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Title: Design and Testing of Lithium-Ion Battery for Electric/Hybrid Vehicle Applications (Fall 2001) IPRO 362: Design_and_Testing_of_Lithium-Ion_Battery_for_Electric%3AHybrid_Vehicle_Applications_IPRO362_Fall2001_Final_Presentation
Date: 2001, 2001-12
Description: Li-ion cells have demonstrated excellent performance when operated at ambient temperature conditions. Still, the adverse effect of temperature...
Show moreLi-ion cells have demonstrated excellent performance when operated at ambient temperature conditions. Still, the adverse effect of temperature excursions on lithium-ion cell performance is evident when the cell is operated at elevated temperatures beyond 65 oC or at low temperatures below 0 oC. In all applications, e.g. for powering personal electronics or electric vehicles (EV), a number of cells are packed together in different configurations (parallel and series) to form a battery. It is important to keep the battery pack temperature within a fairly narrow temperature range for optimal battery performance. Thermal management for battery systems can be achieved using an IIT patented technology that incorporates phase change material (PCM) in the battery pack design. The PCM integrated in the cell and/or battery design will act as a heat sink for heat generated, for example during discharge of a Li-ion battery, which is a highly exothermic process. The heat stored will be evolved later when the battery temperature drops during battery charge, or under cold weather conditions.The objectives of this project is to design and test a 10 A-hr, 12 VDC lithium-ion battery module that can be used to power electric/hybrid vehicles(EV/HEV). The design and testing of the battery module will require a team of students with strong backgrounds in mechanical, chemical and electrical engineering. There will also be a need for law students to ensure proper protection of any new intellectual property generated from the project. A business student is required to conduct a market survey of these technologies, including the current market size and sales projections for the EV/HEV market.
Sponsorship: IIT, All Cell Technologies, JBRO Batteries
Project Plan for IPRO 362: Design and Testing of Lithium-Ion Battery for Electric/Hybrid Vehicle Applications for the Fall 2001 semester
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Title: Developing a Wind Turbine System for Chicago (Spring 2002) IPRO 307: Developing_a_Wind_Turbine_System_for_Chicago_IPRO307_Spring2002_Final_Presentation
Date: 2002, 2002-05
Description: A French company has developed new technology for a wind turbine that produces significantly more energy for a given diameter. This company...
Show moreA French company has developed new technology for a wind turbine that produces significantly more energy for a given diameter. This company has agreed to donate a 12 kilowatt prototype unit for research purposes. The project will not only be directed to assessing the efficiency of the wind turbine, but also to the development of a unique stable energy source that integrates several renewable energy sources. The City of Chicago Department of Environment has agreed to partner with IIT in the development of this system. This IPRO team will be responsible for developing the research plan which will include but not be limited to: 1) identifying and assessing alternate locations for siting the wind turbine prototype, 2) developing the research protocol, 3) evaluating wind data in the Chicago area, 4) reviewing the legal aspects of the project including permitting requirements, 5) identifying potential contractors for the installation of the prototype, and 6) developing a preliminary design for the electrical generating system described above.
Sponsorship: NA
Project Plan for IPRO 307: Developing a Wind Turbine System for Chicago for the Spring 2002 semester
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Title: DATA-DRIVEN OPTIMIZATION OF NEXT GENERATION HIGH-DENSITY WIRELESS NETWORKS
Creator: Khairy, Sami
Date: 2021
Description: The Internet of Things (IoT) paradigm is poised to advance all aspects of modern society by enabling ubiquitous communications and...
Show moreThe Internet of Things (IoT) paradigm is poised to advance all aspects of modern society by enabling ubiquitous communications and computations. In the IoT era, an enormous number of devices will be connected wirelessly to the internet in order to enable advanced data-centric applications. The projected growth in the number of connected wireless devices poses new challenges to the design and optimization of future wireless networks. For a wireless network to support a massive number of devices, advanced physical layer and channel access techniques should be designed, and high-dimensional decision variables should be optimized to manage network resources. However, the increased network scale, complexity, and heterogeneity, render the network unamenable to traditional closed-form mathematical analysis and optimization, which makes future high-density wireless networks seem unmanageable. In this thesis, we study the design and data-driven optimization of future high-density wireless networks operating over the unlicensed band, including Radio Frequency (RF)-powered wireless networks, solar-powered Unmanned Aerial Vehicle (UAV)-based wireless networks, and random Non-Orthogonal Multiple Access (NOMA) wireless networks. For each networking scenario, we first analyze network dynamics and identify performance trade-offs. Next, we design adaptive network controllers in the form of high-dimensional multi-objective optimization problems which exploit the heterogeneity in users' wireless propagation channels and energy harvesting to maximize the network capacity, manage battery energy resources, and achieve good user capacity fairness. To solve the high-dimensional optimization problems and learn the optimal network control policy, we propose novel, cross-layer, scalable, model-based and model-free data-driven network optimization and resource management algorithms that integrate domain-specific analyses with advanced machine learning techniques from deep learning, reinforcement learning, and uncertainty quantification. Furthermore, convergence of the proposed algorithms to the optimal solution is theoretically analyzed using mathematical results from metric spaces, convex optimization, and game theory. Finally, extensive simulations have been conducted to demonstrate the efficacy and superiority of our network optimization and resource management techniques compared with existing methods. Our research contributions provide practical insights for the design and data-driven optimization of next generation high-density wireless networks.
