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1

Rabin, Gregory S. "A reduced-form statistical climate model suitable for coupling with economic emissions projections." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/41672.

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Thesis (M. Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2007.<br>Includes bibliographical references (p. 36-37).<br>In this work, we use models based on past data and scientific analysis to determine possible future states of the environment. We attempt to improve the equations for temperature and greenhouse gas concentration used in conjunction with the MIT Emissions Prediction and Policy Analysis (EPPA) model or for independent climate analysis based on results from the more complex MIT Integrated Global Systems Model (IGSM). The functio
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OBERPRILLER, KATHARINA. "Reduced-form framework under model uncertainty and generalized Feynman-Kac formula in the G-setting." Doctoral thesis, Gran Sasso Science Institute, 2022. http://hdl.handle.net/20.500.12571/25844.

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The thesis dealing with topics under model uncertainty consists of two main parts. In the first part, we introduce a reduced-form framework in the presence of multiple default times under model uncertainty. In particular, we define a sublinear conditional operator with respect to a family of possibly non-dominated priors for a filtration progressively enlarged by multiple ordered defaults. Moreover, we analyze the properties of this sublinear conditional expectation as a pricing instrument and consider an application to insurance market modeling with non-linear affine intensities. In the secon
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Oguz, Hatice Dilek. "Pricing Us Corporate Bonds By Jarrow/turnbull (1995) Model." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/2/12611174/index.pdf.

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In this study Jarrow Turnbull (1995) Model, which is a reduced form approach for credit risk models, is employed to estimate the default intensity of US corporate bonds conditionally based on a fixed recovery rate. The estimations are performed with respect to the ratings of the bonds and the results were consistent with the ratings. US Treasury Bills are also used to since zero coupon default free prices, modeled by Svensson (1994) are necessary for pricing the default risky coupon bonds.
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4

Zhang, Wenxian. "Direct sensitivity techniques in regional air quality models: development and application." Diss., Georgia Institute of Technology, 2013. http://hdl.handle.net/1853/52941.

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Sensitivity analysis based on a chemical transport model (CTM) serves as an important approach towards better understanding the relationship between trace contaminant levels in the atmosphere and emissions, chemical and physical processes. Previous studies on ozone control identified the high-order Decoupled Direct Method (HDDM) as an efficient tool to conduct sensitivity analysis. Given the growing recognition of the adverse health effects of fine particulate matter (i.e., particles with an aerodynamic diameter less than 2.5 micrometers (PM2.5)), this dissertation presents the development of
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Shen, Yichang. "Reduced-order models for geometrically nonlinear vibrations of thin structures." Thesis, Institut polytechnique de Paris, 2021. http://www.theses.fr/2021IPPAE012.

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Lorsqu'elles vibrent avec de grandes amplitudes, les structures minces montrent un comportement non linéaire géométrique, provenant de la relation non linéaire entre les déformations et les déplacements. Les analyses des systèmes complets font appel à des calculs extrêmement couteux de telle sorte que l'établissement de modèles d'ordre réduit efficaces est un sujet d'intérêt majeur pour le calcul prédictif de vibrations de structures minces.Dans cette thèse, des méthodes non linéaires de réduction de modèle pour les structures discrétisées par la méthode des éléments finis et comportant une no
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Урсуленко, Г. В. "Застосування моделі KMV при оцінці кредитного ризику". Thesis, Українська академія банківської справи Національного банку України, 2011. http://essuir.sumdu.edu.ua/handle/123456789/62158.

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Перевагами моделі KMV є: казуальний характер моделі; викорис- тання ринкової інформації про ціни; можливість здійснення прогнозу. До недоліків даної моделі можна віднести такі: наявність багатьох тео- ретичних припущень, які на практиці не підтверджуються; складність у застосуванні до деривативів; суперечливість результатів щодо ринків, які розвиваються.
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7

Lundström, Edvin. "On the Proxy Modelling of Risk-Neutral Default Probabilities." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273624.

