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Use of Interest Rate Models for Interest Rate Risk Management in the Czech Financial Market Environment
Cíchová Králová, Dana ; Arlt, Josef (advisor) ; Cipra, Tomáš (referee) ; Witzany, Jiří (referee)
The main goal of this thesis is to suggest an appropriate approach to interest rate risk modeling in the Czech financial market environment in various situations. Three distinct periods are analyzed. These periods, which are the period before the global financial crisis, period during the financial crisis and in the aftermath of the global financial crisis and calming subsequent debt crisis in the eurozone, are characterized by different evaluation of liquidity and credit risk, different relationship between financial variables and market participants and different degree of market regulations. Within this goal, an application of the BGM model in the Czech financial market environment is crucial. Use of the BGM model for the purpose of predicting a dynamics of a yield curve is not very common. This is firstly due to the fact that primary use of this model is a valuation of interest rate derivatives while ensuring the absence of arbitrage and secondly its application is relatively difficult. Nevertheless, I apply the BGM model to obtain predictions of the probability distributions of interest rates in the Czech and eurozone market environment, because its complexity, direct modeling of a yield curve based on market rates and especially a possibility of parameter estimation based on current swaptions volatilities quotations may lead to a significant improvement of predictions. This improvement was also confirmed in this thesis. Use of swaptions volatilities market quotations is especially useful in the period of unprecedented mone- tary easing and increased number of central banks and other regulators interventions into financial markets that occur after the financial crisis, because it reflects current market expectations which also include future interventions. As a consequence of underdevelopment of the Czech financial market there are no market quotations of Czech koruna denominated swaptions volatilities. I suggest their approximations based on quotations of euro denominated swaptions volatilities and also using volatilities of koruna and euro forward rates. Use of this approach ensures that predictions of the Czech yield curve dynamics contain current market expectations. To my knowledge, any other author has not presented similar application of the BGM model in the Czech financial market environment. In this thesis I further predict a Czech and Euro area money market yield curve dynamics using the CIR and the GP models as representatives of various types of interest rates models to compare these predictions with BGM predictions. I suggest a comprehensive system of three criteria, based on comparison of predicti- ons with reality, to describe a predictive power of selected models and an appropria- teness of their use in the Czech market environment during different situations in the market. This analysis shows that predictions of the Czech money market yield curve dynamics based on the BGM model demonstrate high predictive power and the best 8 quality in comparison with other models. GP model also produces relatively good qua- lity predictions. Conversely, predictions based on the CIR model as a representative of short rate model family completely failed when describing reality. In a situation when the economy allows negative rates and there is simultaneously a significant likelihood of their implementation, I recommend to obtain predictions of Czech money market yield curve dynamics using GP model which allows existence of negative interest rates. This analysis also contains a statistical test for validating the predictive power of each model and information on other tests. Berkowitz test rejects a hypothesis of accurate predictions for each model. However, this fact is common in real data testing even when using relatively good model. This fact is especially caused by difficult fulfilment of test conditions in real world. To my knowledge, such an analysis of the predictive power of selected interest rate models moreover in the Czech financial market environment has not been published yet. The last goal of this thesis is to suggest an appropriate approach to obtaining pre- dictions of Czech government bonds risk premium dynamics. I define this risk premium as a difference between government bond yields and fixed rate of CZK IRS with the same length. I apply the GP model to describe the dynamics of this indicator of the Czech Republic credit risk. In order to obtain a time series of the risk premium which are necessary for estimation of GP model parameters I firstly estimate yield curves of Czech government bonds using Svensson model for each trading day since 2005. Resulting si- mulations of risk premium show that the GP model predicts the real development of risk premiums of all maturities relatively well. Hence, the proposed approach is suitable for modeling of Czech Republic credit risk based on the use of information extracted from financial markets. I have not registered proposed approach to risk premium modeling moreover in the Czech financial market environment in other publications.
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ELECTRON BEAM REMELTING OF PLASMA SPRAYED ALUMINA COATINGS
Matějíček, Jiří ; Veverka, J. ; Čížek, J. ; Kouřil, J.