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Title: TOPOLOGY OPTIMIZATION OF SYNCHRONOUS ELECTRIC MACHINES
Creator: Guo, Feng
Date: 2021
Description: Topology optimization of electric machine is attractive because of the increased design degree of freedom compared to conventional electric...
Show moreTopology optimization of electric machine is attractive because of the increased design degree of freedom compared to conventional electric machine design techniques. Also, a topology optimization approach does not necessarily require the use of a geometric template where dimensions are controlled by parameters. In this dissertation, a density-based magneto-structural topology optimization approach for the design of synchronous reluctance machine (SynRel), interior permanent magnet synchronous machine (IPMSM), and wound field synchronous machine (WFSM) rotors is developed. Depending on the electric machine type, the optimization problems are divided into single material and multi-material topology optimizations. A mass thresholding function is introduced to overcome the intermediate density issue which is caused by combining the magnetic and structural topology optimization problems. SynRel and IPMSM optimization examples are presented in the single material topology optimization section. For the multi-material topology optimization, in order to properly define the boundary conditions between multiple materials, a virtual region calculation approach is proposed. In the WFSM topology optimization, the copper field winding is represented by a virtual region. The contact and frictionless boundary conditions between the copper field winding and the electrical steel is defined and the centripetal load of the copper winding are equivalently calculated and applied on the elements on the electrical steel next to the boundary between the copper field winding and the steel of the WFSM pole tip. In additional to the total free-form magneto-structural topology optimization, a density-based combined dimensional and topology optimization is developed for the design of IPMSM and WFSM rotors. Both the dimensional and topological control variables are integrated to simplify the optimization problem. For IPMSM rotor design, the permanent magnet (PM) block shape is preferred to be retained where dimensional optimization could be used. The proposed dimensional topology optimization approach can fit in this design situation, where the PM is designed using dimensional control variables where the rest of the design domain is optimized using topology optimization. To allow the block or rectangular magnet to move and change size, the surrounding design domain mesh must deform or distort. The Laplace's smoothing mesh deformation technique is used in this approach and helper lines are connected to allow greater mesh deformation range and to avoid over mesh distortion. In addition to IPMSMs, a WFSM example is presented optimizing the winding region using dimensional optimization and the rotor core using topology optimization. An alternative combined dimensional and topology optimization approach has also been developed primarily for the design of the IPMSM rotors. In this approach, the mesh deformation is not required but there is no explicit geometric boundary between the rectangular permanent magnet and the surrounding electrical steel and air. In this approach, the PM density is expressed as a Heaviside rectangular function of dimensional variables. The function is projected onto the rotor mesh. Modified material penalizations are used. Topology optimization then controls the deposition of electrical steel and air. Three different IPMSM examples are presented with different dimensional control variables, including the PM position, size and angle.
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Title: DATA-DRIVEN FIRST-PRINCIPLES STUDY OF ORDERING PHENOMENA IN COMPLEX ALLOYS
Creator: Kim, George
Date: 2021
Description: Determining the chemical (dis)ordering behavior in materials such as high entropy alloys (HEAs), and ternary Laves phases is fundamental to...
Show moreDetermining the chemical (dis)ordering behavior in materials such as high entropy alloys (HEAs), and ternary Laves phases is fundamental to developing structure-property relations that can be used as guiding principles for alloy design. A common obstacle in materials engineering is that an improvement of a material property comes at the expense of some other desirable properties. For example, trade-offs may be made between strength and ductility, or strength and density, etc. The large compositional and configuration space of possible HEAs, and Laves phases contain potential candidate materials with a balance of optimized properties and tunable structural and functional properties. However, fully exploring the large compositional and configurational space with experimental or even high-throughput Density Functional Theory (DFT) approaches is infeasible, and as of yet, predictive rules for phase stability and chemical (dis)order in HEAs, and Laves phases are still open questions.In this thesis, a HEA with chemical disorder, Al0.3CoCrFeNi, was studied using complementary experimental, DFT, and ML methods. The chemical disorder within the HEA resulted in a severely distorted lattice leading to a reduction in stiffness. Temperature dependence of chemical ordering behavior is studied in NbTaTiV and NbTaTiVZr HEAs using Monte Carlo (MC) simulations, which predicts short-range ordering (SRO) as well as short-range clustering (SRC) behavior in both HEAs. The compositional dependent behavior of substitutional ordering in two ternary Laves phases is evaluated and compared using cluster expansion (CE) models and Monte Carlo (MC) simulations.
