A closed-form approximation for pricing temperature-based weather derivatives

This paper develops analytical distributions of temperature indices on which temperature derivatives are written. If the deviations of daily temperatures from their expected values are modelled as an Ornstein-Uhlenbeck process with timevarying variance, then the distributions of the temperature index on which the derivative is written is the sum of truncated, correlated Gaussian deviates. The key result of this paper is to provide an analytical approximation to the distribution of this sum, thus allowing the accurate computation of payoffs without the need for any simulation. A data set comprising average daily temperature spanning over a hundred years for four Australian cities is used to demonstrate the efficacy of this approach for estimating the payoffs to temperature derivatives. It is demonstrated that expected payoffs computed directly from historical records are a particularly poor approach to the problem when there are trends in underlying average daily temperature. It is shown that the proposed analytical approach is superior to historical pricing.

Diffusivity of adatoms on plasma-exposed surfaces determined from the ionization energy approximation and ionic polarizability

Microscopic surface diffusivity theory based on atomic ionization energy concept is developed to explain the variations of the atomic and displacement polarizations with respect to the surface diffusion activation energy of adatoms in the process of self-assembly of quantum dots on plasma-exposed surfaces. These polarizations are derived classically, while the atomic polarization is quantized to obtain the microscopic atomic polarizability. The surface diffusivity equation is derived as a function of the ionization energy. The results of this work can be used to fine-tune the delivery rates of different adatoms onto nanostructure growth surfaces and optimize the low-temperature plasma based nanoscale synthesis processes.

Characterization of the tail-specific protease (Tsp) from Legionella

Bacterial tail-specific proteases (Tsps) have been attributed a wide variety of functions including intracellular virulence, cell wall morphology, proteolytic signal cascades and stress response. This study tested the hypothesis that Tsp has a key function for the transmissive form of Legionella pneumophila. A tsp mutant was generated in Legionella pneumophila 130b and the characteristics of this strain and the isogenic wild-type were examined using a range of growth and proteomic analyses. Recombinant Tsp protein was also produced and analyzed. The L. pneumophila tsp mutant showed no defect in growth on rich media or during thermo-osmotic stress conditions. In addition, no defects in cellular morphology were observed when the cells were examined using transmission electron microscopy. Purified recombinant Tsp was found to be an active protease with a narrow substrate range. Proteome analysis using iTRAQ (5% coverage of the proteome) found that, of those proteins detected, only 5 had different levels in the tsp mutant compared to the wild type. ACP (Acyl Carrier Protein), which has a key role for Legionella differentiation to the infectious form, was reduced in the tsp mutant; however, tsp(-) was able to infect and replicate inside macrophages to the same extent as the wild type. Combined, these data demonstrate that Tsp is a protease but is not essential for Legionella growth or cell infection. Thus, Tsp may have functional redundancy in Legionella.

The value of tail risk hedging in defined contribution plans: What does history tell us

Hedging against tail events in equity markets has been forcefully advocated in the aftermath of recent global financial crisis. Whether this is beneficial to long horizon investors like employees enrolled in defined contribution (DC) plans, however, has been subject to criticism. We conduct historical simulation since 1928 to examine the effectiveness of active and passive tail risk hedging using out of money put options for hypothetical equity portfolios of DC plan participants with 20 years to retirement. Our findings show that the cost of tail hedging exceeds the benefits for a majority of the plan participants during the sample period. However, for a significant number of simulations, hedging result in superior outcomes relative to an unhedged position. Active tail hedging is more effective when employees confront several panic-driven periods characterized by short and sharp market swings in the equity markets over the investment horizon. Passive hedging, on the other hand, proves beneficial when they encounter an extremely rare event like the Great Depression as equity markets go into deep and prolonged decline.

Approximation of Bayesian predictive p-values with regression ABC

In the Bayesian framework a standard approach to model criticism is to compare some function of the observed data to a reference predictive distribution. The result of the comparison can be summarized in the form of a p-value, and it's well known that computation of some kinds of Bayesian predictive p-values can be challenging. The use of regression adjustment approximate Bayesian computation (ABC) methods is explored for this task. Two problems are considered. The first is the calibration of posterior predictive p-values so that they are uniformly distributed under some reference distribution for the data. Computation is difficult because the calibration process requires repeated approximation of the posterior for different data sets under the reference distribution. The second problem considered is approximation of distributions of prior predictive p-values for the purpose of choosing weakly informative priors in the case where the model checking statistic is expensive to compute. Here the computation is difficult because of the need to repeatedly sample from a prior predictive distribution for different values of a prior hyperparameter. In both these problems we argue that high accuracy in the computations is not required, which makes fast approximations such as regression adjustment ABC very useful. We illustrate our methods with several samples.

