Literatura académica sobre el tema "Modèle ASST"

Dans le cadre du programme CEA R&amp;D pour développer un prototype industriel de Réacteur à Neutrons Rapides refroidi au Sodium (RNR-Na), cette thèse vise à proposer une technologie d'échangeur de chaleur compact innovant. Afin d'augmenter la compacité globale du composant la conception est réalisée d’un canal: il peut être considéré comme le résultat de la superposition de deux canaux ondulés en opposition de phase. Afin de fournir un modèle numérique physiquement cohérent, un nouveau modèle de turbulence à viscosité turbulente non linéaire nommé modèle ASST a été développé et implémenté dans le solveur ANSYS FLUENT ®. Il a été démontré que le modèle ASST peut fournir une alternative intéressante aux modèles plus complexes. Pour valider le modèle ASST, deux montages expérimentaux ont été réalisés, dont un utilisant la Vélocimétrie Laser à franges et l'autre la Vélocimétrie Laser par images de particules. Pour la validation thermique, l'installation "VHEGAS" a été construite. Une fois le modèle ASST validé, les performances pour différentes géométries peuvent être étudiées. Enfin, il a été montré que la géométrie innovante est la plus compacte parmi les autres technologies d'échangeurs de chaleur compacts type PCHE<br>In the framework of CEA R&amp;D program to develop an industrial prototype of Sodiumcooled Fast Reactor, the present thesis aimed to propose an innovative compact heat exchanger technology. In order to increase the global compactness the basic idea of this work is to design a channel were the fluid flow is as much three-dimensional as possible. In particular the channel can be thought as the result of the superposition of two undulated channels in phase opposition. To numerically provide a physically-consistent model, a new non-linear eddy viscosity named Anisotropic Shear Stress Transport (ASST) model has been developed and implemented into the available solver ANSYS FLUENT. To validate the numerical model, two experimental sections have been used to acquire an extensive aerodynamic database, whereas, to validate the thermal modeling approach, the VHEGAS facility has been built. Once having validated the ASST model, correlations for friction factor and Nusselt number for various geometries could be obtained. Finally, it has been shown that the innovative channel is the most compact one among the most important existing industrial compact heat exchanger technologies

Submitted by Diego Brandão (digusmao@hotmail.com) on 2017-01-06T20:29:33Z No. of bitstreams: 1 Tese - Versao final - Diego Brandao.pdf: 1402061 bytes, checksum: 2a9d03af25fdeae9cb4300343d707aa2 (MD5)<br>Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-02-20T13:39:19Z (GMT) No. of bitstreams: 1 Tese - Versao final - Diego Brandao.pdf: 1402061 bytes, checksum: 2a9d03af25fdeae9cb4300343d707aa2 (MD5)<br>Made available in DSpace on 2017-03-03T12:50:29Z (GMT). No. of bitstreams: 1 Tese - Versao final - Diego Brandao.pdf: 1402061 bytes, checksum: 2a9d03af25fdeae9cb4300343d707aa2 (MD5) Previous issue date: 2016-09-23<br>The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA preferences when the economy is characterized by rare disasters. In the second article, we develop and test a methodology to assess misspeci fied asset pricing models by taking into account the smallest probability distortion necessary to assign correct prices. In the final paper, we estimate an approximate long run risks model using Brazilian data.<br>Esta tese consiste em três artigos sobre a estimação de modelos de apreçamento de ativos. No primeiro artigo, analisamos as propriedades de amostra pequena dos estimadores da classe Generalized Empirical Likelihood para o coeficiente de aversão ao risco de preferências CRRA quando a economia é suscetível a desastres. No segundo artigo, apresentamos e testamos uma metodologia de avaliação de modelos de apreçamento mal especificados que leva em conta a menor distorção de probabilidade necessária sobre a medida real para que modelo aprece corretamente ativos. No terceiro artigo, estimamos uma versão aproximada do modelo de riscos de longo prazo utilizando dados brasileiros.

Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. Stochastic volatility models appear as a response to the weakness of the constant volatility models. In Paper A , we present a survey on popular diffusion models where the volatility is itself a random process and we present the techniques of pricing European options under each model. Comparing single factor stochastic volatility models to constant factor volatility models it seems evident that the stochastic volatility models represent nicely the movement of the asset price and its relations with changes in the risk. However, these models fail to explain the large independent fluctuations in the volatility levels and slope. We consider Chiarella and Ziveyi model, which is a subclass of the model presented in Christoffersen and in paper A, we also explain a multi-factor stochastic volatility model presented in Chiarella and Ziveyi. We review the first-order asymptotic expansion method for determining European option price in such model. Multiscale stochastic volatilities models can capture the smile and skew of volatilities and therefore describe more accurately the movements of the trading prices. In paper B, we provide experimental and numerical studies on investigating the accuracy of the approximation formulae given by this asymptotic expansion. We present also a procedure for calibrating the parameters produced by our first-order asymptotic approximation formulae. Our approximated option prices will be compared to the approximation obtained by Chiarella and Ziveyi. In paper C, we implement and analyze the Regime-Switching GARCH model using real NordPool Electricity spot data. We allow the model parameters to switch between a regular regime and a non-regular regime, which is justified by the so-called structural break behaviour of electricity price series. In splitting the two regimes we consider three criteria, namely the intercountry price di_erence criterion, the capacity/flow difference criterion and the spikes-in-Finland criterion. We study the correlation relationships among these criteria using the mean-square contingency coe_cient and the co-occurrence measure. We also estimate our model parameters and present empirical validity of the model.