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Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). This adjustment should in principle always enter the valuation of a derivative traded over-the-counter (OTC). To calculate CVA, one needs to know the probability of default of the counterparty. Since CVA is a price, what one needs is the risk-neutral probability of default. The typical way
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8

Tran, Angela M. "Potassium fixation by oxidized and reduced forms of different phyllosilicates." Thesis, Kansas State University, 2012. http://hdl.handle.net/2097/14102.

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Master of Science<br>Department of Agronomy<br>Michel D. Ransom<br>Factors governing potassium fixation and release are poorly understood. This study was conducted to investigate the effects of clay mineralogy and structural iron oxidation state on potassium fixation. Five reference clays and two soil clays were used to capture a range in mineralogical compositions and potassium behaviors. Reference clays used were illite (IMt-1), kaolinite (KGa-1b), montmorillonite (STx-1b), nontronite (NAu-2), and vermiculite (VTx-1). Soil clays used were from the upper 15 cm of a Belvue loam (BEL) and a Che
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9

Griffiths, Laurence. "Reduced order model updating." Thesis, University of Bristol, 2014. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.685041.

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Across all engineering disciplines, the differences found between experimental results and computational simulations gives rise to various degrees of uncertainty in the solutions. In fluid dynamics these differences can be broadly split into issues of boundary conditions and numerical accuracy. Within the computational fluid dynamics (CFD) community a great deal of effort has been invested in reducing numerical error, yet large discrepancies with experimental data persist. The nature of experimental and computational studies often dictates the application of different boundary conditions appli
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10

Monti, Francesca. "Combining structural and reduced-form models for macroeconomic forecasting and policy analysis." Doctoral thesis, Universite Libre de Bruxelles, 2011. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209970.

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Can we fruitfully use the same macroeconomic model to forecast and to perform policy analysis? There is a tension between a model’s ability to forecast accurately and its ability to tell a theoretically consistent story. The aim of this dissertation is to propose ways to soothe this tension, combining structural and reduced-form models in order to have models that can effectively do both.<br>Doctorat en Sciences économiques et de gestion<br>info:eu-repo/semantics/nonPublished
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11

Kolman, Marek. "Pricing and modeling credit risk." Doctoral thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-264720.

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The thesis covers a wide range of topics from the credit risk modeling with the emphasis put on pricing of the claims subject to the default risk. Starting with a separate general contingent claim pricing framework the key topics are classified into three fundamental parts: firm-value models, reduced-form models, portfolio problems, with a possible finer sub-classification. Every part provides a theoretical discussion, proposal of self-developed methodologies and related applications that are designed so as to be close to the real-world problems. The text also reveals several new findings from
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12

Scherling, Alexander I. "Reduced-Order Reference Models for Adaptive Control of Space Structures." DigitalCommons@CalPoly, 2014. https://digitalcommons.calpoly.edu/theses/1199.

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In addition to serving as a brief overview of aspects relevant to reduced-order modeling (in particular balanced-state and modal techniques) as applied to structural finite element models, this work produced tools for visualizing the relationship between the modes of a model and the states of its balanced representation. Specifically, error contour and mean error plots were developed that provide a designer with frequency response information absent from a typical analysis of a balanced model via its Hankel singular values. The plots were then used to analyze the controllability and observabil
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Zhou, Dapeng. "The Excited State Behavior of Iminium Derivatives and Their Reduced Forms." Bowling Green State University / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1370525481.

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14

Zhou, Junjie 1979. "Reduced model for particle laden flow." Thesis, Massachusetts Institute of Technology, 2004. http://hdl.handle.net/1721.1/17955.

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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2004.<br>Includes bibliographical references (p. 133-138).<br>The flow of thin liquid films on solid surfaces is a significant phenomenon in nature and in industrial processes where uniformity and completeness of wetting are paramount in importance. It is well known that when a clear viscous fluid flows down an inclined surface under gravity, after some time, the initially straight contact line becomes unstable with respect to transverse perturbations. Clear fluid is easier to use in experiments, but industr
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15

Shrinivas, Srikrishna. "Reduced-order model identification for long-range prediction /." free to MU campus, to others for purchase, 2003. http://wwwlib.umi.com/cr/mo/fullcit?p1418064.

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Lappo, Vladislav. "Real-time aero-icing simulations using reduced order model." Thesis, McGill University, 2010. http://digitool.Library.McGill.CA:8881/R/?func=dbin-jump-full&object_id=92384.

