Dissertations / Theses on the topic 'Nielsen model'

This dissertation uses Barndoff-Nielsen and Shephard (BN-S) models to model swap, a type of financial derivative, and analyze geophysical data for estimation of major earthquakes. From empirical observation of the stock market activity and earthquake occurrence, we observe that the distributions have high kurtosis and right skewness. Consequently, such data cannot be captured by stochastic models driven by a Wiener process. Non-Gaussian processes of Ornstein-Uhlenbeck type are one of the most significant candidates for being the building blocks of models of financial economics. These models offer the possibility of capturing important distributional deviations from Gaussianity and thus these are more practical models of dependence structures. Introduced by Barndorff-Nielsen and Shephard these processes are not only convenient to model volatility in financial market, but have an independent interest for modeling stationary time series of various kinds. For the financial data we use BN-S models to price the arbitrage-free value of volatility, variance, covariance, and correlation swap. Such swaps are used in financial markets for volatility hedging and speculation. We use the S&P500 and NASDAQ index for parameter estimation and numerical analysis. We show that with this model the error estimation in fitting the delivery price is much less than the existing models with comparable parameters. For any given time interval, the earthquake magnitude data have three main properties: (1) magnitude is a non-negative stationary stochastic process; (2) for any finite interval of time there are only finite number of jumps; (3) the sample path of the magnitude of an earthquake consists of upward jumps (significant earthquake) and a gradual decrease (aftershocks). For such geophysical data we specifically use Gamma Ornstein Uhlenbeck processes driven by a Levy process to estimate a major earthquake in a certain region in California. Rigorous regression analysis is provided, and based on that, first-passage times are computed for different sets of data. Both applications demonstrate the significance of BN-S models to phenomena that follow non-Gaussian distributions.

The purpose of this study is to identify an impact on an option pricing within NASDAQ OMX Stockholm Market, if the underlying

asset prices include jumps. The current financial crisis, when jumps are much more evident than ever, makes this issue very actual and important in the global sense for the portfolio hedging and other risk management applications for example for the banking sector. Therefore, an investigation is based on OMXS30 Index and SEB A Bank. To detect jumps the Barndorff-Nielsen and Shephard non-parametric bipower variation test is used. First it is examined on simulations, to be finally implemented on the real data. An affirmation of a jumps occurrence requires to apply an appropriate model for the option pricing. For this purpose the Kou model, a double exponential jump-diffusion one, is proposed, as it incorporates essential stylized facts not available for another models. Th parameters in the model are estimated by a new approach - a combined cumulant matching with lambda taken from the Barrndorff-Nielsen and Shephard test. To evaluate how the Kou model manages on the option pricing, it is compared to the Black-Scholes model and to the real prices of European call options from the Stockholm Stock Exchange. The results show that the Kou model outperforms the latter.

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The aim of this abstract is to study the formulation of Niels Bohr´s atomic model in the beginning of the twentieth century, regarding the atomic model of Rutherford. The issues about instability resulting from this model and the observation that the classical mechanic could not express the atomic reality were both intensively approached themes those days. Besides that, spectroscopy data showed that the raising of spectral lines, characteristic of chemical elements, should be explained by an atomic model. The classical mechanic is replaced in the analysis of the atomic phenomena under Bohr´s atomic model. After Max Planck´s ideas, the energy from the atomic processes is not absorbed nor is it continually freed. Actually it is found in the form of energy packages called quanta. To develop his atomic model, Bohr uses studies from Rutherford experiments as well as works about the spectral lines observed from spectroscopic analyses on chemical elements, in which each chemical element can be identified from the light spectrum emitted when this element after receiving energy changes the orbit and remains unstable, freeing an amount of energy in the form of light at the moment that it returns to its stable state
Esta dissertação tem como objetivo o estudo da formulação do modelo atômico de Niels Bohr no inicio do século XX, a partir do modelo atômico de Rutherford. A questão da instabilidade decorrente desse modelo, bem como a observação de que a mecânica clássica não poderia expressar a realidade atômica foram temas intensamente debatidos naquela época. Além disso, os dados de espectroscopia demonstravam que o aparecimento das riscas espectrais características dos elementos químicos deveria ser explicado por um modelo atômico. No desenvolvimento do modelo atômico de Bohr, a mecânica clássica e substituída na análise dos fenômenos atômicos. A partir das idéias de Max Planck, segundo as quais a energia dos processos atômicos não é absorvido nem liberada de forma contínua, mais sim na forma de pacotes de energia chamados de quanta. Para desenvolvimento de seu modelo atômico Bohr se utiliza estudos do experimento de Rutherford e de trabalhos sobre as riscas espectrais observadas a partir de analises espectroscópicas dos elementos químicos, segundo a qual cada elemento químico pode ser identificado a partir do espectro de luz emitido quando o mesmo após receber energia, muda de órbita e fica instável e quando volta ao seu estado de estabilidade libera uma quantidade de energia na forma de luz

