A closed-form approximation for pricing temperature-based weather derivatives

This paper develops analytical distributions of temperature indices on which temperature derivatives are written. If the deviations of daily temperatures from their expected values are modelled as an Ornstein-Uhlenbeck process with timevarying variance, then the distributions of the temperature index on which the derivative is written is the sum of truncated, correlated Gaussian deviates. The key result of this paper is to provide an analytical approximation to the distribution of this sum, thus allowing the accurate computation of payoffs without the need for any simulation. A data set comprising average daily temperature spanning over a hundred years for four Australian cities is used to demonstrate the efficacy of this approach for estimating the payoffs to temperature derivatives. It is demonstrated that expected payoffs computed directly from historical records are a particularly poor approach to the problem when there are trends in underlying average daily temperature. It is shown that the proposed analytical approach is superior to historical pricing.

Comparison of functionals for metal hexaboride band structure calculations

Density functional calculations of the electronic band structure for superconducting and semi-conducting metal hexaborides are compared using a consistent suite of assumptions and with emphasis on the physical implications of computed models. Spin polarization enhances mathematical accuracy of the functional approximations and adds significant physical meaning to model interpretation. For YB6 and LaB6, differences in alpha and beta projections occur near the Fermi energy. These differences are pronounced for superconducting hexaborides but do not occur for other metal hexaborides.

A comparison of surface doses for very small field size x-ray beams : Monte Carlo calculations and radiochromic film measurements

Stereotactic radiosurgery treatments involve the delivery of very high doses for a small number of fractions. To date, there is limited data in terms of the skin dose for the very small field sizes used in these treatments. In this work, we determine relative surface doses for small size circular collimators as used in stereotactic radiosurgery treatments. Monte Carlo calculations were performed using the BEAMnrc code with a model of the Novalis 15 Trilogy linear accelerator and the BrainLab circular collimators. The surface doses were calculated at the ICRU skin dose depth of 70 m all using the 6 MV SRS x-ray beam. The calculated surface doses varied between 15 – 12% with decreasing values as the field size increased from 4 to 30 mm. In comparison, surface doses were measured using Gafchromic EBT3 film positioned at the surface of a Virtual Water phantom. The absolute agreement between calculated and measured surface doses was better than 2.5% which is well within the 20 uncertainties of the Monte Carlo calculations and the film measurements. Based on these results, we have shown that the Gafchromic EBT3 film is suitable for surface dose estimates in very small size fields as used in SRS.

Impulse facility simulation of hypervelocity radiating flows

We describe the X-series impulse facilities at The University of Queensland and show that they can produce useful high speed flows of relevance to the study of high temperature radiating flow flields characteristic of atmospheric entry. Two modes of operation are discussed: (a) the expansion tube mode which is useful for subscale aerodynamic testing of vehicles and (b) the non-reflected shock tube mode which can be used to emulate the nonequilibrium radiating region immediately following the bow shock of a flight vehicle.

Composition-dependent structural and electronic properties of α-(Si1−xCx)3N4

The highly unusual structural and electronic properties of the α-phase of (Si1-xCx)3N4 are determined by density functional theory (DFT) calculations using the Generalized Gradient Approximation (GGA). The electronic properties of α-(Si 1-xCx)3N4 are found to be very close to those of α-C3N4. The bandgap of α-(Si 1-xCx)3N4 significantly decreases as C atoms are substituted by Si atoms (in most cases, smaller than that of either α-Si3N4 or α-C3N4) and attains a minimum when the ratio of C to Si is close to 2. On the other hand, the bulk modulus of α-(Si1-xCx)3N 4 is found to be closer to that of α-Si3N 4 than of α-C3N4. Plasma-assisted synthesis experiments of CNx and SiCN films are performed to verify the accuracy of the DFT calculations. TEM measurements confirm the calculated lattice constants, and FT-IR/XPS analysis confirms the formation and lengths of C-N and Si-N bonds. The results of DFT calculations are also in a remarkable agreement with the experiments of other authors.

Diffusivity of adatoms on plasma-exposed surfaces determined from the ionization energy approximation and ionic polarizability

Microscopic surface diffusivity theory based on atomic ionization energy concept is developed to explain the variations of the atomic and displacement polarizations with respect to the surface diffusion activation energy of adatoms in the process of self-assembly of quantum dots on plasma-exposed surfaces. These polarizations are derived classically, while the atomic polarization is quantized to obtain the microscopic atomic polarizability. The surface diffusivity equation is derived as a function of the ionization energy. The results of this work can be used to fine-tune the delivery rates of different adatoms onto nanostructure growth surfaces and optimize the low-temperature plasma based nanoscale synthesis processes.

Spin polarized DFT calculations of metal borides

The metal borides, in particular the diborides and hexaborides, contain stoichiometric forms that include insulators, semiconductors and superconductors. In addition, their end-member structures have high symmetry and two atoms although, in general, substitution(s) of multi-valent ions into the metal site occurs consistent with Vegard’s law. These characteristics allow for fundamental comparison of important physical properties such as superconductivity and insulation within a relatively simple structure type. Our early work1,2 has demonstrated this for the hexaborides and this work compares similar attributes across a broader suite of boride structures. In all cases, theoretical calculations are referenced to structures determined via high resolution neutron or X-ray diffraction experiments.

