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Texture Synthesis
Havelka, Robert ; Štancl, Vít (referee) ; Švub, Miroslav (advisor)
This thesis deals with texturing, its importance and basic list of the processes during texture synthetising is included. Texture generating is mainly described from the procedural generator point of view. There is also explained the sense of using Fourier's transformation and its simplified version, the discreet cosine transformation. For texture modiffication, Gaussian noise and gaussian filter is used. The convolution theorem is applied for the texture mixing. Within the scope of this thesis, there is also described the application implementation, which enables experimenting with texture creating.
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Dutch disease in Russia
Havelka, Robert ; Horváth, Roman (advisor) ; Kukačka, Jiří (referee)
Dutch disease in Russia Robert Havelka Abstract Dutch Disease offers formal explanation to the so-called "Resource curse". Detection of Dutch Disease is divided into individual symptoms. We study the case of Russia, i.e. country which possesses significant reserves of natural resources. Long-term relationship between oil price and Russian real exchange rate was not established (1st symptom), but we find evidence of growth and fall of overall wage level in Russia as predicted by Dutch Disease (2nd symptom). We have been able to find statistically significant long-term relationship between Russian GDP, oil price and crude oil export volumes (3rd symptom). Oil price is found to have positive impact on the output of manufacturing sector, which implies Russian economy is to even larger extent vulnerable to oil price shocks. Last link is in direct contradiction with predictions of our model, but it is likely the result of Russian manufacturing sector not being entirely "non-oil", or that some manufacturing sub-sectors are not producing tradable goods. JEL Classication F30, P28, Q30 Keywords Dutch disease, Russia, exchange rate Author's e-mail robberthz.cz@gmail.com Supervisor's e-mail roman.horvath@gmail.com
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Monte Carlo simulation of Counterparty Credit Risk
Havelka, Robert ; Šopov, Boril (advisor) ; Skuhrovec, Jiří (referee)
The counterparty credit risk is particularly hard to simulate and this thesis is only the second work so far, which considers effective simulation of couterparty risk. There are two new approaches to stochastic modelling, which are useful with respect to ef- ficient simulation of counterparty risk. These are Path-Dependent Simulation (PDS) and Direct-Jump to Simulation date (DJS). It had been show that DJS is far more ef- fective, when it comes counterparty risk simulation of path-independent derivatives. We focus on a portfolio of interest rate swaps, which are effectively path-dependent. DJS approach yields estimates with much lower variance than PDS approach. But as expected, the DJS is also much more computationally intensive. The increase in computing time in majority of cases wipes out any gains in lower variance and PDS approach is shown to be more effective, when computing time is taken into account. We also show that in practice the convergence rate of Monte Carlo method signif- icantly underestimates the true reduction in variance, which can be achieved with increasing number of scenarios. JEL Classification C02, C15, C63, G01, G12, G32 Keywords Monte Carlo, CVA, Exposure, Variance Author's e-mail robberth.cz@gmail.com Supervisor's e-mail boril.sopov@gmail.com
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Dutch disease in Russia
Havelka, Robert ; Horváth, Roman (advisor) ; Kukačka, Jiří (referee)
Dutch disease in Russia Robert Havelka Abstract Dutch Disease offers formal explanation to the so-called "Resource curse". Detection of Dutch Disease is divided into individual symptoms. We study the case of Russia, i.e. country which possesses significant reserves of natural resources. Long-term relationship between oil price and Russian real exchange rate was not established (1st symptom), but we find evidence of growth and fall of overall wage level in Russia as predicted by Dutch Disease (2nd symptom). We have been able to find statistically significant long-term relationship between Russian GDP, oil price and crude oil export volumes (3rd symptom). Oil price is found to have positive impact on the output of manufacturing sector, which implies Russian economy is to even larger extent vulnerable to oil price shocks. Last link is in direct contradiction with predictions of our model, but it is likely the result of Russian manufacturing sector not being entirely "non-oil", or that some manufacturing sub-sectors are not producing tradable goods. JEL Classication F30, P28, Q30 Keywords Dutch disease, Russia, exchange rate Author's e-mail robberthz.cz@gmail.com Supervisor's e-mail roman.horvath@gmail.com
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Texture Synthesis
Havelka, Robert ; Štancl, Vít (referee) ; Švub, Miroslav (advisor)
This thesis deals with texturing, its importance and basic list of the processes during texture synthetising is included. Texture generating is mainly described from the procedural generator point of view. There is also explained the sense of using Fourier's transformation and its simplified version, the discreet cosine transformation. For texture modiffication, Gaussian noise and gaussian filter is used. The convolution theorem is applied for the texture mixing. Within the scope of this thesis, there is also described the application implementation, which enables experimenting with texture creating.
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Smoke and Fire Detection in Video Sequences
Havelka, Robert ; Juránek, Roman (referee) ; Španěl, Michal (advisor)
This master's thesis deals with fire detection in videosequences. Attention is paid to the known characteristics of fire and basic principles of existing solutions which deal with this issue. The thesis also describes design, implementation and testing of a fire detector that is based on the recognition of suspicious areas by fire color modeling, combined with detection of motion and light intensity variations.
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