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Title: HERBS AND SPICES ON ENDOTHELIAL FUNCTION OVER 24 HOURS: A RANDOMIZED, CONTROLLED TRIAL
Creator: Thorat, Rajrajeshwari Sunil
Date: 2021
Description: Modern-day eating patterns are characterized by readily available carbohydrates and/or fats and have consistently been shown to disturb...
Show moreModern-day eating patterns are characterized by readily available carbohydrates and/or fats and have consistently been shown to disturb endothelial function. Recent investigations suggest herb and spice blends have beneficial effects in reducing inflammation and increasing endothelial function in humans. This study was designed to characterize the effect of herbs and spices on endothelial function as measured by flow-mediated dilation (FMD) over 24 h using a challenge meal paradigm. In a randomized, single-blinded, 4-arm, crossover trial, sixteen overweight/obese adults (BMI = 28.4 ± 2.5 kg/m2; age = 39 ± 15 years) consumed a high carbohydrate high-fat meal (≈ 41% Fat and ≈46% Carbohydrate of total Kcal) with or without the spices combinations, including Italian herbs (rosemary, basil, thyme, oregano, and parsley), cinnamon, and pumpkin pie spice (cinnamon, ginger, nutmeg, and allspice) on four separate days at least three days apart. Meals provided to subjects were customized according to the individual's energy needs to maintain the body weight. The meal was composed of 35% of the daily estimated energy requirement. FMD was performed at 0, 1, 2, 4, 5.5, 7, and 24h. A pressure cuff was positioned below the elbow, artery diameter was measured before the pressure is applied and then inflated to 220 mmHg systolic pressure for 5 minutes. Immediately after cuff deflation, brachial artery vessel diameter was measured to obtain peak vessel relaxation. FMD was calculated as a percentage change in artery diameter before and after the release of the pressure. Baseline (t= 0 h) %FMD change was not significantly different between the treatments (p>0.05). There was no significant increase in the %FMD after consuming the control meal at all time points (p>0.05). Consumption of meals with Italian herb mix, cinnamon, and pumpkin pie spice significantly increased %FMD at 24 h compared to the control meal (mean ± standard error at 24 h, 7.83 ±0.89%, 7.98±0.95% and 8.44±0.70% vs 6.03±0.79%, respectively, p˂0.05). Furthermore, % FMD was significantly increased at t= 24h in Italian herb mix and cinnamon compared to their respective baselines 5.68 ± 0.37% to 7.83 ± 0.89% (p=0.01) and 6.43 ± 0.89% to 7.89 ± 0.95% (p=0.03), respectively. The results of this research indicate that spices may be beneficial for improving endothelial function after 24 h consumption, suggesting bioactivity of herbs and spices on endothelial function will be related to their time course of bioavailability of bioactive components. This was the first study that assessed the effect of herbs and spices over 24 hours using FMD. Understanding the mechanism of how these herbs and spices improve endothelial function will be the subject of future research.
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Title: Frictional behavior of bronze-graphite composite as sliding element in the base isolation system
Creator: You, Da
Date: 2021
Description: There are many calamities around the world, one of the most dangerous disasters is earthquake which threatens the safety of people and the...
Show moreThere are many calamities around the world, one of the most dangerous disasters is earthquake which threatens the safety of people and the structures. Almost every year, there are a lot of property losses and casualties caused by earthquakes. To mitigate the bad effect of the earthquake, the base isolation system was proposed by previous researchers. With the contribution of many researchers, several seismic isolations have been developed. Until now, many structures have installed seismic isolations to resist seismic energy and vibration. The seismic isolation system works well during the earthquake period, and it does help reduce the casualty and property loss induced by earthquakes. There are two main types of bearings used in the seismic isolation system. One is the elastomeric bearings and the other is the sliding bearings. The mechanics of the seismic isolation system preventing the influence of the earthquake and reducing the horizontal acceleration of the structure is to elongate the natural frequency of structure. As for the sliding bearings, the simplest way to increase the period is to reduce the friction coefficient of the two sliding elements. In conventional, two stainless steel plates are commonly used in the pure flat sliding bearing. This study tries to use bronze-graphite composite in the sliding bearing to decrease the friction coefficient.Consequently, the testing results suggest that the bronze-graphite composite has a lower friction coefficient, especially the graphite acting as a lubricant. The friction coefficient of the bronze-graphite plate is in the range of 0.12 to 0.23 under the load of 160 kg - 800kg. With a higher ratio of graphite to bronze at the sliding surface, the effect of reducing the friction coefficient more obviously. And the friction coefficient changes during the increasing loads period. It decreases at the beginning, and starts to increase at a certain load applied on it. Finally, it is reasonable to bronze-graphite composite in a low rise structure which has a relatively low weight. Because the load applied in the test is not high enough, the consequence may not work for high or heavy structure. Taken together, the use of new material with similar properties in the seismic isolation system can help improve the performance of resisting the earthquake. It should be accounted for further research in this field.
