte se vordering deur hierdie toestande beskryf. Die oorgang is byvoorbeeld wanneer ’n bepaalde subjek of pasiënt op 30-jarige ouderdom net lig aangetas is, maar na vyf jaar veel ernstiger siek is. Die Markov-model raam dus die waarskynlikheid dat so ’n pasiënt van toestand 2 tot toestand 3 sal vorder. Hierdie tesis het ondersoek ingestel na Markov-meertoestandmodelle ten einde die aannames van die modelle, soos die homogeniteit van oorgangstempo’s oor tyd, die homogeniteit van oorgangstempo’s oor die subjekpopulasie en tipiese Markov-eienskappe, te beoordeel. Die beoordeling van hierdie aannames was gegrond op ’n gesimuleerde paneel of longitudinale datastel wat met behulp van Christopher Jackson (2014) se R-pakket genaamd msm gesimuleer is. Die R-kode wat met behulp van hierdie pakket geskryf is, word as bylae aangeheg. Die longitudinale datastel bestaan uit herhaalde metings van die toestand waarin ’n subjek verkeer en die tydsverloop tussen waarnemings. Waarnemings van die longitudinale datastel word met gereelde of ongereelde tussenposes onderneem totdat die subjek sterf, wanneer die studie dan ook ten einde loop.

The interconnections between groundwater and river systems remain poorly understood in many catchments throughout the world, and yet they are fundamental to effectively managing water resources. Groundwater extraction from aquifers that are connected to river systems will reduce river flows, and this has implications for riverine ecosystem health, water security, aesthetic and cultural values, as well as water allocation and water management policies more generally. The decline in river flows as a consequence of groundwater extractions has the potential to threaten river basin industries and communities reliant on water resources. ¶ In this thesis the connectivity between groundwater and river systems and the impact that groundwater extractions have on river flows were studied in one of Australia’s most developed irrigation areas, the Namoi River catchment in New South Wales. ¶ Gauged river reaches in the Namoi River catchment were characterised according to three levels of information: 1) presence of hydraulic connection between aquifer-river systems; 2) dominant direction of aquifer-river flux; and 3) the potential for groundwater extraction to impact on river flows. The methods used to characterise the river reaches included the following analyses: 1) a comparison of groundwater and river channel base elevations using a GIS/Database; 2) stream hydrographs and the application of a baseflow separation filter; 3) flow duration curves and the percentage of time a river flows; 4) vertical aquifer connectivity from nested piezometer sites; and 5) paired stream and groundwater hydrographs. ¶ The theoretical responses for gaining, losing and variably gaining-losing river reaches were conceptualised along with the processes that operate in these systems. Subsequently, a map was prepared for the Namoi River catchment river reaches indicating aquifer-river connectivity and dominant direction of flux. Large areas of the Upper Namoi River catchment were found to have connected aquifer-river systems, with groundwater extraction bores located in close proximity to the rivers. Accordingly, the potential for groundwater extraction to impact on river flows in these areas was considered significant. The Lower Namoi was assessed as having mostly disconnected aquifer-river systems. ¶ In order to investigate the impacts of groundwater extraction on river flows in connected aquifer-river systems, a simple integrated aquifer-river model entitled IHACRES_GW was developed for use at the catchment scale. The IHACRES_GW model includes a dynamic, spatially-lumped rainfall-runoff model, IHACRES, combined with a simple groundwater bucket model that maintains a continuous water balance account of groundwater storage volumes for the upstream catchment area relative to the base of the stream, assumed to be the stream gauging station. The IHACRES_GW model was developed primarily: 1) to improve upon existing water allocation models by incorporating aquifer-river interactions; 2) to quantify the impacts of groundwater extraction on river flows within unregulated, connected aquifer-river systems; 3) to inform water policy on groundwater extraction; and 4) to be able to utilise the model in future integrated assessment of water allocations options at the catchment scale. ¶ The IHACRES_GW model was applied within the Cox’s Creek subcatchment in order to test its validity. The model was used to simulate a range of extraction scenarios which enabled the impacts of groundwater extractions on river flows to be assessed. In particular, the historical impacts of groundwater extraction on the timing, magnitude and frequency of baseflow events were quantified over a 15-year (1988-2003) simulation period. The IHACRES_GW model was also used to evaluate the implications of water sharing plans for the Cox’s Creek subcatchment. ¶ A spatially-lumped modelling approach in the management of water resources has a number of limitations, including those arising from the lack of spatial considerations. However, it offers a number of advantages including facilitating a better understanding of large-scale water management issues, assessing the impacts of water allocation and groundwater extraction on river flows at the catchment scale, and informing water sharing plans. In particular, this type of modelling approach lends itself to integrated assessments of water allocation options in which hydrological, ecological and socioeconomic data sets are combined, and where data is commonly aggregated to a larger scale of interest in response to the requirements of policy makers. The research findings from this thesis provide some insights into how to better manage the impacts of groundwater extraction in connected aquifer-river systems.

The aim of the research was to generate a model of the interactions between career options and the concept of continuing professional development. Professional development has, in many professions and organisations, become synonymous with managerial development, but the developmental needs of individuals who wish to remain in a professional role may differ from the developmental needs of individuals in a management role. Teachers were chosen as the professional group to be tested. Fifty-four teachers, all volunteers, from six secondary schools were separately interviewed under a structured format, and were also invited to complete a number of questionnaires. From analysis of the interviews and questionnaires a model of teachers' career options was produced which identified three main categories of teachers: senior managers (headteachers or deputy headteachers); aspirants to a senior manager's role; and classroom teachers. The analysis also identified a number of main factors, and sub-factors, that affected the obtaining of one of the three categories and each of the factors was developed through a targeted literature search and through analysis of the structured interviews. An additional number of factors that related only to classroom teachers were also analysed in a similar manner. Also investigated are how teachers plan their career, and the value of continuing professional development. The model of career options was then tested on members of two similar professions -midwives and nurses. Completion of the research resulted in a proposed model of career options and recommendations for continuing professional development for each option. Together the model and recommendations represent an original contribution to knowledge.

This study focuses on the Montgomery Block building, built in 1853 and which survived the 1906 San Francisco earthquake of magnitude 8.3 despite being roughly 15 km from the ruptured San Andreas fault (Freeman 1932). After a review of the existing literature on the seismic performance of unreinforced masonry structures, a summary of the lessons to be learned and an identification of the areas that require further research is presented. Then, an assessment of the range of predicted seismic capacities as estimated from traditional and conservative methods to the most liberal ones for the selected Montgomery building is conducted. Finally, a comparison of these capacities is performed to illustrate the impact of structural engineering modelling decisions on the predicted seismic performance of URM buildings. From this study, it is clear that depending on the structural model selected by the engineer, considerable differences of nearly an order of magnitude in some cases may exist in the seismic performance assessments of URM buildings.

Accurate and efficient numerical solutions have been described for a selection of financial options pricing problems. The methods are based on finite difference discretisation coupled with optimal solvers of the resulting discrete systems. Regular Cartesian meshes have been combined with orthogonal co-ordinate transformations chosen for numerical accuracy rather than reduction of the differential operator to constant coefficient form. They allow detailed resolution in the regions of interest where accuracy is most desired, and grid coarsening where there is least interest. These transformations are shown to be effective in producing accurate solutions on modest computational grids. The spatial discretisation strategy is chosen to meet accuracy requirements as sell as to produce coefficient matrices with favourable sparsity and stability properties. In the case of single factor European options, a modified Crank-Nicolson, second order accurate finite difference scheme is presented, which uses adaptive upwind differences when the mesh Peclet conditions are violated. The resulting tridiagonal system of equations is solved using a direct solver. A careful study of grid refinement displays convergence towards the true solution and demonstrates a high level of accuracy can be obtained with this approach. Laplace inversion methods are also implemented as an alternative solution approach for the one-factor European option. Results are compared to those produced by the direct solver algorithm and are shown to be favourable. It is shown how Semi-Lagrange time-integration can solve the path-dependent Asian pricing problem, by integrating out the average price term and simplifying the finite difference equations into a parameterised Black-Scholes form. The implicit equations that result are unconditionally stable, second order accurate and can be solved using standard tridiagonal solvers. The Semi-Lagrange method is shown to be easily used in conjunction with co-ordinate transformations applied in both spatial directions. A variable time-stepping scheme is implemented in the algorithm. Early exercise is also easily incorporated, the resulting linear complementarity problem can be solved using a projection or penalty method (the penalty method is shown to be slightly more efficient). Second order accuracy has been confirmed for Asian options that must be held to maturity. A comparison with published results for continuous-average-rate put and call options, with and without early exercise, shows that the method achieves basis point accuracy and that Richardson extrapolation can also be applied.

The main aim of this thesis is to study the pricing of options of Ijārah Sukūk for lifespan. The pricing formulae of mid-term call and put options are derived by computing the expected value under the risk neutral measure and using an appropriate condition of exercising the option at mid-term. The mid-term option prices with continuous Ijārah obtained using these formulae are compared with the prices of European and American options with dividend for lifespan. The comparison is done both analytically and numerically. The same analysis is done for callable and puttable Sukūk with Ijārah and compared with the prices of European and American callable and puttable bond with coupon for lifespan. We also study the relationship between callable Sukūk price and Ijārah rate by computing the duration and convexity of the callable Sukūk price. The same analysis is done for puttable Sukūk.

During the Pre-Pottery Neolithic - Pottery Neolithic transition in the Levant, several centuries after the widespread adoption of agriculture and shortly after the adoption of mixed farming, a number of large, formerly successful communities seem to have been abandoned. These apparent settlement transformations are reported to have occurred alongside changes in technology and production, ideological behaviour and the treatment of the dead, and subsistence economy. Whether one views these purported changes as evidence of 'collapse' or not, particular transformations do seem to have taken place and require explanation. Several proposed models attempt to explain why these changes may have occurred, but the anthropogenically induced ecological degradation argument is the most pervasive. While this model has already been tested in a preliminary manner, detailed evaluation of the degradation argument partly based on agronomic research on the ecological impacts of mixed farming is still due.

