Multigrid for American option pricing with stochastic volatility

The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices and adaptive time-stepping.

Food sources, behaviour, and distribution of hydrothermal vent shrimps at the Mid-Atlantic Ridge

Five species of bresilioid shrimp were investigated at seven hydrothermal sites on the Mid-Atlantic Ridge: Menez Gwen, Lucky Strike, Rainbow, Broken Spur, TAG, Snake Pit and Logatchev. Samples were prepared for analysis of stable isotopes, elemental composition and lipids. Shrimp behaviour was observed from the submersible ‘Alvin’ and in the laboratory aboard RV ‘Atlantis’. The distribution and zonation of the shrimp species was recorded. Juvenile shrimp of all species arrive at the vents carrying reserves of photosynthetic origin, built-up in the pelagic larval stages. These reserves are used while the shrimp metamorphose to the adult form and, in Rimicaris exoculata and Chorocaris chacei, while they develop epibiotic bacteria supporting structures, the modified mouthparts and the inside of the carapace. The main food of adult R. exoculata is filamentous bacteria that grow on these structures. The intermediate sizes of C. chacei also feed on such bacteria, but the final stage gets some food by scavenging or predation. Mirocaris species scavenge diverse sources; they are not trophically dependent on either R. exoculata or mussels. Adults of Alvinocaris markensis are predators of other vent animals, including R. exoculata. The dense swarms of R. exoculata, with their exosymbionts, can be compared to endosymbiont-containing animals such as Bathymodiolus and the vestimentiferan tube-worms of the Pacific vents. Such associations, whether endo- or ectosymbiotic, may be necessary for the development of flourishing communities at hydrothermal vents.

High Level Environmental Screening Study for Offshore Wind Farm Developments – Marine Habitats and Species Project

High level environmental screening study for offshore wind farm developments – marine habitats and species This report provides an awareness of the environmental issues related to marine habitats and species for developers and regulators of offshore wind farms. The information is also relevant to other offshore renewable energy developments. The marine habitats and species considered are those associated with the seabed, seabirds, and sea mammals. The report concludes that the following key ecological issues should be considered in the environmental assessment of offshore wind farms developments: • likely changes in benthic communities within the affected area and resultant indirect impacts on fish, populations and their predators such as seabirds and sea mammals; • potential changes to the hydrography and wave climate over a wide area, and potential changes to coastal processes and the ecology of the region; • likely effects on spawning or nursery areas of commercially important fish and shellfish species; • likely effects on mating and social behaviour in sea mammals, including migration routes; • likely effects on feeding water birds, seal pupping sites and damage of sensitive or important intertidal sites where cables come onshore; • potential displacement of fish, seabird and sea mammals from preferred habitats; • potential effects on species and habitats of marine natural heritage importance; • potential cumulative effects on seabirds, due to displacement of flight paths, and any mortality from bird strike, especially in sensitive rare or scarce species; • possible effects of electromagnetic fields on feeding behaviour and migration, especially in sharks and rays, and • potential marine conservation and biodiversity benefits of offshore wind farm developments as artificial reefs and 'no-take' zones. The report provides an especially detailed assessment of likely sensitivity of seabed species and habitats in the proposed development areas. Although sensitive to some of the factors created by wind farm developments, they mainly have a high recovery potential. The way in which survey data can be linked to Marine Life Information Network (MarLIN) sensitivity assessments to produce maps of sensitivity to factors is demonstrated. Assessing change to marine habitats and species as a result of wind farm developments has to take account of the natural variability of marine habitats, which might be high especially in shallow sediment biotopes. There are several reasons for such changes but physical disturbance of habitats and short-term climatic variability are likely to be especially important. Wind farm structures themselves will attract marine species including those that are attached to the towers and scour protection, fish that associate with offshore structures, and sea birds (especially sea duck) that may find food and shelter there. Nature conservation designations especially relevant to areas where wind farm might be developed are described and the larger areas are mapped. There are few designated sites that extend offshore to where wind farms are likely to be developed. However, cable routes and landfalls may especially impinge on designated sites. The criteria that have been developed to assess the likely marine natural heritage importance of a location or of the habitats and species that occur there can be applied to survey information to assess whether or not there is anything of particular marine natural heritage importance in a development area. A decision tree is presented that can be used to apply ‘duty of care’ principles to any proposed development. The potential ‘gains’ for the local environment are explored. Wind farms will enhance the biodiversity of areas, could act as refugia for fish, and could be developed in a way that encourages enhancement of fish stocks including shellfish.

