Browsing Theses by Title
Now showing items 10137-10156 of 15552
-
Numerical Methods for Continuous Time Mean Variance Type Asset Allocation
(University of Waterloo, 2010-04-19)Many optimal stochastic control problems in finance can be formulated in the form of Hamilton-Jacobi-Bellman (HJB) partial differential equations (PDEs). In this thesis, a general framework for solutions of HJB PDEs in ... -
Numerical Methods for Hamilton-Jacobi-Bellman Equations with Applications
(University of Waterloo, 2019-08-26)Hamilton-Jacobi-Bellman (HJB) equations are nonlinear controlled partial differential equations (PDEs). In this thesis, we propose various numerical methods for HJB equations arising from three specific applications. First, ... -
Numerical Methods for Long-Term Impulse Control Problems in Finance
(University of Waterloo, 2008-05-16)Several of the more complex optimization problems in finance can be characterized as impulse control problems. Impulse control problems can be written as quasi-variational inequalities, which are then solved to determine ... -
Numerical Methods for Nonlinear Equations in Option Pricing
(University of Waterloo, 2003)This thesis explores numerical methods for solving nonlinear partial differential equations (PDEs) that arise in option pricing problems. The goal is to develop or identify robust and efficient techniques that ... -
Numerical Methods for Optimal Stochastic Control in Finance
(University of Waterloo, 2008-06-17)In this thesis, we develop partial differential equation (PDE) based numerical methods to solve certain optimal stochastic control problems in finance. The value of a stochastic control problem is normally identical to the ... -
Numerical Methods for Optimal Trade Execution
(University of Waterloo, 2012-09-19)Optimal trade execution aims at balancing price impact and timing risk. With respect to the mathematical formulation of the optimization problem, we primarily focus on Mean Variance (MV) optimization, in which the two ... -
Numerical Methods for Pricing a Guaranteed Minimum Withdrawal Benefit (GMWB) as a Singular Control Problem
(University of Waterloo, 2011-08-23)Guaranteed Minimum Withdrawal Benefits(GMWB) have become popular riders on variable annuities. The pricing of a GMWB contract was originally formulated as a singular stochastic control problem which results in a Hamilton ... -
Numerical Methods for Real Options in Telecommunications
(University of Waterloo, 2004)This thesis applies modern financial option valuation methods to the problem of telecommunication network capacity investment decision timing. In particular, given a cluster of base stations (wireless network with a ... -
Numerical Modeling for the Prediction of Primary Blast Injury to the Lung
(University of Waterloo, 2007-01-12)As explosive blasts continue to cause casualties in both civil and military environments, there is a need for increased understanding of the mechanisms of blast trauma at the organ level and a need for a more detailed ... -
Numerical Modeling of Drug Delivery to Solid Tumor Microvasculature
(University of Waterloo, 2013-01-25)Modeling interstitial fluid flow involves processes such as fluid diffusion, convective transport in the extracellular matrix, and extravasation from blood vessels. In all of these processes, computational fluid dynamics ... -
Numerical Modeling of Failure in Magnesium Alloys under Axial Compression and Bending for Crashworthiness Applications
(University of Waterloo, 2012-01-23)Numerical modeling of failure was performed for magnesium alloys with circular and square cross-sections under axial compression. The failure criterion was employed using material model 124, where failure was simulated ... -
Numerical Modeling of Financially Sustainable Urban Wastewater Systems
(University of Waterloo, 2016-08-02)A system dynamics model first developed using the software Stella 7.0.2, which explores the complex behavior of the financially sustainable management of water distribution infrastructure, was converted here into a system ... -
Numerical Modeling of Flexible ZnO Thin-Film Transistors Using COMSOL Multiphysics
(University of Waterloo, 2013-07-26)Increasing attention has been directed towards the development of optically transparent and mechanically flexible thin film transistors (TFTs) and associated circuits based on the transition metal oxides. These flexible ... -
Numerical Modeling of Methane Decomposition for Hydrogen Production in a Fluidized Bed Reactor
(University of Waterloo, 2014-08-21)The decomposition of methane for hydrogen production is an attractive alternative to the established method of reforming. This process considerably reduces the emission of greenhouse gases, and its overall efficiency and ... -
Numerical Modeling of Multiphase Flows with Applications to the Automotive Industry
(University of Waterloo, 2015-06-24)Multiphase flows have become an issue of deep concern in the automotive industry. Two specific problems of concern to the ABC Group and Ford Motor Company have shown that the current multiphase models available in commercial ... -
Numerical Modeling of Nonlinear Problems in Hydraulic Fracturing: Fracture Propagation, Proppant Transport, and Shear Dilation
(University of Waterloo, 2020-05-05)Hydraulic fracturing is a stimulation technique in which fluid is injected at high pressure into low-permeability reservoirs to create a fracture network for enhanced production of oil and gas. It is the primary purpose ... -
Numerical Modeling of Permafrost in Heterogeneous Media
(University of Waterloo, 2020-03-05)Interest in numerical modeling of permafrost has increased over the past decade due to accelerating rates of permafrost thaw. Discontinuous permafrost regions are particularly susceptible to climate change since small ... -
Numerical Modeling of Soil Gas Mobility in Shallow Unsaturated Zones
(University of Waterloo, 2021-05-20)In 2016, greenhouse gases (GHG) released from agricultural soils were estimated to be between 19 and 24 megatonnes of carbon dioxide equivalent with an increasing temporal trend. The processes controlling soil gas mobility ... -
Numerical Modeling of Whiplash Injury
(University of Waterloo, 2010-11-24)Soft tissue cervical spine (neck) injuries, known as ‘whiplash’, are a leading cause of injury in motor vehicle collisions. A detailed finite element (FE) model of the cervical spine that is able to predict local tissue ... -
Numerical Modelling of Reinforced Concrete Walls Encased in Polyvinyl Chloride Stay-In-Place Formwork
(University of Waterloo, 2015-09-25)In structurally participating formworks, a new forming technique for reinforced concrete, referred to as stay-in-place formwork has recently emerged as a viable technique. This permanent new formwork system simplifies the ...