Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option prices, we obtain similar pricing errors than with implied volatility alone as in the Hull-White case. When we specialize this model to an equilibrium recursive utility model, we show through simulations that option prices are more informative than stock prices about the structural parameters of the model. We also show that a simple method of moments with a panel of option prices provides good estimates of the parameters of the model. This lays the ground for an empirical assessment of this equilibrium model with S&P 500 option prices in terms of pricing errors.

Assessment of the usability of the 'alpha' version of the prototype 'Octopus'-application of the heuristic evaluation model of user's graphic interfaces. 'Evaluación de la utilidad de la versión 'alfa' del prototipo 'Octopus'-uso del modelo de evaluación heurístico de los interfaces gráficos del usuario'.

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Dynamical downscaling: Assessment of model system dependent retained and added variability for two different regional climate models

Uncertainty assessment of a process-based integrated catchment model of phosphorus

Despite the many models developed for phosphorus concentration prediction at differing spatial and temporal scales, there has been little effort to quantify uncertainty in their predictions. Model prediction uncertainty quantification is desirable, for informed decision-making in river-systems management. An uncertainty analysis of the process-based model, integrated catchment model of phosphorus (INCA-P), within the generalised likelihood uncertainty estimation (GLUE) framework is presented. The framework is applied to the Lugg catchment (1,077 km2), a River Wye tributary, on the England–Wales border. Daily discharge and monthly phosphorus (total reactive and total), for a limited number of reaches, are used to initially assess uncertainty and sensitivity of 44 model parameters, identified as being most important for discharge and phosphorus predictions. This study demonstrates that parameter homogeneity assumptions (spatial heterogeneity is treated as land use type fractional areas) can achieve higher model fits, than a previous expertly calibrated parameter set. The model is capable of reproducing the hydrology, but a threshold Nash-Sutcliffe co-efficient of determination (E or R 2) of 0.3 is not achieved when simulating observed total phosphorus (TP) data in the upland reaches or total reactive phosphorus (TRP) in any reach. Despite this, the model reproduces the general dynamics of TP and TRP, in point source dominated lower reaches. This paper discusses why this application of INCA-P fails to find any parameter sets, which simultaneously describe all observed data acceptably. The discussion focuses on uncertainty of readily available input data, and whether such process-based models should be used when there isn’t sufficient data to support the many parameters.

An Assessment of the Recent Past and Future Climate Change, Glacier Retreat, and Runoff in the Caucasus Region Using Dynamical and Statistical Downscaling and HBV-ETH Hydrological Model

The paper discusses the observed and projected warming in the Caucasus region and its implications for glacier melt and runoff. A strong positive trend in summer air temperatures of 0.05 degrees C a(-1) is observed in the high-altitude areas providing for a strong glacier melt and continuous decline in glacier mass balance. A warming of 4-7 degrees C and 3-5 degrees C is projected for the summer months in 2071-2100 under the A2 and B2 emission scenarios respectively, suggesting that enhanced glacier melt can be expected. The expected changes in winter precipitation will not compensate for the summer melt and glacier retreat is likely to continue. However, a projected small increase in both winter and summer precipitation combined with the enhanced glacier melt will result in increased summer runoff in the currently glaciated region of the Caucasus (independent of whether the region is glaciated at the end of the twenty-first century) by more than 50% compared with the baseline period.

Glacier shrinkage and climatic change in the Russian Altai from the mid-20th century: An assessment using remote sensing and PRECIS regional climate model

This paper examines changes in the surface area of glaciers in the North and South Chuya Ridges, Altai Mountains in 1952-2004 and their links with regional climatic variations. The glacier surface areas for 2004 were derived from the Advanced Spaceborne Thermal Emission and Reflection Radiometer (ASTER) imagery. Data from the World Glacier Inventory (WGI)dating to 1952 and aerial photographs from 1952 were used to estimate the changes. 256 glaciers with a combined area of 253±5.1 km2 have been identified in the region in 2004. Estimation of changes in extent of 126 glaciers with the individual areas not less than 0.5 km2 in 1952 revealed a 19.7±5.8% reduction. The observed glacier retreat is primarily driven by an increase in summer temperatures since the 1980s when air temperatures were increasing at a rate of 0.10 - 0.13oC a-1 at the glacier tongue elevation. The regional climate projections for A2 and B2 CO2 emission scenarios developed using PRECIS regional climate model indicate that summer temperatures will increase in the Altai in 2071-2100 by 6-7oC and 3-5oC respectively in comparison with 1961-1990 while annual precipitation will increase by 15% and 5%. The length of the ablation season will extend from June-August to the late April – early October. The projected increases in precipitation will not compensate for the projected warming and glaciers will continue to retreat in the 21st century under both B2 and A2 scenarios.