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17

Koc, Birgul. "Numerical Analysis for Data-Driven Reduced Order Model Closures." Diss., Virginia Tech, 2021. http://hdl.handle.net/10919/103202.

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This dissertation contains work that addresses both theoretical and numerical aspects of reduced order models (ROMs). In an under-resolved regime, the classical Galerkin reduced order model (G-ROM) fails to yield accurate approximations. Thus, we propose a new ROM, the data-driven variational multiscale ROM (DD-VMS-ROM) built by adding a closure term to the G-ROM, aiming to increase the numerical accuracy of the ROM approximation without decreasing the computational efficiency. The closure term is constructed based on the variational multiscale framework. To model the closure term, we use d
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18

Caraballo, Edgar J. "Reduced Order Model Development For Feedback Control Of Cavity Flows." The Ohio State University, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=osu1225291592.

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19

Badiei, Ali. "A reduced data dynamic energy model of the UK houses." Thesis, Loughborough University, 2018. https://dspace.lboro.ac.uk/2134/33331.

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This thesis describes the development of a Reduced Data Dynamic Energy Model (RdDEM) for simulating the energy performance of UK houses. The vast quantity of Energy Performance Certificate (EPC) data stored at the national scale provides an unprecedented data source for energy modelling. The majority of domestic energy models developed for the UK houses in recent years, including the Standard Assessment Procedure (SAP) model used for generating EPCs, employ BREDEM (Building Research Establishment Domestic Energy Model) based steady state calculation engines. These models fail to represent the
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20

Moroz, Adam. "Reduced order modelling of bone resorption and formation." Thesis, De Montfort University, 2011. http://hdl.handle.net/2086/5409.

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The bone remodelling process, performed by the Bone Multicellular Unit (BMU) is a key multi-hierarchically regulated process, which provides and supports various functionality of bone tissue. It is also plays a critical role in bone disorders, as well as bone tissue healing following damage. Improved modelling of bone turnover processes could play a significant role in helping to understand the underlying cause of bone disorders and thus develop more effective treatment methods. Moreover, despite extensive research in the field of bone tissue engineering, bonescaffold development is still very
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21

Reschreiter, Andreas. "Conventional and indexed UK bond returns and the macroeconomy : an empirical analysis based on asset pricing and reduced form VAR models." Thesis, Imperial College London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.271099.

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22

Haznedar, Baris. "Reduced order infinite horizon Model Predictive Control of sheet forming processes." Thesis, Georgia Institute of Technology, 2000. http://hdl.handle.net/1853/11222.

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23

Faller, Kenneth John II. "Automated synthesis of a reduced-parameter model for 3D digital audio." FIU Digital Commons, 1996. http://digitalcommons.fiu.edu/etd/3245.

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Head-Related Impulse Responses (HRIRs) are used in signal processing to implement the synthesis of spatialized audio. They represent the modification that sound undergoes from its source to the listener's eardrums. HRIRs are somewhat different for each listener and require expensive specialized equipment for their individual measurement. Therefore, the development of a method to obtain customized HRIRs without specialized equipment is extremely desirable. A customizable representation of HRIRs can be created by modeling them in terms of an appropriate set of time delays and a resonant frequenc
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24

Jarvis, Christopher Hunter. "Reduced Order Model Study of Burgers' Equation using Proper Orthogonal Decomposition." Thesis, Virginia Tech, 2012. http://hdl.handle.net/10919/31580.

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In this thesis we conduct a numerical study of the 1D viscous Burgers' equation and several Reduced Order Models (ROMs) over a range of parameter values. This study is motivated by the need for robust reduced order models that can be used both for design and control. Thus the model should first, allow for selection of optimal parameter values in a trade space and second, identify impacts from changes of parameter values that occur during development, production and sustainment of the designs. To facilitate this study we apply a Finite Element Method (FEM) and where applicable, the Group Fini
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Salmanoff, Jason. "A Finite Element, Reduced Order, Frequency Dependent Model of Viscoelastic Damping." Thesis, Virginia Tech, 1997. http://hdl.handle.net/10919/36518.

