Multiasset Derivatives and Joint Distributions of Asset Prices

Several of multiasset derivatives like basket options or options on the weighted maximum of assets exhibit the property that their prices determine uniquely the underlying asset distribution. Related to that the question how to retrieve this distributions from the corresponding derivatives quotes will be discussed. On the contrary, the prices of exchange options do not uniquely determine the underlying distributions of asset prices and the extent of this non-uniqueness can be characterised. The discussion is related to a geometric interpretation of multiasset derivatives as support functions of convex sets. Following this, various symmetry properties for basket, maximum and exchange options are discussed alongside with their geometric interpretations and some decomposition results for more general payoff functions.

Groundwater age distributions at a public drinking water supply well field derived from multiple age tracers (⁸⁵Kr, ³H/³He, and ³⁹Ar)

Groundwater age is a key aspect of production well vulnerability. Public drinking water supply wells typically have long screens and are expected to produce a mixture of groundwater ages. The groundwater age distributions of seven production wells of the Holten well field (Netherlands) were estimated from tritium-helium (3H/3He), krypton-85 (85Kr), and argon-39 (39Ar), using a new application of a discrete age distribution model and existing mathematical models, by minimizing the uncertainty-weighted squared differences of modeled and measured tracer concentrations. The observed tracer concentrations fitted well to a 4-bin discrete age distribution model or a dispersion model with a fraction of old groundwater. Our results show that more than 75 of the water pumped by four shallow production wells has a groundwater age of less than 20 years and these wells are very vulnerable to recent surface contamination. More than 50 of the water pumped by three deep production wells is older than 60 years. 3H/3He samples from short screened monitoring wells surrounding the well field constrained the age stratification in the aquifer. The discrepancy between the age stratification with depth and the groundwater age distribution of the production wells showed that the well field preferentially pumps from the shallow part of the aquifer. The discrete groundwater age distribution model appears to be a suitable approach in settings where the shape of the age distribution cannot be assumed to follow a simple mathematical model, such as a production well field where wells compete for capture area.

Non-exponential return time distributions for vorticity extremes explained by fractional Poisson processes

Serial correlation of extreme midlatitude cyclones observed at the storm track exits is explained by deviations from a Poisson process. To model these deviations, we apply fractional Poisson processes (FPPs) to extreme midlatitude cyclones, which are defined by the 850 hPa relative vorticity of the ERA interim reanalysis during boreal winter (DJF) and summer (JJA) seasons. Extremes are defined by a 99% quantile threshold in the grid-point time series. In general, FPPs are based on long-term memory and lead to non-exponential return time distributions. The return times are described by a Weibull distribution to approximate the Mittag–Leffler function in the FPPs. The Weibull shape parameter yields a dispersion parameter that agrees with results found for midlatitude cyclones. The memory of the FPP, which is determined by detrended fluctuation analysis, provides an independent estimate for the shape parameter. Thus, the analysis exhibits a concise framework of the deviation from Poisson statistics (by a dispersion parameter), non-exponential return times and memory (correlation) on the basis of a single parameter. The results have potential implications for the predictability of extreme cyclones.

Measurement of the distributions of event-by-event flow harmonics in lead-lead collisions at = 2.76 TeV with the ATLAS detector at the LHC

The distributions of event-by-event harmonic flow coefficients v_n for n=2-4 are measured in sqrt(s_NN)=2.76 TeV Pb+Pb collisions using the ATLAS detector at the LHC. The measurements are performed using charged particles with transverse momentum pT> 0.5 GeV and in the pseudorapidity range |eta|<2.5 in a dataset of approximately 7 ub^-1 recorded in 2010. The shapes of the v_n distributions are described by a two-dimensional Gaussian function for the underlying flow vector in central collisions for v_2 and over most of the measured centrality range for v_3 and v_4. Significant deviations from this function are observed for v_2 in mid-central and peripheral collisions, and a small deviation is observed for v_3 in mid-central collisions. It is shown that the commonly used multi-particle cumulants are insensitive to the deviations for v_2. The v_n distributions are also measured independently for charged particles with 0.51 GeV. When these distributions are rescaled to the same mean values, the adjusted shapes are found to be nearly the same for these two pT ranges. The v_n distributions are compared with the eccentricity distributions from two models for the initial collision geometry: a Glauber model and a model that includes corrections to the initial geometry due to gluon saturation effects. Both models fail to describe the experimental data consistently over most of the measured centrality range.

