Power transmission network simulation for fault diagnosis

The authors discuss an implementation of an object oriented (OO) fault simulator and its use within an adaptive fault diagnostic system. The simulator models the flow of faults around a power network, reporting switchgear indications and protection messages that would be expected in a real fault scenario. The simulator has been used to train an adaptive fault diagnostic system; results and implications are discussed.

A simplified pricing model for volatility futures

We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox–Ingersoll–Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the actual futures price for almost all futures maturities. We show that although jumps are present in the data, the models with jumps do not typically outperform the others; in particular, we demonstrate the important benefits of the CEV feature in pricing futures contracts. We conclude by examining errors in the model relative to the VIX characteristics

European CMBS pricing: bond, mortgage and real estate characteristics

The recent global economic crisis is often associated with the development and pricing of mortgage-backed securities (i.e. MBSs) and underlying products (i.e. sub-prime mortgages). This work uses a rich database of MBS issues and represents the first attempt to price commercial MBSs (i.e. CMBSs) in the European market. Our results are consistent with research carried out in the US market and we find that bond-, mortgage-, real estate-related and multinational characteristics show different degrees of significance in explaining European CMBS spreads at issuance. Multiple linear regression analysis using a databank of CMBSs issued between 1997 and 2007 indicates a strong relationship with bond-related factors, followed by real estate and mortgage market conditions. We also find that multinational factors are significant, with country of issuance, collateral location and access to more liquid markets all being important in explaining the cost of secured funding for real estate companies. As floater coupon tranches tend to be riskier and exhibit higher spreads, we also estimate a model using this sub-set of data and results hold, hence reinforcing our findings. Finally, we estimate our model for both tranches A and B and find that real estate factors become relatively more important for the riskier investment products.

A single amino acid in the HA of pH1N1 2009 influenza virus affects cell tropism in human airway epithelium, but not transmission in ferrets

The first pandemic of the 21(st) century, pandemic H1N1 2009 (pH1N1 2009), emerged from a swine-origin source. Although human infections with swine-origin influenza have been reported previously, none went on to cause a pandemic or indeed any sustained human transmission. In previous pandemics, specific residues in the receptor binding site of the haemagglutinin (HA) protein of influenza have been associated with the ability of the virus to transmit between humans. In the present study we investigated the effect of residue 227 in HA on cell tropism and transmission of pH1N1 2009. In pH1N1 2009 and recent seasonal H1N1 viruses this residue is glutamic acid, whereas in swine influenza it is alanine. Using human airway epithelium, we show a differential cell tropism of pH1N1 2009 compared to pH1N1 2009 E227A and swine influenza suggesting this residue may alter the sialic acid conformer binding preference of the HA. Furthermore, both pH1N1 2009 E227A and swine influenza multi-cycle viral growth was found to be attenuated in comparison to pH1N1 2009 in human airway epithelium. However this altered tropism and viral growth in human airway epithelium did not abrogate respiratory droplet transmission of pH1N1 2009 E227A in ferrets. Thus, acquisition of E at residue 227 was not solely responsible for the ability of pH1N1 2009 to transmit between humans.

A transmission electron microscopy study of polymer-stabilised liquid crystal structure

A method has been established for observing the internal structure of the network component of polymer-stabilised liquid crystals. In situ photopolymerisation of a mesogenic diacrylate monomer using ultraviolet light leads to a sparse network (∼1 wt%) within a nematic host. Following polymerisation, the host was removed through dissolution in heptane, revealing the network. In order to observe a cross-section through the network, it was embedded in a resin and then sectioned using an ultramicrotome. However, imaging of the network was not possible due to poor contrast. To improve this, several reagents were used for network staining, but only one was successful: bromine. The use of a Melinex-resin composite for sectioning was also found to be advantageous. Imaging of the network using transmission electron microscopy revealed solid “droplets” of width 0.07–0.20 μm, possessing an open, yet homogeneous structure, with no evidence for any large-scale internal structures.

Reduction of vestigial sideband effects due to multipath transmission in terrestrial broadcast television

In terrestrial television transmission multiple paths of various lengths can occur between the transmitter and the receiver. Such paths occur because of reflections from objects outside the direct transmission path. The multipath signals arriving at the receiver are all detected along with the intended signal causing time displaced replicas called 'ghosts' to appear on the television picture. With an increasing number of people living within built up areas, ghosting is becoming commonplace and therefore deghosting is becoming increasingly important. This thesis uses a deterministic time domain approach to deghosting, resulting in a simple solution to the problem of removing ghosts. A new video detector is presented which reduces the synchronous detector local oscillator phase error, caused by any practical size of ghost, to a lower level than has ever previously been achieved. From the new detector, dispersion of the video signal is minimised and a known closed-form time domain description of the individual ghost components within the detected video is subsequently obtained. Developed from mathematical descriptions of the detected video, a new specific deghoster filter structure is presented which is capable of removing both inphase (I) and also the phase quadrature (Q) induced ghost signals derived from the VSB operation. The new deghoster filter requires much less hardware than any previous deghoster which is capable of removing both I and Q ghost components. A new channel identification algorithm was also required and written which is based upon simple correlation techniques to find the delay and complex amplitude characteristics of individual ghosts. The result of the channel identification is then passed to the new I and Q deghoster filter for ghost cancellation. Generated from the research work performed for this thesis, five papers have been published. D

A question of value: a discussion of property pricing and definitions of value

Valuation is often said to be “an art not a science” but this relates to the techniques employed to calculate value not to the underlying concept itself. Valuation practice has documented different bases of value or definitions of value both internationally and nationally. This paper discusses these definitions and suggests that there is a common thread that ties the definitions together.

Pricing short leases and break clauses using simulation methodology

This paper examines the changes in the length of commercial property leases over the last decade and presents an analysis of the consequent investment and occupational pricing implications for commercial property investmentsIt is argued that the pricing implications of a short lease to an investor are contingent upon the expected costs of the letting termination to the investor, the probability that the letting will be terminated and the volatility of rental values.The paper examines the key factors influencing these variables and presents a framework for incorporating their effects into pricing models.Approaches to their valuation derived from option pricing are critically assessed. It is argued that such models also tend to neglect the price effects of specific risk factors such as tenant circumstances and the terms of break clause. Specific risk factors have a significant bearing on the probability of letting termination and on the level of the resultant financial losses. The merits of a simulation methododology are examined for rental and capital valuations of short leases and properties with break clauses.It is concluded that in addition to the rigour of its internal logic, the success of any methodology is predicated upon the accuracy of the inputs.The lack of reliable data on patterns in, and incidence of, lease termination and the lack of reliable time series of historic property performance limit the efficacy of financial models.

Forward pricing and the housing market: the pre-sales housing system in Taiwan

In countries that have experienced rapid economic development, the need to establish more efficient markets in which private property can be constructed has induced some innovative solutions. One such solution is the phenomenon of a pre-sales market of the kind that can be observed in Taiwan, Korea, and more recently in China. Developers sell their property before building is started in order to acquire financing for the development companies. This paper discusses the process and, by recognising the analogy between the pre-sales market and forwards markets, analyses the implications for developers