TU Delft Repository

In this thesis, we define a new concept of duration for FX Swaps and more broadly for sovereign bonds. The con-cept of duration already exists for bonds and more specifically coupon bonds, where it is also called ”Macauley Duration”. We aim to define a concept for FX Swaps with similar financial properties and derive mathematical properties from the new definition. A major result of this thesis is the Duration Equivalence Theorem, which states that FX Swap portfolios with the same duration have roughly the same payoff and by extension similar risk exposures. This theorem can be used as a tool for portfolio management and hedging purposes. We also derive a bound of the remainder of the approximation in the theorem so that the applicability of the theorem can be assessed. Based on this first major result, the remainder of the thesis is focused on FX Swap portfolio optimization.

This paper studies the mechanism that leads to the reduction of frictional soil reaction forces during pile driving, termed friction fatigue. We focus on axial vibratory driving, an environmentally friendly monopile installation method, and examine two friction fatigue formulations, i.e. a penetration-based and a cyclic memory mechanism. Friction fatigue plays a pivotal role in pile drivability and post-installation bearing capacity for piles installed via axial vibratory driving. Through numerical analyses and validation against field data from onshore experiments, the efficacy of these memory mechanisms is assessed. The results reveal that the proposed cyclic memory mechanism provides consistently more accurate predictions than the corresponding penetration-based approach, offering a promising option for modelling friction fatigue in vibratory driving. This study advances our understanding of friction fatigue in the context of vibratory driving for offshore monopile installation, emphasizing the need for further numerical and experimental works in this topic.

The need for an integrated approach to sustainable resources management to achieve the Sustainable Development Goals has become widely recognized. Population growth, climate change, environmental degradation, and scarcity of resources have been identified as the major factors affecting society’s future. Given the fundamental societal needs for food, energy, and water, the Water–Energy–Food (WEF) nexus has emerged as a useful sustainable resource management framework and has been widely applied. However, in the Middle East and North Africa (MENA) region, there have been relatively few studies that adopt a nexus approach. In this study, the Ain Temouchent region in Algeria is used as a WEF Nexus case study. The region has a strong agricultural-based economy and the increased intensity of agricultural production in the region has resulted in the overuse of groundwater resources. Establishing a reverse osmosis desalination plant with a daily production capacity of 200,000 m3 significantly alleviated the resulting water crisis, yet its energy consumption and environmental impact raise several questions. This study identifies the critical links between the WEF sectors and using this understanding, the dynamics between them are assessed using System Dynamics Modelling. The study reveals that any further increase in agricultural production in Ain Temouchent may lead to excessive use of groundwater resources. Although desalination can help alleviate the water crisis, its high energy consumption raises concerns. The analysis shows that the use of surface water and recycled wastewater for irrigation could be possible alternatives. The study emphasizes the value of adopting a WEF nexus approach to achieve a balance between agricultural development, energy sustainability, and water resource management in the Ain Temouchent region.

Water, energy, and food resources are closely related in the water-energy-food (WEF) nexus, a tightly connected system in which impacts in one sector leads to changes in the other sectors. The WEF nexus approach studies these interactions to better understand their connections and implications across sectors, and is focused on making research practicable for policy. There is a clear lack of policy coherence studies to provide practical recommendations to achieve integrated resources management. This is true in the Tana River Basin (TRB), which provides abundant water, energy and food resources to the national economy and development of Kenya. This work carried out a WEF policy coherence assessment of the Tana River Basin. Results show that there are synergies and trade-offs across all resources sectors and their policy objectives. Water policies (e.g. to secure water availability) are generally evaluated as win-win, thus being supportive of attainment of goals in other policy sectors. Food policies (e.g. to develop the agricultural sector) show the highest number of trade-offs, suggesting these policies could be redesigned to minimise the trade-offs with other resource policies. This work highlights specifically which policies are relatively more or less supportive for holistic resources management in the TRB. In particular, the only TRB-level policy analysed (which is cross-resource in its ambition) shows synergies with national policy, offering opportunity for leveraging benefits and increasing implementation efficiency across resources. Strengthened cross-sectoral collaboration, joint workshops, and the establishment of a national cross-sectoral taskforce to develop aligned policies are recommended. This work provides a basis for similar studies across Africa, and promotes research that is of practical relevance.