Transportation is likely to be the greatest source of noise and local air pollution in urban centres and one of the major contributors to carbon dioxid,e emissions, which is the predominant greenhouse gas. A promising option for the decarbonisation ofthis sector, and for reducing local pollution, is the use of hydrogen as a transport fuel. In order to introduce hydrogen fuel in the transport sector the development of an infrastructure is an essential prerequisite. However, the design of a hydrogen delivery system is a complex venture that includes considerable uncertainties and numerous parameters that have to be considered in order to achieve its implementation. This thesis examines the potential of supplying hydrogen fuel produced exclusively from renewable energy resources to urban centres. The issue of the least-cost hydrogen infrastructure design is addressed by developing an original model able to assess the performance of different hydrogen pathways in terms of both economic and technical criteria while taking into account the evolution of the infrastructure over time, meeting increasing demand, and the renewaple resource potential of the geographical region under study in order to perform resource optimisation. The model is designed by means of mixed integer linear programming and developed in MATLAB®. It is built in such a way so as to provide a generic framework for modelling several hydrogen fuel chains for establishing a hydrogen infrastructure that could be readily extended to different infrastructure patterns and geographical areas. The model is applied to the case of London examining the potential for delivering hydrogen fuel to such a large urban centre. The case study investigates the possibilities of developing a renewable hydrogen infrastructure able to deliver sufficient hydrogen in order to cover London's road transport fuel demand within a 50-year time horizon. The results include the description of a cost-effective infrastructure development scenario along with its corresponding overall cost. The case study illustrates that the hydrogen infrastructure development modelling approach developed in this study assists the identification of least-cost renewable hydrogen supply chain options.

This thesis is intended to contribute to policy analysis on nuclear energy planning, and also as a contribution to applied mathematics. From point of view of nuclear policy analysis, this thesis is not designed to offer realistic detail on nuclear engineering itself, which is of second order relative to our chosen problem. The goal is to address some large scale problems in the management of the world stocks of two important nuclear fuels, Uranium (an economically finite natural resource) and Plutonium (the result at first of policies for Uranium burning, and later of policies on fast reactor breeding). This thesis assumes, as a ‘political’ working hypothesis, that at some future time world governments will agree urgently to decarbonise the world economy. Up to that point, assuming no previous large progress towards decarbonisation, basic world electricity consumption will have continued to grow at its historic average of 1.9% compound. This rate is hypothetically a combination of slower growth in the developed world and faster growth in the developing world. On this hypothesis, a necessary but not sufficient condition for decarbonising the economy would be the complete decarbonisation of future basic electricity demand, plus the provision of sufficient extra decarbonised electricity supply to take over powering all land transport. The demand for electricity for land transport at any time is assumed to equal (in line with historical experience) an increment of approximately 20% above the contemporary basic world demand for electricity. The hypothetical scenario for achieving this model of decarbonisation, without major stress to the worlds economic and social system, is to expand nuclear power to meet the whole of basic electricity demand. This would leave intermittent renewable sources to power the intermittent electricity demands of road transport.This thesis explores the above hypothetical future in various ways. We first list published forecasts of future Uranium use and future Uranium supply. These suggest that presently known Uranium reserves can meet demand for many decades. However on extrapolating the cumulative demand for Uranium that results from the above working hypothesis, we find that if a dash to decarbonise world electricity supply begins immediately, this would consume a very large multiple of presently known Uranium reserves. Sustaining that decarbonisation for only a few more decades of demand growth would consume further large multiples of the known Uranium supply. A delay in the start of the dash for decarbonisation by only a few decades greatly increases the cumulative Uranium demand needed to reach decarbonisation even briefly.Therefore the sustained achievement of decarbonisation, in a world economy of the historical type, requires such large Uranium resources that a successor fuel cycle is required. This thesis models only the case of a Uranium-based fast reactor fuel cycle, since this cycle can in principle consume all the cumulative past and future Plutonium stockpile, and can then meet its own Plutonium needs for a long period (hundreds or thousands of years), allowing ample time for economic adjustment. However a commercially effective fast reactor technology is some decades away.Up to this point, the thesis has only added two physical factors to the existing debate on Uranium needs: namely cumulative growth of electricity demand at its historic rate, and a political choice for 100% physical decarbonisation of the electricity supply.The mathematical and economic contribution of the thesis then begins. We ask the following questions:1. Under what circumstances would profit-maximising investors (or an economically rational centralized economy) actually choose to build enough reactors to decarbonise the world electricity supply?2. Would the need for investors to make a profit increase or decrease the life of the economically accessible Uranium reserves?3. What is the effect of accelerating or delaying the technical availability of fast reactors?4. When if at all would there be shortages of Uranium or Plutonium?5. Under what circumstances would rational investors chose a smooth and physically feasible handover from Uranium burning to fast reactors, thus avoiding the need for a large but temporary return to fossil fuel?The above questions set a mathematically demanding problem: four interacting physical stocks and two physical flow variables ( control variables) must simultaneously be optimized, along with their economic effects. The two control variables are the rate of building or decommissioning Uranium burners, and the rate of building or decommissioning fast reactors. The first control variable drives the cumulative stock of Uranium burning reactors, and hence the resulting maximum physical supply of electricity (with sales income bounded by demand), less the costs of operating, and of new investment. This variable also drives the cumulative depletion of the finite economically extractable reserve of Uranium, and it simultaneously drives an increase in the free Plutonium stock (from Uranium burning). The second control variable, the rate of building or decommissioning fast reactors, drives a decrease in the Plutonium stock (from charging new fast reactors) and it drives a cumulative increase in the stock of fast reactors. This affects the resulting rate of supply of electricity and of income less operating costs and new investment costs. The combined sales of electricity from the two reactor systems is bounded by the total world demand for electricity.The thesis explores this problem in several stages. A fully stochastic form of the problem (stochastic in the price of electricity) is posed using the tools of contingent claims analysis, but this proves intractable to solve, even numerically. Fortunately the price increases needed to impose decarbonisation are very large, and they result from discrete and long lasting government actions. Hence for policy analysis it is adequate to assume a large one off change in electricity price, and observe the progress towards the resulting evolving equilibrium. This problem is also addressed in stages, firstly we optimise the Uranium burning and the fast reactor cycles in isolation from each other, then we allow some purely heuristic and manually controlled interaction between them. Finally we solve, and economically optimize, the total dynamic system of two physical control variables and the resulting four interacting dependent stock variables.

Regional resource planning and decision-making for industrial forest plantation development increasingly involves participation by members of the public. Motivation to maximise or minimise the degree to which groups with various interests can satisfy their individual objectives should recognise outcomes arrived at in a consensus decision-making environment. In this study, a planning framework is devised and adopted, which describes a regional planning system prepared in order to assist in the design and evaluation of strategic industrial forest plantation development in Indonesia. The central component of this planning system is interactive Multi-Objective Decision Making (MODM) modelling with linkages between optimisation and simulation models. The framework of the whole planning system demonstrates the capability and feasibility of resolving important and conflicting objectives through discussion and communicative decision processes that can be reinforced with modelling sensitivity outputs. In other words, a methodology is developed that allows strategic options for plantation planning to be analysed interactively. The MODM models here are MINMAX and MINSUM goal programming formulations. This model has various features that characterise industrial forest plantation development planning, including physical production, social, economic, environmental, and location aspects. This formulation, moreover, has several advantages such as capturing the essence of the multi-objective decision making problem, encompassing the entire range of feasible tradeoffs among all objectives through parametric programming in order to derive forestland allocations optimally, as well as serving important implementable and practical interests. A minimum economic size (MES) spreadsheet-based model is run to determine profitable plantation sizes by using financial criteria such as IRR and NPV. The MES model outputs are then incorporated within MODM models. A major part of the research reported here was to develop a way of transferring data between simulation and LP models directly through file transfers, and transferring LP derived solutions directly back to the simulation model. This linkage has several advantages: for example, theoretically optimal LP solutions are usually unrealistic in practical or implementational terms because of administrative, social, environmental and other similar problems facing forest management; whereas simulation allows one to explore the effects of deviations from "optimal" LP solutions, and to simulate both in more detail and in broader aggregations of things such as age classes, log types and locations. If measures, e.g. wood and financial flows, are unsatisfactory, some constraints are modified and formed for the relevant LP model utilising, for example, the future log assortment flow consequences and the tradeoffs among them. The automated linkage between optimisation and simulation models provides easy data and solution transfers so that decision makers and stakeholders may gain detailed insights before any consensus decisions need to be made. A geographic information system (GIS) is utilised to enhance pictorially the preferred solutions, information, and appearance. The whole planning system is demonstrated and tested in an indicative case study. The results display the major advantages of consistency, clarity and simplicity of the approach to regional forestland allocation. The framework and results at this stage are only preliminary, because some data are still incomplete and unrefined. This study is, therefore, an initial description and explanation of methodology and an indication of the nature of desirable results rather than a firm policy recommendation pertaining to the case study area. In principle, the framework could also become multi-temporal by creating each variable in a time-dependent fashion. The planning system developed has the ability to incorporate social, financial, environmental, and technical variables in a comprehensive participatory development process. The ultimate value of the quantitative information represented in this framework (or methodology) through a background case study analysis is its ability to facilitate policy formulation to satisfy decision-makers and stakeholders when making informed choices in fundamental management decisions.

This report focus upon implied volatility for American styled Asian options, and a least squares approximation method as a way of estimating its magnitude. Asian option prices are calculated/approximated based on Quasi-Monte Carlo simulations and least squares regression, where a known volatility is being used as input. A regression tree then empirically builds a database of regression vectors for the implied volatility based on the simulated output of option prices. The mean squared errors between imputed and estimated volatilities are then compared using a five-folded cross-validation test as well as the non-parametric Kruskal-Wallis hypothesis test of equal distributions. The study results in a proposed semi-parametric model for estimating implied volatilities from options. The user must however be aware of that this model may suffer from bias in estimation, and should thereby be used with caution.

