Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

Bioremediation of diesel oil contaminated soil and water

Diesel spills contaminate aquatic and terrestrial environments. To prevent the environmental and health risks, the remediation needs to be advanced. Bioremediation, i.e., degradation by microbes, is one of the suitable methods for cleaning diesel contamination. In monitored natural attenuation technique are natural processes in situ combined, including bioremediation, volatilization, sorption, dilution and dispersion. Soil bacteria are capable of adapting to degrade environmental pollutants, but in addition, some soil types may have indigenous bacteria that are naturally suitable for degradation. The objectives for this work were (1) to find a feasible and economical technique to remediate oil spilled into Baltic Sea water and (2) to bioremediate soil contaminated by diesel oil. Moreover, the aim was (3) to study the potential for natural attenuation and the indigenous bacteria in soil, and possible adaptation to degrade diesel hydrocarbons. In the aquatic environment, the study concentrated on diesel oil sorption to cotton grass fiber, a natural by-product of peat harvesting. The impact of diesel pollution was followed in bacteria, phytoplankton and mussels. In a terrestrial environment, the focus was to compare the methods of enhanced biodegradation (biostimulation and bioaugmentation), and to study natural attenuation of oil hydrocarbons in different soil types and the effect that a history of previous contamination may have on the bioremediation potential. (1) In the aquatic environment, rapid removal of diesel oil was significant for survival of tested species and thereby diversity maintained. Cotton grass not only absorbed the diesel but also benefited the bacterial growth by providing a large colonizable surface area and hence oil-microbe contact area. Therefore use of this method would enhance bioremediation of diesel spills. (2) Biostimulation enhances bioremediation, and (3) indigenous diesel-degrading bacteria are present in boreal environments, so microbial inocula are not always needed. In the terrestrial environment experiments, the combination of aeration and addition of slowly released nitrogen advanced the oil hydrocarbon degradation. Previous contamination of soil gives the bacterial community the potential for rapid adaptation and efficient degradation of the same type of contaminant. When the freshly contaminated site needs addition of diesel degraders, previously contaminated and remediated soil could be used as a bacterial inoculum. Another choice of inoculum could be conifer forest soil, which provides a plentiful population of degraders, and based on the present results, could be considered as a safe non-polluted inoculum. According to the findings in this thesis, bioremediation (microbial degradation) and monitored natural attenuation (microbial, physical and chemical degradation) are both suitable techniques for remediation of diesel-contaminated sites in Finland.

Elliptic flow of thermal photons in heavy-ion collisions at Relativistic Heavy Ion Collider and Large Hadron Collider

We calculate the thermal photon transverse momentum spectra and elliptic flow in $\sqrt{s_{NN}} = 200$ GeV Au+Au collisions at RHIC and in $\sqrt{s_{NN}} = 2.76$ TeV Pb+Pb collisions at the LHC, using an ideal-hydrodynamical framework which is constrained by the measured hadron spectra at RHIC and LHC. The sensitivity of the results to the QCD-matter equation of state and to the photon emission rates is studied, and the photon $v_2$ is discussed in the light of the photonic $p_T$ spectrum measured by the PHENIX Collaboration. In particular, we make a prediction for the thermal photon $p_T$ spectra and elliptic flow for the current LHC Pb+Pb collisions.