Plasma sprayed alumina coatings find numerous applications in various fields, where they enhance the properties of the base material. Examples include thermal barriers, wear resistance, electrical insulation, and diffusion and corrosion barriers. A typical structure of plasma sprayed coatings, containing a multitude of voids and imperfectly bonded interfaces, gives them unique properties - particularly low thermal conductivity, high strain tolerance, etc. However, for certain applications such as permeation barriers or wear resistance, these voids may be detrimental.\nThis paper reports on the first experiments with remelting of plasma sprayed alumina coatings by electron beam technology, with the purpose of densifying the coatings and thereby eliminating the voids. Throughout the study, several parameters of the e-beam device were varied - beam current, traverse velocity and number of passes. The treated coatings were observed by light and electron microscopy and the thickness, structure and surface morphology of the remelted layer were determined and correlated with the process parameters. Based on the first series of experiments, the e-beam settings leading to dense and smooth remelted layer of sufficient thickness were obtained. In this layer, a change of phase composition and a marked increase in hardness were observed.\n
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Modelling, parameter estimation, optimisation and control of transport and reaction processes in bioreactors.
ŠTUMBAUER, Václav
With the significant potential of microalgae as a major biofuel source of the future, a considerable scientific attention is attracted towards the field of biotechnology and bioprocess engineering. Nevertheless the current photobioreactor (PBR) design methods are still too empirical. With this work I would like to promote the idea of designing a production system, such as a PBR, completely \emph{in silico}, thus allowing for the in silico optimization and optimal control determination. The thesis deals with the PBR modeling and simulation. It addresses two crucial issues in the current state-of-the-art PBR modeling. The first issue relevant to the deficiency of the currently available models - the incorrect or insufficient treatment of either the transport process modeling, the reaction modeling or the coupling between these two models. A correct treatment of both the transport and the reaction phenomena is proposed in the thesis - in the form of a unified modeling framework consisting of three interconnected parts - (i) the state system, (ii) the fluid-dynamic model and (iii) optimal control determination. The proposed model structure allows prediction of the PBR performance with respect to the modelled PBR size, geometry, operating conditions or a particular microalgae strain. The proposed unified modeling approach is applied to the case of the Couette-Taylor photobioreactor (CTBR) where it is used for the optimal control solution. The PBR represents a complex multiscale problem and especially in the case of the production scale systems, the associated computational costs are paramount. This is the second crucial issue addressed in the thesis. With respect to the computational complexity, the fluid dynamics simulation is the most costly part of the PBR simulation. To model the fluid flow with the classical CFD (Computational Fluid Dynamics) methods inside a production scale PBR leads to an enormous grid size. This usually requires a parallel implementation of the solver but in the parallelization of the classical methods lies another relevant issue - that of the amount of data the individual nodes must interchange with each other. The thesis addresses the performance relevant issues by proposing and evaluation alternative approaches to the fluid flow simulation. These approaches are more suitable to the parallel implementation than the classical methods because of their rather local character in comparison to the classical methods - namely the Lattice Boltzmann Method (LBM) for fluid flow, which is the primary focus of the thesis in this regard and alternatively also the discrete random walk based method (DRW). As the outcome of the thesis I have developed and validated a new Lagrangian general modeling approach to the transport and reaction processes in PBR - a framework based on the Lattice Boltzmann method (LBM) and the model of the Photosynthetic Factory (PSF) that models correctly the transport and reaction processes and their coupling. Further I have implemented a software prototype based on the proposed modeling approach and validated this prototype on the case of the Coutte-Taylor PBR. I have also demonstrated that the modeling approach has a significant potential from the computational costs point of view by implementing and validating the software prototype on the parallel architecture of CUDA (Compute Unified Device Architecture). The current parallel implementation is approximately 20 times faster than the unparallized one and decreases thus significantly the iteration cycle of the PBR design process.