Les àrees costaneres han de fer front als riscos creixents relacionats amb la PNM. El Delta de l'Ebre és un ecosistema representatiu de la vulnerabilitat de les zones costaneres a la PNM. La producció d’arròs és la principal activitat econòmica, ocupant un 65 % de la superfície total, és sensible a la PNM, i l'augment de la salinitat del sòl, el factor més limitat de la producció. Per tant, cal analitzar els impactes de la PNM, és a dir, la inundació i la salinització del sòl, i desenvolupar les mesures d'adaptació adequades. Vam construir models espacials (1 × 1 m) sobre les zones més vulnerables a la inundació, pèrdua de sediments, salinitat del sòl i pèrdua de producció d'arròs. Mitjançant l’acoblament de dades SIG amb GLMz, i posteriorment, els models es van executar en diferents escenaris previstos per l'IPCC (AR5) fins a l’any 2100. També vam avaluar la viabilitat d'una mesura d'adaptació innovadora basada en la natura, que consisteix a recuperar els sediments atrapats en els embassaments de la conca a la plana deltaica. L'elevació (inversament) va ser la variable més important a l'hora d'explicar la variació en la salinitat del sòl, els models van predir una disminució de l'índex de producció d'arròs normalitzat (RPI) seguint el gradient d'elevació del delta. Depenent de l'escenari considerat, els models prediuen una reducció del RPI al 2010 del 62.1% al 54,6% per l’any 2100, en l'escenari més conservador (PNM = 0.53 m); i fins al 33.8% per al pitjor dels escenari considerat (PNM = 1.8 m), amb una disminució dels beneficis de fins a 300 € per hectàrea. Per als mateixos escenaris, la superfície d’arrossars inundada va ser del 36-90 %, i la pèrdua de sediment va ser de entre 122 i 418 milions de tones. La mesura d'adaptació proposada, basada en la natura, va tenir un efecte positiu en la producció d'arròs i es pot considerar una opció de gestió innovadora per mantenir els serveis ecosistèmics del Delta de l'Ebre, tot i la PNM. Els nostres models es poden aplicar a altres àrees deltaiques de tot el món, ajudant els agricultors i els ‘stakeholders’ a identificar àrees vulnerables als efectes de la PNM així com a desenvolupar plans de gestió.
Las zonas costeras tienen que hacer frente a los crecientes riesgos relacionados con la subida del nivel del mar (SLR). El Delta del Ebro es un valioso ecosistema representativo de la vulnerabilidad de las zonas costeras al SLR. La producción de arroz, la principal actividad económica de la zona, ocupa ca. el 65% de la superficie total, y es sensible a la SLR, y al aumento de la salinidad del suelo el factor más limitante en el cultivo del arroz. Por tanto, es necesario analizar los impactos de la SLR, es decir, la inundaciones y la salinización del suelo, y desarrollar medidas de adaptación apropiadas. Hemos construido modelos espaciales (1 × 1 m) en áreas propensas a inundación, pérdida de sedimentos, salinización del suelo y pérdida de producción de arroz. Se acoplaron datos de GIS con GLMz y los modelos se realizaron bajo diferentes escenarios predichos por el IPCC (AR5) hasta 2100. También evaluamos la viabilidad de una medida innovadora de adaptación basada en la naturaleza que consiste en reintroducir sedimentos atrapados en embalses de bajo Ebro a la llanura deltaica. La elevación (inversamente relacionada a la salinidad del suelo) fue la variable más importante para explicar la salinidad del suelo, por lo que los modelos predijeron una disminución en el Índice de Producción de Arroz normalizado (RPI) siguiendo el gradiente de elevación del delta. Según el escenario considerado, los modelos predicen una reducción de RPI del 62.1 % en 2010 a 54.6 % en 2100 para el escenario más conservador (SLR = 0.53 m); Y al 33,8 % en el peor escenario considerado (SLR = 1,8 m), con una disminución de los beneficios de hasta 300 €/ha. Para los mismos escenarios, la superficie de los campos de arroz inundados osciló entre 36 y 90 %, y la pérdida de sedimentos de 122 a 418 millones de toneladas. La medida de adaptación propuesta tuvo un efecto positivo en la producción de arroz y puede considerarse como una opción de gestión innovadora para mantener los servicios ecosistémicos del Delta del Ebro a pesar del SLR. Nuestros modelos pueden aplicarse a otras áreas deltaicas en todo el mundo, ayudando a los agricultores y a las partes interesadas a identificar áreas vulnerables a los impactos del SLR y a desarrollar planes de manejo.
Coastal areas have to cope with increasing risks related to SLR. The Ebro Delta is a valuable ecosystem representative of the vulnerability of coastal areas to SLR. Rice production is the main economic activity, occupying ca. 65 % of the total surface is sensitive to SLR, and the increase in soil salinity, the most limiting factor. Thus, it is necessary to analyse the impacts of SLR, i.e. flooding and soil salinization, and to develop appropriate adaptation measures. We built spatial models (1 × 1 m) in areas prone to be flooded, sediment loss, soil salinity, and rice production loss. We coupled data from GIS with GLMz and models were run under different scenarios predicted by IPCC (AR5) up to 2100. We also evaluated the feasibility of an innovative nature-based adaptation measure consisting in reintroducing sediments trapped in basin reservoirs into the delta plain. Elevation (inversely related) was the most important variable in explaining soil salinity, thus, models predicted a decrease in normalized Rice Production Index following the delta elevation gradient. Subjected to the scenario considered, the models predict a RPI reduction from 62.1 % in 2010 to 54.6 % by 2100 in the most conservative scenario (SLR = 0.53 m); and to 33.8 % in the worst considered scenario (SLR = 1.8 m), with a decrease of profit up to 300 € per hectare. For the same scenarios, the flooded rice fields’ area ranged 36-90 %, and the sediment loss 122-418 million tonnes. The nature-based adaptation measure proposed had a positive effect on rice production, and it can be considered as an innovative management option for maintaining the Ebro Delta ecosystem services although SLR. Our models can be applied to other deltaic areas worldwide, helping farmers and stakeholders to identify vulnerable areas to SLR impacts and to develop management plans.

Open pit mine operations are complex businesses that demand a constant assessment of risk. This is because the value of a mine project is typically influenced by many underlying economic and physical uncertainties, such as metal prices, metal grades, costs, schedules, quantities, and environmental issues, among others, which are not known with much certainty at the beginning of the project. Hence, mining projects present a considerable challenge to those involved in associated investment decisions, such as the owners of the mine and other stakeholders. In general terms, when an option exists to acquire a new or operating mining project, , the owners and stock holders of the mine project need to know the value of the mining project, which is the fundamental criterion for making final decisions about going ahead with the venture capital. However, obtaining the mine project’s value is not an easy task. The reason for this is that sophisticated valuation and mine optimisation techniques, which combine advanced theories in geostatistics, statistics, engineering, economics and finance, among others, need to be used by the mine analyst or mine planner in order to assess and quantify the existing uncertainty and, consequently, the risk involved in the project investment. Furthermore, current valuation and mine optimisation techniques do not complement each other. That is valuation techniques based on real options (RO) analysis assume an expected (constant) metal grade and ore tonnage during a specified period, while mine optimisation (MO) techniques assume expected (constant) metal prices and mining costs. These assumptions are not totally correct since both sources of uncertainty—that of the orebody (metal grade and reserves of mineral), and that about the future behaviour of metal prices and mining costs—are the ones that have great impact on the value of any mining project. Consequently, the key objective of this thesis is twofold. The first objective consists of analysing and understanding the main sources of uncertainty in an open pit mining project, such as the orebody (in situ metal grade), mining costs and metal price uncertainties, and their effect on the final project value. The second objective consists of breaking down the wall of isolation between economic valuation and mine optimisation techniques in order to generate a novel open pit mine evaluation framework called the ―Integrated Valuation / Optimisation Framework (IVOF)‖. One important characteristic of this new framework is that it incorporates the RO and MO valuation techniques into a single integrated process that quantifies and describes uncertainty and risk in a mine project evaluation process, giving a more realistic estimate of the project’s value. To achieve this, novel and advanced engineering and econometric methods are used to integrate financial and geological uncertainty into dynamic risk forecasting measures. The proposed mine valuation/optimisation technique is then applied to a real gold disseminated open pit mine deposit to estimate its value in the face of orebody, mining costs and metal price uncertainties.

The Farming Systems of the Northern Region of Zambia are analysed along with other options in the context of farm family resource structures by use of Single and Multiple Objective Mathematical Programming Models. The Multilevel Systems Approach used in this research, where individual Farm Level Decision Models are aggregated into a Regional Resource Planning Model is presented and the resulting model structure is described. The models are used to investigate land/resource use options open to smallholder farmers in the Northern Region of Zambia. In addition, the models attempt to explore an approach which takes preferences from the farm level through to regional level planning and decision-making. With regard to the modelling approach, multiple objective programming was found to be a useful tool at both individual farm and regional levels. Perhaps, the greatest value to this type of research is that the application highlights the key relationships that exist between technologies, productive activities, constraints and smallholder farmers' preferences in meeting specified goals and in determining the conflicts and trade-offs that would occur if certain decisions were made. It is concluded that, for the land/resource use options considered, smallholder farmers could made significant socio-economic gains by integrating crop and tree production, but inadequate working capital and family labour are major constraints by sacrificing either energy output or net income from tree crop activities. Opportunities exist for raising living standards in the rural areas if the liquidity position of the farmer at the beginning of the growing season can be improved. In an average rainfall year, an increase in cash availability would enable the farmer to purchase fertiliser, hire labour and buy other inputs - all of which would serve to increase the food security and improve the general welfare and life style of the people in the long run.

Reliable infrastructure assets impact significantly on quality of life and provide a stable foundation for economic growth and competitiveness. Decisions about the way assets are managed are of utmost importance in achieving this. Timely renewal of infrastructure assets supports reliability and maximum utilisation of infrastructure and enables business and community to grow and prosper. This research initially examined a framework for asset management decisions and then focused on asset renewal optimisation and renewal engineering optimisation in depth. This study had four primary objectives. The first was to develop a new Asset Management Decision Framework (AMDF) for identifying and classifying asset management decisions. The AMDF was developed by applying multi-criteria decision theory, classical management theory and life cycle management. The AMDF is an original and innovative contribution to asset management in that: · it is the first framework to provide guidance for developing asset management decision criteria based on fundamental business objectives; · it is the first framework to provide a decision context identification and analysis process for asset management decisions; and · it is the only comprehensive listing of asset management decision types developed from first principles. The second objective of this research was to develop a novel multi-attribute Asset Renewal Decision Model (ARDM) that takes account of financial, customer service, health and safety, environmental and socio-economic objectives. The unique feature of this ARDM is that it is the only model to optimise timing of asset renewal with respect to fundamental business objectives. The third objective of this research was to develop a novel Renewal Engineering Decision Model (REDM) that uses multiple criteria to determine the optimal timing for renewal engineering. The unique features of this model are that: · it is a novel extension to existing real options valuation models in that it uses overall utility rather than present value of cash flows to model engineering value; and · it is the only REDM that optimises timing of renewal engineering with respect to fundamental business objectives; The final objective was to develop and validate an Asset Renewal Engineering Philosophy (AREP) consisting of three principles of asset renewal engineering. The principles were validated using a novel application of real options theory. The AREP is the only renewal engineering philosophy in existence. The original contributions of this research are expected to enrich the body of knowledge in asset management through effectively addressing the need for an asset management decision framework, asset renewal and renewal engineering optimisation based on fundamental business objectives and a novel renewal engineering philosophy.

