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Title: Wellness and Education: 04.21_Mason Boards
Creator: Mason, Laurie
Date: 2012, 2012-05
Description: What if the school were more like a playground; a laboratory for exploration and discovery? What if the place itself actually inspired the...
Show moreWhat if the school were more like a playground; a laboratory for exploration and discovery? What if the place itself actually inspired the students within it? My proposal for a new primary school in Chicago attempts to become such a place. With an emphasis on wellness and ecologically based practices the school becomes a teaching tool. Featuring a diverse range of flexible interior and exterior spaces, the building supports different learning environments. The school also encourages community involvement through shared resources and volunteer opportunities. The project becomes more than a school; an integral part of the neighborhood and place to experience learning.
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Title: Wellness and Education: Wellness and Education_Laurie Mason
Creator: Mason, Laurie
Date: 2012, 2012-05
Description: What if the school were more like a playground; a laboratory for exploration and discovery? What if the place itself actually inspired the...
Show moreWhat if the school were more like a playground; a laboratory for exploration and discovery? What if the place itself actually inspired the students within it? My proposal for a new primary school in Chicago attempts to become such a place. With an emphasis on wellness and ecologically based practices the school becomes a teaching tool. Featuring a diverse range of flexible interior and exterior spaces, the building supports different learning environments. The school also encourages community involvement through shared resources and volunteer opportunities. The project becomes more than a school; an integral part of the neighborhood and place to experience learning.
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Title: Volumes of Light - A School of the Performing and Visual Arts, Brooklyn.
Creator: Cabal González, Sara
Date: 2012, 2012-05
Description: The school is a proposal for high-level academic performance in the form of an art condenser that will also be used after hours to house...
Show moreThe school is a proposal for high-level academic performance in the form of an art condenser that will also be used after hours to house community art events. Thus, it will act as a catalyst for future college students and serve as a magnet for neighborhood residents. As the art disciplines require, the classroom and their respective studio are integrated and considered as the basic unit that define different volumes for each art form. The massing, orientation, and materiality bring a unique quality of light to those “volumes of light”.
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Title: Volumes of Light - A School of the Performing and Visual Arts, Brooklyn.: School of the Arts Brooklyn Board 1
Creator: Cabal González, Sara
Date: 2012, 2012-05
Description: The school is a proposal for high-level academic performance in the form of an art condenser that will also be used after hours to house...
Show moreThe school is a proposal for high-level academic performance in the form of an art condenser that will also be used after hours to house community art events. Thus, it will act as a catalyst for future college students and serve as a magnet for neighborhood residents. As the art disciplines require, the classroom and their respective studio are integrated and considered as the basic unit that define different volumes for each art form. The massing, orientation, and materiality bring a unique quality of light to those “volumes of light”.
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Title: Volumes of Light - A School of the Performing and Visual Arts, Brooklyn.: School of the Arts Brooklyn Board 2
Creator: Cabal González, Sara
Date: 2012, 2012-05
Description: The school is a proposal for high-level academic performance in the form of an art condenser that will also be used after hours to house...
Show moreThe school is a proposal for high-level academic performance in the form of an art condenser that will also be used after hours to house community art events. Thus, it will act as a catalyst for future college students and serve as a magnet for neighborhood residents. As the art disciplines require, the classroom and their respective studio are integrated and considered as the basic unit that define different volumes for each art form. The massing, orientation, and materiality bring a unique quality of light to those “volumes of light”.
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Title: Volumes of Light - A School of the Performing and Visual Arts, Brooklyn.: School of the Arts Brooklyn booklet
Creator: Cabal González, Sara
Date: 2012, 2012-05
Description: The school is a proposal for high-level academic performance in the form of an art condenser that will also be used after hours to house...
Show moreThe school is a proposal for high-level academic performance in the form of an art condenser that will also be used after hours to house community art events. Thus, it will act as a catalyst for future college students and serve as a magnet for neighborhood residents. As the art disciplines require, the classroom and their respective studio are integrated and considered as the basic unit that define different volumes for each art form. The massing, orientation, and materiality bring a unique quality of light to those “volumes of light”.
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Title: Moments of Understanding - Tribal Culture Center: Moments of Understanding - Tribal Culture Center (Project)
Creator: Hussain, Tanveer
Date: 2012-05-01, 2012-05
Description: The main purpose of the Tribal Cultural Center is to offer a platform for the local public, tribal country’s key leaders to communicate with...
