Multidimensional Crude Feedstock Profiling

The efficacy and safety of biopharmaceutical products, combined with their ability to address previously untreated conditions, has made the biopharmaceutical field the fastest growing part of the industry. Due to their unique properties, monoclonal antibodies (mAbs) and therapeutic enzymes represent the most used macromolecules for...

Arbitrage-free methods to price European options under the SABR model

In this thesis we discuss several methods to price European options under the SABR model. In general, methods given in literature are not free of arbitrage and/or inaccurate for long maturities. This led to the development of a new pricing approach. We extend the BCOS method from one dimension to two dimensions. This extension is necessary for...

Estimating Long-Term Uncertainties of Economic Variables

Numerical Pricing of Equity Barrier Options with Local Volatility

This thesis is about the pricing of equity barrier options under local volatility. We study Dupire's nonparametric local volatility model, which can be defined in terms of call option prices or in terms of implied volatilities. No-arbitrage conditions are derived for the call option surface, and equivalent conditions for the total variance...

Controlled Distributions: An Analytical Approach to Stochastic Differential Equations

A literature study on controlled distributions, an analytical approach to stochastic differential equations.

Numerical modeling of dam-reservoir interaction seismic response using the Hybrid Frequency–Time Domain (HFTD) method

The research work studies the fundamentals of the Hybrid Frequency-Time Domain (HFTD) method for dynamic analysis of structures, applied to the seismic analysis of dam-reservoir interaction systems. The theoretical consistency and accuracy of the HFTD method, based on the frequency domain Fourier analysis, is demonstrated through all the parts...

Fourier Analysis of Iterative Methods for the Helmholtz Problem

This thesis attempts to explain the convergence behaviour of solving Helmholtz problem by investigating its spectral properties. Fourier analysis is employ to solve the eigenvalues of the matrices that are involved in the iterative methods. The numerical experiment is conducted to verify the conclusions by Fourier analysis and also to reveal...

A Framework for Designing and Testing the Digital Signal Processing unit of a Pulsar Based Navigation System

Navigation systems using pulsar signals have been of great interest ever since the discovery of pulsars in 1967 and various studies were carried out ever since to determine the feasibility of such systems. The successful working of a navigation system using pulsar would mean that spacecraft can maneuver through the deep space with very little...

Gaussian Hardy Spaces

In this thesis we study a preprint by Pierre Portal that introduces Gaussian Hardy Spaces and proves equivalence of norms.

Numerical treatment of stochastic control problems by Fourier-cosine series expansions: The dike height problem

Financial options are contracts which define rights on stocks in a financial market. Real options arise in for example economical, personal or societal context. The holder has a real option in the sense of a real `choice'. Real options appear in for example the dike height problem, where one has to make optimal choices about when to increase the...

Tidal influence on sediment transport and bed level in the river Merwede

The area of the Merwedes is a transition zone between a tide-dominated area and a river-dominated area. With increasing river discharge, the influence of river flow dominates in this part of the Rhine-Meuse Delta. The composition of the river bed of the Merwedes is also a transitional area, because of the presence of both sand and mud. It is...

Modeling of short circuit fault arc in 150 kV system and its influence on the performance of distance protection

The short circuit arc is the most dominant fault in the power system that leads to single phase to ground fault. South Sumatera 150 kV system in Indonesia consists of two different string insulator types in the transmission line, with and without arching horn. In this study, some fault situations in that system is reconstructed by using ATP Draw...

De Fast-Fourier Transform: Het gebruik van de routine van R.C. Singleton

Doel van dit rapport is de lezer inzicht te verschaffen in het gebruik van de FFT-routine van R.C. Singleton zoals die in het rekencentrum van de T.H. - Delft in gebruik is. Voor een beschrijving van de werking van deze routine wordt verwezen naar het in de literatuurlijst vermelde artikel van Singleton (Lit. 1). Met nadruk wordt erop gewezen...