The agricultural sector could be one of the most vulnerable economic sectors to climate change impacts during the coming decades. These impacts are related to change in the growth period, agricultural yields, extreme weather events, change in temperature and precipitation patterns, among others. All these impacts will have consequences on the agricultural production. Given the lack of substantial studies for climate change impacts on agriculture in Bolivia, the thesis dissertation develops an analysis and quantification of climatic change impacts and adaptation options using different model techniques, both, bottom-up and top-down, and in the last chapter an integrated assessment is developed. Crop model results obtained at a local scale, are inside the range of previous studies made on larger scales for Latin America and the whole World. On the other hand, the response functions developed by using regression techniques show crop yields with a very high level of accuracy with those of crop models. What is more, when using crop models for adaptation analysis, simulation results show that crop models are sensitive enough to detect optimal changes for different scenarios, and the Cost-Benefit analysis results confirm that changing the planting date is a very feasible and low-cost adaptation measure to face climate change effects. Finally, the Integrated model results show that microeconomic and macroeconomic policies applied together can lead to sustainable development, thus increasing Gross Domestic Product (GDP) and per capita income and reducing deforestation rates at the same time, and the identified forest conservation social cost is a good starting point for PES and REDD+ negotiation schemes in the context of Global Climate Change Agreements.
Il settore agricolo potrebbe rivelarsi nelle prossime decadi uno dei settori economici più vulnerabili agli impatti dei cambiamenti climatici. Questi impatti possono riguardare il periodo di crescita, le rese colturali, gli eventi meteorologici estremi, le variazioni di temperature e la distribuzione delle piogge. Tutti questi impatti avranno conseguenze sulle produzioni agricole. Considerata la mancanza di studi rilevanti sugli impatti dei cambiamenti climatici sull’agricoltura in Bolivia, la tesi discute lo sviluppo di un’analisi ed una valutazione degli impatti dei cambiamenti climatici e delle opzioni di adattamento utilizzando differenti modelli, sia con approccio bottom-up (dal basso verso l’alto) che top-down (dall’alto verso il basso), e, nell’ultimo capitolo, viene poi sviluppata una valutazione integrata. I risultati ottenuti con i modelli colturali su scala locale, sono comparabili con quelli ottenuti in precedenti studi effettuati su più larga scala sia per L’America Latina che a livello mondiale. Inoltre le funzioni di risposta sviluppate con tecniche di regressione mostrano rese colturali con elevati livelli di accuratezza rispetto a quelle ottenute con i modelli colturali. Per di più, quando si utilizzano modelli colturali per l'analisi di adattamento, i risultati delle simulazioni mostrano che i modelli colturali sono abbastanza sensibili nel rilevare le variazioni ottimali per i differenti scenari e i risultati dell’analisi Costi-Benefici confermano che la variazione della data di semina è una misura di adattamento facilmente attuabile e poco costosa per affrontare gli effetti del cambiamento climatico. Infine, i risultati del modello integrato mostrano che le politiche microeconomiche e macroeconomiche applicate assieme possono portare ad uno sviluppo sostenibile, aumentando così il Prodotto Interno Lordo (PIL) e il reddito pro capite, riducendo i tassi di deforestazione e, allo stesso tempo, il costo sociale di conservazione identificato si rivela un buon punto di partenza per sistemi di negoziazione PES e REDD+ nel contesto degli accordi globali sul cambiamento climatico.

Climate change is affecting several environmental factors and together with socio-economic changes put high pressure on water resources. Climate change manifest itself through increasing temperatures and changes in precipitation patterns and intensities, with knock-on effects on hydrologically-relevant parameters such as water flows, evapotranspiration rates, glacial melt etcetera, all of which have already been observed in the recent past and are predicted to continue in the future. India has the world’s second largest population. The majority of the population live in rural areas and are dependent on climate sensitive sectors such as agriculture, forestry and fishery. The Indian-Himalayan region supplies 600 million people with water, thus future climate change impacts on the hydrological cycle in the area are of great interest and concern. In order to cope with these predicted impacts, there is a need to adapt to the changing climate. This study combines data analyses from a hydro-climatic modelling campaign (carried out externally to this thesis), a literature review on climate change effects on agriculture and opportunities to adapt to these effects and participatory methods bringing stakeholders and scientists together in order to co-create adaptation options that are suitable to minimise short- and long-term climate change impacts on the water flows of the Ganges and hence agriculture in the region. The study concentrates on two districts in the Indo-Gangetic Plain that are characterised by their high dependency on the farming sector: Uttarkashi (upstream Ganges, Uttarakhand) and Patna (downstream Ganges, Bihar). The analysis of hydro-climatic data based on a modelling campaign focussed on three climate variables that are of significance for agriculture: precipitation, temperature, and evapotranspiration. To characterise future climates, four climate change projections based on IPCC’s representative concentrations pathways (RCPs) have been chosen: RCP 2.6, RCP 4.5, RCP 6.0, and RCP 8.5. The impacts of these scenarios on the above listed three climate variables are analysed over three time periods: 2011-2040, 2041-2070, and 2071-2100, with a special focus on the monsoon months from June to October, as this is the main crop (rice) growing season. The results from the hydro-climatic modelling indicate that the maximum, minimum, and average temperature will be increasing over the next century in both districts. An increase in evapotranspiration can be seen for both districts, with a few exceptions for RCP scenarios 2.6, 6.0 and 8.5 in April and May in Patna, and for all RCP scenarios in April, May and June in Uttarkashi. An increase in maximum and average precipitation can be seen for most RCP scenarios and future time periods (e.g. of exceptions in average precipitation: RCP 4.5 and 8.5 in June and July in the period 2011-2040) during the monsoon period in Patna. Similarly, in Uttarkashi maximum and average precipitation increases for all three time periods and RCP scenarios during the monsoon months of September and August (only for RCP scenarios 2.6 and 8.5). For the remaining months, the precipitation patterns show great variability for all scenarios and both regions. The literature review resulted in a table of adaptation options, where nine out of 63 were considered as transformational adaptation, and enabled identification of possible climate change impacts on agriculture in the two districts. The minimum temperature could result in more severe and intense hailstorms in the future for both districts. The increase in temperature could lead to a prolonged growing season in Uttarkashi, whilst the increase in average and maximum temperature in Patna could lead to heat-stress for the crops. Furthermore, the increase in average and maximum precipitation could lead to more severe and intense natural disasters e.g. landslides in Uttarkashi and floods in Patna. Moreover, the increase in average evapotranspiration combined with the decrease in average precipitation during some months could lead to an increasing need of irrigation. Two workshops were held in the region with the aim to bring together researchers and stakeholders (e.g. famers) in order to jointly discuss 1) the suitability of hydrological modelling data for preparing the agriculture sector to a changing climate, and 2) suggest suitable adaptation options based on researchers’ and stakeholders’ knowledge and experience. Information from the first workshop was obtained by a workshop report, whilst information from the second workshop was obtained from the author’s own participation. The result from the workshop showed that the farmers had several suggestions of suitable adaptation options e.g. implementation of irrigation system and improved access to credit. It also showed that the farmers already adapted to climate change e.g. usage of short- and long duration variations of rice and sowing date adjustment. The combination of these results informed the suggestions for adaptation options for the two districts, namely the development of disaster reduction plans and early warning systems for weather extremes, as well as a diversification of agriculture and more generally livelihoods. In addition, indirect adaptation measures suggested for both districts included insurance schemes against yield failure, improved access to credit schemes, and right/fair market prices. Specific measures for each district were also suggested e.g. heat-tolerant crops in Patna and implementation or irrigation systems in Uttarkashi.
Klimatförändringarna påverkar åtskilliga miljöfaktorer och tillsammans med socioekonomiska förändringar sätter de stort tryck på vattenresurser. Klimatförändringar manifesterar sig i stigande temperaturer och ändrade nederbördsmönster och nederbördsintensitet, med påföljande effekter på hydrologiskt relevanta parametrar så som vattenflöden, evapotranspirationsvärden, smältande glaciärer etcetera, vilka alla är effekter som redan observerats och är förutspådda att fortsätta under innevarande århundrande. Befolkningen i Indien är näst störst i världen. Större delen av befolkningen i Indien bor på landsbygden och är beroende av klimatkänsliga sektorer så som jordbruk, fiske och skogsbruk. Indiska Himalaya förser 600 miljoner människor med vatten, framtida effekter på den hydrologiska cykeln, orsakade av klimatförändringarna i området, är därför av största intresse. För att kunna hantera de framtida effekterna orsakade av klimatförändringarna är det viktigt att implementera klimatanpassningsstrategier. Den här studien kombinerar data analyser från en hydro-klimatisk modelleringskampanj (som är genomförd externt till det här arbetet), litteraturstudie över effekter på jordbruk orsakade av klimatförändringar och möjligheter att anpassa sig till dessa förändringar, samt involverar preferenser och kunskaper från intressenter inom det aktuella området för att kunna identifiera lämpliga klimatanpassningsstrategier. Studien har ett huvudfokus på klimatanpassning för jordbruksområden i två distrikt i Indien: Uttarkashi (uppströms Ganges, Uttarakhand) och Patna (nedströms Ganges, Bihar). Analysen av hydro-klimatisk data, baserad på en modelleringskampanj, fokuserar på tre klimatvariabler som är av betydelse för jordbrukssektor: nederbörd, temperatur, och evapotranspiration. För att kunna karakterisera framtida klimat har IPCCs fyra representativa koncentrationsvägar (RCPs) tagits hänsyn till: RCP 2.6, RCP 4.5, RCP 6.0, och RCP 8.5. Effekterna av dessa scenarier på de tre ovan listade klimatvariablerna är analyserade över tre framtida tidsperioder: 2011-2040, 2041-2070, 2071-2100, med ett speciellt fokus på monsunperioden från juni till oktober. Resultatet från analysen av hydro-klimatisk data indikerar en ökning under århundrandet i minimal, maximal, och genomsnittlig temperatur i båda distrikten. En ökning i evapotranspiration för båda distrikten kunde också identifieras, med några få undantag för RCP 2.6, 6.0 och 8.5 i april och maj i Patna, samt för alla RCP scenarier i april, maj och juni för Uttarkashi. Trender i nederbörd visar en ökning i maximal och genomsnittlig nederbörd för nästan alla scenarier under monsunperioden i Patna (exempel på scenarier där den genomsnittliga nederbörden inte ökar är RCP 4.5 och 8.5 i juni och juli under perioden 2011-2040). En ökning i maximal och genomsnittlig nederbörd identifierades i september för alla RCP scenarier och framtidsperioder, samt i augusti för RCP 2.6 och 8.5 i Uttarkashi. Kvarvarande månader visar på stor variabilitet i nederbörd för alla scenarier i båda distrikten. Litteraturstudien resulterade i en tabell med klimatanpassningsstrategier, där nio av 63 ansågs vara transformerande, samt identifierade möjliga effekter på jordbruket i de två distrikten orsakade av klimatförändringar. Ökningen i minimal temperatur kan leda till mer allvarliga och intensifierade hagelstormar i framtiden. Temperaturökningen kan i Uttarkashi leda till förlängd odlingssäsong medan ökningen i genomsnittlig och maximal temperatur kan leda till värmestress på grödorna i Patna. Vidare gäller att ökningen i maximal och genomsnittlig nederbörd kan leda till mer allvarliga naturkatastrofer i framtiden som exempelvis jordskred i Uttarkashi och översvämningar i Patna. Ökningen i evapotranspiration kombinerat med minskningen i genomsnittlig nederbörd under vissa månader skulle kunna leda till ett ökat bevattningsbehov. Två ”worskhops” anordnades i regionen med målet att sammanföra forskare och intressenter (exempelvis bönder) för att gemensamt diskutera 1) lämpligheten av användandet av hydrologiskt modellerad data för att förbereda jordbruket på klimatförändringar, och 2) föreslå lämpliga klimatanpassningsstrategier baserat på forskarnas och intressenternas kunskap och erfarenheter. Informationen från den första workshopen erhölls genom en workshoprapport, medan informationen i den andra workshopen erhölls genom författarens eget deltagande i workshopen. Resultatet från workshopen visade på att bönderna hade flertalet egna föreslag vad gäller lämpliga klimatanpassningsstrategier så som exempelvis implementerande av bevattningssystem och ökade kreditmöjligheter. Bönderna hade även börjat anpassa sig till klimatförändringar genom exempelvis ha lång- och korttids variationer av ris samt att de hade flyttat på datumet för sådden. Kombinationen av hydro-klimatisk data, litteratur och intressentpreferenser och kunskap möjliggjorde förslag på klimatanpassningsstrategier i de två distrikten. Strategier för att reducera skador på grödor och jordbruksmark orsakade av extrema händelser, varningssystem som varnar i ett tidigt skede, och diversifiering av försörjning är direkta klimatanpassningsstrategier som identifierades för båda distrikten. Försäkringslösningar, ökade kreditmöjligheter, och ett rättvist marknadspris var indirekta anpassningsstrategier som identifierats för båda distrikten. Även specifika anpassningsstrategier för respektive distrikt har identifierats, där exempelvis värme-tåliga grödor identifierades som viktigt för Patna och implementering av bevattningssystem identifierades som extra viktigt för Uttarkashi.

