Financial modelling with 2-EPT probability density functions

The class of all Exponential-Polynomial-Trigonometric (EPT) functions is classical and equal to the Euler-d’Alembert class of solutions of linear differential equations with constant coefficients. The class of non-negative EPT functions defined on [0;1) was discussed in Hanzon and Holland (2010) of which EPT probability density functions are an important subclass. EPT functions can be represented as ceAxb, where A is a square matrix, b a column vector and c a row vector where the triple (A; b; c) is the minimal realization of the EPT function. The minimal triple is only unique up to a basis transformation. Here the class of 2-EPT probability density functions on R is defined and shown to be closed under a variety of operations. The class is also generalised to include mixtures with the pointmass at zero. This class coincides with the class of probability density functions with rational characteristic functions. It is illustrated that the Variance Gamma density is a 2-EPT density under a parameter restriction. A discrete 2-EPT process is a process which has stochastically independent 2-EPT random variables as increments. It is shown that the distribution of the minimum and maximum of such a process is an EPT density mixed with a pointmass at zero. The Laplace Transform of these distributions correspond to the discrete time Wiener-Hopf factors of the discrete time 2-EPT process. A distribution of daily log-returns, observed over the period 1931-2011 from a prominent US index, is approximated with a 2-EPT density function. Without the non-negativity condition, it is illustrated how this problem is transformed into a discrete time rational approximation problem. The rational approximation software RARL2 is used to carry out this approximation. The non-negativity constraint is then imposed via a convex optimisation procedure after the unconstrained approximation. Sufficient and necessary conditions are derived to characterise infinitely divisible EPT and 2-EPT functions. Infinitely divisible 2-EPT density functions generate 2-EPT Lévy processes. An assets log returns can be modelled as a 2-EPT Lévy process. Closed form pricing formulae are then derived for European Options with specific times to maturity. Formulae for discretely monitored Lookback Options and 2-Period Bermudan Options are also provided. Certain Greeks, including Delta and Gamma, of these options are also computed analytically. MATLAB scripts are provided for calculations involving 2-EPT functions. Numerical option pricing examples illustrate the effectiveness of the 2-EPT approach to financial modelling.

The contribution of enterprise systems to core capabilities: the case of asset lifecycle management in the utilities sector

The desire to obtain competitive advantage is a motivator for implementing Enterprise Resource Planning (ERP) Systems (Adam & O’Doherty, 2000). However, while it is accepted that Information Technology (IT) in general may contribute to the improvement of organisational performance (Melville, Kraemer, & Gurbaxani, 2004), the nature and extent of that contribution is poorly understood (Jacobs & Bendoly, 2003; Ravichandran & Lertwongsatien, 2005). Accordingly, Henderson and Venkatraman (1993) assert that it is the application of business and IT capabilities to develop and leverage a firm’s IT resources for organisational transformation, rather than the acquired technological functionality, that secures competitive advantage for firms. Application of the Resource Based View of the firm (Wernerfelt, 1984) and Dynamic Capabilities Theory (DCT) (Teece and Pisano (1998) in particular) may yield insights into whether or not the use of Enterprise Systems enhances organisations’ core capabilities and thereby obtains competitive advantage, sustainable or otherwise (Melville et al., 2004). An operational definition of Core Capabilities that is independent of the construct of Sustained Competitive Advantage is formulated. This Study proposes and utilises an applied Dynamic Capabilities framework to facilitate the investigation of the role of Enterprise Systems. The objective of this research study is to investigate the role of Enterprise Systems in the Core Dynamic Capabilities of Asset Lifecycle Management. The Study explores the activities of Asset Lifecycle Management, the Core Dynamic Capabilities inherent in Asset Lifecycle Management and the footprint of Enterprise Systems on those Dynamic Capabilities. Additionally, the study explains the mechanisms by which Enterprise Systems sustain the Exploitability and the Renewability of those Core Dynamic Capabilities. The study finds that Enterprise Systems contribute directly to the Value, Exploitability and Renewability of Core Dynamic Capabilities and indirectly to their Inimitability and Non-substitutability. The study concludes by presenting an applied Dynamic Capabilities framework, which integrates Alter (1992)’s definition of Information Systems with Teece and Pisano (1998)’s model of Dynamic Capabilities to provide a robust diagnostic for determining the sustained value generating contributions of Enterprise Systems. These frameworks are used in the conclusions to frame the findings of the study. The conclusions go on to assert that these frameworks are free - standing and analytically generalisable, per Siggelkow (2007) and Yin (2003).