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Title: HIGH-THROUGHPUT FIRST-PRINCIPLES STUDY ON HIGH-ENTROPY ALLOYS
Creator: Zhang, Jie
Date: 2021
Description: This research thesis discusses the current ecosystem surrounding a new type of alloy: high entropy alloys (HEA) or multi-element crystalline...
Show moreThis research thesis discusses the current ecosystem surrounding a new type of alloy: high entropy alloys (HEA) or multi-element crystalline materials and lays out the high-throughput first-principles calculation as a valuable approach to study these materials. The density function theory (DFT) from computational material science prospect was implemented to investigate the HEAs. Using EMTO-CPA algorithm, high-throughput DFT calculations were conducted. A total of 1958 HEA systems including equimolar and non-equimolar systems were studied with respect to the varies properties, including lattice parameters, bulk moduli, elastic constants, and elastic anisotropy. The first-principles HEA dataset was employed as the training set for the DeepSets a machine learning model. DeepSets, in combination with EMTO-CPA high-throughput calculation, successfully predicted the mechanical properties of specific HEA composition. This paves a promising new path of designing, investigating, and validating the HEA system compared to the time-consuming conventional HEA design method. The doping effect of Vanadium (V) and Titanium (Ti) to NbMoTaW HEA, as well as V or Ti as the fifth element with different molar fraction to the NbMoTaW HEA system, were studied. The phase stability of the new systems was discussed and concluded that all proposed systems tend to form single-phase solid solution. Though the addiction of V only slightly enhances the system’s ductility, the addition of Ti not only enhances the quinary system NbMoTaWTiX (X =0.25, 0.5,0.75, 1.0) ductility, but enables the system to be closer to fully isotropic.
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Title: ASSET PRICING AND RETURN REVERSAL IN KOREAN AND JAPANESE STOCK MARKET
Creator: Kim, Pil Joon
Date: 2020
Description: The stock market in Asia achieved a rapid development in the 1980’s, mainly in Japan and Korea. In particular, stock market in Japan and Korea...
Show moreThe stock market in Asia achieved a rapid development in the 1980’s, mainly in Japan and Korea. In particular, stock market in Japan and Korea is deeply related to the US stock market. However, in 1997, a major financial crisis hit Asia, and IMF decided to provide financial support to Korea. In addition, in 2011, a nuclear accident at the Fukushima Daiichi Nuclear Power Plant was the most severe nuclear accident since the 26 April 1986 Chernobyl disaster. Nevertheless, the Japanese and Korean markets experienced stable growths. Were Japanese and Korean stock markets truly stable and efficient? This study empirically studied market efficiency through stock market return reversal in the Japanese and Korean stock market and the characteristics of these two stock markets were compared and analyzed.Significant return reversal phenomenon was observed as a result of validating return reversal phenomenon against the stock markets in Korea and Japan. Furthermore, return reversal level differed based on the abnormal (excess) return calculation method used in the test model. Return reversal phenomenon can be found more clearly in loser portfolio than in winner portfolio in general. In particular, when the abnormal (excess) return was calculated using CAPM model, different result from existing research was observed. I also found that the Fama-French 3 factor model can compensate for the CAPM problem. I concluded that this phenomenon is observed in Korea and Japan stock market supporting DeBondt & Talher that CAPM misleads theoretical stock price return reversal and Brown and Warner (1980), who found that sophisticated CAPM do not perform better than simple model like market adjusted returns model. This is interpreted that the stock markets in Korea and Japan are not efficient and continue to have unstable factors. These findings provide full of suggestions to further research. CAPM is to explain market equilibrium price as a one-factor model, the Fama-French 3 factor model is a multi-factor model, and it can be said to more accurately describe the equilibrium price by adding size and gross value factor in describing the market equilibrium price. These results show that if Fama-French 3 factor model uses, it can solve the problem when using CAPM.The January effect is found significantly in both the Korean and Japanese markets. In the Korean stock market, the short-term seasonal reversal effect is more pronounced than in the long-term, and in the Japanese stock market, the long-term seasonal reversal effect is more pronounced than in the short-term.
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Title: MARKOV SWITCHING MODELS OF POPULAR FOREIGN EXCHANGE CARRY TRADE STRATEGIES
Creator: Miller, Larissa J.
Date: 2016, 2016-07
Description: The nature of the carry trade produces periods of steady profitability and periods of extreme terror. The 1980s proved to be a particularly...