La première partie de cette thèse est consacrée à la simulation des équations différentielles stochastiques définies sur le cône des matrices symétriques positives. Nous présentons de nouveaux schémas de discrétisation d'ordre élevé pour ce type d'équations différentielles stochastiques, et étudions leur convergence faible. Nous nous intéressons tout particulièrement au processus de Wishart, souvent utilisé en modélisation financière. Pour ce processus nous proposons à la fois un schéma exact en loi et des discrétisations d'ordre élevé. A ce jour, cette méthode est la seule qui soit utilisable quels que soient les paramètres intervenant dans la définition de ces modèles. Nous montrons, par ailleurs, comment on peut réduire la complexité algorithmique de ces méthodes et nous vérifions les résultats théoriques sur des implémentations numériques. Dans la deuxième partie, nous nous intéressons à des processus à valeurs dans l'espace des matrices de corrélation. Nous proposons une nouvelle classe d'équations différentielles stochastiques définies dans cet espace. Ce modèle peut être considéré comme une extension du modèle Wright-Fisher (ou processus Jacobi) àl'espace des matrice de corrélation. Nous étudions l'existence faible et forte des solutions. Puis, nous explicitons les liens avec les processus de Wishart et les processus de Wright-Fisher multi-allèles. Nous démontrons le caractère ergodique du modèle et donnons des représentations de Girsanov susceptibles d'être employées en finance. En vue d'une utilisation pratique, nous explicitons deux schémas de discrétisation d'ordre élevé. Cette partie se conclut par des résultats numériques illustrant le comportement de la convergence de ces schémas. La dernière partie de cette thèse est consacrée à l'utilisation des ces processus pour des questions de modélisation multi-dimensionnelle en finance. Une question importante de modélisation, aujourd'hui encore difficile à traiter, est l'identification d'un type de modèle permettant de calibrer à la fois le marché des options sur un indice et sur ses composants. Nous proposons, ici, deux types de modèles : l'un à corrélation locale et l'autre à corrélation stochastique. Dans ces deux cas, nous expliquons quelle procédure on doit adopter pour obtenir une bonne calibration des données de marché
After a short introduction (in French) to the multi dimensional modelling for index pricing problems, the first part of the thesis treats the simulation of stochastic differential equations defined on the cone of symmetric positive semi-definite matrices. Indeed, we present several second order discretization schemes associated to a general class of affine processes defined on $posm.$ We study also their weak convergence. We pay a special attention to Wishart processes, which are considered as a particular case of this class and have been frequently used in finance. In this case, we give an exact scheme and a third order discretization one. To the best of our knowledge, this is the first exact sampling of the Wishart distribution without any restrictions on its parameters. Some algorithm are proposed in order to enhance all scheme in term of computation of time. We show numerical illustrations of our convergence and compare it to the theoretical rate. We then focus on other type of processes defined on the correlation matrix space. For this purposes, We propose a new stochastic differential equation defined on $crr.$ We prove the weak and the strong existence of such solutions. These processes are considered as the extension of Wright-Fisher processes (or Jacobi process) on correlation matrices. We shed light on a useful connection with Wishart processes and Wright-Fisher multi-allèles. Moreover, we explicitly present their moments, which enable us to describe the ergodic limit. Other results about Girsanov representations are also given. Finally, in order to use these processes in practice, we propose second order discretization schemes based on two different methods. Numerical experiments are presented to show the convergence. The last part is devoted to multi dimension modelling in finance for baskets and indices pricing. After giving a mathematical analysis of models defined either by the correlation matrix or in the positive semi-definite semi positive one, we ask if we find the adequate structure of correlation models which is able to calibrate both the index options market and the single options market related to each component of this index. For this purpose, we propose two types of modelling, the first uses a local model correlation and the second derives from a pure stochastic correlation model. Moreover, we explain different routines that have been used for improved calibration

Durch den Ausbau an Wind- und PV-Anlagen in Deutschland wird der Flexibilitätsbedarf im Stromsystem steigen. Der Flexibilitätsbedarf kann zum einen durch verschiedene Technologien, z.B. Speicher oder Netze, und zum anderen durch die Stromnachfrage bereitgestellt werden. Eine gezielte Steuerung der Stromnachfrage wird als Demand Side Management (DSM) bezeichnet. Der zunehmend wetterabhängigen und fluktuierenden Stromerzeugung in Deutschland steht jedoch eine bis heute weitgehend unelastische Nachfrage gegenüber. In der Literatur sind verschiedene Arbeiten zu finden, die das Potential zur Lastabschaltung und verschiebung in Deutschland untersuchen. Hierbei liegt der Fokus auf absoluten Werten. Saisonale oder tageszeitliche Unterschiede bleiben dabei häufig unberücksichtigt. Die vorliegende Dissertation greift an dieser Stelle an und untersucht das Potential ausgewählter DSM-Anwendungen in stündlicher Auflösung. Die Ergebnisse zeigen, dass das verfügbare Potential starken saisonalen und tageszeitlichen Schwankungen unterliegt. Dementsprechend wird das DSM-Potential überschätzt, wenn nur absolute Werte betrachtet werden. Darüber hinaus zeigt die Autorin, welche Entwicklungen in den nächsten Jahren hinsichtlich der Verfügbarkeit des DSM-Potentials zu erwarten sind. Basierend auf der Potentialermittlung wird in der Dissertation die Rolle von DSM in einem EE-geprägten Stromsystem modellbasiert untersucht. Hierfür wird das lineare Optimierungsmodell ELTRAMOD, das den deutschen und europäischen Strommarkt abbildet, weiterentwickelt. Anhand verschiedener Szenarien wird zum einen der Beitrag von DSM zur Systemintegration von erneuerbaren Energien in Deutschland und zum anderen die Wechselwirkungen mit anderen Flexibilitätsoptionen (z.B. Speicher) untersucht. Die Ergebnisse zeigen, dass die DSM-Kategorien Lastabschaltung und verschiebung nur kurzzeitig auftretende Schwankungen der Einspeisung aus erneuerbaren Energien ausgleichen können. Zum Ausgleich großer Überschussmengen aus erneuerbaren Energien sind hingegen Power-to-X-Technologien, z.B. Power-to-Heat, besser geeignet.

This study consisted of two distinct research phases, performed within the context of the South African Council for Science and Industrial Research (and its current and potential research alliances). The purpose of the study was to develop a decision making model that would enable strategists at publicly financed research and development organisations to analyse and predict governance mode decisions, as well as select optimal governance mode structures (ranging from quasi-market structures, such as once-off contracts, to quasi-hierarchy structures, such as research joint ventures) for research alliances. During the qualitative first phase, the study aimed to identify impact domains within South Africa’s new Bayh-Dole-like Intellectual Property Rights legislative framework that consists of the Intellectual Property Rights from Publicly Financed Research and Development Act, as well as the Technology Innovation Agency Act, which could potentially influence research alliances (based on the Transactional Cost Economics, Resource-based View and Real Options Approach perspectives) with publicly financed research and development organisations. This was followed by the quantitative second phase, which attempted to verify the validity of a value-mediated governance mode model that included the highest ranked impact domains identified during the first phase as formative indicators for the perceived Intellectual Property Rights regime strength uncertainty factor. A qualitative online survey amongst senior managers at the Council for Science and Industrial Research, followed by Theme Extraction combined with Constant Comparative Method analysis, as well as a weighted frequency analysis, constituted the research methodology employed during the first phase’s identification and ranking of impact domains within the South African legislative framework. This phase demonstrated that the highest ranked impact domains (primarily driven by the Transactional Cost Economics perspective) included the choice of Intellectual Property Rights ownership, state walk-in rights on undeclared Intellectual Property, and benefit-sharing policies for the creators of Intellectual Property. The second phase consisted of a quantitative online survey, distributed amongst current and potential research alliance partners of the Council for Science and Industrial Research, followed by Structural Equation Modelling of a value-mediated governance model that included, amongst others, the perceived Intellectual Property Rights regime strength as an uncertainty factor. This phase revealed not only that the impact domains identified during the first phase could be used as formative indicators of the perceived Intellectual Property Rights regime strength, but also that stronger perceived regimes are positively related to the preference for quasi-hierarchy research alliance governance modes. Furthermore, it established that the expected value of a research alliance, which was shown to be positively influenced by the strength of the perceived Intellectual Property Rights regime, acted as a mediating factor on the relationship between the perceived Intellectual Property Rights regime strength and the preferred research alliance governance mode. Keywords: Bayh-Dole, Formative Indicators, Intellectual Property Rights, Research Alliances, Real Options Approach, Resource-based View, Quasi-Market Governance Modes, Quasi- Hierarchy Governance Modes, Structural Equation Modelling, Transactional Cost Economics, Value-mediated Governance Model. Copyright
Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted

In this thesis, we develop stochastic economic and mortality models for actuarial use in China. Firstly, we conduct the first study of stochastic economic modelling with Chinese data for actuarial use. Univariate models, vector autoregression (VAR), and two cascade systems are described and compared. We focus on six major economic assumptions for modelling purposes. Granger causality tests are used to identify the driving force of a cascade system. Robust standard errors are estimated for each model. Diagnostic checking of residuals, goodness-of-fit measures and out-of-sample validations are applied for model selection. By comparing different models for each variable, we find that the equity-driving cascade system is the best structure for actuarial use in China. The forecasts of the variables could be applied as economic inputs to stochastic projection models of insurance portfolios or pension funds for short-term asset and liability cash flow forecasting. However, with the assumption that future trends will follow recent historical trends, this study could also be applied for long-term actuarial use. In addition, we project future mortality rates for actuarial use with Chinese data. The CMI (Continuous Mortality Investigation) Mortality Projections Model developed by the Institute and Faculty of Actuaries is applied for modelling purposes. The model adopts a convergence structure from "initial" to "long-term" rates of mortality improvement as the process of projection. The initial rates of mortality improvement are derived using a 2D P-Spline methodology, and are then decomposed into age/period and cohort components. Given the short history of Chinese data, the long-term rates of mortality improvement are determined by borrowing information from international experience. K-means clustering with Dynamic Time Warping (DTW) distance is used to classify populations, which is novel in the actuarial mortality research field. The original CMI approach is deterministic, however, in this paper we incorporate stochastic elements using techniques outlined by Koller (2011) and described by Browne et al. (2009). Comparing our results with a pure extrapolative approach, we find that the modified CMI Mortality Projections Model is more suitable for long-term projections in China. Further, we conduct the first study of long-term age-sex-specific mortality forecasting for subpopulations in different areas of China: cities, towns and counties using the modified CMI Mortality Projections Model. From the historical experience, we find that people in cities have lower mortality rates and higher mortality improvement rates than people in towns and counties for most ages. If this trend continues, the mortality of different areas will diverge further in the future. From the projection results, we find that there will be significant mortality and life expectancy differences between cities, towns and counties for both males and females. By conducting sensitivity analysis, we also find that the life expectancy differences could be reduced by incorporating higher long-term mortality improvement rates for towns and counties, or increasing the speed of convergence from {u0300}initial' to {u0300}long-term' mortality improvement rates for males in counties. Uncertainties are attached to the central estimates to overcome the limitations of the original CMI approach from which only deterministic results can be obtained.

The interconnections between groundwater and river systems remain poorly understood in many catchments throughout the world, and yet they are fundamental to effectively managing water resources. Groundwater extraction from aquifers that are connected to river systems will reduce river flows, and this has implications for riverine ecosystem health, water security, aesthetic and cultural values, as well as water allocation and water management policies more generally. The decline in river flows as a consequence of groundwater extractions has the potential to threaten river basin industries and communities reliant on water resources. ¶ In this thesis the connectivity between groundwater and river systems and the impact that groundwater extractions have on river flows were studied in one of Australia’s most developed irrigation areas, the Namoi River catchment in New South Wales. ¶ Gauged river reaches in the Namoi River catchment were characterised according to three levels of information: 1) presence of hydraulic connection between aquifer-river systems; 2) dominant direction of aquifer-river flux; and 3) the potential for groundwater extraction to impact on river flows. The methods used to characterise the river reaches included the following analyses: 1) a comparison of groundwater and river channel base elevations using a GIS/Database; 2) stream hydrographs and the application of a baseflow separation filter; 3) flow duration curves and the percentage of time a river flows; 4) vertical aquifer connectivity from nested piezometer sites; and 5) paired stream and groundwater hydrographs.

It is widely known that Central Corneal Thickness (CCT) and Radius of Curvature (RoC) in uence the estimated IntraOcular Pressure (IOP) obtained from Goldmann Applanation Tonometry (GAT). However, not much is known about the in uence of corneal material properties, especially in a clinical setting. Several numerical studies have been conducted in an attempt to quantify the in uence of corneal material properties on the IOP. These studies agree that corneal material properties do in uence the estimated IOP, which contradict the initial premise on which GAT was designed, namely that material properties do not in uence the obtained GAT readings. Also, there is no consensus among these studies with respect to corneal material properties, thus a wide range of proposed properties exist. A possible explanation for this range of available corneal properties is the numerical modi elling assumptions used, which seem to be quite different. Different sets of experimental in ation test data were used to calibrate the constitutive models and different limbal boundary conditions were applied to simulate the experimental setup as well as in vivo conditions during GAT simulations. Therefore the purpose of this study is to determine whether these modelling assumptions in uence the obtained IOP and ultimately the overall conclusions. A Finite Element (FE) model of the human cornea is developed, implementing a constitutive model to represent the complex corneal structure and two limbal boundary conditions. This model is then calibrated using two different sets of experimental in ation test data. During calibration of the fibre reinforced elastic constitutive model it is found that independent of the assumptions made regarding the material coe cients, that the numerical in ation data compare well with the experimental data for all cases. Using this model a GAT simulation is conducted to estimate the IOP and the in uence of the modelling assumptions, cornea geometry and material properties are then investigated. The results indicate that the modelling assumptions, cornea geometry and material properties do infuence the estimated IOP. However, when assuming the cornea ground substance stiffness to be constant, it is found that the in uence on IOP due to material properties is not as significant. A correction equation is also proposed to account for the corneal geometric properties by calibrating the numerical model for a numerically normal cornea. This is done by utilising the various data sets which are obtained during the calibration of the constitutive model with the experimental inflation test data. It is concluded that using only inflation data to calibrate the constitutive model is not sufficient to uniquely describe the corneal material. This is evident as different material data sets are obtained, even though the experimental inflation data is matched well for a variety of considered cases. Each of these material data sets, in conjunction with geometric properties, yield different estimates for IOP during GAT simulations. This study therefore recommends the use of additional experimental data, such as strip extensometry, along with inflation test data to adequately calibrate a numerical model. It should also be noted that when modelling GAT care should be taken when considering the choice of limbal boundary condition, experimental data for calibration and assumptions made with regards to material coe cients, as these choices could potentially influence the outcomes and conclusions of a study.
Dissertation (MEng)--University of Pretoria, 2014.
gm2014
Mechanical and Aeronautical Engineering
unrestricted

Student Number: 9811822T - MSc Dissertation - School of Computational and Applied Mathematics - Faculty of Science
This dissertation reviews population dynamic type models of viral infection and introduces some new models to describe strain competition and the infected cell lifecycle. Laboratory data from a recent clinical trial, tracking drug resistant virus in patients given a short course of monotherapy is comprehensively analysed, paying particular attention to reproducibility. A Bayesian framework is introduced, which facilitates the inference of model parameters from the clinical data. It appears that the rapid emergence of resistance is a challenge to popular unstructured models of viral infection, and this challenge is partly addressed. In particular, it appears that minimal ordinary differential equations, with their implicit exponential lifetime (constant hazard) distributions in all compartments, lack the short transient timescales observed clinically. Directions for future work, both in terms of obtaining more informative data, and developing more systematic approaches to model building, are identified.

Discriminant analysis and random forests are used to create models for classification. The number of variables to be tested for inclusion in a model can be large. The goal of this work was to create an efficient and effective selection program. The first method used was based on the work of others. The resulting models were underperforming, so another approach was adopted. Models were built by adding the variable that maximized new-model accuracy. The two programs were used to generate discriminant-analysis and random forest models for three data sets. An existing software package was also used. The second program outperformed the alternatives. For the small number of runs produced in this study, it outperformed the method that inspired this work. The data sets were studied to identify determinants of performance. No definite conclusions were reached, but the results suggest topics for future study.

This dissertation reviews the progress in climate, land, energy and water (CLEW) multi-scale models and proposes a framework for quantitative assessment of multi-sector long-term policies. The so-called CLEW nexus approaches have shown their usefulness in assessing strategies to achieve the Sustainable Development Goals in the contexts of increasing demands, resource scarcity, and climate change. This thesis contributes to existing research by (1) focusing on the palette of feasible long-term sustainable solutions at different scales to face current and future sustainable development challenges; (2) improving understanding of how CLEW models can best advise on sustainable development research and highlighting the strengths and limitations of existing configurations; (3) inquiring what is needed for new tools to be accessible, transferable and successful in informing the final user. This dissertation first reviews a set of models that can meet the needs of decision makers discussing research gaps and critical needs and opportunities for further model development from a scientific viewpoint. Particular attention is given to model accessibility, usability, and community support. The review explores at different scales where and why some nexus interactions are most relevant, finding, for example, that both very small scale and global models tend to neglect some CLEW interactions. This dissertation also presents the Nexus Solutions Tool (NEST): a new open modeling platform that integrates multi-scale energy-water-land resource optimization with distributed hydrological modeling. The new approach provides insights into the vulnerability of water, energy and land resources to future socioeconomic and climatic change and how multi-sectoral policies, technological solutions and investments can improve the resilience and sustainability of transformation pathways while avoiding counterproductive interactions among sectors. Finally, a case study analysis of the Indus River Basin in South Asia demonstrates the capability of the NEST framework to capture important interlinkages across system transformation pathways towards the United Nations' Sustainable Development Goals. The results show how the Indus countries could lower costs for development and reduce soil pollution and water stress, by cooperating on water resources, electricity and food production.
Graduate

The primary objective of this work is to develop an approach for evaluating GHG mitigation strategies that considers the detailed operation of the electricity system in question and to ascertain whether considering the detailed operation of the electricity system materially affects the assessment. A secondary objective is to evalute the potential benefit of flexible CO2 capture and storage. An electricity system simlator is developed based upon a deregulated electricity system containing markets for both real and reserve power. Using the IEEE RTS ???96 as a test case, the performance of the electricity system is benchmarked with GHG regulation. Two different implementations of CO2 capture are added to the electricity system ??? fixed CO2 capture and flexible CO2 capture ??? and the impact of having CCS is assessed. The results indicate that: - the assessment of GHG mtigation strategies for the electricity generation subsector should consider the detailed operation of the electricity system in question, - cost of generation alone is not necessarily a good indicator of the economic impact of GHG regulation or the deployment of a GHG mitigation strategy, - adding CCS, at even a single generating unit, can significantly reduce GHG emissions and moderate the ecnomic impact of GHG regulation relative to the cases where CCS is not present, and - a generating unit with a flexible CCS processes participates preferentially in the reserve market enabling it to increase its net energy benefit. It is conclued that there is a significant potential advantage to generating units with flexible CCS processes. The flexibiity of existing and novel CCS process should be an assessment and design criterion, respectively, and the development of novel CCS processes with optimial operability is a suggested area of future research activity. A reduced-order model of a coal-fired generating unit with flexible CO2 capture is developed and integrated into the MINLP formulation of an economic dispatch model. Both of these efforts, not observed previously in the literature, constitute an important contribution of the work as the methodology provides a template for future assessmments of CCS and other electricity mitigation strategies in the electricity generation subsector.