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This thesis concerns itself with a finite element model of nonproportional viscoelastic damping and its subsequent reduction. The Golla-Hughes-McTavish viscoelastic finite element has been shown to be an effective tool in modeling viscoelastic damping. Unlike previous models, it incorporates physical data into the model in the form of a curve fit of the complex modulus. This curve fit is expressed by minioscillators. The frequency dependence of the complex modulus is accounted for by the addition of internal, or dissipation, coordinates. The dissipation coordinates make the viscoelastic
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Brendlinger, Jack W. "Development of Guidance Laws for a Reduced Order Dynamic Aircraft Model." Wright State University / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=wright1516106170428761.

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Tracy, Jacob N. "Reduced-Dimension Groundwater Model Emulation for Scenario Analysis and Decision Support." University of Cincinnati / OhioLINK, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1573574885505114.

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Wu, Xiaofeng. "Reduced Deformable Body Simulation with Richer Dynamics." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1471482167.

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Mai, Van Bac. "Fracture Behaviour in Cold-Reduced High-Strength Steel." Phd thesis, University of Sydney, 2019. https://hdl.handle.net/2123/29311.

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A comprehensive study on the ductile behaviour and fracture of high strength cold-reduced sheet G450 steel is presented. The aim of the study is to determine the material strength, ductility and fracture in different stress states including at both macro and structural scales. The objectives of the research are achieved through theoretical developments, extensive experimental studies and numerical investigations. A couple damage-plasticity model derived from a generic thermodynamic framework is developed. The general formulation allows integration of stress effects (e.g. stress triaxiality an
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DESHMUKH, DINAR V. "PHYSICS BASED REDUCED ORDER MODELS FOR FRICTIONAL CONTACTS." University of Cincinnati / OhioLINK, 2005. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1115997302.

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Allick, Steven. "The common forms of contemporary videogames : a proposed content analysis model." Thesis, Teesside University, 2012. http://hdl.handle.net/10149/254616.

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The aim of this thesis was to investigate trope usage in videogames, including the emergence of undiscovered ‘videogame’ tropes, and to create a new model for videogame categorisation using these tropes. This model serves to complement genre as a means of distilling videogame contents. The investigative work formed two parts, initially considering how videogames use existing rhetorical tropes such as metaphor as expressive and communicative devices and secondly to analyse videogames as a source of shared literary tropes. Each shared literary trope was validated as a common form of expression (
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Nichols, Michael Lorne 1967. "Mechanisms of reduced opioid effectiveness in a rat model of neuropathic pain." Diss., The University of Arizona, 1997. http://hdl.handle.net/10150/282342.

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Peripheral nerve injury can result in long-lasting, abnormal pain states referred to as neuropathic pains. These pains can result in increased sensitivity to both noxious (hyperalgesia) and non-noxious stimuli (allodynia) and are often characterized as resistant to alleviation by opioids. Neuropathies are accompanied by various neuropathological changes, including: (1) alterations in spinal neurotransmitter levels (including cholecystokinin (CCK), enkephalin and dynorphin); (2) degeneration of primary afferents; (3) formation of ectopic foci and dorsal horn sensitization; (4) abnormal sympathe
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33

Xie, Xuping. "Large Eddy Simulation Reduced Order Models." Diss., Virginia Tech, 2017. http://hdl.handle.net/10919/77626.

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This dissertation uses spatial filtering to develop a large eddy simulation reduced order model (LES-ROM) framework for fluid flows. Proper orthogonal decomposition is utilized to extract the dominant spatial structures of the system. Within the general LES-ROM framework, two approaches are proposed to address the celebrated ROM closure problem. No phenomenological arguments (e.g., of eddy viscosity type) are used to develop these new ROM closure models. The first novel model is the approximate deconvolution ROM (AD-ROM), which uses methods from image processing and inverse problems to s
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34

Mollison, Deborah. "Children's musical perception and creativity as a compositional model." Thesis, Middlesex University, 2001. http://eprints.mdx.ac.uk/13636/.

