Pricing and hedging short sterling options using artificial neural networks

This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging Short Sterling options. Using high frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior to both the modified Black model and the standard ANN in pricing call and put options. Hedge ratios for hedging Short Sterling options positions using Short Sterling futures are produced using the standard and hybrid ANN pricing models, the modified Black model, and also standard and hybrid ANNs trained directly on the hedge ratios. The performance of hedge ratios from ANNs directly trained on actual hedge ratios is significantly superior to those based on a pricing model, and to the modified Black model.

A vision for attaining food security

Food is fundamental to human wellbeing and development. Increased food production remains a cornerstone strategy in the effort to alleviate global food insecurity. But despite the fact that global food production over the past half century has kept ahead of demand, today around one billion people do not have enough to eat, and a further billion lack adequate nutrition. Food insecurity is facing mounting supply-side and demand-side pressures; key among these are climate change, urbanisation, globalisation, population increases, disease, as well as a number of other factors that are changing patterns of food consumption. Many of the challenges to equitable food access are concentrated in developing countries where environmental pressures including climate change, population growth and other socio-economic issues are concentrated. Together these factors impede people's access to sufficient, nutritious food; chiefly through affecting livelihoods, income and food prices. Food security and human development go hand in hand, and their outcomes are co-determined to a significant degree. The challenge of food security is multi-scalar and cross-sector in nature. Addressing it will require the work of diverse actors to bring sustained improvements inhuman development and to reduce pressure on the environment. Unless there is investment in future food systems that are similarly cross-level, cross-scale and cross-sector, sustained improvements in human wellbeing together with reduced environmental risks and scarcities will not be achieved. This paper reviews current thinking, and outlines these challenges. It suggests that essential elements in a successfully adaptive and proactive food system include: learning through connectivity between scales to local experience and technologies high levels of interaction between diverse actors and sectors ranging from primary producers to retailers and consumers, and use of frontier technologies.

Foreword: International Space Science Institute (ISSI) workshop on observing and predicting Earth’s energy flows

The Earth’s climate, as well as planetary climates in general, is broadly regulated by three fundamental parameters: the total solar irradiance, the planetary albedo and the planetary emissivity. Observations from series of different satellites during the last three decades indicate that these three quantities are generally very stable. The total solar irradiation of some 1,361 W/m2 at 1 A.U. varies within 1 W/m2 during the 11-year solar cycle (Fröhlich 2012). The albedo is close to 29 % with minute changes from year to year but with marked zonal differences (Stevens and Schwartz 2012). The only exception to the overall stability is a minor decrease in the planetary emissivity (the ratio between the radiation to space and the radiation from the surface of the Earth). This is a consequence of the increase in atmospheric greenhouse gas amounts making the atmosphere gradually more opaque to long-wave terrestrial radiation. As a consequence, radiation processes are slightly out of balance as less heat is leaving the Earth in the form of thermal radiation than the amount of heat from the incoming solar radiation. Present space-based systems cannot yet measure this imbalance, but the effect can be inferred from the increase in heat in the oceans where most of the heat accumulates. Minor amounts of heat are used to melt ice and to warm the atmosphere and the surface of the Earth.

An experiment in the Assimilation of Data in Dynamical Analysis

A system for continuous data assimilation is presented and discussed. To simulate the dynamical development a channel version of a balanced barotropic model is used and geopotential (height) data are assimilated into the models computations as data become available. In the first experiment the updating is performed every 24th, 12th and 6th hours with a given network. The stations are distributed at random in 4 groups in order to simulate 4 areas with different density of stations. Optimum interpolation is performed for the difference between the forecast and the valid observations. The RMS-error of the analyses is reduced in time, and the error being smaller the more frequent the updating is performed. The updating every 6th hour yields an error in the analysis less than the RMS-error of the observation. In a second experiment the updating is performed by data from a moving satellite with a side-scan capability of about 15°. If the satellite data are analysed at every time step before they are introduced into the system the error of the analysis is reduced to a value below the RMS-error of the observation already after 24 hours and yields as a whole a better result than updating from a fixed network. If the satellite data are introduced without any modification the error of the analysis is reduced much slower and it takes about 4 days to reach a comparable result to the one where the data have been analysed.