Show moreThe main purpose of the Tribal Cultural Center is to offer a platform for the local public, tribal country’s key leaders to communicate with the goal of promoting peace and prosperity to the region. This project will help these leaders create the moments of understanding for the future of generations to come (Power of democracy). It will also help to educate and train the young tribesmen so they can contribute their knowledge to their local tribes. Architecturally, site planning, landscape design and using the traditional local materials with modern construction techniques were explored.
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Title: The Memory Steps
Creator: Kwon, Oh Keun
Date: 2012-05-01, 2012-05
Description: "The Memory Step"� is a public library combined with a community center. The project is located in an urban area that has lost much of its...
Show more"The Memory Step"� is a public library combined with a community center. The project is located in an urban area that has lost much of its character over time. Time has several important meanings that include tradition, history and discovery of unique characteristics - in other words, culture. Culture provides a city with a unique identity and as software, it provides city with diversity. Placing the project within this specific area will act as a catalyst to revitalize the cultural and social identity and regenerate the unique urban fabric. The project is based upon three principles : Identity, relationship, and Community.
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Title: The Memory Steps: The Memory Steps_Library and Community Center
Creator: Kwon, Oh Keun
Date: 2012-05-01, 2012-05
Description: "The Memory Step"� is a public library combined with a community center. The project is located in an urban area that has lost much of its...
Show more"The Memory Step"� is a public library combined with a community center. The project is located in an urban area that has lost much of its character over time. Time has several important meanings that include tradition, history and discovery of unique characteristics - in other words, culture. Culture provides a city with a unique identity and as software, it provides city with diversity. Placing the project within this specific area will act as a catalyst to revitalize the cultural and social identity and regenerate the unique urban fabric. The project is based upon three principles : Identity, relationship, and Community.
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Title: TRANSIENT STABILITY SIMULATION OF COMBINED THREE-PHASE UNBALANCED TRANSMISSION AND DISTRIBUTION NETWORKS
Creator: Alsharief, Yagoob
Date: 2019
Description: Historically, transmission (T) system and distribution (D) system analysis has been done separately. The main reasons are 1) different...
Show moreHistorically, transmission (T) system and distribution (D) system analysis has been done separately. The main reasons are 1) different modeling frameworks, i.e., positive-sequence versus three-phase unbalanced, 2) system size, and 3) lack of dynamic two-way interaction between T&D. The typical power system usually consists of tens of thousands of transmission buses and thousands of distribution feeders with hundreds of customers per feeder. In the past, distribution networks have been largely passive with relatively little dynamic interaction with the transmission network. However, due to the new trends that the electric grid has been witnessing in the last decade with the installation of distributed energy resources (DERs) on the distribution level, such as behind-the-meter generation and energy storage units, electric vehicles, etc., dynamic simulation tools for combined T&D will become necessary in the near future. These tools will aid system operators and planning engineers in understanding the impact of these new trends on large-scale power systems. Taking advantage of the advancements in the field of high performance computing and parallel computing could enable accurate, wide-area T&D dynamics simulation. These comprehensive simulation capabilities would dramatically improve our ability to predict the complex interactions among DERs, customer loads and traditional utility control devices, thereby allowing higher penetrations of renewable energy, electric vehicles and energy storage.
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Title: PROVENANCE FOR TRANSACTIONAL UPDATES
Creator: Arab, Bahareh Sadat
Date: 2019
Description: Database provenance explains how results are derived by queries. However, many use cases such as auditing and debugging of transactions...
Show moreDatabase provenance explains how results are derived by queries. However, many use cases such as auditing and debugging of transactions require understanding of how the current state of a database was derived by a transactional history. We introduce an approach for capturing the provenance of transactions. Our approach does not just work for serializable concurrency control protocols but also for non-serializable protocols including snapshot isolation. The main drivers of our approach are a provenance model for queries, updates, and transactions and reenactment, a novel technique for retroactively capturing the provenance of tuple versions. We introduce the MV-semirings provenance model for updates and transactions as an extension of the existing semiring provenance model for queries. Our reenactment technique exploits the time travel and audit logging capabilities of modern DBMS to replay parts of a transactional history using queries. Importantly, our technique requires no changes to the transactional workload or underlying DBMS and results in only moderate runtime overhead for transactions. We discuss how our MV-semirings model and reenactment approach can be used to serve a wide variety of applications and use cases including answering of historical what-if queries which determine the effect of hypothetical changes to past operations of a business, post-mortem debugging of transactions, and to create private data workspaces for exploration. We have implemented our approach on top of a commercial DBMS and our experiments confirm that by applying novel optimizations we can efficiently capture provenance for complex transactions over large data sets.