A Triumph of Voluntarism? Industrial Relations and Strikes in Northern Ireland During World War Two

Flanders (1974) considered the Second World War to be the great social triumph and vindication of voluntarism in British industrial relations. This paper considers the experience of one region, Northern Ireland, functioning in a unique social and political context and considers the experience of its wartime industrial relations system. The political framework, trade union growth and representation, collective bargaining, strike activity including the major munitions strike of 1944 which may have provoked Defence Regulations Order 1AA, labour management and Joint Production Committees are all examined. The paper gives qualified support to Flanders’ conclusion.

'American hegemony after September 11: Allies, rivals and contradictions'

11 September heralded and provided a pretext for a more aggressive but increasingly contradictory American hegemony. Some of the consequences are contrary to the United States' own interests. Its new doctrine of 'preemptive strike' against other sovereign states encourages similarly belligerent behaviour by other governments, and yet more terrorism by nonstate actors, the very threats which were to be eradicated by a re-asserted US hegemony. This essay focuses on three partly overlapping themes: different strategies towards allies - multilateral and unilateral; different forms of power - civil and military; and different ideologies of globalisation - neoliberal and neo-conservative. It argues that while US policy may oscillate between such poles, it often combines the different elements. The overall strategy of the Bush administration is best characterised as unilateral multilateralism. The main issue for US hegemonists is the ways in which their hegemony might best be exercised, maintained and strengthened vis à vis allies and rivals. But for a safer, more democratic world, the choice does not lie between one faction of US hegemonists and another: we need other alternatives such as cosmopolitan democracy and a genuine internationalist movement which would give it some much-needed substance.

A novel trochoidal analyzer for the Belfast EBIT

Presently, Queens University Belfast is constructing a unique permanent magnet EBIT which grants unparalleled access to the photons from the trap region. However measurements of ions would still require their transfer through the collector to other measurement areas. To allow more representative sampling, a new in situ analyzer is proposed to be situated immediately at the collector end of the trap region. This analyzer may detect ions by expanding the radius of their cyclotron motion using electric fields until the ions strike Microsphere Plates (MSPs). It may also be possible by using trochoidal motion to detect product electrons. This is important as these have never been detected before in an EBIT. The preliminary design is described in this paper. (c) 2005 Elsevier B.V. All rights reserved.

Do protected areas mitigate the effects of fisheries-induced evolution on parental care behaviour of a recreationally-important teleost fish?

Human-induced selection on animals and plants has been highly influential throughout our history and resulted in both intentional benefits and unintended detriments. Fisheries-induced evolution (FIE) describes the unintended selection on wild fish populations by fishing that has resulted in the evolution of exploited populations. While the use of aquatic protected areas that exclude angling might be considered an evolutionarily-enlightened management approach to dealing with issues arising from FIE little is known about the effectiveness of this approach for maintaining the phenotypic diversity of traits in protected areas versus those outside of their boundaries. In species that exhibit parental care, including the largemouth bass (Micropterus salmoides), active nest guarding and aggression towards potential brood predators by males increases the survival of offspring. This aggression may render these individuals particularly vulnerable to capture via angling as a result of increased propensity to attack fishing lures near their nests. Relative levels of aggression by these males during the parental care period correlate with their vulnerability to angling year round. Inasmuch as this parental behavior is heritable, this selective removal of more aggressive individuals by anglers should drive population-average phenotypes towards lower levels of aggression. To assess the effectiveness of protected areas at mitigating FIE, I compared the nest guarding behaviours of wild, free-swimming male bass during the early nesting period for bass within and outside protected areas. I found that nesting males within long-standing fishing sanctuaries (>70 yrs) were more aggressive towards captive bluegill sunfish (Lepomis macrochirus) placed directly on their nests, and patrolled larger areas around their nests compared to bass outside of sanctuaries. Males within protected areas were more likely to strike at artificial fishing lures and more prone to capture during experimental angling events. Collectively, my findings suggest that recreational angling selects for individual bass with lower levels of parental care and aggression, and that the establishment of protected areas may mitigate potential FIE. The extent to which this phenomenon occurs in other species and systems likely depends on the reproductive strategies of the fishes being considered, their spatial ecology relative to sanctuary boundaries, and habitat quality within protected areas.