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The intention of this study was to understand more fully the process of creating musical composition. As a means to to this I created a compositional model, "Maya's Words", a conscious experiment which utilised the techniques I discovered and codified from children's compositions. By utilising rhe model as a working tool and the information extracted from the children's works I was able to draw together my own theories and observations concerning the process of musical composition and how it works. Within this study I have also examined my own process of musical composition and drawn, in a lim
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Antonelli, Jacopo. "Reduced order modeling of wind turbines in MatLab for grid integration and control studies." Thesis, Högskolan på Gotland, Institutionen för kultur, energi och miljö, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hgo:diva-1865.

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The current trend in the wind power industry is to develop wind turbines of constantly increasing size and rated power, as well as wind farms of growing size and installed wind power. A careful study of the behaviour of the wind turbines during their operation is of crucial importance in the planning phase and in the design stage of a wind farm, in order to minimize the risks deriving from a non accurate prediction of their impact in the electric grid causing sensible faults of the system. To analyze the impact of the wind turbines in the system, motivates the development of accurate yet simpl
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Sugama, Hideo. "Study of Interchange Instabilities and Anomalous Transport Based on Reduced Two-Fluid Model." Kyoto University, 1989. http://hdl.handle.net/2433/162226.

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Alqatari, Samar(Samar Ali A. ). "Reduced-dimension model for the Rayleigh-Taylor instability in a Hele-Shaw cell." Thesis, Massachusetts Institute of Technology, 2019. https://hdl.handle.net/1721.1/122316.

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Thesis: S.M., Massachusetts Institute of Technology, Computation for Design and Optimization Program, 2019<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (pages 93-94).<br>In this thesis we present a reduced-dimension model for the density-driven hydrodynamic Rayleigh-Taylor instability. We motivate the project with experimental findings of a little-understood stabilizing effect of geometry and deviations of measured instability wavelength from theoretical predictions. We present novel methods of data analysis for the experimental data. We then present a reduce
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Munir, Arshed. "Manoeuvring target tracking using different forms of the interacting multiple model algorithm." Thesis, University of Sussex, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.240430.

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Xie, Qihao Balakrishnan N. "Exact inference for exponential step-stress model under different forms of censoring." *McMaster only, 2006.

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Sevegnani, Martina. "The role of Parkin R274W in genetic forms of Parkinson’s disease." Doctoral thesis, Università degli studi di Trento, 2022. https://hdl.handle.net/11572/361162.

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Parkinson’s disease (PD) is a neurodegenerative disorder characterized by the progressive loss of nigral dopaminergic (DA) neurons and the formation of Lewy bodies. Despite most cases being idiopathic, mutations in several genes have been implicated in familial forms of PD. In particular, recessive mutations in Parkin gene (PARK2) are the most common cause of young-onset inherited parkinsonism. Parkin is an E3 ubiquitin ligase involved both in the control of mitochondrial turnover and in the proteasome-dependent degradation of proteins, two pathways that have been causally linked to PD develop
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Vogt, Jonas [Verfasser], Dominik [Akademischer Betreuer] Wied, and Walter [Gutachter] Krämer. "Reduced Form Credit Risk Models and the Second Dimension Risk Premium : Technical Foundations, Estimation and Applications / Jonas Vogt. Betreuer: Dominik Wied. Gutachter: Walter Krämer." Dortmund : Universitätsbibliothek Dortmund, 2013. http://d-nb.info/1107778700/34.

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Maquart, Tristan. "Trivariate models generation from unstructured surface manifolds for isogeometric analysis : Application to reduced order modeling with geometric parameters." Thesis, Lyon, 2019. http://www.theses.fr/2019LYSEI033.

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Ce travail présente un cadre générique pour la construction de maillages isogéométriques volumiques à partir d'une géométrie complexe avec une topologie arbitraire pour des applications relatives aux modèles d'ordres réduits. En effet, les maillages structurés tels que les maillages isogéométriques ou hexahédriques sont difficiles à obtenir de manière automatique. Les analyses statistiques de formes et les modèles d'ordres réduits nécessitent des données structurées et ordonnées pour être construits efficacement. Pour ce faire, nous utilisons les limites du modèle solide triangulé, la B-Rep CA
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Yuan, Tao. "Reduced order modeling for transport phenomena based on proper orthogonal decomposition." Texas A&M University, 2003. http://hdl.handle.net/1969.1/1470.