ATLAS search for new phenomena in dijet mass and angular distributions using pp collisions at sqrts=7 TeV

Mass and angular distributions of dijets produced in LHC proton-proton collisions at a centre-of-mass energy root s = 7TeV have been studied with the ATLAS detector using the full 2011 data set with an integrated luminosity of 4.8 fb(-1). Dijet masses up to similar to 4.0TeV have been probed. No resonance-like features have been observed in the dijet mass spectrum, and all angular distributions are consistent with the predictions of QCD. Exclusion limits on six hypotheses of new phenomena have been set at 95% CL in terms of mass or energy scale, as appropriate. These hypotheses include excited quarks below 2.83 TeV, colour octet scalars below 1.86TeV, heavy W bosons below 1.68 TeV, string resonances below 3.61 TeV, quantum black holes with six extra space-time dimensions for quantum gravity scales below 4.11 TeV, and quark contact interactions below a compositeness scale of 7.6 TeV in a destructive interference scenario.

A critical evaluation of secondary cancer risk models applied to Monte Carlo dose distributions of 2-dimensional, 3-dimensional conformal and hybrid intensity-modulated radiation therapy for breast cancer

The comparison of radiotherapy techniques regarding secondary cancer risk has yielded contradictory results possibly stemming from the many different approaches used to estimate risk. The purpose of this study was to make a comprehensive evaluation of different available risk models applied to detailed whole-body dose distributions computed by Monte Carlo for various breast radiotherapy techniques including conventional open tangents, 3D conformal wedged tangents and hybrid intensity modulated radiation therapy (IMRT). First, organ-specific linear risk models developed by the International Commission on Radiological Protection (ICRP) and the Biological Effects of Ionizing Radiation (BEIR) VII committee were applied to mean doses for remote organs only and all solid organs. Then, different general non-linear risk models were applied to the whole body dose distribution. Finally, organ-specific non-linear risk models for the lung and breast were used to assess the secondary cancer risk for these two specific organs. A total of 32 different calculated absolute risks resulted in a broad range of values (between 0.1% and 48.5%) underlying the large uncertainties in absolute risk calculation. The ratio of risk between two techniques has often been proposed as a more robust assessment of risk than the absolute risk. We found that the ratio of risk between two techniques could also vary substantially considering the different approaches to risk estimation. Sometimes the ratio of risk between two techniques would range between values smaller and larger than one, which then translates into inconsistent results on the potential higher risk of one technique compared to another. We found however that the hybrid IMRT technique resulted in a systematic reduction of risk compared to the other techniques investigated even though the magnitude of this reduction varied substantially with the different approaches investigated. Based on the epidemiological data available, a reasonable approach to risk estimation would be to use organ-specific non-linear risk models applied to the dose distributions of organs within or near the treatment fields (lungs and contralateral breast in the case of breast radiotherapy) as the majority of radiation-induced secondary cancers are found in the beam-bordering regions.

Modelling Nd-isotopes with a coarse resolution ocean circulation model: Sensitivities to model parameters and source/sink distributions

The neodymium (Nd) isotopic composition (Nd) of seawater is a quasi-conservative tracer of water mass mixing and is assumed to hold great potential for paleoceanographic studies. Here we present a comprehensive approach for the simulation of the two neodymium isotopes 143Nd, and 144Nd using the Bern3D model, a low resolution ocean model. The high computational efficiency of the Bern3D model in conjunction with our comprehensive approach allows us to systematically and extensively explore the sensitivity of Nd concentrations and Nd to the parametrisation of sources and sinks. Previous studies have been restricted in doing so either by the chosen approach or by computational costs. Our study thus presents the most comprehensive survey of the marine Nd cycle to date. Our model simulates both Nd concentrations as well as Nd in good agreement with observations. Nd covaries with salinity, thus underlining its potential as a water mass proxy. Results confirm that the continental margins are required as a Nd source to simulate Nd concentrations and Nd consistent with observations. We estimate this source to be slightly smaller than reported in previous studies and find that above a certain magnitude its magnitude affects Nd only to a small extent. On the other hand, the parametrisation of the reversible scavenging considerably affects the ability of the model to simulate both, Nd concentrations and Nd. Furthermore, despite their small contribution, we find dust and rivers to be important components of the Nd cycle. In additional experiments, we systematically varied the diapycnal diffusivity as well as the Atlantic-to-Pacific freshwater flux to explore the sensitivity of Nd concentrations and its isotopic signature to the strength and geometry of the overturning circulation. These experiments reveal that Nd concentrations and Nd are comparatively little affected by variations in diapycnal diffusivity and the Atlantic-to-Pacific freshwater flux. In contrast, an adequate representation of Nd sources and sinks is crucial to simulate Nd concentrations and Nd consistent with observations. The good agreement of our results with observations paves the way for the evaluation of the paleoceanographic potential of Nd in further model studies.