A hierarchical physical model-based approach to predictive control of a thermal power plant for efficient plant-wide disturbance rejection

Extending the work presented in Prasad et al. (IEEE Proceedings on Control Theory and Applications, 147, 523-37, 2000), this paper reports a hierarchical nonlinear physical model-based control strategy to account for the problems arising due to complex dynamics of drum level and governor valve, and demonstrates its effectiveness in plant-wide disturbance handling. The strategy incorporates a two-level control structure consisting of lower-level conventional PI regulators and a higher-level nonlinear physical model predictive controller (NPMPC) for mainly set-point manoeuvring. The lower-level PI loops help stabilise the unstable drum-boiler dynamics and allow faster governor valve action for power and grid-frequency regulation. The higher-level NPMPC provides an optimal load demand (or set-point) transition by effective handling of plant-wide interactions and system disturbances. The strategy has been tested in a simulation of a 200-MW oil-fired power plant at Ballylumford in Northern Ireland. A novel approach is devized to test the disturbance rejection capability in severe operating conditions. Low frequency disturbances were created by making random changes in radiation heat flow on the boiler-side, while condenser vacuum was fluctuating in a random fashion on the turbine side. In order to simulate high-frequency disturbances, pulse-type load disturbances were made to strike at instants which are not an integral multiple of the NPMPC sampling period. Impressive results have been obtained during both types of system disturbances and extremely high rates of load changes, right across the operating range, These results compared favourably with those from a conventional state-space generalized predictive control (GPC) method designed under similar conditions.

“Hegemony Protected by the Armour of Coercion”: Dashiell Hammett’s Red Harvest and the State

This article argues that Dashiell Hammett's 1929 novel Red Harvest is best understood in the context of the consolidation and expansion of the US state following the First World War and the Russian Revolution. It also argues that Hammett's novel constitutes a highly significant articulation of theoretical debates about the nature of political authority and state power in the modern era and speaks about the transition of one state formation to another. Insofar as Red Harvest explores the way in which the state's coercive and ethical character are bound up together, this article argues that Hammett's novel draws upon an understanding of political authority and state power primarily derived from Gramsci, via Marx. Gramsci insists that control cannot be maintained through force alone (and his conception of hegemony, in turn, suggests a power bloc that can become fragmented and disunited in a war of position). In the same way, Red Harvest traces the transformation of the “economic-corporate” state into the expanded or “ethical” State but crucially any ethical dimension, as Gramsci notes, is always beholden to the needs of the capitalist economy. As such, the apparently arbitrary bloodshed in the novel is conceived as a relatively minor realignment in the ranks of the capitalist classes – certainly less serious than the miners' strike that prefigures the novel. What makes this realignment significant is that it calls attention to the state both as repressive and as a site of conflict and compromise. Here, the work performed by the Continental Op and by the crime novel in general – simultaneously buttressing and, to some extent, contesting the power of the state – needs to be understood as part of the process by which the state is consistently enacting hegemony (albeit protected by the armour of coercion). The article concludes by pointing out that while Gramsci is perhaps too willing to dwell upon the state's expanded reach, Red Harvest is more interested in examining possible “cracks and fissures” in the state formation, even if the critique it ultimately offers goes nowhere and yields nothing.

China's Sovereign Wealth Funds: Problem or Panacea?

China’s impressive economic growth has led to the accumulation of massive financial assets. The emergence of sovereign wealth funds (SWFs), as a governmental investment device for its excessive foreign reserves, symbolizes a major rebalancing of economic power. With its investment portfolios drastically diversified for well-established financial institutions as well as some strategic sectors, a seminal debate seems centered on whether China’s SWFs are in furtherance of purely commercial or geopolitically strategic purposes. Under the sophisticated hard laws associated with international initiatives, it is unlikely that the SWFs-related investment would distort the global financial system, and genuinely threaten national security, which assumption may only exist at a hypothetical level. The potential protectionism would inevitably retard the world economy’s recovery, were it not to be proportionately addressed. A most significant necessity appears to be to strike a proportionate balance between sustaining the credibility of open investment environment and efficiently minimizing implications of SWFs political arenas.