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Title: DETECTING A SPIT CALLER USING UN-SUPERVISED MACHINE LEARNING
Creator: Opara, Stanley
Date: 2013-05-02, 2013-05
Description: Spam over Internet Telephony (SPIT) is a form of un-solicited communication whereby an attacker sends automatically pre-recorded phone calls...
Show moreSpam over Internet Telephony (SPIT) is a form of un-solicited communication whereby an attacker sends automatically pre-recorded phone calls to several subscribers for purposes such as advertisements of product and services etc. In the near future, SPIT is expected to become a threat inhibiting the delivery of voice services over INTERNET because of its technical and economic characteristics. In this report, we purpose a detection mechanism to identify SPIT callers. This mechanism transforms the problem of identification of SPIT callers to a data clustering one by mapping callers to data points based on some characteristics. These characteristics (features) are gathered based on signaling characteristics, caller reputation and call metrics. These features include modified SymRank, termination coefficient, strong tie coefficient and average call duration. These features distinguish between a normal caller and SPIT caller but cannot stand alone as shown in the Results section. The data clustering was done by an un-supervised learning algorithm known as k-means which clusters closely related data points. To test our model, we simulated a testbed since we could not obtain real traffic. The testbed was generated in java, while the actual clustering algorithms were written Octave. The results gathered clearly showcased the high efficacy of our model, as it had accuracy (>95%) in all tests. After comparing our model with other models proposed by fellow researchers, we realized that our model either surpassed or was comparable to the other models considered.
M.S. in Electrical Engineering, May 2013
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Title: DESIGN OF VANET COOPERATIVE MESSAGE AUTHENTICATION PROTOCOL AND PERFORMANCE EVALUATION WITH PRACTICAL SIMULATION
Creator: Han, Tingting
Date: 2012-07-24, 2012-07
Description: In the near future, vehicular ad hoc networks (VANETs) are expected to be more widely deployed, where vehicles would be equipped with on-board...
Show moreIn the near future, vehicular ad hoc networks (VANETs) are expected to be more widely deployed, where vehicles would be equipped with on-board devices that permit wireless networking between vehicles on the road, and between vehicles and in- frastructure. To ensure security and privacy, digital signature and veri cation schemes have been extenstively developed. The group signature implemented in VANETs causes large computation overhead, While the On Board Units installed on vehicles have limited CPU computing capacity. To address this issue, a practical cooperative message authentication protocol (CMAP) is designed and simulated in this work. In the protocol, vehicles share their veri cation results with each other in a cooperative way so that each vehicle just needs to verify a small number of messages. Compared with other work considering 1-D highway road scenario, 2-D city road scenario is built with the tra c simulator VanetMobiSim. Our CMAP simulation is based on the basic Periodic BroadCast (PBC) platform available in newer versions of ns-2 system. The protocol design and all detailed procedures of CMAP algorithms are implemented in the network simulator ns-2 with C++ programming. The simulation also evaluates the performance of CMAP with metrics including missed detection ratio, CPU load, under conditions of di erent vehicle densities and di erent numbers of veri ers. The performance of our CMAP with n-nearest veri er selction method is compared with previously reported probabilistic veri cation method, and shows the advantage.
M.S. in Electrical Engineering, July 2012
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Title: SHIPPING CONTAINER AS HOME FOR MIGRANT WORKER IN CHINA
Creator: Yang, Ying
Date: 2014, 2014-12
Description: The spectacular increasing population of Chinese rural migrant workers is a big issue faced by government in recent years. Most of Chinese...
Show moreThe spectacular increasing population of Chinese rural migrant workers is a big issue faced by government in recent years. Most of Chinese migrant workers are now confronted with the difficult working and living conditions in the Chinese labor market. How to relieve the tension of housing market for these poverty migrant workers is the question of my thesis. To satisfy worker’s desire for basic living conditions, a modular housing service system in China is a practicable infrastructural project to be developed by government.
M.S. in Architecture, December 2014
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Title: POWER OPTIMIZATION IN DEEP SUBMICRON VLSI CIRCUITS: FROM SYSTEM LEVEL TO CIRCUIT LEVEL
Creator: Tong, Qiang
Date: 2017, 2017-07
Description: As VLSI technology advances to deep sub-micron regime, power consumption has become a critical concern in VLSI circuits. Therefore, power...