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Arctic tundra dendrochronology
Lehejček, Jiří ; Svoboda, Miroslav (advisor) ; Monika, Monika (referee)
Historically unprecedented environmental change in the Arctic ecosystems is often given into the context of its past and possible future development. In the region where instrumental meteorological observations are scarce archives need to be investigated in order to address this issues. The comprehensive synthesis one of the archives: long-live circumpolar evergreen Juniperus communis L. shrub is presented here. 20 individuals from southwest Greenland were investigated at the cell anatomy level to understand the ecology of the species and unhide its potential for environmental and climate reconstructions. The findings are as follows:
i) Stop of exponential cross-sectional conduit-lumen widening with increasing age is in contrast with conduit-lumen nature of trees. This indicates that shrubs do not need to saturate their water and nutrient demands via traits of classical hydraulic conductivity law but rather developed different mechanisms. Extreme weather conditions result in prostrate growth form. However, different weather factors probably influence shrub growth differently: While snow and wind act mechanically (a), temperature influences the form of growth physiologically (b). a) So long as the young shrub stem has high resilience to bend back to an upright position after snow melt and so long as it can withstand the wind during the vegetation season it most likely grows upright and the conduit-lumens widen. b) Temperature, resp. freeze-thaw events are responsible for the shrubs preference of safety (finite size of conduit-lumens) over hydraulic efficiency, thus not allowing for more primary growth. All of these (and other) factors are apparently working together and the transition of vertical to more horizontal growth is gradual. As a consequence, the conduit-lumen sizes may not have to be further increased (due to ecophysiological restrictions possibly also must not) because water is no longer transported against gravity.
ii) Observed age/growth trend has to be taken into consideration for further employment of the wood anatomical parameter in paleoenvironmental studies. That is, shrub cell parameters can only be used for this purposes if correctly detrended. This allows for more accurate as well as longer reconstructions because youth trend was often neglected in reconstructions based on shrub annual-rings.
iii) The south-western Greenland Ice-Sheet (GrIS) melt rates reconstruction is presented for the whole 20th century. This part of GrIS is considered as the most active. According to the presented reconstruction current GrIS melt rates are not uncommon for the last century being comparable to first decades of 20th century. This finding is particularly important contribution to the debate on Atlantic meridional overturning circulation (AMOC). Too high fresh water inputs into the Northern Atlantic from GrIS melting may slow down or even stop the AMOC which would result in more continental climate in Europe. Presented results indicate that this threshold lies higher than observed current melt rates of GrIS.
Fascinating Juniperus comunnis species has shown to be able to address many ecological as well as environmental open questions and due to its longevity and abundant distribution has a great potential to become an important player in the Arctic research.
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Information content in vocalization of guinea pigs (Cavia porcellus): individual distinction and recognition of predators
Baklová, Aneta ; Baranyiová, Eva (advisor) ; František, František (referee)
Guinea pigs represent domesticated precocious rodents which became common pets. From the first day after birth they are fully vocal. This thesis was devoted
to the vocalization of pups. The aim of the thesis was to 1) determine the age when the vocal individuality in whistle sound is demonstrable; 2) test possible ultrasonic signals emitted by young guinea pigs; 3) study the antipredator reactions and alarm calls to aerial (bird of prey) and terrestrial (dog) predators and human (control test).
A total of 16 guinea pig pups were tested for vocal individuality, 28 pups
for ultrasonic vocalization and 27 adolescents for predator recognition. When testing vocal ontogeny during the first 9 days after birth, I observed changes in temporal, frequency and parameter of intensity . When I test vocal individuality by cross-validated discriminant function analysis (DFA) based on ten acoustic parameters, calls were classified to correct animals with following success: day 1 = 71.9%, day 3 = 58.8%, day 5 = 53.10%, day 7 = 50.60% and day 9 = 63.10%. The highest frequency in whistle was 30.03 kHz. In predator discrimination reactions as freezing, fleeing and vigilance were observed. In the presence of dog, guinea pigs reacted for the longest time and most frequently by freezing. When confronted with a bird of prey, I observed for a longest time and most often fleeing and then freezing. When exposed to a human, guinea pigs showed mostly vigilance. Almost no vocalization was observed except for two events
of alarm calls - drrr as in the presence of dog and chirrup as reaction to bird of prey.
The following conclusions can be drawn from the presented results: 1) vocal individuality of guinea pigs is demonstrable immediately after birth and the rate
of individually different vocal parameters changes with age; 2) guinea pigs are able
to produce sound up to 30 kHz, i.e. within the ultrasound range, but signals of high frequencies are not crucial for their communication; 3) guinea pigs discriminate between terrestrial and aerial predators, but they emit alarm calls rather rarely.