Are Good Industrial Relations Good for the Economy?

Recent US microeconomic analysis indicates that good industrial relations might improve firm performance. Of late, it has also been claimed that the benefits of industrial relations quality - proxied inversely by a strikes variable - could also extend to the macroeconomy. Using cross-country data, we find that, independent of other labor market institutions, a lower strike volume is associated with lower unemployment. Although there is a separate line of causation running from unemployment to strikes, our analysis suggests that this is not dominant. That said, support for the notion that macro performance owes something to good industrial relations is, however, weakened once we formally control for strike endogeneity.

Detection of Groundwater flow zones in low productivity boreholes (Submitted)

Conventional methods of detecting groundwater flow zones in open boreholes installed in fractured bedrock aquifers rely on either contrasts in water quality or on significant rates of vertical flow. In low productivity boreholes these methods have proced of limited value. Tracer tests completed in six low productivity bedrock boreholes installed into fresh Precambrian crystalline bedrock revealed measurable dilution, despite very low tranmissivities. Fluorescent tracer profiles generated during discharge pumping permitted identification of the principle zones contributing to flow. High resolution acoustic televiewer strike and dip measurements of fractures corresponding to these zones revealed a consistent pattern of regional lineament trends and suggested a strongly anisotropic flow pattern in bedrock.

Hydrobiogeochemical Interactions along “Flow Tubes” Controls: Watershed Scale Contaminant Flow and Transformation at the Oak Ridge IFRC

Geochemical,spectrographic, microbiological and hydrogeologic studies at the ORIFRC site indicate that groundwater transport in structured media may behave as a system of parallel flow tubes. These tubes are preferred flowpaths that enable contaminant transport parallel to bedding planes (strike) over distances of 1000s of meters. A significant flux of groundwater is focused within an interval defined by the interface between the competent bedrock and overlying highly-weathered saprolite, commonly referred to as the"transition zone." Characteristics of this transition zone are dense fractures and the relative absence of weathering products (e.g. clays)results in a significantly higher permeability compared to both the overlying clay-saprolite and underlying bedrock. Several stratabound low seismic velocity zones located below the transition zone were identified during geophysics studies and were also determined to be fractured high permeability preferred contaminant transport pathways during subsequent drilling activities. XANES analysis of precipitates collected from these deeper flow zones indicate 95% or more of the U deposited is U(VI). Linear combination fitting of the EXAFS data shows that precipitates are ~51±5% U(VI)-carbonate-like phase (e.g., liebigite) and ~49±5% U(VI) associated with an iron oxide phase; inclusion of a third component in the fit suggests that up to 15% of the U(VI) may be associated with a phosphate phase or OH- phase (e.g.,schoepite). Although precipitates with similar U(VI)-carbonate and/or phosphate associations were identified in the transition zone pathways,there were also U(VI) complexes adsorbed to mineral surfaces that would tend to be more readily mobilized. Groundwater in the different flow tubes has been determined to consist of different water quality types that vary with the solid phase encountered (e.g., clays, carbonates, clastics) as contaminants migrate along the flow paths. This lateral and vertical variability in geochemistry, particularly pH, has a significant impact on microbiological community composition and activity. Ribosomal RNA gene analyses coupled with physiological and genomic analyses suggest that bacteria from the genus Rhodanobacter(a diverse population of denitrifiers that are moderately acid tolerant) have a high relative abundance in the acidic source zone at the ORIFRC site.Watershed-scale analysis across different flow paths/tubes revealed strong negative correlation between pH and the absolute and relative abundance of Rhodanobacter. Recent studies also confirmed that the ORIFRC site hosts a diverse fungal community, with significant differences observed between acidic (pH <5) and circumneutral (>5) wells. The lack of nitrous oxide reduction capability in fungi, and the detection of denitrification potential in slurry microcosms suggest that fungi may have aheretofore under appreciated role in biogeochemical transformations, with implications forsite remediation and greenhouse gas emissions. Further research is needed to determine if these organisms can influence U(VI) mobility either directly through immobilization or indirectly through the depletion of nitrate.In conclusion, additional studies are required to quantify the processes (e.g., solid phase reactions, recharge, diffusion, microbial interactions) that are occurring along the groundwater flow tubes identified at the ORIFRC so predictive models can be parameterized and used to assess long-term contaminant fate and transport and remedial options.