Show moreAs VLSI technology advances to deep sub-micron regime, power consumption has become a critical concern in VLSI circuits. Therefore, power optimization becomes mandatory in VLSI design nowadays. To reduce the power consumption, many techniques have been proposed at various levels of VLSI circuits design: system level, register-transfer level(RTL), and circuit/transistor level. This dissertation starts with a review of system level power optimization techniques. Experiments on a computer architecture simulation system have been conducted to compare the impact of different programming styles at system level on power consumption. The results could be used as an intuitive guidance for programmers with intention for implementing power-aware system. The second topic in this dissertation is a clustering based clock gating technique, targeting power reduction at RT-Level. Clock gating is an effective and popular method to reduce dynamic power in VLSI circuits, it can be applied at both RT-level and gate level. The basic idea of clock gating is to disable the clock of one or more sequential logics (majorly flip-flops) when the input data of the logic cells do not change. In this dissertation, a clustering based clock gating technique is proposed, the technique exploits activity information of each flip-flop, and clusters them into groups according to their activity correlations. As the leakage power has become a major concern in VLSI design, the proposed As the leakage power has become a major concern in VLSI design, the proposed clustering method is extended down to gate level and a clustering based hybrid clock gating and power gating technique is proposed. The technique can reduce both the dynamic power and leakage power in VLSI circuits. As process technology scaling down to deep submicron regime, bulk CMOS technology has encountered many challenges due to short channel effect (SCE), which degrades the reliability and feasibility of MOSFET devices. New technologies such as FinFET and carbon nanotube FET (CNFET) are two promising substitute solutions in the following decade to address SCE issue. Part of this dissertation presents circuit design using these new process technologies for low power VLSI circuits. More specifically, two SRAM cell designs using FinFET and CNFET devices are proposed. The new designs can improve performance while reduce power consumption.
Ph.D. in Electrical Engineering, July 2017
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Title: ULTRALOW POWER SRAM DESIGN IN NEAR THRESHOLD REGION USING 45NM CMOS TECHNOLOGY
Creator: Chen, Yinhui
Date: 2011-05-10, 2011-05
Description: With the development of CMOS technology, the performance including power dissipation and operation speed is highly concerned for SRAM design....
Show moreWith the development of CMOS technology, the performance including power dissipation and operation speed is highly concerned for SRAM design. Desirable low power consumption while operating fast is the goal of design and improvement. However, the tradeoff between performance and speed is one of the most challenging obstacles that engineers are facing. Along with continuously scaling in the process technology, the concern for stability of Static Random Access Memories (SRAMs) is increasing in the design and test. Maintaining an acceptable Static Noise Margin (SNM) as well as scaling the minimum feature sizes and supply voltages of the Systems-on-a-Chip (SoC) becomes more and more challenging. Subthreshold leakage, dynamic power consumption and delay are major issues for circuits design, especially for SRAM design. Subthreshold leakage and dynamic power consumption can be decreased while supply voltage is scaled down. However, this may dramatically increase the circuit delay (Lindert, 1999) (Wang, 2004) (Zhai, 2004). In this dissertation, we first prepared fundamental knowledge of the CMOS technology as well as SRAM. According to the current researches on SRAM (Chang, 2005) (Chen, 2010), we proposed a novel 6t SRAM design which operates in near threshold region to optimize leakage power and speed. Negative word line is introduced to reduce the leakage current. A novel Latch-type voltage sense amplifier is proposed to improve the read speed of the proposed SRAM cell. The proposed SRAM design is implemented in 45nm technology and achieves more than 50% for power reduction, 68% for leakage reduction, 90% for write delay reduction and 78% for read delay reduction compared to traditional 6T SRAM in near threshold region. Although the proposed 6T SRAM inherit the disadvantage of 4T schematic in data retention, the operation stability is still respectable.
M.S. in Electrical Engineering, May 2011
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Title: INFORMATION PROPAGATION DYNAMIC THROUGH VEHICLE TO VEHICLE COMMUNICATION NETWORK ON A ROAD SEGMENT
Creator: Wang, Lu
Date: 2015, 2015-12
Description: Vehicle-to-vehicle communication system enables vehicles to share various traffic information such as road surface condition, real-time...