Nell’ultimo ventennio si è assistito a un rapido incremento dell’utilizzo di materiale fresato nelle pavimentazioni stradali dovuto in parte al risparmio economico derivante dall’utilizzo di questo materiale e in parte ai vantaggi ambientali. Tuttavia, esistono ancora due importanti problematiche alle quali non è stata data una risposta efficace: la prima riguarda la caratterizzazione del bitume invecchiato contenuto nel fresato; la seconda riguarda la possibilità di prevedere le prestazioni delle miscele confezionate utilizzando elevate quantità di fresato. Con riferimento alla prima problematica, i metodi attualmente disponibili sono basati sull’estrazione e sul recupero del bitume contenuto nel fresato per mezzo di solventi. Tali metodi presentano però vari problemi connessi al fatto che l’estrazione e il recupero del bitume può alterarne le proprietà reologiche. Per questo motivo, nel presente lavoro, si è sviluppata una nuova procedura che permette di eseguire un retrocalcolo delle proprietà reologiche del bitume invecchiato e dei blends, composti da bitume invecchiato e bitume vergine, partendo da test su malte composte miscelando la parte fine degli aggregati del fresato e il bitume vergine; utilizzando il modello di Nielsen, appositamente adattato al caso di materiali bituminosi, e il modello di Voigt si riesce a determinare le suddette proprietà reologiche utilizzando i risultati dei test eseguiti sulle malte. Ciò ha un duplice beneficio: da una parte è possibile caratterizzare il bitume invecchiato contenuto nel fresato nelle stesse condizioni di lavoro in cui si trova all’interno della pavimentazione, evitando che subisca ulteriori trattamenti, dall’altra si possono eseguire le prove di caratterizzazione su una delle fasi che maggiormente governano le proprietà delle miscele in conglomerato bituminoso e che quindi regolano le performance delle pavimentazioni. Con riferimento alla seconda problematica, è stata sviluppata una procedura di modellazione multiscala, basata sia su modelli reologici (2 Spring, 2 Parabolic Elements, 1 Dashpot, 2S2P1D model) sia su modelli empirici (Hirsh e Witczak models), che permette di prevedere il comportamento reologico delle miscele in conglomerato bituminoso, contenenti materiale fresato, partendo direttamente dai risultati di prove eseguite sulle malte e tenendo conto della composizione granulometrica degli aggregati e di quella volumetrica delle miscele. La metodologia messa a punto consente di ottenere previsioni affidabili per entrambe le problematiche affrontate, come dimostrato dai risultati delle prove di validazione eseguite nell’ambito della tesi, e di fornire una soluzione innovativa ad alcune questioni che risultano attualmente di particolare rilievo ai fini della estesa utilizzazione del fresato per il confezionamento dei conglomerati bituminosi. In last decades the use of Reclaimed Asphalt Pavement (RAP) materials in asphalt mixtures has seen a significant expansion for economical and environmental reasons. Nevertheless, there are still two important issues which have not been effectively solved: the first regards the characterization of the aged binder contained in RAP; the second concerns the ability to predict the performance of asphalt mixture composed with high RAP content. Regarding the first problem, the current methods are based on extraction and recovery of the RAP binder using solvents; however, these methods are not fully accurate since they can alter the rheological properties of the binder. For this reason, in the present work, a new procedure to back-calculate the rheological properties of the aged binder contained in RAP materials and of the blends composed with fresh and RAP binder, was developed. This is based on DSR tests performed on mortars, composed by mixing the fine fraction of the RAP aggregate with virgin binder. Using the Nielsen model, specifically adapted to asphalt mortars’ case and the Voigt model, the rheological properties of RAP binder can be back-calculated from mortars tests. The present procedure has two advantages: the aged binder contained in RAP is tested as it is after the milling process, avoiding any further treatments, while the testing campaign is centered on the mortar phase, which is one of the most important phases governing the properties of the mixtures and, therefore, the performance of asphalt pavements. Regarding the second problem, a multi-scale approach based on rheological model (2 Spring, 2 Parabolic Elements, 1 Dashpot, 2S2P1D model) and on empirical models (Hirsh e Witczak models) was developed to predict the rheological properties of asphalt mixture containing RAP materials, starting from tests on asphalt mortars and taking into account the grading of the aggregates and the volumetric composition of the mixtures. This methodology allows to make reliable previsions for both the problems addressed, as demonstrated by the results of the validation tests carried out in this doctoral thesis. In addition, the present research provides innovative solutions to address some of the issues which are currently of particular importance for the purposes of extending the use of RAP material in the production of asphalt mixture.

