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Systemic Risk In Financial Networks, Tathagata Banerjee
Systemic Risk In Financial Networks, Tathagata Banerjee
McKelvey School of Engineering Theses & Dissertations
In this dissertation, I have used the network model based approach to study systemic risk in financial networks. In particular, I have worked on generalized extensions of the Eisenberg--Noe [2001] framework to account for realistic financial situations viz. pricing of corporate debt while accounting for network effects, asset liquidation mechanisms during fire sales, dynamic clearing and impact of contingent payments such as insurance and credit default swaps. First, I present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. I demonstrate that the comonotonic setting provides a lower bound to the price …
Sufficient Conditions For Optimal Control Problems With Terminal Constraints And Free Terminal Times With Applications To Aerospace, Sankalp Kishan Bhan
Sufficient Conditions For Optimal Control Problems With Terminal Constraints And Free Terminal Times With Applications To Aerospace, Sankalp Kishan Bhan
McKelvey School of Engineering Theses & Dissertations
Motivated by the flight control problem of designing control laws for a Ground Collision Avoidance System (GCAS), this thesis formulates sufficient conditions for a strong local minimum for a terminally constrained optimal control problem with a free-terminal time. The conditions develop within the framework of a construction of a field of extremals by means of the method of characteristics, a procedure for the solution of first-order linear partial differential equations, but modified to apply to the Hamilton-Jacobi-Bellman equation of optimal control. Additionally, the thesis constructs these sufficient conditions for optimality with a mathematically rigorous development. The proof uses an approach …