Show moreVehicle-to-vehicle communication system enables vehicles to share various traffic information such as road surface condition, real-time traffic congestion, crashing alert or weather situation. Thus, it has a great potential to improve traffic safety, mobility and environmental sustainability. To grant this great promise, information availability plays a critical roles. Accordingly, many previous studies have investigated statistic characteristics (such as mean and variance) of information propagation (such as speed/time delay via instantaneous transmission, connectivity, etc.) integrating traffic flow features. However, few of them are able to capture the information spread dynamics based on V2V. Motivated by this view, this research seeks to develop a discrete mathematical approach to capture information coverage dynamics built upon traffic flow dynamics, which is described by discrete traffic flow dynamics, i.e., cell transmission model. The approach is entailed by developed mathematical model to capture inner-cell information propagation delay and inter-cell transmission based on the proposed information-traffic cell transmission model. The development of the proposed methodology considers a single or two piece(s) of information is (are) sequentially landed on a one-way or two-way road segment underVehicle-to-vehicle communication system enables vehicles to share various traffic information such as road surface condition, real-time traffic congestion, crashing alert or weather situation. Thus, it has a great potential to improve traffic safety, mobility and environmental sustainability. To grant this great promise, information availability plays a critical roles. Accordingly, many previous studies have investigated statistic characteristics (such as mean and variance) of information propagation (such as speed/time delay via instantaneous transmission, connectivity, etc.) integrating traffic flow features. However, few of them are able to capture the information spread dynamics based on V2V. Motivated by this view, this research seeks to develop a discrete mathematical approach to capture information coverage dynamics built upon traffic flow dynamics, which is described by discrete traffic flow dynamics, i.e., cell transmission model. The approach is entailed by developed mathematical model to capture inner-cell information propagation delay and inter-cell transmission based on the proposed information-traffic cell transmission model. The development of the proposed methodology considers a single or two piece(s) of information is (are) sequentially landed on a one-way or two-way road segment under sparse or congested traffic flow considered. Next-Generation simulation field data and Paramics simulated data are used to verify the accuracy of the experiments. Our experimental results show that the proposed model can accurately track information spread dynamics with mean absolute error less than 5% over all experiments. Key words: Vehicle-to-vehicle communication system; cell transmission model; time delay; information propagation coverage.
M.S. in Civil Engineering, December 2015
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Title: Quantitative Tools for Stochastic Dynamical Systems: Invariant Structures and Escape Probabilities
Creator: Kan, Xingye
Date: 2012-07-16, 2012-07
Description: Three types of quantitative structures, stochastic inertial manifolds, random invariant foliations, and escape probabilities, are investigated...
Show moreThree types of quantitative structures, stochastic inertial manifolds, random invariant foliations, and escape probabilities, are investigated to study stochastic dynamical systems. Invariant structures for stochastic dynamical systems are reviewed and detailed techniques for their simulation, approximation and construction are presented with several illustrative examples. First, a numerical approach for the simulation of inertial manifolds of stochastic evolutionary equations with multiplicative noise is presented and illustrated. After splitting the stochastic evolutionary equations into a backward and a forward part, a numerical scheme is devised for solving this backward-forward stochastic system, and an ensemble of graphs representing the inertial manifold is consequently obtained. This numerical approach is tested in two illustrative examples: one is for a stochastic differential equation and the other is for a stochastic partial differential equation. Second, invariant foliations for dynamical systems with small white noisy perturbation are approximated via asymptotic analysis. In other words, random invariant foliations are represented as a perturbation of the corresponding deterministic invariant foliations, with deviation errors estimated. The escape probability is a deterministic concept making methods of partial differential equations theory attainable to stochastic dynamics. Finally, the escape probability p(x) for dynamical systems driven by non-Gaussian L´evy motions, especially symmetric α-stable L´evy motions, is considered and characterized. More precisely, it is represented as the solution of the Balayage-Dirichlet problem of a certain partial differential-integral equation. This issue has been investigated previously for dynamical systems driven by Wiener process. Differences between escape probabilities for dynamical systems driven by Gaussian and non-Gaussian noises are highlighted.
Ph.D. in Applied Mathematics, July 2012
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Title: MODELLING INTERACTION BETWEEN CD8+ T CELLS AND BETA CELLS IN PATHOGENESIS OF TYPE 1 DIABETES
Creator: Xu, Qian
Date: 2016, 2016-12
Description: Diabetes is one of the prevalent diseases in the USA, which affects the lives of millions of people. In 2010 only, there was a total of 234...