Il problema della verifica di vulnerabilità sismica di edifici esistenti in calcestruzzo armato è stato oggetto negli ultimi anni di studi approfonditi, che hanno favorito lo sviluppo di un quadro di riferimento internazionale sul tema molto ampio, sia dal punto di vista della ricerca scientifica che da quello delle normative tecniche vigenti. Tuttavia, sono ancora molte le questioni irrisolte a riguardo di temi come la modellazione numerica e i metodi di analisi sismica, fasi fortemente influenzate da continue fonti di incertezza (conoscenza dei dettagli geometrici e strutturali, proprietà dei materiali, input sismico, accuratezza e affidabilità di modelli di capacità e strategie di discretizzazione). Ai fini di una valutazione affidabile delle prestazioni sismiche, tali problematiche richiedono lo sviluppo di strategie di modellazione e analisi innovative ed efficaci, soprattutto da un punto di vista di una accurata valutazione probabilistica e con uno sguardo attento alla pratica progettuale, dove la facilità di implementazione e i tempi di calcolo assumono un’importanza prioritaria. Dopo un’estesa ricerca bibliografica degli approcci proposti e utilizzati per effettuare verifiche di vulnerabilità sismica di edifici esistenti in calcestruzzo armato, proposti dalla letteratura scientifica e dalle normative tecniche vigenti, nella tesi sono stati discussi inizialmente alcuni aspetti critici di modellazione, relativi alle consuete ipotesi semplificative adottate. Nella fattispecie, l’influenza dell’ipotesi di piano rigido, con riferimento agli elementi strutturali secondari come il solaio, è stata analizzata, con l’obiettivo di proporre un’idonea strategia efficiente di modellazione per una pratica applicazione, rivolta a ricercatori e professionisti. Ciò stante, un’analisi iniziale di sensibilità è stata condotta, investigando quali parametri influenzano significativamente la risposta sismica globale della tipologia di edifici in oggetto. Sulla base dei risultati ottenuti, una nuova procedura numerica di modellazione dell’impalcato è stata proposta, atta a definire una piastra ortotropa equivalente capace di simulare la reale rigidezza nel piano, per azioni orizzontali. La metodologia adottata, nonostante incrementi lo sforzo computazionale dell’analisi, ha il vantaggio di evitare le assunzioni aprioristiche sulla rigidezza dell’impalcato. Al fine di validare quanto proposto, il metodo è stato applicato ad un edificio esistente in calcestruzzo armato, valutando i risultati e comparandoli con altre metodologie proposte dalla letteratura scientifica per considerare il comportamento nel piano dell’impalcato, come quella a puntoni equivalenti. Infine, è stata valutata la possibilità di applicare la procedura nei casi in cui si considera l’influenza delle tamponature esterne e successivamente, in una prospettiva di miglioramento o adeguamento sismico dell’edificio. In quest’ultimi casi, la prestazione dell’edificio alle azioni orizzontali è stata migliorata, mediante l’uso di tamponature rinforzate e mediante l’inserimento di pareti in calcestruzzo armato sul perimetro dell’edificio. Per quanto riguarda la fase di analisi sismica, stabilire quale sia la metodologia più efficace per identificare la risposta strutturale in campo elastico e inelastico assume una grande importanza, considerando soprattutto la vasta casistica di procedure proposte dalla letteratura scientifica e dalle normative tecniche vigenti. A valle di un’estesa valutazione di quest’ultime, con particolare attenzione ai metodi di analisi non lineari, sia statici che dinamici, la dissertazione presenta alcune applicazioni di analisi statiche non lineari, metodo che rappresenta la prima scelta da parte dei professionisti. Inizialmente, un’applicazione di analisi statica non lineare convenzionale è stata condotta su un campione di edifici esistenti ideali in calcestruzzo armato, con l’obiettivo di verificare il ruolo del nodo di controllo. Tuttavia, come già evidenziato dalle normative tecniche vigenti (Normativa Tecnica Italiana e Eurocodice 8), le procedure di analisi statica non lineare non possono essere sempre applicate, a causa di alcune limitazioni dovute alle caratteristiche dell’edificio analizzato, come le irregolarità e la forte influenza dei modi superiori. Con l’obiettivo di proporre una strategia che possa colmare i limiti sopraelencati, una possibile soluzione è rappresentata dai metodi non convenzionali come le analisi statiche non lineari multimodali o adattive. A questo proposito, una procedura semplificata di analisi statica non lineare multimodale è stata proposta. La peculiarità di tale metodologia è dovuta ad un algoritmo capace di fornire un singolo profilo di carico, facilmente implementabile nelle stesse modalità di un’analisi convenzionale. Al fine di verificare l’efficienza del metodo, quest’ultimo è stato applicato ad un edificio esistente in calcestruzzo armato, caratterizzato da irregolarità dinamiche e da elevata inomogeneità dei materiali in situ. Nella parte finale della tesi, è stata analizzata la possibilità di implementare i concetti alla base del Performance Based Earthquake Engineering (PBEE), metodo di elevata rilevanza scientifica, per applicazioni pratiche nella verifica di vulnerabilità sismica di edifici in calcestruzzo armato. Generalmente, l’applicazione del PBEE richiede conoscenze specifiche circa le teorie della probabilità e competenze specialistiche nel campo della modellazione e analisi non lineare, qualità non sempre comuni tra i professionisti. Con l’obiettivo di ridurre i sopramenzionati ostacoli, una metodologia di analisi dinamica non lineare è stata proposta, consistente in un’applicazione del metodo “multi stripe analysis” su modelli numerici redatti con programmi di calcolo commerciali. Nella fattispecie, la nuova procedura, chiamata “Few Stripe Analysis” (FSA) è stata applicata e testata su un campione di 15 edifici scolastici esistenti in calcestruzzo armato (nella provincia di Foggia, Sud Italia) e i risultati ottenuti, in termini di stato di danno e curve di fragilità, sono stati confrontati con quelli ottenuti utilizzando il programma di calcolo SPO2FRAG. Quest’ultimo consente di calcolare curve di fragilità, partendo da curve di capacità ottenute da analisi statiche non lineari. Infine, una nuova procedura di modellazione per valutare la risposta sismica globale di edifici in calcestruzzo armato è stata proposta. In particolare, la metodologia consente di produrre modelli 3D ad ordine ridotto (caratterizzati da pochi gradi di libertà), partendo dalle caratteristiche geometriche e meccaniche di un edificio esistente. Il vantaggio principale del presente approccio è quello di cogliere molti degli effetti predicibili con un MDoF, ma con bassi tempi di calcolo e analisi e elevata capacità di convergenza, caratteristiche tipiche dei modelli SDoF. L’efficienza di questi modelli semplificati è stata testata sul campione di edifici esistenti sopramenzionato e i risultati, in termini di risposta strutturale, stato di danno e livello di confidenza, sono stati confrontati con quelli ottenuti precedentemente dall’applicazione della metodologia FSA. La rilevanza e l’impatto futuro del lavoro di ricerca presentato può essere valutato in una prospettiva più ampia e relativa ad un’analisi di vulnerabilità del patrimonio costruito a scala territoriale, che risulta essere attualmente un aspetto critico sia per la comunità scientifica che per le autorità governative. Infatti quest’ultime hanno il difficile compito di proporre strategie di mitigazione del rischio sismico per un ampio e disomogeneo patrimonio strutturale, ma con risorse economiche spesso molto limitate. Pertanto, lo sviluppo di metodologie per la stima della vulnerabilità basata su dati limitati è un tema soggetto ad intense attività di ricerca. Le proposte presentate nella tesi possono fornire un potenziale strumento di analisi di grande utilità, in quanto potrebbero consentire, attraverso l’uso dei modelli 3D ad ordine ridotto combinati con la metodologia FSA, di superare le ben note limitazioni mostrate dagli approcci empirici, a favore di metodi meccanici, utilizzati in un quadro completo di analisi probabilistica.
The issue of seismic assessment of existing RC buildings has been extensively studied in the last few years and the international reference framework, both with regard to the scientific research and the development of technical codes, is very wide. Nevertheless, there are still a lot of challenging questions about the definition of reliable numerical models and methods of analysis, which are strongly affected by many uncertainty sources (knowledge of structural details, material properties, seismic input; accuracy and reliability of capacity models and discretization strategies). The management of these issues, especially in view of practice-oriented applications, requires the availability of effective strategies, so to allow a probabilistic assessment approach that can be relatively accessible in terms of implementation hurdle the computational time. After an extensive background about the approaches to vulnerability assessment proposed by recent scientific literature and technical codes, the dissertation discusses the critical aspects related to some assumptions commonly adopted in the seismic modelling of existing RC buildings, with the aim of proposing proper sanitization strategies, which can be particularly useful in view of practical applications. As a first issue, the influence on the global response of alternative modelling assumptions for secondary structural elements such as slabs is investigated. The usual hypothesis of rigid floor is assessed by performing a sensitivity analysis based on several parameters, which are particularly significant for the structural response evaluation. Then, based on the results of the analyses, a numerical procedure for modelling the floor system is proposed, defining an orthotropic equivalent shell element capable to simulate the in-plan stiffness of the floor. The methodology actually increases the computational efforts, but has the significant advantage of avoiding aprioristic assumptions about the floor stiffness. An application of the method to the numerical modelling of existing RC buildings is then proposed, by appraising the variation of results in comparison with alternative models for considering in-plan stiffness (namely, equivalent strut models). Lastly, the application possibilities of the proposed procedure are appraised, by presenting a number of examples. As an additional effect, the presence of infill panels is considered, in the perspective of retrofit solutions. More specifically, the possibility of increasing the capacity to horizontal actions by reinforcing the infilled frames or by introducing additional RC shear walls on the building perimeter is appraised. The second issue addressed in the dissertation is the definition of the most effective methodology to be used for identifying the structural response both in the elastic and inelastic field. After a review of the nonlinear methods of analysis provided by the scientific literature, both static and dynamic, the dissertation presents some applications of the pushover method, which is by far the most popular choice of practitioners. Firstly, an application of conventional pushover analysis is performed on a set of ideal buildings, with the aim of appraising the role of the control node position. Anyway, as highlighted by current technical laws (Italian building code and Eurocode 8), nonlinear static procedure cannot be always applied in its conventional formulation. In particular, some limitations arise in the presence of structural irregularities or in the cases where higher modes have a strong influence. With the aim to bridge these gaps, a solution can be represented by non-conventional methods as multimodal or adaptive pushover analysis. With regard to this question, a simplified multimodal pushover procedure is proposed in the dissertation. The main advantage of the proposal is represented by the easiness of application, thanks to the adoption of a single load profile in the computation, which is moreover an approach very familiar to practitioners. For assessing the reliability of the procedure, it is tested on a real case study characterized by relevant dynamic irregularity and a consistent inhomogeneity of in-situ materials. The final part of the dissertation is devoted to the possibility of extensively bringing the concepts at the base of Performance Based Earthquake Engineering (PBEE) to a wider audience of users, considering that this method has a high scientific relevance for the assessment of existing RC buildings. Generally, the application of PBEE needs a specialist knowledge about probability theories and about nonlinear modelling and analysis, which are skills not always common among practitioners. With the aim of reducing these obstacles, a methodology of nonlinear dynamic analysis is proposed, which consists in an application of the multi-stripe analysis on numerical models implemented through a commercial software. In particular, the new procedure, called Few Stripe Analysis (FSA), is applied on a sample of 15 existing RC school buildings (located in the province of Foggia, Southern Italy) and the results, in terms of damage states, are compared with the ones obtained from SPO2FRAG software, an userfriendly tool able to compute the fragility curves starting from pushover curves. Finally, a new simplified modelling procedure for estimating the global response of existing RC buildings is presented. It is able to produce 3D reduced-order models (characterized by very few degrees of freedom) starting from the geometrical and mechanical features of the case study. The main advantage of the present approach is to account for the effects predictable with MDoF models, but with low analysis time and computational efforts, with elevate convergence capacity, typical of the SDoF models. The performance of this simplified numerical modelling procedure has been tested by the application on the previously mentioned sample of school buildings and comparing the results, in terms of structural response, damage states and confidence levels, with the ones previously obtained from the application of FSA. The relevance and perspective impact of the research work here presented should be seen in the wider field of the vulnerability analysis of the building stock at the regional scale, which is a crucial issue for the scientific community and for the civil society. Governments and administrations are invested with the difficult task of providing mitigation strategies for the seismic risk for a very wide and inhomogeneous portfolio of buildings and the economic resources are often very limited. Therefore, the development of methods for estimating the vulnerability with limited data has been a subject of intense research activity. The framework that is depicted in the dissertation can provide a tool potentially very impactful, since it could allow, by the exploitation of the 3D Reduced Order Models combined with FSA, to overcome the well-known limitations of empirical vulnerability approaches in favor of mechanical based methods managed in a full probabilistic framework.