Phylogenetic variation in the shoot mineral concentration of angiosperms

The calcium (Ca) concentration of plant shoot tissues varies systematically between angiosperm orders. The phylogenetic variation in the shoot concentration of other mineral nutrients has not yet been described at an ordinal level. The aims of this study were (1) to quantify the shoot mineral concentration of different angiosperm orders, (2) to partition the phylogenetic variation in shoot mineral concentration between and within orders, (3) to determine if the shoot concentration of different minerals are correlated across angiosperm species, and (4) to compare experimental data with published ecological survey data on 81 species sampled from their natural habitats. Species, selected pro rata from different angiosperm orders, were grown in a hydroponic system under a constant external nutrient regime. Shoots of 117 species were sampled during vegetative growth. Significant variation in shoot carbon (C), calcium (Ca), potassium (K), and magnesium (Mg) concentration occurred between angiosperm orders. There was no evidence for systematic differences in shoot phosphorus (P) or organic-nitrogen (N) concentration between orders. At a species level, there were strong positive correlations between shoot Ca and Mg concentration, between shoot P and organic-N concentration, and between shoot K concentration and shoot fresh weight:dry weight ratio. Shoot C and cation concentration correlated negatively at a species level. Species within the Poales and the Caryophyllales had distinct shoot mineralogies in both the designed experiment and in the ecological survey.

Measuring large topographic change with InSAR: lava thicknesses, extrusion rate and subsidence rate at Santiaguito volcano, Guatemala

Lava flows can produce changes in topography on the order of 10s-100s of metres. A knowledge of the resulting volume change provides evidence about the dynamics of an eruption. We present a method to measure topographic changes from the differential InSAR phase delays caused by the height differences between the current topography and a Digital Elevation Model (DEM). This does not require a pre-event SAR image, so it does not rely on interferometric phase remaining coherent during eruption and emplacement. Synthetic tests predicts that we can estimate lava thickness of as little as �9 m, given a minimum of 5 interferograms with suitably large orbital baseine separations. In the case of continuous motion, such as lava flow subsidence, we invert interferometric phase simultaneously for topographic change and displacement. We demonstrate the method using data from Santiaguito volcano, Guatemala, and measure increases in lava thickness of up to 140 m between 2000 and 2009, largely associated with activity between 2000 and 2005. We find a mean extrusion rate of 0.43 +/- 0.06 m3/s, which lies within the error bounds of the longer term extrusion rate between 1922-2000. The thickest and youngest parts of the flow deposit were shown to be subsiding at an average rate of �-6 cm/yr. This is the first time that flow thickness and subsidence have been measured simultaneously. We expect this method to be suitable for measurment of landslides and other mass flow deposits as well as lava flows.

Flood risk and climate change: global and regional perspectives

A holistic perspective on changing rainfall-driven flood risk is provided for the late 20th and early 21st centuries. Economic losses from floods have greatly increased, principally driven by the expanding exposure of assets at risk. It has not been possible to attribute rain-generated peak streamflow trends to anthropogenic climate change over the past several decades. Projected increases in the frequency and intensity of heavy rainfall, based on climate models, should contribute to increases in precipitation-generated local flooding (e.g. flash flooding and urban flooding). This article assesses the literature included in the IPCC SREX report and new literature published since, and includes an assessment of changes in flood risk in seven of the regions considered in the recent IPCC SREX report—Africa, Asia, Central and South America, Europe, North America, Oceania and Polar regions. Also considering newer publications, this article is consistent with the recent IPCC SREX assessment finding that the impacts of climate change on flood characteristics are highly sensitive to the detailed nature of those changes and that presently we have only low confidence1 in numerical projections of changes in flood magnitude or frequency resulting from climate change.