Show moreThe nature of the carry trade produces periods of steady profitability and periods of extreme terror. The 1980s proved to be a particularly profitable time period. However, during market crashes in the either equity or bond market, the carry trade is marked with short periods of substantial losses (Menkhoff, Saro, Schmeling, Scrimpf 2012). The global financial crisis of 2007 – 2008 was associated with large losses to carry trades. History repeatedly suggests these two bull and bear states in the economic environment (Fabozzi, Francis 1977). An additional state of market neutrality or stability could also be considered. The purpose of this dissertation is to develop a model of the carry trade with multiple states using the Markov switching methodology. To accomplish this, we use two different popular carry trade strategies: (a) logistic regression and (b) mean-variance optimization. As a benchmark, we include an equally weighted portfolio of long positions in foreign currencies against the dollar. We develop a single state model as well as a normal mixture model for each of the two carry trade strategies. The mixture models assume a static probability of the economy being in either state. However, the financial markets are not static. Applying a Markov chain allows us to build a dynamic model, which allows for new information to determine the probability of the next state. We applied a Markov chain to determine the probability of the current state and the next state to improve trading results. We found the application of a Markov chain did not improve trading performance. The portfolio consists of 12 different currencies including both mature and emerging markets. The training period for determining the weights is 1998 through 2002. Using daily data from 2002 through 2015, we evaluate the performance of each strategy using cumulative returns. These results demonstrate the periods of profitability followed by short periods of terror. Next we evaluate the performance of each strategy with an applied mixture-model. The mixture-model improves the results of each strategy. Applying a Markov chain allows for better determination of both the bear and bull states. We use only the two state environment as the three state environment was unstable.
Ph.D. in Management Science, July 2016
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Title: FLOW IN PARTIALLY CONSTRICTED PLANAR CHANNELS - ORIGINS OF VORTEX SHEDDING AND GLOBAL STABILITY OF NAVIER{STOKES SOLUTIONS
Creator: Boghosian, Michael Edward
Date: 2011-04-17, 2011-05
Description: Vortex shedding is a well-known unsteady uid-dynamic phenomenon occur- ring in a variety of ows in nature including stenosed blood vessels. We...
Show moreVortex shedding is a well-known unsteady uid-dynamic phenomenon occur- ring in a variety of ows in nature including stenosed blood vessels. We nd that current hypotheses regarding the origin of vortex shedding do not apply for the inter- nal ow in a partially constricted two-dimensional channel. As a result, we postulate a novel mechanism to explain the origin of vortex splitting and shedding in this ge- ometry. Numerical simulations of the unsteady, two-dimensional, incompressible Navier{ Stokes equations are performed in a channel having a constriction modeled by a two- parameter Gaussian distribution on both channel walls. Reynolds numbers from 1 to 3000 based on inlet half-channel height and mean inlet velocity and constriction ratios of 0:25, 0:5 and 0:75 are considered. The Navier{Stokes solutions are observed to experience a number of bifurca- tions including unsteady behaviour with shear-layer uctuations and vortex shedding downstream of the constriction. A sequence of events is presented describing how a sustained shear layer instability leads to the unsteady vortex shedding phenomenon via a convective instability and a proposed streamwise pressure-gradient mechanism. In addition, a global linear stability analysis is performed on several station- ary Navier{Stokes solutions to determine the long-term temporal behavior of small amplitude perturbations. Finally, the implications of this research on the hemodynamics in the cephalic vein and potential failure of the brachiocephalic stula are addressed.
Ph.D. in Mechanical Engineering, May 2011
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Title: DUAL-BASED APPROXIMATION ALGORITHMS FOR MULTIPLE NETWORK DESIGN PROBLEMS
Creator: Grimmer, Benjamin
Date: 2016, 2016-05
Description: We study a variety of NP-Complete network connectivity problems. Our pri- mary results come from a novel Dual-Based approach to approximating...
Show moreWe study a variety of NP-Complete network connectivity problems. Our pri- mary results come from a novel Dual-Based approach to approximating network de- sign problems with cut-based linear programming relaxations. This approach gives a 3=2-approximation to Minimum 2-Edge-Connected Spanning Subgraph that is equivalent to a previously proposed algorithm. One well-studied branch of network design models ad hoc networks where each node can either operate at high or low power. If we allow unidirectional links, we can formalize this into the problem Dual Power Assignment (DPA). Our Dual-Based approach gives a 3=2-approximation to DPA, improving the previous best known approximation of 11=7 1:57. Another standard network design problem is Minimum Strongly Con- nected Spanning Subgraph (MSCS). We propose a new problem generalizing MSCS and DPA called Star Strong Connectivity (SSC). Then we show that our Dual-Based approach achieves a 1.6-approximation ratio on SSC. As a result of our Dual-Based approximations, we prove new upper bounds on the integrality gaps of these problems. For completeness, we present a family of instances of MSCS (and thus SSC) with integrality gap approaching 4=3.
M.S. in Computer Science, May 2016
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Title: TOPICS IN COUNTERPARTY RISK AND DYNAMIC CONIC FINANCE
Creator: Iyigunler, Ismail
Date: 2012-11-02, 2012-12
Description: This thesis consists of three essays about modeling counterparty risk and pricing derivative securities. In the rst essay, we analyze the...