Zusammenfassung Um die ehrgeizigen politischen Ziele zur Reduzierung der Treibhausgasemissionen im Stromsektor zu erreichen, stimmen alle relevanten Energieszenarien überein, dass Deutschland kurz- bis mittelfristig bis 2035 seine Kapazitäten zur Erzeugung erneuerbarer Energien massiv ausbauen muss. Deutschland ist dabei wie viele andere Länder auch stark von fluktuierenden erneuerbaren Energiequellen (fEE) abhängig, insbesondere von der Wind- und Solarenergie. Die Spezifika der Stromerzeugung von fEE stellen neue und besondere Herausforderungen an ein zuverlässiges Stromversorgungssystem der Zukunft. Entsprechend hat die Erforschung der technischen Optionen bei der Integration großer Anteile von fEE in das Stromnetz in den letzten Jahren stark an Interesse gewonnen. Allerdings scheinen Energieszenarien die mit der schnellen technologischen Entwicklung einhergehenden Integrationsoptionen bisher nicht korrekt abzubilden. In der vorliegenden kumulativen Dissertation wurden ausgewählte technische Optionen für die Integration erneuerbarer Energiequellen in das Stromnetz im Rahmen einer Fallstudie für Deutschland sowie ausgewählter Übertragungsnetze in Deutschland untersucht. Zur Identifizierung und Bewertung der Integrationsmöglichkeiten, widmete sich die Arbeit den vielversprechendsten technischen Integrationsoptionen in Form von i.) systemfreundliche Auslegung von Wind- und Solaranalgen; ii.) optimale Kapazitätsanteile von Wind- und Solaranlagen, iii.) der räumlichen Allokation und Bewertung von Windenergieanlagen in herkömmlicher als auch systemfreundlicher Auslegung; iv.) und dem Beitrag welchen die flexible Stromerzeugung aus Bioenergie als Ergänzung zu steigenden Anteilen an fEE erbringen kann. Es wurde ein Methodenmix zur Beantwortung dieser Forschungsfragen genutzt, der von der numerischen Optimierung auf Basis von Zeitreihendaten über die räumliche Potenzialkartierung und Allokation bis hin zur multikriteriellen Entscheidungsanalyse reicht. Die Ergebnisse zeigen wie der Übergang zu einem von hohen Anteilen an vRES gekennzeichneten Stromversorgungssystem erleichtert werden kann. Darunter Möglichkeiten zur Beschleunigung des Umstiegs auf erneuerbare Energien mit deutlich reduzierten Erzeugungskapazitäten von Wind- und Solaranlagen, weniger negative Residuallasten und negativer residualer Energie, verbesserte Sektorenkopplung und die Potenziale der flexiblen Stromerzeugung aus Bioenergie als Ergänzung zu fEE.:Table of Contents Abstract Zusammenfassung Acknowledgements List of Publications List of Acronyms Table of Contents I. Introductory chapters 1. Introduction 1.1. Background 1.2. vRES in energy scenarios 1.3. Technical developments and options for the integration of vRES 2. Research questions 3. Methods applied in this PhD thesis 4. Discussion and conclusion 4.1. Summary of the main findings 4.2. Transferability of results and methods 4.3. Relevance and outreach 5. Appendix 6. Literature 7. Appended publications and the individual contribution to the publications 8. Curriculum Vitae (deleted) 9. Selbstständigkeitserklärung
Abstract: For Germany to achieve its ambitious political targets for the reduction of greenhouse gas emissions in the electricity sector, major energy scenarios and reports project that the country will have to expand its renewable power generation capacities massively by 2035. As is the case for many countries, Germany will have to heavily rely on variable renewable energy sources (vRES), especially wind and solar photovoltaics. The characteristics of power production from vRES pose challenges for a stable and reliable future power supply system. Accordingly, the research into the technical challenges of integrating large shares of vRES into the power system has therefore attracted much interest in recent years; however, major energy scenarios seem to not cover integration options associated with the fast development of vRES correctly and lag behind the fast development in renewable energy technology. In this cumulative thesis, selected technical options for the integration of renewable energy sources into the power supply system have been investigated in a case study of Germany and a selected transmission system in Germany. To identify and assess these emerging integration options, the research in this PhD thesis covers the most promising technical options for the integration of vRES in the form of i) system-friendly layouts of wind and solar PV; ii) optimal capacity mixes of vRES; iii) the spatial allocation of wind turbines and the impact assessment of wind turbine allocation; and iv) the contribution of flexible power generation from biomass to complement vRES. Therefore, a mix of methods has been applied, ranging from numerical optimization based on time series data, GIS potential mapping and allocation including a multi-criterial decision analysis. The results show how the investigated options can facilitate the transition for a power supply system dominated by high shares of vRES in the near to medium term. A faster energy transition with significantly reduced overall vRES power generation capacities, less Excess Energy (EE) generation, improved cross-sectorial energy provision and flexible bioenergy as a complement to vRES are the major findings of the investigated options in this thesis.:Table of Contents Abstract Zusammenfassung Acknowledgements List of Publications List of Acronyms Table of Contents I. Introductory chapters 1. Introduction 1.1. Background 1.2. vRES in energy scenarios 1.3. Technical developments and options for the integration of vRES 2. Research questions 3. Methods applied in this PhD thesis 4. Discussion and conclusion 4.1. Summary of the main findings 4.2. Transferability of results and methods 4.3. Relevance and outreach 5. Appendix 6. Literature 7. Appended publications and the individual contribution to the publications 8. Curriculum Vitae (deleted) 9. Selbstständigkeitserklärung

Durch den Ausbau an Wind- und PV-Anlagen in Deutschland wird der Flexibilitätsbedarf im Stromsystem steigen. Der Flexibilitätsbedarf kann zum einen durch verschiedene Technologien, z.B. Speicher oder Netze, und zum anderen durch die Stromnachfrage bereitgestellt werden. Eine gezielte Steuerung der Stromnachfrage wird als Demand Side Management (DSM) bezeichnet. Der zunehmend wetterabhängigen und fluktuierenden Stromerzeugung in Deutschland steht jedoch eine bis heute weitgehend unelastische Nachfrage gegenüber. In der Literatur sind verschiedene Arbeiten zu finden, die das Potential zur Lastabschaltung und verschiebung in Deutschland untersuchen. Hierbei liegt der Fokus auf absoluten Werten. Saisonale oder tageszeitliche Unterschiede bleiben dabei häufig unberücksichtigt. Die vorliegende Dissertation greift an dieser Stelle an und untersucht das Potential ausgewählter DSM-Anwendungen in stündlicher Auflösung. Die Ergebnisse zeigen, dass das verfügbare Potential starken saisonalen und tageszeitlichen Schwankungen unterliegt. Dementsprechend wird das DSM-Potential überschätzt, wenn nur absolute Werte betrachtet werden. Darüber hinaus zeigt die Autorin, welche Entwicklungen in den nächsten Jahren hinsichtlich der Verfügbarkeit des DSM-Potentials zu erwarten sind. Basierend auf der Potentialermittlung wird in der Dissertation die Rolle von DSM in einem EE-geprägten Stromsystem modellbasiert untersucht. Hierfür wird das lineare Optimierungsmodell ELTRAMOD, das den deutschen und europäischen Strommarkt abbildet, weiterentwickelt. Anhand verschiedener Szenarien wird zum einen der Beitrag von DSM zur Systemintegration von erneuerbaren Energien in Deutschland und zum anderen die Wechselwirkungen mit anderen Flexibilitätsoptionen (z.B. Speicher) untersucht. Die Ergebnisse zeigen, dass die DSM-Kategorien Lastabschaltung und verschiebung nur kurzzeitig auftretende Schwankungen der Einspeisung aus erneuerbaren Energien ausgleichen können. Zum Ausgleich großer Überschussmengen aus erneuerbaren Energien sind hingegen Power-to-X-Technologien, z.B. Power-to-Heat, besser geeignet.