Sources and mixing state of size-resolved elemental carbon particles in a European megacity: Paris

An Aerosol Time-Of-Flight Mass Spectrometer (ATOFMS) was deployed to investigate the size-resolved chemical composition of single particles at an urban background site in Paris, France, as part of the MEGAPOLI winter campaign in January/February 2010. ATOFMS particle counts were scaled to match coincident Twin Differential Mobility Particle Sizer (TDMPS) data in order to generate hourly size-resolved mass concentrations for the single particle classes observed. The total scaled ATOFMS particle mass concentration in the size range 150–1067 nm was found to agree very well with the sum of concurrent High-Resolution Time-of-Flight Aerosol Mass Spectrometer (HR-ToF-AMS) and Multi-Angle Absorption Photometer (MAAP) mass concentration measurements of organic carbon (OC), inorganic ions and black carbon (BC) (R2 = 0.91). Clustering analysis of the ATOFMS single particle mass spectra allowed the separation of elemental carbon (EC) particles into four classes: (i) EC attributed to biomass burning (ECbiomass), (ii) EC attributed to traffic (ECtraffic), (iii) EC internally mixed with OC and ammonium sulfate (ECOCSOx), and (iv) EC internally mixed with OC and ammonium nitrate (ECOCNOx). Average hourly mass concentrations for EC-containing particles detected by the ATOFMS were found to agree reasonably well with semi-continuous quantitative thermal/optical EC and optical BC measurements (r2 = 0.61 and 0.65–0.68 respectively, n = 552). The EC particle mass assigned to fossil fuel and biomass burning sources also agreed reasonably well with BC mass fractions assigned to the same sources using seven-wavelength aethalometer data (r2 = 0.60 and 0.48, respectively, n = 568). Agreement between the ATOFMS and other instrumentation improved noticeably when a period influenced by significantly aged, internally mixed EC particles was removed from the intercomparison. 88% and 12% of EC particle mass was apportioned to fossil fuel and biomass burning respectively using the ATOFMS data compared with 85% and 15% respectively for BC estimated from the aethalometer model. On average, the mass size distribution for EC particles is bimodal; the smaller mode is attributed to locally emitted, mostly externally mixed EC particles, while the larger mode is dominated by aged, internally mixed ECOCNOx particles associated with continental transport events. Periods of continental influence were identified using the Lagrangian Particle Dispersion Model (LPDM) "FLEXPART". A consistent minimum between the two EC mass size modes was observed at approximately 400 nm for the measurement period. EC particles below this size are attributed to local emissions using chemical mixing state information and contribute 79% of the scaled ATOFMS EC particle mass, while particles above this size are attributed to continental transport events and contribute 21% of the EC particle mass. These results clearly demonstrate the potential benefit of monitoring size-resolved mass concentrations for the separation of local and continental EC emissions. Knowledge of the relative input of these emissions is essential for assessing the effectiveness of local abatement strategies.

A study of the Hobson and Rogers volatility model

We firstly examine the model of Hobson and Rogers for the volatility of a financial asset such as a stock or share. The main feature of this model is the specification of volatility in terms of past price returns. The volatility process and the underlying price process share the same source of randomness and so the model is said to be complete. Complete models are advantageous as they allow a unique, preference independent price for options on the underlying price process. One of the main objectives of the model is to reproduce the `smiles' and `skews' seen in the market implied volatilities and this model produces the desired effect. In the first main piece of work we numerically calibrate the model of Hobson and Rogers for comparison with existing literature. We also develop parameter estimation methods based on the calibration of a GARCH model. We examine alternative specifications of the volatility and show an improvement of model fit to market data based on these specifications. We also show how to process market data in order to take account of inter-day movements in the volatility surface. In the second piece of work, we extend the Hobson and Rogers model in a way that better reflects market structure. We extend the model to take into account both first and second order effects. We derive and numerically solve the pde which describes the price of options under this extended model. We show that this extension allows for a better fit to the market data. Finally, we analyse the parameters of this extended model in order to understand intuitively the role of these parameters in the volatility surface.