Measurement of distributions sensitive to the underlying event in inclusive Z-boson production in pp collisions at √ s=7 TeV with the ATLAS detector

A measurement of charged-particle distributions sensitive to the properties of the underlying event is presented for an inclusive sample of events containing a Z-boson, decaying to an electron or muon pair. The measurement is based on data collected using the ATLAS detector at the LHC in proton–proton collisions at a centre-of-mass energy of 7 TeV with an integrated luminosity of 4.6fb−1. Distributions of the charged particle multiplicity and of the charged particle transverse momentum are measured in regions of azimuthal angle defined with respect to the Z-boson direction. The measured distributions are compared to similar distributions measured in jet events, and to the predictions of various Monte Carlo generators implementing different underlying event models.

Measurement of the electroweak production of dijets in association with a Z-boson and distributions sensitive to vector boson fusion in proton-proton collisions at √s = 8 TeV using the ATLAS detector

Measurements of fiducial cross sections for the electroweak production of two jets in association with a Z-boson are presented. The measurements are performed using 20.3 fb−1 of proton-proton collision data collected at a centre-of-mass energy of p s = 8TeV by the ATLAS experiment at the Large Hadron Collider. The electroweak component is extracted by a fit to the dijet invariant mass distribution in a fiducial region chosen to enhance the electroweak contribution over the dominant background in which the jets are produced via the strong interaction. The electroweak cross sections measured in two fiducial regions are in good agreement with the Standard Model expectations and the background-only hypothesis is rejected with significance above the 5ơ level. The electroweak process includes the vector boson fusion production of a Z-boson and the data are used to place limits on anomalous triple gauge boson couplings. In addition, measurements of cross sections and differential distributions for inclusive Z-boson-plus-dijet production are performed in five fiducial regions, each with different sensitivity to the electroweak contribution. The results are corrected for detector effects and compared to predictions from the Sherpa and Powheg event generators.

Constraining age distributions of groundwater from public supply wells in diverse hydrogeological settings in Scania, Sweden

Twenty-five public supply wells throughout the hydrogeologically diverse region of Scania, southern Sweden are subjected to environmental tracer analysis (³H–³He,⁴He, CFCs, SF₆ and for one well only also ⁸⁵Kr and ³⁹Ar) to study well and aquifer vulnerability and evaluate possibilities of groundwater age distribution assessment. We find CFC and SF₆ concentrations well above solubility equilibrium with modern atmosphere, indicating local contamination, as well as indications of CFC degradation. The tracer-specific complications considerably constrain possibilities for sound quantitative regional ground- water age distribution assessment and demonstrate the importance of initial qualitative assessment of tracer-specific reliability, as well a need for additional, complementary tracers (e.g. ⁸⁵Kr,³⁹Ar and potentially also ¹⁴C). Lumped parameter modelling yields credible age distribution assessments for representative wells in four type aquifers. Pollution vulnerability of the aquifer types was based on the selected LPM models and qualitative age characterisation. Most vulnerable are unconfined dual porosity and fractured bedrock aquifers, due to a large component of very young groundwater. Unconfined sedimentary aquifers are vulnerable due to young groundwater and a small pre-modern component. Less vulnerable are semi-confined sedimentary or dual-porosity aquifers, due to older age of the modern component and a larger pre-modern component. Confined aquifers appear least vulnerable, due an entirely pre-modern groundwater age distribution (recharged before 1963). Tracer complications aside, environmental tracer analyses and lumped parameter modelling aid in vulnerability assessment and protection of regional groundwater resources.