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New Methods for Increasing Efficiency and Speed of Functional Verification
Zachariášová, Marcela ; Dohnal, Jan (referee) ; Steininger, Andreas (referee) ; Kotásek, Zdeněk (advisor)
Při vývoji současných číslicových systémů, např. vestavěných systému a počítačového hardware, je nutné hledat postupy, jak zvýšit jejich spolehlivost. Jednou z možností je zvyšování efektivity a rychlosti verifikačních procesů, které se provádějí v raných fázích návrhu. V této dizertační práci se pozornost věnuje verifikačnímu přístupu s názvem funkční verifikace. Je identifikováno několik výzev a problému týkajících se efektivity a rychlosti funkční verifikace a ty jsou následně řešeny v cílech dizertační práce. První cíl se zaměřuje na redukci simulačního času v průběhu verifikace komplexních systémů. Důvodem je, že simulace inherentně paralelního hardwarového systému trvá velmi dlouho v porovnání s během v skutečném hardware. Je proto navrhnuta optimalizační technika, která umisťuje verifikovaný systém do FPGA akcelerátoru, zatím co část verifikačního prostředí stále běží v simulaci. Tímto přemístěním je možné výrazně zredukovat simulační režii. Druhý cíl se zabývá ručně připravovanými verifikačními prostředími, která představují výrazné omezení ve verifikační produktivitě. Tato režie však není nutná, protože většina verifikačních prostředí má velice podobnou strukturu, jelikož využívají komponenty standardních verifikačních metodik. Tyto komponenty se jen upravují s ohledem na verifikovaný systém. Proto druhá optimalizační technika analyzuje popis systému na vyšší úrovni abstrakce a automatizuje tvorbu verifikačních prostředí tím, že je automaticky generuje z tohoto vysoko-úrovňového popisu. Třetí cíl zkoumá, jak je možné docílit úplnost verifikace pomocí inteligentní automatizace. Úplnost verifikace se typicky měří pomocí různých metrik pokrytí a verifikace je ukončena, když je dosažena právě vysoká úroveň pokrytí. Proto je navržena třetí optimalizační technika, která řídí generování vstupů pro verifikovaný systém tak, aby tyto vstupy aktivovali současně co nejvíc bodů pokrytí a aby byla rychlost konvergence k maximálnímu pokrytí co nejvyšší. Jako hlavní optimalizační prostředek se používá genetický algoritmus, který je přizpůsoben pro funkční verifikaci a jeho parametry jsou vyladěny pro tuto doménu. Běží na pozadí verifikačního procesu, analyzuje dosažené pokrytí a na základě toho dynamicky upravuje omezující podmínky pro generátor vstupů. Tyto podmínky jsou reprezentovány pravděpodobnostmi, které určují výběr vhodných hodnot ze vstupní domény. Čtvrtý cíl diskutuje, zda je možné znovu použít vstupy z funkční verifikace pro účely regresního testování a optimalizovat je tak, aby byla rychlost testování co nejvyšší. Ve funkční verifikaci je totiž běžné, že vstupy jsou značně redundantní, jelikož jsou produkovány generátorem. Pro regresní testy ale tato redundance není potřebná a proto může být eliminována. Zároveň je ale nutné dbát na to, aby úroveň pokrytí dosáhnutá optimalizovanou sadou byla stejná, jako u té původní. Čtvrtá optimalizační technika toto reflektuje a opět používá genetický algoritmus jako optimalizační prostředek. Tentokrát ale není integrován do procesu verifikace, ale je použit až po její ukončení. Velmi rychle odstraňuje redundanci z původní sady vstupů a výsledná doba simulace je tak značně optimalizována.