A model-based assessment of the effects of projected climate change on the water resources of Jordan

This paper is concerned with the quantification of the likely effect of anthropogenic climate change on the water resources of Jordan by the end of the twenty-first century. Specifically, a suite of hydrological models are used in conjunction with modelled outcomes from a regional climate model, HadRM3, and a weather generator to determine how future flows in the upper River Jordan and in the Wadi Faynan may change. The results indicate that groundwater will play an important role in the water security of the country as irrigation demands increase. Given future projections of reduced winter rainfall and increased near-surface air temperatures, the already low groundwater recharge will decrease further. Interestingly, the modelled discharge at the Wadi Faynan indicates that extreme flood flows will increase in magnitude, despite a decrease in the mean annual rainfall. Simulations projected no increase in flood magnitude in the upper River Jordan. Discussion focuses on the utility of the modelling framework, the problems of making quantitative forecasts and the implications of reduced water availability in Jordan.

Development and assessment of a coupled crop-climate model

It is well established that crop production is inherently vulnerable to variations in the weather and climate. More recently the influence of vegetation on the state of the atmosphere has been recognized. The seasonal growth of crops can influence the atmosphere and have local impacts on the weather, which in turn affects the rate of seasonal crop growth and development. Considering the coupled nature of the crop-climate system, and the fact that a significant proportion of land is devoted to the cultivation of crops, important interactions may be missed when studying crops and the climate system in isolation, particularly in the context of land use and climate change. To represent the two-way interactions between seasonal crop growth and atmospheric variability, we integrate a crop model developed specifically to operate at large spatial scales (General Large Area Model for annual crops) into the land surface component of a global climate model (GCM; HadAM3). In the new coupled crop-climate model, the simulated environment (atmosphere and soil states) influences growth and development of the crop, while simultaneously the temporal variations in crop leaf area and height across its growing season alter the characteristics of the land surface that are important determinants of surface fluxes of heat and moisture, as well as other aspects of the land-surface hydrological cycle. The coupled model realistically simulates the seasonal growth of a summer annual crop in response to the GCM's simulated weather and climate. The model also reproduces the observed relationship between seasonal rainfall and crop yield. The integration of a large-scale single crop model into a GCM, as described here, represents a first step towards the development of fully coupled crop and climate models. Future development priorities and challenges related to coupling crop and climate models are discussed.

Rapid model quality assessment for protein structure predictions using the comparison of multiple models without structural alignments

MOTIVATION: The accurate prediction of the quality of 3D models is a key component of successful protein tertiary structure prediction methods. Currently, clustering or consensus based Model Quality Assessment Programs (MQAPs) are the most accurate methods for predicting 3D model quality; however they are often CPU intensive as they carry out multiple structural alignments in order to compare numerous models. In this study, we describe ModFOLDclustQ - a novel MQAP that compares 3D models of proteins without the need for CPU intensive structural alignments by utilising the Q measure for model comparisons. The ModFOLDclustQ method is benchmarked against the top established methods in terms of both accuracy and speed. In addition, the ModFOLDclustQ scores are combined with those from our older ModFOLDclust method to form a new method, ModFOLDclust2, that aims to provide increased prediction accuracy with negligible computational overhead. RESULTS: The ModFOLDclustQ method is competitive with leading clustering based MQAPs for the prediction of global model quality, yet it is up to 150 times faster than the previous version of the ModFOLDclust method at comparing models of small proteins (<60 residues) and over 5 times faster at comparing models of large proteins (>800 residues). Furthermore, a significant improvement in accuracy can be gained over the previous clustering based MQAPs by combining the scores from ModFOLDclustQ and ModFOLDclust to form the new ModFOLDclust2 method, with little impact on the overall time taken for each prediction. AVAILABILITY: The ModFOLDclustQ and ModFOLDclust2 methods are available to download from: http://www.reading.ac.uk/bioinf/downloads/ CONTACT: l.j.mcguffin@reading.ac.uk.

Benchmarking consensus model quality assessment for protein fold recognition

Background: Selecting the highest quality 3D model of a protein structure from a number of alternatives remains an important challenge in the field of structural bioinformatics. Many Model Quality Assessment Programs (MQAPs) have been developed which adopt various strategies in order to tackle this problem, ranging from the so called "true" MQAPs capable of producing a single energy score based on a single model, to methods which rely on structural comparisons of multiple models or additional information from meta-servers. However, it is clear that no current method can separate the highest accuracy models from the lowest consistently. In this paper, a number of the top performing MQAP methods are benchmarked in the context of the potential value that they add to protein fold recognition. Two novel methods are also described: ModSSEA, which based on the alignment of predicted secondary structure elements and ModFOLD which combines several true MQAP methods using an artificial neural network. Results: The ModSSEA method is found to be an effective model quality assessment program for ranking multiple models from many servers, however further accuracy can be gained by using the consensus approach of ModFOLD. The ModFOLD method is shown to significantly outperform the true MQAPs tested and is competitive with methods which make use of clustering or additional information from multiple servers. Several of the true MQAPs are also shown to add value to most individual fold recognition servers by improving model selection, when applied as a post filter in order to re-rank models. Conclusion: MQAPs should be benchmarked appropriately for the practical context in which they are intended to be used. Clustering based methods are the top performing MQAPs where many models are available from many servers; however, they often do not add value to individual fold recognition servers when limited models are available. Conversely, the true MQAP methods tested can often be used as effective post filters for re-ranking few models from individual fold recognition servers and further improvements can be achieved using a consensus of these methods.