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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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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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Retargetable Analysis of Machine Code
Křoustek, Jakub ; Janoušek, Jan (referee) ; Návrat,, Pavol (referee) ; Kolář, Dušan (advisor)
Analýza softwaru je metodologie, jejímž účelem je analyzovat chování daného programu. Jednotlivé metody této analýzy je možné využít i v dalších oborech, jako je zpětné inženýrství, migrace kódu apod. V této práci se zaměříme na analýzu strojového kódu, na zjištění nedostatků existujících metod a na návrh metod nových, které umožní rychlou a přesnou rekonfigurovatelnou analýzu kódu (tj. budou nezávislé na konkrétní cílové platformě). Zkoumány budou dva typy analýz - dynamická (tj. analýza za běhu aplikace) a statická (tj. analýza aplikace bez jejího spuštění). Přínos této práce v rámci dynamické analýzy je realizován jako rekonfigurovatelný ladicí nástroj a dále jako dva typy tzv. rekonfigurovatelného translátovaného simulátoru. Přínos v rámci statické analýzy spočívá v navržení a implementování rekonfigurovatelného zpětného překladače, který slouží pro transformaci strojového kódu zpět do vysokoúrovňové reprezentace. Všechny tyto nástroje jsou založeny na nových metodách navržených autorem této práce. Na základě experimentálních výsledků a ohlasů od uživatelů je možné usuzovat, že tyto nástroje jsou plně srovnatelné s existujícími (komerčními) nástroji a nezřídka dosahují i lepších výsledků.
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Swarm Intelligence
Winklerová, Zdenka ; Šaloun, Petr (referee) ; Škrinárová,, Jarmila (referee) ; Zbořil, František (advisor)
The intention of the dissertation is the applied research of the collective ( group ) ( swarm ) intelligence . To demonstrate the applicability of the collective intelligence, the Particle Swarm Optimization ( PSO ) algorithm has been studied in which the problem of the collective intelligence is transferred to mathematical optimization in which the particle swarm searches for a global optimum within the defined problem space, and the searching is controlled according to the pre-defined objective function which represents the solved problem. A new search strategy has been designed and experimentally tested in which the particles continuously adjust their behaviour according to the characteristics of the problem space, and it has been experimentally discovered how the impact of the objective function representing a solved problem manifests itself in the behaviour of the particles. The results of the experiments with the proposed search strategy have been compared to the results of the experiments with the reference version of the PSO algorithm. Experiments have shown that the classical reference solution, where the only condition is a stable trajectory along which the particle moves in the problem space, and where the influence of a control objective function is ultimately eliminated, may fail, and that the dynamic stability of the trajectory of the particle itself is not an indicator of the searching ability nor the convergence of the algorithm to the true global solution of the solved problem. A search strategy solution has been proposed in which the PSO algorithm regulates its stability by continuous adjustment of the particles behaviour to the characteristics of the problem space. The proposed algorithm influenced the evolution of the searching of the problem space, so that the probability of the successful problem solution increased.
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Methodology of highly reliable systems design
Straka, Martin ; Gramatová, Elena (referee) ; Racek, Stanislav (referee) ; Kotásek, Zdeněk (advisor)
In the thesis, a methodology alternative to existing methods of digital systems design with increased dependability implemented into FPGA is presented, new features which can be used in the implementation and testing of these systems are demonstrated. The research is based on the use of FPGA partial dynamic reconfiguration for the design of fault tolerant systems. In these applications, the partial dynamic reconfiguration can be used as a mechanism to correct the fault and recover the system after the fault occurrence. First, the general principles of diagnostics, testing and digital systems dependability are presented including a brief description of FPGA components and their architectures. Next, a survey of currently used methods and techniques used for the design and implementation of fault tolerant systems into FPGA is described, especially the methods used for fault detection and localization, their correction, together with the principles of evaluating fault tolerant systems design quality. The most important part of the thesis is seen in the description of the design methodology, implementation and testing of fault tolerant systems implemented into FPGAs which uses SRAMs as the configuration memory. First, the methodology of developing and automated checker components design for digital systems and communication protocols is presented. Then, a reference architecture of a dependable system implemented into FPGA is demonstrated including several fault tolerant architectures based on the use of partial dynamic reconfiguration as the mechanism of fault correction and the recovery from it. The principles of controlling the reconfiguration process are described together with the description of the test platform which allows to test and verify the design of fault tolerant systems based on the methodology presented in the thesis. The experimental results and the contribution of the thesis are discussed in the conclusions.