Show moreThis thesis consists of three essays about modeling counterparty risk and pricing derivative securities. In the rst essay, we analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. We focus on the pricing of collateralized counterparty risk, and we derive the bilateral Credit Valuation Adjustment (CVA), unilateral Credit Valuation Adjustment (UCVA), and Debt Valuation Adjustment (DVA). We propose a model for the collateral by incorporating all related factors such as the thresholds, haircuts and margin period of risk. We derive the dynamics of the bilateral CVA in a general form with related jump martingales. Counterparty risky and the counterparty risk-free spread dynamics are derived and the dynamics of the Spread Value Adjustment (SVA) is found as a consequence. We nally employ a Markovian copula model for default intensities and illustrate our ndings with numerical results. In the second essay we address the issue of computation of the bilateral CVA under rating triggers in presence of ratings-linked margin agreements. We consider collateralized OTC contracts, that are subject to rating triggers, between two parties { an investor and a counterparty. Moreover, we model the margin process as a function of the credit ratings of the counterparty and the investor. We employ a Markovian approach for modeling of the rating transitions and of the default probabilities of the counterparties. In this framework, we derive the representation for bilateral CVA. We also introduce a new component in the decomposition of the counterparty risky price: namely the rating valuation adjustment (RVA) that accounts for the rating triggers. We consider several dynamic collateralization schemes where the margin thresholds are linked to the credit ratings of the counterparties. We account for the rehypothecation risk in the presence of independent amounts. Our results are ix illustrated in terms of a CDS contract and an IRS contract. In the third essay, we study the problem of pricing in incomplete markets with risk measures and acceptability indices. We propose a model for nding the dynamic ask and bid prices of derivative securities using Dynamic Coherent Acceptability Indices (DCAI) in the presence of transaction costs. In this framework, we de ne and prove a representation theorem for dynamic bid ask prices. We show that our prices can be computed using dynamic Gain-Loss Ratio (dGLR), which is a DCAI. To illustrate our results, we provide several numerical examples, by pricing barrier options with dGLR.
PH.D in Applied Mathematics, December 2012
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Title: NETWORK CONGESTION / RESOURCE ALLOCATION GAME
Creator: Shin, Junghwan
Date: 2013, 2013-12
Description: We first consider the K-user(player) resource allocation problem when the resources or strategies are associated with homogeneous functions....
Show moreWe first consider the K-user(player) resource allocation problem when the resources or strategies are associated with homogeneous functions. Further, we consider the K-user(player) matroid resource allocation problem satisfying the specified requirements of the users, which are maximal independent sets of a matroid. The objective is to choose strategies so as to minimize the average maximum cost incurred by a user where the cost of a strategy is the sum of the costs of the elements comprising the strategy. For k commodity networks with heterogeneous latency functions, we consider the price of anarchy (PoA) in multi-commodity selfish routing problems where the latency function of an edge has a heterogeneous dependency on the flow commodities, i.e. when the delay is dependent on the flow of individual commodities, rather than on the aggregate flow. Further we consider the price of anarchy (PoA) in multi-commodity atomic flows where the latency function of an edge has a heterogeneous dependency on the flow commodities, i.e. when the delay is dependent on the flow of individual commodities, rather than on the aggregate flow. Lastly, we show improved bounds on the price of anarchy for uniform latency functions where each edge of the network has the same delay function. We prove bounds on the price of anarchy for the above functions. Our bounds illustrate how the PoA is dependent on θ and the coefficients gij . At the end, we consider security aspects of network routing in a game-theoretic framework where an attacker is empowered with the ability for intrusion into edges of the network; on the other hand, the goal of the designer is to choose routing paths.
PH.D in Computer Science, December 2013
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Title: RISK SHIFTING, MANAGER SENTIMENT AND NEW INVESTMENT EFFICIENCY IN MANAGED FUTURES
Creator: Jiang, Cheng
Date: 2017, 2017-05
Description: This dissertation focuses on a subset of hedge fund, Commodity Trading Advisors (CTAs), which has grown in the past 35 years and highlighted...