Quantitative Analysis of Fault and Fracture Systems and their Impact on Groundwater Flow in Irish Bedrock Aquifers

Fault and fracture systems are the most important store and pathway for groundwater in Ireland’s bedrock aquifers, either directly as conductive flow structures, or indirectly as the locus for the development of dolomitised limestone and karst. This article presents the preliminary results of a study involving the quantitative analysis of fault and fracture systems in the broad range of Irish bedrock types and a consideration of their impact on groundwater flow. The principal aims of the project are to develop generic conceptual models for different fault/fracture systems in different lithologies and at different depths, and to link them to observed groundwater behaviour. Here we briefly describe the geometrical characteristics of the main post-Devonian fault/fracture systems controlling groundwater flow from field observations at outcrops, quarries and mines. The structures range from Lower Carboniferous normal faults through to Variscan-related faults and veins, with the most recent structures including Tertiary strike-slip faults and ubiquitous uplift-related joint systems. The geometrical characteristics of different fault/fracture systems combined with observations of groundwater behaviour in both quarry and mine localities, can be linked to general flow and transport conceptualisations of Irish fractured bedrock. Most importantly they also provide a basis for relating groundwater flow to particular fault/fracture systems and their expression with depth and within different lithological sequences, as well as their regional variability.

ELM-induced transient tungsten melting in the JET divertor

The original goals of the JET ITER-like wall included the study of the impact of an all W divertor on plasma operation (Coenen et al 2013 Nucl. Fusion 53 073043) and fuel retention (Brezinsek et al 2013 Nucl. Fusion 53 083023). ITER has recently decided to install a full-tungsten (W) divertor from the start of operations. One of the key inputs required in support of this decision was the study of the possibility of W melting and melt splashing during transients. Damage of this type can lead to modifications of surface topology which could lead to higher disruption frequency or compromise subsequent plasma operation. Although every effort will be made to avoid leading edges, ITER plasma stored energies are sufficient that transients can drive shallow melting on the top surfaces of components. JET is able to produce ELMs large enough to allow access to transient melting in a regime of relevance to ITER.

Transient W melt experiments were performed in JET using a dedicated divertor module and a sequence of I-P = 3.0 MA/B-T = 2.9 T H-mode pulses with an input power of P-IN = 23 MW, a stored energy of similar to 6 MJ and regular type I ELMs at Delta W-ELM = 0.3 MJ and f(ELM) similar to 30 Hz. By moving the outer strike point onto a dedicated leading edge in the W divertor the base temperature was raised within similar to 1 s to a level allowing transient, ELM-driven melting during the subsequent 0.5 s. Such ELMs (delta W similar to 300 kJ per ELM) are comparable to mitigated ELMs expected in ITER (Pitts et al 2011 J. Nucl. Mater. 415 (Suppl.) S957-64).

Although significant material losses in terms of ejections into the plasma were not observed, there is indirect evidence that some small droplets (similar to 80 mu m) were released. Almost 1 mm (similar to 6 mm(3)) of W was moved by similar to 150 ELMs within 7 subsequent discharges. The impact on the main plasma parameters was minor and no disruptions occurred. The W-melt gradually moved along the leading edge towards the high-field side, driven by j x B forces. The evaporation rate determined from spectroscopy is 100 times less than expected from steady state melting and is thus consistent only with transient melting during the individual ELMs. Analysis of IR data and spectroscopy together with modelling using the MEMOS code Bazylev et al 2009 J. Nucl. Mater. 390-391 810-13 point to transient melting as the main process. 3D MEMOS simulations on the consequences of multiple ELMs on damage of tungsten castellated armour have been performed.

These experiments provide the first experimental evidence for the absence of significant melt splashing at transient events resembling mitigated ELMs on ITER and establish a key experimental benchmark for the MEMOS code.