Proteomic approaches to environmental stress in mussel Mytilus edulis due to emerging classes of anthropogenic pollutants

Anthropogenic pollutant chemicals pose a major threat to aquatic organisms. There is a need for more research on emerging categories of environmental chemicals such as nanomaterials, endocrine disruptors and pharmaceuticals. Proteomics offers options and advantages for early warning of alterations in environmental quality by detecting sub-lethal changes in sentinel species such as the mussel, Mytilus edulis. This thesis aimed to compare the potential of traditional biomarkers (such as enzyme activity measurement) and newer redox proteomic approaches. Environmental proteomics, especially a redox proteomics toolbox, may be a novel way to study pollutant effects on organisms which can also yield information on risks to human health. In particular, it can probe subtle biochemical changes at sub-lethal concentrations and thus offer novel insights to toxicity mechanisms. In the first instance, the present research involved a field-study in three stations in Cork Harbour, Ireland (Haulbowline, Ringaskiddy and Douglas) compared to an outharbour control site in Bantry Bay, Ireland. Then, further research was carried out to detect effects of anthropogenic pollution on selected chemicals. Diclofenac is an example of veterinary and human pharmaceuticals, an emerging category of chemical pollutants, with potential to cause serious toxicity to non-target organisms. A second chemical used for this study was copper which is a key source of contamination in marine ecosystems. Thirdly, bisphenol A is a major anthropogenic chemical mainly used in polycarbonate plastics manufacturing that is widespread in the environment. It is also suspected to be an endocrine disruptor. Effects on the gill, the principal feeding organ of mussels, were investigated in particular. Effects on digestive gland were also investigated to compare different outcomes from each tissue. Across the three anthropogenic chemicals studied (diclofenac, copper and bisphenol A), only diclofenac exposure did not show any significant difference towards glutathione transferase (GST) responses. Meanwhile, copper and bisphenol A significantly increased GST in gill. Glutathione reductase (GR) enzyme analysis revealed that all three chemicals have significant responses in gill. Catalase activity showed significant differences in digestive gland exposed to diclofenac and gills exposed to bisphenol A. This study focused then on application of redox proteomics; the study of the oxidative modification of proteins, to M. edulis. Thiol proteins were labelled with 5-iodoacetamidofluorescein prior to one-dimensional and two-dimensional electrophoresis. This clearly revealed some similarities on a portion of the redox proteome across chemical exposures indicating where toxicity mechanism may be common and where effects are unique to a single treatment. This thesis documents that proteomics is a robust tool to provide valuable insights into possible mechanisms of toxicity of anthropogenic contaminants in M. edulis. It is concluded that future research should focus on gill tissue, on protein thiols and on key individual proteins discovered in this study such as calreticulin and arginine kinase which have not previously been considered as biomarkers in aquatic toxicology prior to this study.

Biomethane production from grass silage: laboratory assessment to maximise yields

On-farm biogas production is typically associated with forage maize as the biomass source. Digesters are designed and operated with the focus of optimising the conditions for this feedstock. Thus, such systems may not be ideally suited to the digestion of grass. Ireland has ca. 3.85 million ha of grassland. Annual excess grass, surplus to livestock requirements, could potentially fuel an anaerobic digestion industry. Biomethane associated with biomass from 1.1 % of grassland in Ireland, could potentially generate over 10 % renewable energy supply in transport. This study aims to identify and optimise technologies for the production of biomethane from grass silage. Mono-digestion of grass silage and co-digestion with slurry, as would occur on Irish farms, is investigated in laboratory trials. Grass silage was shown to have 7 times greater methane potential than dairy slurry on a fresh weight basis (107 m3 t-1 v 16 m3 t-1). However, comprehensive trace element profiles indicated that cobalt, iron and nickel are deficient in mono-digestion of grass silage at a high organic loading rate (OLR) of 4.0 kg VS m-3 d-1. The addition of a slurry co-substrate was beneficial due to its wealth of essential trace elements. To stimulate hydrolysis of high lignocellulose grass silage, particle size reduction (physical) and rumen fluid addition (biological) were investigated. In a continuous trial, digestion of grass silage of <1 cm particle size achieved a specific methane yield of 371 L CH4 kg-1 VS when coupled with rumen fluid addition. The concept of demand driven biogas was also examined in a two-phase digestion system (leaching with UASB). When demand for electricity is low it is recommended to disconnect the UASB from the system and recirculate rumen fluid to increase volatile fatty acid (VFA) and soluble chemical oxygen demand (SCOD) production whilst minimising volatile solids (VS) destruction. At times of high demand for electricity, connection of the UASB increases the destruction of volatiles and associated biogas production. The above experiments are intended to assess a range of biogas production options from grass silage with a specific focus on maximising methane yields and provide a guideline for feasible design and operation of on-farm digesters in Ireland.