The discovery of the Higgs boson by the LHC provided the last piece of the puzzle neces- sary for the Standard Model (SM) to be a successful theory of electroweak scale physics. However there exist various phenomenological reasons which serve as pointer towards the existence of physics beyond the Standard Model. For example the explanation for the smallness of the neutrino mass, baryon asymmetry of the universe, the presence of dark matter and dark energy etc. are not within purview of the Standard Model. Con- ceptual issues like the gauge hierarchy problem, weakness of gravity provide some of the theoretical motivation to pursue theories beyond the SM. We consider scenarios with warped extra-dimensions (Randall-Sundrum (RS) Model ) as our preferred candidate to answer some of the questions raised above. RS model gives an elegant geometric solution to address the hierarchy between the two fundamental scales of nature i.e. Planck scale and electroweak scale. In addition to this, the geometry of RS serves as a useful setup wherein the fermion mass hierarchy problem can also be solved. The goal of this thesis is to investigate whether RS model can be an acceptable theory of avour while at the same time serving as a solution to the hierarchy problem. In Chapter[1] we begin with a brief introduction of the SM, highlighting issues which pro- vides the necessary motivation for constructing new physics models. Various candidates of Beyond Standard Model (BSM) physics are introduced and a few preliminaries es- sential to understand frameworks with additional spatial-dimensions ( at and warped) is provided. In Chapter[2] we specialize to the case of warped extra-dimensions and motivate the need to have the SM elds in the bulk. Mathematical details related to the analysis of various spin elds (0; 12; 1 and 2) in a warped background necessary to understand relevant phenomenology is provided. The lack of knowledge of Dirac or Majorana nature of the neutrino leads to a wide variety of possibilities as far as neutrino mass generation is concerned. In Chapter[3] we focus on the leptonic sector where three cases of neutrino mass generation are consid- ered: a)Planck Scale lepton number violation (LLHH case) b) Dirac neutrinos c) Bulk Majorana mass terms. We then study the implications of each case on the charged lepton mass tting. The case with Planck scale lepton number violation in normal RS scenario requires large and negative values for the bulk mass parameters for the charged singlets cE. Dirac neutrinos and the case with Bulk Majorana mass terms give good t to data. For completeness, the ts for the hadronic sector is provided in the appendix. In Chapter[4] avour violation for each of three cases introduced in Chapter[3] is studied. For the case with Planck scale lepton number violation, the non-perturbative Yukawa coupling between the SM singlets and the KK states render the higher order diagrams incalculable. Lepton avour violation (LFV) is particularly large for the Dirac case and the bulk Majorana case for low Kaluza-Klein(KK) mass scales. We then invoke the ansatz of Minimal Flavour violation to suppress LFV with low lying KK scales and examples of avour group is provided for both cases. In Chapter[5] we present an example with a type II two Higgs doublet model applied to the LLHH case. The setup o ers a solution where LLHH scenario can be consistently realized in RS model, where the masses and mixing angles in the leptonic sector can bet with O(1) choice of bulk parameters. Assumption of global lepton number conservation (like in Dirac neutrinos) could lead to problems in theories of quantum gravity where it does not hold. This leads us to the question whether Dirac neutrinos can be naturally realized in nature. In Chapter[6] we consider the special case of bulk Majorana mass encountered in Chapter[3] where the bulk Dirac mass terms for the right handed neutrino is set to zero. We nd that this leads to a case where the e ective zero mode neutrino mass is of Dirac type with negligible e ects from the tower of Majorana states. In Chapter[7] we consider RS at the GUT scale which no longer serves as a solution to the hierarchy problem. SUSY is introduced in the bulk and the low energy SUSY serves as a solution to the hierarchy problem. Such models serve as a useful alternative to SUSY models with family symmetries (e.g. Froggatt-Nielsen Model). However the solutions to the Yukawa hierarchy problem are constrained due to anomaly cancellation conditions. In Chapter[8] supersymmetry breaking due to radion mediation in addition to brane localized sources is considered and detailed analysis of the running of soft masses and the low energy avour observables is considered for both cases separately. In Chapter[9] we conclude and present future directions.

The United States cheese consumption has grown considerably over the years. Using Nielsen Homescan panel data for calendar years 2005 and 2006, this dissertation examines the effect of economic and socio-demographic factors on the demand for disaggregated cheese varieties and on the cheese industry in general. In the first essay, we estimated the censored demand for 14 cheese varieties and identified the respective own-price and cross-price elasticities. Also, non-price factors were determined affecting the purchase of each variety as well as the impact of generic dairy advertising. Results revealed that most of the natural cheese varieties have an elastic demand while the processed cheese products exhibited inelastic demands. Strong substitution and complementarity relationships were identified as well, and a two quarter carry-over effect of advertising was observed for most of cheese demands. Results also showed that household demographics affected the demands differently, depending on the nature of the cheese varieties. The second essay examined the impact of retail promotion on the decision to purchase private label processed cheese products using a probit model. A strong negative relationship was found between national brand manufacturer couponing activity and the private label purchase decision. Therefore, national brand couponing appears to be an effective strategy for manufacturers to deter private label growth. This analysis also shows that the decision of purchasing a private label cheese product is influenced by socio-demographic characteristics of the household, namely household income and size, age and education level of the household head, race, ethnicity, and location. In the third study, the feasibility of fortifying processed cheese with omega-3 is investigated. This ex-ante analysis took into account the market conditions and evaluates the increase in the demand for processed cheese needed to offset the costs of fortification in order to maintain the profitability of manufacturers like Kraft. Initially, the censored demand for processed cheese products is estimated using panel data; subsequently, the profitability of manufacturing such product is determined.This analysis shows that, within reasonable market conditions and reasonable marginal costs, the fortification of processed cheese products with omega-3 fatty acids indeed is feasible from a profitability standpoint to manufacturers.