Coherent phonon decay and the boron isotope effect for MgB2

Ab-initio DFT calculations for the phonon dispersion (PD) and the Phonon Density Of States (PDOS) of the two isotopic forms (10B and 11B) of MgB2 demonstrate that use of a reduced symmetry super-lattice provides an improved approximation to the dynamical, phonon-distorted P6/mmm crystal structure. Construction of phonon frequency plots using calculated values for these isotopic forms gives linear trends with integer multiples of a base frequency that change in slope in a manner consistent with the isotope effect (IE). Spectral parameters inferred from this method are similar to that determined experimentally for the pure isotopic forms of MgB2. Comparison with AlB2 demonstrates that a coherent phonon decay down to acoustic modes is not possible for this metal. Coherent acoustic phonon decay may be an important contributor to superconductivity for MgB2.

Approximation of Bayesian predictive p-values with regression ABC

In the Bayesian framework a standard approach to model criticism is to compare some function of the observed data to a reference predictive distribution. The result of the comparison can be summarized in the form of a p-value, and it's well known that computation of some kinds of Bayesian predictive p-values can be challenging. The use of regression adjustment approximate Bayesian computation (ABC) methods is explored for this task. Two problems are considered. The first is the calibration of posterior predictive p-values so that they are uniformly distributed under some reference distribution for the data. Computation is difficult because the calibration process requires repeated approximation of the posterior for different data sets under the reference distribution. The second problem considered is approximation of distributions of prior predictive p-values for the purpose of choosing weakly informative priors in the case where the model checking statistic is expensive to compute. Here the computation is difficult because of the need to repeatedly sample from a prior predictive distribution for different values of a prior hyperparameter. In both these problems we argue that high accuracy in the computations is not required, which makes fast approximations such as regression adjustment ABC very useful. We illustrate our methods with several samples.

Soil N2O emissions under N2-fixing legumes and N-fertilised canola: A reappraisal of emissions factor calculations

Introducing nitrogen (N)-fixing legumes into cereal-based crop rotations reduces synthetic fertiliser-N use and may mitigate soil emissions of nitrous oxide (N2O). Current IPCC calculations assume 100% of legume biomass N as the anthropogenic N input and use 1% of this as an emission factor (EF)—the percentage of input N emitted as N2O. However, legumes also utilise soil inorganic N, so legume-fixed N is typically less than 100% of legume biomass N. In two field experiments, we measured soil N2O emissions from a black Vertosol in sub-tropical Australia for 12 months after sowing of chickpea (Cicer arietinum L.), canola (Brassica napus L.), faba bean (Vicia faba L.), and field pea (Pisum sativum L.). Cumulative N2O emissions from N-fertilised canola (624 g N2O-N ha−1) greatly exceeded those from chickpea (127 g N2O-N ha−1) in Experiment 1. Similarly, N2O emitted from canola (385 g N2O-N ha−1) in Experiment 2 was significantly greater than chickpea (166 g N2O-N ha−1), faba bean (166 g N2O-N ha−1) or field pea (135 g N2O-N ha−1). Highest losses from canola were recorded during the growing season, whereas 75% of the annual N2O losses from the legumes occurred post-harvest. Legume N2-fixation provided 37–43% (chickpea), 54% (field pea) and 64% (faba bean) of total plant biomass N. Using only fixed-N inputs, we calculated EFs for chickpea (0.13–0.31%), field pea (0.18%) and faba bean (0.04%) that were significantly less than N-fertilised canola (0.48–0.78%) (P < 0.05), suggesting legume-fixed N is a less emissive form of N input to the soil than fertiliser N. Inputs of legume-fixed N should be more accurately quantified to properly gauge the potential for legumes to mitigate soil N2O emissions. EF’s from legume crops need to be revised and should include a factor for the proportion of the legume’s N derived from the atmosphere.

Characteristics of the first pre-discharge current pulse in SF6 under a steep fronted impulse voltage

An improved understanding of the characteristics of the pre-discharge current pulses in GIS will lead to improved analyses of the results from the UHF partial discharge detection method. This paper presents the characteristics of the first pre-discharge current pulses from a point-to-plain geometry at 1 bar absolute under both polarities of a 1.1/80 us lightning impulse. The analysis has shown that the pre-discharge current wave shape, peak current magnitude and charge is effected by the instantaneous voltage at which the pre- discharge took place as well as the polarity of the active electrode. The measured results show that protrusions on the electrodes have slower wave shape parameters than those reported for free conducting particles.

Preliminary work on the detection of partial discharges in SF6 under impulse voltages

This paper presents preliminary results of an investigation into the detection of partial discharges on the rise of impulse voltages from a point-to-plane gap in SF6. A parallel RC detection impedance is placed in the earth path of a point. Computer simulations are done to determine the values of R and C that will result in the smallest impulse voltage signal and the largest discharge signal across the detection impedance. These simulations and the experimental work show that the impulse voltage signal can not be sufficiently attenuated during the rise time of the applied voltage impulse using the RC detection impedance alone. An alternative discharge detection method is proposed in which a resonant partial discharge coupler is used. Elimination of noise and the impulse voltage signal can be achieved by shorting the coupler plate to the ground plane in the middle of the disk. However, due to the bandwidth of the measuring equipment and noise from the impulse generator it was not possible to detect discharges on the rising edge of a 1.5s voltage impulse using a coupler shorted in the middle. It was found that for this particular coupler, with no shorting points, and if the rising edge of the voltage impulse is longer than 5us, (10us) PD activity can be detected on the rising edge.