Aluminium distribution in ZSM-5 revisited: the role of Al-Al interactions

We present a theoretical study of the distribution of Al atoms in zeolite ZSM-5 with Si/Al=47, where we focus on the role of Al-Al interactions rather than on the energetics of Al/Si substitutions at individual sites. Using interatomic potential methods, we evaluate the energies of the full set of symmetrically independent configurations of Al siting in a Si94Al2O192 cell. The equilibrium Al distribution is determined by the interplay of two factors: the energetics of the Al/Si substitution at an individual site, which tends to populate particular T sites (e.g. the T14 site), and the Al-Al interaction, which at this Si/Al maximises Al-Al distances in agreement with Dempsey’s rule. However, it is found that the interaction energy changes approximately as the inverse of the square of the distance between the two Al atoms, rather than the inverse of the distance expected if this were merely charge repulsion. Moreover, we find that the anisotropic nature of the framework density plays an important role in determining the magnitude of the interactions, which are not simply dependent on Al-Al distances.

Dynamic Devensian ice flow in NE England: a sedimentological reconstruction

This study reconstructs the depositional environments that accompanied both ice advance and ice retreat of the last British–Irish Ice Sheet in NE England during the Last Glacial Maximum, and proposes three regional ice-flow phases. The Late Devensian (29–22 cal. ka BP) Tyne Gap Ice Stream initially deposited the Blackhall Till Formation during shelf-edge glaciation (Phase I). This subglacial traction till comprises several related facies, including stratified and laminated diamictons, tectonites, and sand and gravel beds deposited both in subglacial canals and in proglacial streams. Eventually, stagnation of the Tyne Gap Ice Stream led to ice-marginal sedimentation in County Durham (Phase II). During the Dimlington Stadial (21 cal. ka BP), the North Sea Lobe advanced towards the coastline of N Norfolk. This resulted initially in sandur deposition (widespread, tabular sand and gravel; the Peterlee Sand and Gravel Formation; Phase II) and ultimately in deposition of the Horden Till Formation (Phase III), a massive subglacial till. As the North Sea Lobe overrode previous formations, it thrusted and stacked sediments in County Durham, and dammed proglacial lakes between the east-coast ice, the Pennine uplands and the remaining Pennine ice. The North Sea Lobe retreated after Heinrich Event 1 (16 ka). This study highlights the complexity of ice flow during the Late Devensian glaciation of NE England, with changing environmental and oceanic conditions forcing a mobile and sensitive ice sheet.

Investigating hydrological regimes and processes in a set of catchments with temporary waters in Mediterranean Europe

Seven catchments of diverse size in Mediterranean Europe were investigated in order to understand the main aspects of their hydrological functioning. The methods included the analysis of daily and monthly precipitation, monthly potential evapotranspiration rates, flow duration curves, rainfall runoff relationships and catchment internal data for the smaller and more instrumented catchments. The results showed that the catchments were less dry than initially considered. Only one of them was really semi-arid throughout the year. All the remaining catchments showed wet seasons when precipitation exceeded potential evapotrans-piration, allowing aquifer recharge, wet runoff generation mechanisms and relevant baseflow contribution. Nevertheless, local infiltration excess (Hortonian) overland flow was inferred during summer storms in some catchments and urban overland flow in some others. The roles of karstic groundwater, human disturbance and low winter temperatures were identified as having an important impact on the hydrological regime in some of the catchments.

Large plasma velocities along the magnetic field line in the auroral zone

In the auroral zone, ionospheric plasma often moves horizontally at more than 1 km s−1, driven by magnetospheric electric fields, but it has usually been assumed that vertical velocities are much smaller. On occasions, however, plasma has been seen to move upwards along the magnetic field line at several hundred m s−1. These upward velocities are associated with electric fields strong enough to heat the ion population and drive it into a non-thermal state1,2. Here we report observations of substantial upwards acceleration of plasma, to velocities as high as 500 m s−1. An initial upthrust was provided by a combined upwelling of the neutral atmosphere and ionosphere but the continued acceleration at greater heights is explained by a combination of enhanced plasma pressure and the 'hydrodynamic mirror force'3. This acceleration marks an important stage in the transport of plasma from the ionosphere into the magnetosphere.