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In this thesis, a reduced order model (ROM) based on the proper orthogonal decomposition (POD) for the transport phenomena in fluidized beds has been developed. The reduced order model is tested first on a gas-only flow. Two different strategies and implementations are described for this case. Next, a ROM for a two-dimensional gas-solids fluidized bed is presented. A ROM is developed for a range of diameters of the solids particles. The reconstructed solution is calculated and compared against the full order solution. The differences between the ROM and the full order solution are smaller than
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Scotti, Simone. "Applications of the error theory using Dirichlet forms." Phd thesis, Université Paris-Est, 2008. http://tel.archives-ouvertes.fr/tel-00349241.

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This thesis is devoted to the study of the applications of the error theory using Dirichlet forms. Our work is split into three parts. The first one deals with the models described by stochastic differential equations. After a short technical chapter, an innovative model for order books is proposed. We assume that the bid-ask spread is not an imperfection, but an intrinsic property of exchange markets instead. The uncertainty is carried by the Brownian motion guiding the asset. We find that spread evolutions can be evaluated using closed formulae and we estimate the impact of the underlying un
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Huang, Xinming. "Development of Reduced-Order Flame Models for Prediction of Combustion Instability." Diss., Virginia Tech, 2001. http://hdl.handle.net/10919/29763.

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Lean-premixed combustion has the advantage of low emissions for modern gas turbines, but it is susceptible to thermoacoustic instabilities, which can result in large amplitude pressure oscillations in the combustion chamber. The thermoacoustic limit cycle is generated by the unsteady heat release dynamics coupled to the combustor acoustics. In this dissertation, we focused on reduced-order modeling of the dynamics of a laminar premixed flame. From first principles of combustion dynamics, a physically-based, reduced-order, nonlinear model was developed based on the proper orthogonal decompositi
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Brand, Jason M. "Biaxial Material Design Method for the ReducedAperture Waveguide Model." Wright State University / OhioLINK, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=wright1421064567.

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Kamshad, Kimya Moghadam. "The dynamics of firm growth and failure under alternative forms of ownership." Thesis, London School of Economics and Political Science (University of London), 1993. http://etheses.lse.ac.uk/1249/.

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This thesis extends the literature on the dynamics of firm growth and failure by testing the robustness of past findings for capitalist firms to alternative ownership structures. While the theoretical results are altered by the internal organisation of the firm, the empirical findings are unchanged. This suggests that the theoretical models place excessive emphasis on the organisational structure and inadequate emphasis on more basic and fundamental factors affecting firm growth. The thesis applies the learning models of growth to the case of the Illyrian labour managed firm, where members max
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Golovan, Serguei Petrovich. "Transgenic mice expressing AppA phytase as a model demonstrating reduced pollution in monogastric animals." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2002. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ65822.pdf.

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Chiang, Shu Ling, and 江淑玲. "Mortgage Valuation under Reduced-Form Model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/45513329815783750741.

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Abstract:
博士<br>國立政治大學<br>金融研究所<br>95<br>Valuing mortgage-related securities is more complicated than valuing regular defaultable claims due to the borrower’s prepayment behavior as well as the possibility of default. In general, the methods that are applied to investigate mortgage value and termination risk can be divided into two categories: a structural-form approach and a reduced-form approach. Some researchers use a structural-form model to obtain the closed-form formulae for the mortgage value. With this method, however, it is difficult to identify the critical region of early exercise and deal w
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50

Hsieh, Ya-Ting, and 謝雅婷. "Modeling Credit Risk in a Reduced Form Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/68116480096708666504.

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Abstract:
碩士<br>臺灣大學<br>數學研究所<br>98<br>In the recent decades, literatures on credit risk measurement evolved dramatically. According to modeling techniques, they can be roughly grouped into two major categories, “structural models” and “reduced form models.” This thesis is based mainly on reduced form models and connects with structural models which include the advantages of the economic intuition to set up two models of evaluating credit risk, Jarrow04 Model and Jarrow09 Model. With the criteria of no-arbitrage pricing of bonds, pricing formulae of the two proposed reduced form models are derived for z
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