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Optimization of Gaussian Mixture Subspace Models and Related Scoring Algorithms in Speaker Verification
Glembek, Ondřej ; Brummer, Niko (referee) ; Campbell,, William (referee) ; Burget, Lukáš (advisor)
Tato práce pojednává o modelování v podprostoru parametrů směsí gaussovských rozložení pro rozpoznávání mluvčího. Práce se skládá ze tří částí. První část je věnována skórovacím metodám při použití sdružené faktorové analýzy k modelování mluvčího. Studované metody se liší převážně v tom, jak se vypořádávají s variabilitou kanálu testovacích nahrávek. Metody jsou prezentovány v souvislosti s obecnou formou funkce pravděpodobnosti pro sdruženou faktorovou analýzu a porovnány jak z hlediska přesnosti, tak i z hlediska rychlosti. Je zde prokázáno, že použití lineární aproximace pravděpodobnostní funkce dává výsledky srovnatelné se standardním vyhodnocením pravděpodobnosti při dramatickém zjednodušení matematického zápisu a tím i zvýšení rychlosti vyhodnocování. Druhá část pojednává o extrakci tzv. i-vektorů, tedy nízkodimenzionálních reprezentací nahrávek. Práce prezentuje dva přístupy ke zjednodušení extrakce. Motivací pro tuto část bylo jednak urychlení extrakce i-vektorů, jednak nasazení této úspěšné techniky na jednoduchá zařízení typu mobilní telefon, a také matematické zjednodušení umožněňující využití numerických optimalizačních metod pro diskriminativní trénování. Výsledky ukazují, že na dlouhých nahrávkách je zrychlení vykoupeno poklesem úspěšnosti rozpoznávání, avšak na krátkých nahrávkách, kde je úspěšnost rozpoznávání nízká, se rozdíly úspěšnosti stírají. Třetí část se zabývá diskriminativním trénováním v oblasti rozpoznávání mluvčího. Jsou zde shrnuty poznatky z předchozích prací zabývajících se touto problematikou. Kapitola navazuje na poznatky z předchozích dvou částí a pojednává o diskriminativním trénování parametrů extraktoru i-vektorů. Výsledky ukazují, že při klasickém trénování extraktoru a následném diskriminatviním přetrénování tyto metody zvyšují úspěšnost.
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Digital circuits test optimization by multifunctional components
Stareček, Lukáš ; Gramatová, Elena (referee) ; Kubátová, Hana (referee) ; Kotásek, Zdeněk (advisor)
This thesis deals with the possibilities of digital circuit test optimization using multifunctional logic gates. The most important part of this thesis is the explanation of the optimization principle, which is also described by a formal mathematical apparatus. Based on this apparatus, the work presents several options. The optimization of testability analogous to inserting test points and simple methodology based on SCOAP is shown. The focus of work is a methodology created to optimize circuit tests. It was implemented in the form of software tools. Presented in this work are the results of using these tools to reduce the test vectors volume while maintaining fault coverage on various circuits, including circuits from the ISCAS 85 test set. Part of the work is devoted to the various principles and technology of creating multifunctional logic gates. Some selected gates of these technologies are subject to simulations of electronic properties in SPICE. Based on the principles of presented methodology and results of multifunctional gates simulations, analysis of various problems such as validity of the modified circuit test and the suitability of each multifunctional gate technology for the methodology was also made. The results of analysis and experiments confirm it is possible for the multifunctional logic gate to optimize circuit diagnostic properties in such a way that has achieved the required circuit test parameter modification with minimum impact on the quality and credibility of these tests.
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Point to Line Mappings and Other Line Parameterizations not only for Hough Transform
Havel, Jiří ; Kälviäinen, Heikki (referee) ; Lefevre, Sebastien (referee) ; Herout, Adam (advisor)
Tato práce se zabývá Houghovou transformací (HT). HT je nejčastěji používána pro detekci přímek nebo křivek, ale byla zobecněna i pro detekci libovolných tvarů. Hlavní téma této práce jsou parametrizace přímek, speciálně PTLM - zobrazení bodů na přímky. Tyto parametrizace mají tu vlastnost, že bodům v obrázku odpovídají přímky v parametrickém prostoru. Tato práce poskytuje důkazy některých vlastností PTLM. Za zmínku stojí existence páru PTLM vhodného pro detekci a efekt konvoluce v obrázku na obsah parametrického prostoru. V práci jsou prezentovány dvě implementace HT. Obě využívají k akceleraci grafický hardware. Jedna využívá GPGPU API CUDA a druhá zobrazovací API OpenGL. Jako aplikace detekce přímek je uvedena část detekce šachovnicových markerů použitelných pro rozšířenou realitu.
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