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Methodology of highly reliable systems design
Straka, Martin ; Kotásek, Zdeněk (advisor)
In the thesis, a methodology alternative to existing methods of digital systems design with increased dependability implemented into FPGA is presented, new features which can be used in the implementation and testing of these systems are demonstrated. The research is based on the use of FPGA partial dynamic reconfiguration for the design of fault tolerant systems. In these applications, the partial dynamic reconfiguration can be used as a mechanism to correct the fault and recover the system after the fault occurrence. First, the general principles of diagnostics, testing and digital systems dependability are presented including a brief description of FPGA components and their architectures. Next, a survey of currently used methods and techniques used for the design and implementation of fault tolerant systems into FPGA is described, especially the methods used for fault detection and localization, their correction, together with the principles of evaluating fault tolerant systems design quality. The most important part of the thesis is seen in the description of the design methodology, implementation and testing of fault tolerant systems implemented into FPGAs which uses SRAMs as the configuration memory. First, the methodology of developing and automated checker components design for digital systems and communication protocols is presented. Then, a reference architecture of a dependable system implemented into FPGA is demonstrated including several fault tolerant architectures based on the use of partial dynamic reconfiguration as the mechanism of fault correction and the recovery from it. The principles of controlling the reconfiguration process are described together with the description of the test platform which allows to test and verify the design of fault tolerant systems based on the methodology presented in the thesis. The experimental results and the contribution of the thesis are discussed in the conclusions.
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Towards a better understanding of ungulate diets: a methodological approach
Holá, Michaela ; Červený, Jaroslav (advisor) ; Stádník, Luděk (referee)
Populations of European ungulates have grown substantially over recent decades, resulting in considerable environmental and socio-economic impacts. Availability and quality of natural and supplemental food sources are among the main factors driving their population dynamics. Detailed knowledge of feeding strategies of management-targeted species is therefore of primary importance for their successful management. Over time, methods to study the feeding strategies of animals have also evolved considerably but each has its advantages as well as limitations. This doctoral thesis uses a combination of traditional methods (i.e. stomach content analysis) and novel methods (i.e. stable isotope analysis, near infrared reflectance spectroscopy) to achieve a better understanding of feeding strategies of two important ungulate species (i.e. wild boar and red deer) in the Czech Republic, where their populations are on the rise and supplementary feeding is rampant. Next, this dissertation aims to introduce and to establish a basis for these novel methodological approaches for the study of free-ranging individuals. In this respect, it also addresses methodological issues related to their application in this field.
The diet composition of wild boar was investigated by examining stomach contents in order to identify their dependence on food resources of human origin (i.e. agricultural crops and supplemental foods). Foods of human origin were the dominant diet type and constituted the bulk of the diet of wild boar throughout the year. A necessary prerequisite for application of stable isotope analysis is the trophic discrimination factor (i.e. systematic difference between the isotopic composition of the consumer tissues and that of the diet), which was experimentally determined for stable carbon and nitrogen isotopes, the two most commonly used in ecology, in hair tissue of wild boar and red deer. Furthermore, possible sources of variation (such as sex, age, body weight, and lactation) on isotopic discrimination were investigated. The results of the experiments provide a starting point for the successful use of stable isotope analysis in field studies on wild boar and red deer. Finally, application of near infrared reflectance spectroscopy was proven to be useful in measuring faecal indices of food quality for red deer. The results of this thesis will contribute towards efficient management of wild boar and red deer in the Czech Republic.
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Optimizing controller settings in terms of quality of work gasoline engines E85
Kotek, Tomáš ; Pexa, Martin (advisor) ; Malaťák, Jan (referee)
The work deals with optimizing the operation of spark ignition internal combustion engine on fuel E85. The theoretical part is devoted to the issue of biofuels in terms of production, distribution and use in internal combustion engines.
The experimental part is devoted to the design and verification of the additional control unit (ADU) which solves the optimisation of operation unmodified engine on E85.
The first part of the experiment is dedicated to the design and construction of ADU with aim to faultless operation of the engine on E85.
The second part of the experiment was devoted to optimisation of engine operation in terms of fuel consumption using dynamic changes of the injectors opening time. Part of the experiments was an evaluation of emissions production and impact on the performance parameters of the engine.
The final part of the experiment evaluates the achieved results at the various settings strategy of ADU and compares them with results during engine operation on prescribed fuel N95.
By the dynamic change of the injector opening time were reached decrease in fuel consumption by about 5%, reduction in CO production by around 70%, approximately fourfold increase in the production of NOx emissions and about 50% decrease in production of particulate matters.
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