Show moreThis dissertation focuses on a subset of hedge fund, Commodity Trading Advisors (CTAs), which has grown in the past 35 years and highlighted by its diversification benefit to traditional asset classes. I will study the risk-taking, market timing and market capacity of this type of hedge fund. I study the volatility of an extensive sample of live and defunct Commodity Trading Advisor funds from 1994 to 2013. Utilizing the gross-of-fee return, I document significant mean-reversion in volatility in the time series of CTA funds. I further examine the impact of performance on volatility shift, and find consistent evidence of risk tournament behavior, especially when the CTA industry is performing well. Moreover, the risk shifting of CTA managers depend upon both relative and absolute fund performance. The practice of this conditional risk shifting has benefitted the fund managers at the cost of fund investors. I estimate the average benefit to manager's return income and the average cost to investor's Sharpe ratio. My findings provide a first comprehensive evidence on the risk strategy of CTA funds, suggesting that managerial career concerns do not eliminate the moral hazard problem in the CTA space. The asymmetric nature of performance-based compensation in hedge funds produces a strong incentive for risk-shifting, but empirical research presents mixed evidence of risk-seeking behavior. The driver of the change in risk can also be related to other reasons other than incentive fees. I introduce a behavioral regime-switching model of fund manager sentiment in which Bayesian learning is used to update beliefs about market environment in an effort to predict future performance and anticipate market moves. I use a subset of hedge funds in the managed futures industry between 1994 and 2014 and find that the risk-taking behavior of fund managers is influenced by human emotions but in two distinctly different ways. The capital flow to hedge funds has well-known price pressure and smart money effect. This paper studies the capital flows impact on CTA future performance. It had been observed both in mutual funds and hedge funds that mangers scale their existing holding up or down by using new capital inflow rather than trade new positions. This strategy will generate positive returns for the funds due to the price pressure effect. It is interesting whether it will exist in managed future space. I use Vector auto-regression (VAR) to evaluate a system of 2 variables: capital inflow and future performance. If the relationship is negative, one possible reason could be the market impact that erodes the profit generated by price pressure. Therefore, I will implement a market impact test that investigate the market capacity in terms of Sharpe ratio and t-statistics of alpha.
Ph.D. in Management Science, May 2017
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Title: MEAN-VARIANCE HEDGING WITH TIME CHANGED LEVY PROCESS
Creator: Liu, J Ingran
Date: 2012-11-17, 2012-12
Description: The goal of this thesis is to consider asset pricing model which driven by an exponential time changed process: Brownian motion with time...
Show moreThe goal of this thesis is to consider asset pricing model which driven by an exponential time changed process: Brownian motion with time changing process{ Poisson process. We rst present the characteristic function of the time change exponential Brown motion and its ltration. Second we exhibit the explicit European call pricing formula then discuss the mean-variance hedging method in this thesis.
M.S. in Applied Mathematics, December 2012
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Title: EFFICIENT ALGORITHMS FOR POWER ASSIGNMENT PROBLEMS
Creator: Qiao, Kan
Date: 2015, 2015-05
Description: Power assignment problems take as input a directed simple graph G = (V;E) and a cost function c : E ! R+. A solution to this problem assigns...
Show morePower assignment problems take as input a directed simple graph G = (V;E) and a cost function c : E ! R+. A solution to this problem assigns every vertex a nonnegative power, p(v). We use H = (V;B(p)) to denote the spanning subgraph of G created by this power assignment. Let B(p) denote the set of all the links established between pairs of nodes in V under the power assignment p. The minimization problem then is to find the minimum power assignment, Pp(v), subject to H satisfying a specific property. 4 variants of this problem are discussed in this paper (a) Min-Power Strong Connectivity: H = (V;B(p)) is strongly connected. (b) Min-Power Broadcast: H = (V;B(p)) has a path from the fixed source z to every other vertex. (c) Min-Power Connectivity with 2-level power (Symmetric): c : E ! f0; 1g and H = (V;B(p)) is connected. (d) Min- Power Strong Connectivity with 2-level power (Asymmetric): c : E ! f0; 1g and H = (V;B(p)) is strongly connected. We give the exact solution using an improved integer linear program for problem (a) and (b) (We do not have a section for the integer linear program of Min-Power Broadcast problem since it is very similar to Min-Power Strong connectivity). Then we try to speedup current best approximation algorithms while preserving their approximation ratio. For problem (a), we give a fast variant of 1:85-approximation algorithm with running time O(n2 log2 n). For problem (b), we give a fast variant of 2(1 + ln n)-approximation algorithm for the most general cost model with running time O(n3) and a fast variant of 4:2- approximation algorithm for 2-dimensional cost model with running time O(nm), where n = jV j and m = jEj. For both problem (c) and (d), We give 5 3-approximation algorithms that run in O(m (n)), where (n) is the inverse Ackermann function.
Ph.D. in Computer Science, May 2015
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Title: MODELING, ANALYSIS AND DESIGN OF MULTI-CHANNEL BONDING FOR IEEE 802.11 WLANS
Creator: Khairy, Sami
Date: 2016, 2016-12
Description: The aim of this dissertation is to study the performance of distributed and opportunistic multi-channel bonding protocol in IEEE 802.11ac...