Show moreDiabetes is one of the prevalent diseases in the USA, which affects the lives of millions of people. In 2010 only, there was a total of 234,051 deaths linked to diabetes in the USA. Research related to preclinical and clinical assays are always costly and time consuming. Modeling is a helpful method to reduce the cost of clinical experiments and accelerates the discovery and improvement of new therapies. This research is focused on the development of a high performance agent-based model simulating the pathogenesis of Type 1 diabetes mellitus in pancreas. The whole immune response takes place in three compartments, pancreatic lymph node, circulation, and pancreas. A significant part of the complex interactions leading to Type 1 diabetes takes place in the pancreatic tissue. Therefore, the focus was placed on the islets of Langerhans in the pancreas, and the interaction of CD8+ T cells and Beta cells were modeled. T cell behavior was incorporated as rules in this model such as activation, migration, proliferation, apoptosis, and cytotoxicity. Likewise Beta cell death and regeneration under the T cell attack were modeled. The model is able to capture the trends of T cell and Beta cell variations during the disease progression and portrays the role of CD8+ T cells in the process. It is expected that, with the addition of other immune system and pancreatic tissue components, the model will be a valuable tool for the planning of clinical studies.
M.S. in Biomedical Engineering, December 2016
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Title: A MULTI-CURVE LIBOR MARKET MODEL WITH UNCERTAINTIES DESCRIBED BY RANDOM FIELDS
Creator: Xu, Shengqiang
Date: 2012-12-19, 2012-12
Description: The LIBOR (London Interbank Offered Rate) market model has been widely used as an industry standard model for interest rates modeling and...
Show moreThe LIBOR (London Interbank Offered Rate) market model has been widely used as an industry standard model for interest rates modeling and interest rate derivatives pricing. In this thesis, a multi-curve LIBOR market model, with uncertainty described by random fields, is proposed and investigated. This new model is thus called a multi-curve random fields LIBOR market model (MRFLMM). First, the LIBOR market model is reviewed and the closed-form formulas for pricing caplets and swaptions are provided. It is extended to the case when the uncertainty terms are modeled as random fields and consequently the closed-form formulas for pricing caplets and swaptions are derived. This is a new model called the random fields LIBOR market model (RFLMM). Second, local volatility models and stochastic volatility models are combined with the RFLMM to explain the volatility skews or smiles observed in market. Closedform volatility formulas are derived via the lognormal mixture model in local volatility case, while the approximation scheme for the stochastic volatility case is obtained by a stochastic Taylor expansion method. Moreover, the above work is further extended to a multi-curve framework, where the curves for generating future forward rates and the curve for discounting cash flows are modeled distinctly but jointly. This multi-curve methodology is recently introduced lately by some pioneers to explain the inconsistency of interest rates after the 2008 credit crunch. Both LIBOR market model and RFLMM mentioned above can be categorized as models in singe-curve framework. Third, analogous to the single-curve framework, the multi-curve random fields LIBOR market model is derived and caplets and swaptions are priced with closedform formulas that can be reduced to exactly the Black’s formulas. This model is called a multi-curve random fields LIBOR market model (MRFLMM). Meanwhile, xii local volatility and stochastic volatility models are also combined with the multi-curve LIBOR market model to explain the volatility skews and smiles in the market. Fourth, the calibration of the above models is considered. Taking two-curve setting as an example, four different models, single-curve LIBOR market model, single-curve RFLMM, two-curve LIBOR market model and two-curve RFLMM are compared. The calibration is based on the spot market data on one trading day. The four models are calibrated to European cap volatility surface and swaption volatilities, given the specified parameterized form of correlation and instantaneous volatility. The calibration results show that the random fields models capture the volatility smiles better than non-random fields models and has less pricing error. Moreover, multi-curve models perform better than single-curve models, especially during/after credit crunch. Finally, the estimation of these four models, including pricing and hedging performance, is considered. The estimation uses time series of forward rates in market. Given a time series of term structure, the parameters of the four models are estimated using unscented Kalman filter (UKF). The results show that the random fields models have better estimation results than non-random fields models, with more accurate in-sample and out-sample pricing and better hedging performance. The multi-curve models also over-perform the single-curve models. In addition, it is shown theoretically and empirically that the random fields models have advantages that it is unnecessary to determine the number of factors in advance and not needed to re-calibrate. The multi-curve random fields LIBOR market model has the advantages of both multi-curve framework and random fields setting.
PH.D in Applied Mathematics, December 2012
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