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Credit Risk and Credit Derivatives :Mathematical Modeling and Numerical Simulation
, Ph.D. Dissertation Sharif University of Technology ; Zohuri Zangeneh, Bijan (Supervisor) ; Jeanblanc, Monique (Supervisor) ; Zamani, Shiva (Co-Advisor) ; Crépey, Stéphane (Co-Advisor)
Abstract
This thesis deals with credit derivatives modeling and consists of two parts:The first part concerns the density model, recently proposed by El Karoui et al. [46], where the standing assumption is that the conditional law of default time given the reference filtration is equivalent to its (non-conditional) law. Under this assumption, we provide alternative (and simpler) proofs for some existing results in the theory of initial and progressive enlargement of filtrations. Also, we present some new results such as the predictable representation theorem for progressively enlarged filtration in the multidimensional case. We then propose several methods to construct density models, in both...
A pressure-based algorithm for internal compressible turbulent flows through a geometrical singularity
, Article Numerical Heat Transfer, Part B: Fundamentals ; Volume 75, Issue 2 , 2019 , Pages 127-143 ; 10407790 (ISSN) ; Shafiei Ghazani, A ; Sharif University of Technology
Taylor and Francis Ltd
2019
Abstract
Compressible turbulent flow through the abrupt enlargement in pipes is studied numerically by means of Advection Upstream Splitting Method (AUSM+-up). In low Mach numbers, a pressure correction equation of elliptic type is derived. This equation is compatible with the nature of governing equations and retrieves hyperbolic characteristic at higher Mach numbers. It is shown that the proposed numerical algorithm is computationally more efficient than the preconditioned density-based methods. The flow parameters such as reattachment length, pressure loss coefficient and wall shear stress are predicted. It is found that the loss coefficient of the compressible flow rises drastically with...
Evolving data stream clustering based on constant false clustering probability
, Article Information Sciences ; Volume 614 , 2022 , Pages 1-18 ; 00200255 (ISSN) ; Bagheri Shouraki, S ; Norouzi, Y ; Sharif University of Technology
Elsevier Inc
2022
Abstract
Today's world needs new methods to deal with and analyze the ever-increasingly generated data streams. Two of the most challenging aspects of data streams are (i) concept drift, i.e. evolution of data stream over time, which requires the ability to make timely decisions against the high speed of receiving new data; (ii) limited memory storage and the impracticality of using memory due to the large amount of data. Clustering is one of the common methods to process data streams. In this paper, we propose a novel, fully-online, density-based method for clustering evolving data streams. In recent years, a number of methods have been proposed, which also have the ability to cluster data streams....
Discrimination and Identification of Multiple Partial Discharge Sources in a Transformer Insulation
, M.Sc. Thesis Sharif University of Technology ; Vakilian, Mahdi (Supervisor)
Abstract
Partial discharges that occur in a transformer insulation, generate current pulses. If these pulses be recorded, they can be used for transformer insulation condition assessment. Through processing of these recorded partial discharge signals, the PRPD patterns are generated and used to identify the source type of partial discharge defect. If multiple partial discharge defects exist in a transformer insulation, the related PRPD pattern, doesn’t look like any PRPD patterns of single defects. In this case, we need in the first step to discriminate the partial discharge signals stemmed from all the existing multiple partial discharge sources. To simulate the occurrence of multiple partial...
Comparing Predictions of Thermal Theory of Flame Propagation and Density Theory of Flame Propagation
,
M.Sc. Thesis
Sharif University of Technology
;
Nassimi, Ali Mohammad
(Supervisor)
Abstract
A significant portion of the substances used in the chemical industry are toxic and hazardous, posing major safety hazards. In this regard, studies on the flammability limits of flammable materials are important and necessary. Flammability limits are the range of fuel-oxidant mixtures that can lead to flame propagation. This project examines the flammability limits of different fuels. In this study, a set of fuels have been selected as the fuel world, and to select these compounds, their molecular structure as well as thermodynamic properties such as standard enthalpy of formation and standard enthalpy of combustion have been considered. It has been shown that by redefining the fuel world,...
Density link-based methods for clustering web pages
, Article Decision Support Systems ; Volume 47, Issue 4 , 2009 , Pages 374-382 ; 01679236 (ISSN) ; Abolhassani, H ; Haghir Chehreghani, M ; Sharif University of Technology
2009
Abstract
World Wide Web is a huge information space, making it a valuable resource for decision making. However, it should be effectively managed for such a purpose. One important management technique is clustering the web data. In this paper, we propose some developments in clustering methods to achieve higher qualities. At first we study a new density based method adapted for hierarchical clustering of web documents. Then utilizing the hyperlink structure of web, we propose a new method that incorporates density concepts with web graph. These algorithms have the preference of low complexity and as experimental results reveal, the resultant clusters have high quality. © 2009 Elsevier B.V. All rights...
Fluidic barriers in droplet-based centrifugal microfluidics: Generation of multiple emulsions and microspheres
, Article Sensors and Actuators, B: Chemical ; Volume 311 , May , 2020 ; Madou, M. J ; Dorri Nokoorani, Y ; Shamloo, A ; Martinez Chapa, S. O ; Sharif University of Technology
Elsevier B. V
2020
Abstract
Droplet generation is very important in biochemical processes such as cell encapsulation, digital PCR (Polymerase Chain Reaction), and drug delivery. In the present paper, a density-based method called “fluidic barrier” is introduced to produce multiple emulsions on a centrifugal microfluidic platform or Lab-on-a-CD (LOCD). We show that the density and the viscosity of the fluids involved are important parameters for predicting the characteristics of the droplets generated with this method. Moreover, we broadened this concept by using the fluidic barriers to separate reactive chemicals. As a proof of concept, alginate and CaCl2 solutions are separated by an oil barrier to control the...