Materials properties from electron density distributions: Molecular magnetism and linear optical properties

The general goal of this thesis is correlating observable properties of organic and metal-organic materials with their ground-state electron density distribution. In a long-term view, we expect to develop empirical or semi-empirical approaches to predict materials properties from the electron density of their building blocks, thus allowing to rationally engineering molecular materials from their constituent subunits, such as their functional groups. In particular, we have focused on linear optical properties of naturally occurring amino acids and their organic and metal-organic derivatives, and on magnetic properties of metal-organic frameworks. For analysing the optical properties and the magnetic behaviour of the molecular or sub-molecular building blocks in materials, we mostly used the more traditional QTAIM partitioning scheme of the molecular or crystalline electron densities, however, we have also investigated a new approach, namely, X-ray Constrained Extremely Localized Molecular Orbitals (XC-ELMO), that can be used in future to extracted the electron densities of crystal subunits. With the purpose of rationally engineering linear optical materials, we have calculated atomic and functional group polarizabilities of amino acid molecules, their hydrogen-bonded aggregates and their metal-organic frameworks. This has enabled the identification of the most efficient functional groups, able to build-up larger electric susceptibilities in crystals, as well as the quantification of the role played by intermolecular interactions and coordinative bonds on modifying the polarizability of the isolated building blocks. Furthermore, we analysed the dependence of the polarizabilities on the one-electron basis set and the many-electron Hamiltonian. This is useful for selecting the most efficient level of theory to estimate susceptibilities of molecular-based materials. With the purpose of rationally design molecular magnetic materials, we have investigated the electron density distributions and the magnetism of two copper(II) pyrazine nitrate metal-organic polymers. High-resolution X-ray diffraction and DFT calculations were used to characterize the magnetic exchange pathways and to establish relationships between the electron densities and the exchange-coupling constants. Moreover, molecular orbital and spin-density analyses were employed to understand the role of different magnetic exchange mechanisms in determining the bulk magnetic behaviour of these materials. As anticipated, we have finally investigated a modified version of the X-ray constrained wavefunction technique, XC-ELMOs, that is not only a useful tool for determination and analysis of experimental electron densities, but also enables one to derive transferable molecular orbitals strictly localized on atoms, bonds or functional groups. In future, we expect to use XC-ELMOs to predict materials properties of large systems, currently challenging to calculate from first-principles, such as macromolecules or polymers. Here, we point out advantages, needs and pitfalls of the technique. This work fulfils, at least partially, the prerequisites to understand materials properties of organic and metal-organic materials from the perspective of the electron density distribution of their building blocks. Empirical or semi-empirical evaluation of optical or magnetic properties from a preconceived assembling of building blocks could be extremely important for rationally design new materials, a field where accurate but expensive first-principles calculations are generally not used. This research could impact the community in the fields of crystal engineering, supramolecular chemistry and, of course, electron density analysis.

Environmental correlates of species rank − abundance distributions in global drylands

Theoretical models predict lognormal species abundance distributions (SADs) in stable and productive environments, with log-series SADs in less stable, dispersal driven communities. We studied patterns of relative species abundances of perennial vascular plants in global dryland communities to: (i) assess the influence of climatic and soil characteristics on the observed SADs, (ii) infer how environmental variability influences relative abundances, and (iii) evaluate how colonisation dynamics and environmental filters shape abundance distributions. We fitted lognormal and log-series SADs to 91 sites containing at least 15 species of perennial vascular plants. The dependence of species relative abundances on soil and climate variables was assessed using general linear models. Irrespective of habitat type and latitude, the majority of the SADs (70.3%) were best described by a lognormal distribution. Lognormal SADs were associated with low annual precipitation, higher aridity, high soil carbon content, and higher variability of climate variables and soil nitrate. Our results do not corroborate models predicting the prevalence of log-series SADs in dryland communities. As lognormal SADs were particularly associated with sites with drier conditions and a higher environmental variability, we reject models linking lognormality to environmental stability and high productivity conditions. Instead our results point to the prevalence of lognormal SADs in heterogeneous environments, allowing for more evenly distributed plant communities, or in stressful ecosystems, which are generally shaped by strong habitat filters and limited colonisation. This suggests that drylands may be resilient to environmental changes because the many species with intermediate relative abundances could take over ecosystem functioning if the environment becomes suboptimal for dominant species.