Show moreThe aim of this dissertation is to study the performance of distributed and opportunistic multi-channel bonding protocol in IEEE 802.11ac WLANs, and design channel bonding strategies to efficiently utilize the available spectrum. To this end, we first develop an analytical framework to study the throughput performance of WLANs with co-existing ac users and legacy users, characterizing the contentions among ac and legacy users in both primary and secondary channels. By modeling the transmissions of legacy users and ac users with and without bonding as a twolevel renewal process, the channel bonding probability of ac users in each secondary channel can be derived. Based on the bonding probability, MAC throughput of ac and legacy users can be analyzed respectively. Our analysis show that in a homogeneous multi-channel WLAN where only ac users are present, the contention probability of ac users is the same as that in a single channel with the same number of users; and in a heterogeneous WLAN with both ac and legacy users, an ac user can achieve a higher throughput than a legacy user, although the overall throughput decreases due to the increased contention level imposed by ac users in secondary channels. Based on the analysis, we further propose a channel selection strategy for ac users to select the best primary channel, in order to mitigate the contentions in the network and attain the maximal throughput. Analytical results show that primary channel selection is indifferent in a homogeneous network, whereas in a heterogeneous network, ac users should select the least congested channel as the primary channel to attain the maximal throughput. To evaluate the performance of a multi-channel WLAN, we develop an event-driven simulator based on network simulator-3 (NS-3). Extensive simulations validate our analyses and the efficiency of the proposed channel selection strategy.
M.S. in Electrical Engineering, December 2016
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Title: DEVELOPMENT OF A PREDICIlVE FRAMEWORK TO FORECAST VENOUS STENOSIS
Creator: Mahmoudzadeh Akherat, S.m. Javid
Date: 2016, 2016-12
Description: The end stage renal disease (ESRD) patient population is growing at a troubling rate, calling for a focused attention to investigate the...
Show moreThe end stage renal disease (ESRD) patient population is growing at a troubling rate, calling for a focused attention to investigate the chronic kidney diseases, their characteristics and our lines of defense against them. One major medical treatment for ESRD patients is hemodialysis which is facilitated through vascular access (VA). The vascular access of particular interest in this investigation as well as the medical community is the brachiocephalic fistula (BCF), which is a form of arteriovenous fistula (AVF), created surgically by connecting the brachial artery and the cephalic vein. It is commonly used for elderly patients and for those with poor circulation systems, e.g. diabetics. The extreme hemodynamic environment that BCF creates triggers the onset of neointimal hyperplasia (NH) in most of these patients which leads to access failure and a high morbidity and mortality rate. This process happens in a matter of months, providing an excellent translational medicine experimental stage to observe as the vessel walls react and adapt to the new hemodynamically violent conditions. Through extensive analysis of the venous deformation and subsequent hemodynamics of a patient cohort of 160, a prognosticative framework to predict the vein deformation in these patients prior to the occurrence of the failure has been developed. The obtained results are the consequence of the integration of clinical practice and computational science. The proposed method was first based on our hypothesis which roots the NH in non-physiological wall shear stresses (WSS), and was then improved and modified using rigorous optimization and numerical approaches. This finding is essential to the modification of the current VA techniques to increase the patency of the AVFs, to prevent the diminishing functionality of the access, and to increase the life expectancy of ESRD patients. Moreover, this finding will further assist us in comprehension of the human vasculature growth and remodeling (G&R) through bypassing the analysis of unknown biological phenomena, as it is achieved purely by juxtaposing well-defined mathematical, physical, and medical concepts.
Ph.D. in Mechanical and Aerospace Engineering, December 2016
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Title: NUMERICAL ANALYSIS OF NON-DUCTILE BRACED FRAME DUE TO DYNAMIC LOADS
Creator: Keivan Esfahani, Ashkan
Date: 2014, 2014-05
Description: In recent years, typical steel construction in regions of high seismic risk has shifted from moment-resisting frames to concentrically braced...
Show moreIn recent years, typical steel construction in regions of high seismic risk has shifted from moment-resisting frames to concentrically braced frames. As a result of the increased popularity of braced frames, the poor performance of some conventionally braced frames in past earthquakes, and the limited experimental data available on the inelastic response and the failure characteristics of braced-frame systems, a series of experimental and analytical investigations were initiated. Steel concentrically braced frames are common lateral force resisting systems in both new construction and existing buildings. However, the seismic behavior of braced frames designed prior to the adoption of capacity design principles in the 1980s is generally not well understood despite their widespread presence. These older braced frames, termed non-seismic concentrically braced frames (NCBFs) are the subject of a research project titled “NEESR: Collaborative Developments for Seismic Rehabilitation of Vulnerable Braced Frames” that seeks to evaluate NCBFs and determine retrofit strategies. In this project two tests were conducted. First Test examined a full scale two story NCBF in the inverted V configuration subjected to quasistatic cyclic load and this specimen contained a bottom story beam that is considered weak in capacity design. Second Test examined a post-earthquake repair scenario using the damaged NCBF-INV-1 frame in which the bottom story braces and gusset plates were removed and replaced with seismically compact braces with connection designed for in plane buckling. In this work, finite element models developed in Abaqus were validated using data collected from these tests. The outcomes of this research will be a greater understanding of seismic performance of NCBFs, the development of rehabilitation strategies for vulnerable NCBFs, and a robust technique for modeling NCBFs.
M.S. in Civil Engineering, May 2014
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