Analytical approximation solutions for 3-D optical waveguides: Review

The rectangular dielectric waveguide is the most commonly used structure in integrated optics, especially in semi-conductor diode lasers. Demands for new applications such as high-speed data backplanes in integrated electronics, waveguide filters, optical multiplexers and optical switches are driving technology toward better materials and processing techniques for planar waveguide structures. The infinite slab and circular waveguides that we know are not practical for use on a substrate because the slab waveguide has no lateral confinement and the circular fiber is not compatible with the planar processing technology being used to make planar structures. The rectangular waveguide is the natural structure. In this review, we have discussed several analytical methods for analyzing the mode structure of rectangular structures, beginning with a wave analysis based on the pioneering work of Marcatili. We study three basic techniques with examples to compare their performance levels. These are the analytical approach developed by Marcatili, the perturbation techniques, which improve on the analytical solutions and the effective index method with examples.

x-ray studies on crystalline complexes involving amino-acids and peptides .10. head-to-tail sequences in the crystal-structure of l-lysine acetate

l-Lysine acetate crystallises in the monoclinic space group P21 with a = 5.411 (1), b = 7.562(1), c= l2.635(2) Å and β = 91.7(1). The crystal structure was solved by direct methods and refined to an R value of 0.049 using the full matrix least squares method. The conformation and the aggregation of lysine molecules in the structure are similar to those found in the crystal structure of l-lysine l-aspartate. A conspicuous similarity between the crystal structures of l-arginine acetate and l-lysine acetate is that in both cases the strongly basic side chain, although having the largest pK value, interacts with the weakly acidic acetate group leaving the α-amino and the α-carboxylate groups to take part in head-to-tail sequences. These structures thus indicate that electrostatic effects are strongly modulated by other factors so as to give rise to head-to-tail sequences which have earlier been shown to be an almost universal feature of amino acid aggregation in the solid state.

Optimal hydrothermal load flow: Formulation and a successive approximation solution for fixed head systems

This paper deals with the optimal load flow problem in a fixed-head hydrothermal electric power system. Equality constraints on the volume of water available for active power generation at the hydro plants as well as inequality constraints on the reactive power generation at the voltage controlled buses are imposed. Conditions for optimal load flow are derived and a successive approximation algorithm for solving the optimal generation schedule is developed. Computer implementation of the algorithm is discussed, and the results obtained from the computer solution of test systems are presented.

Bias reduction using stochastic approximation

The paper studies stochastic approximation as a technique for bias reduction. The proposed method does not require approximating the bias explicitly, nor does it rely on having independent identically distributed (i.i.d.) data. The method always removes the leading bias term, under very mild conditions, as long as auxiliary samples from distributions with given parameters are available. Expectation and variance of the bias-corrected estimate are given. Examples in sequential clinical trials (non-i.i.d. case), curved exponential models (i.i.d. case) and length-biased sampling (where the estimates are inconsistent) are used to illustrate the applications of the proposed method and its small sample properties.

A Fuzzy Approximation Scheme for Sequential Learning in Pattern Recognition

An adaptive learning scheme, based on a fuzzy approximation to the gradient descent method for training a pattern classifier using unlabeled samples, is described. The objective function defined for the fuzzy ISODATA clustering procedure is used as the loss function for computing the gradient. Learning is based on simultaneous fuzzy decisionmaking and estimation. It uses conditional fuzzy measures on unlabeled samples. An exponential membership function is assumed for each class, and the parameters constituting these membership functions are estimated, using the gradient, in a recursive fashion. The induced possibility of occurrence of each class is useful for estimation and is computed using 1) the membership of the new sample in that class and 2) the previously computed average possibility of occurrence of the same class. An inductive entropy measure is defined in terms of induced possibility distribution to measure the extent of learning. The method is illustrated with relevant examples.

Theoretical description of time-resolved pump/probe photoemission in TaS2: a single-band DFT+DMFT(NRG) study within the quasiequilibrium approximation

In this work, we theoretically examine recent pump/probe photoemission experiments on the strongly correlated charge-density-wave insulator TaS2.We describe the general nonequilibrium many-body formulation of time-resolved photoemission in the sudden approximation, and then solve the problem using dynamical mean-field theory with the numerical renormalization group and a bare density of states calculated from density functional theory including the charge-density-wave distortion of the ion cores and spin-orbit coupling. We find a number of interesting results: (i) the bare band structure actually has more dispersion in the perpendicular direction than in the two-dimensional planes; (ii) the DMFT approach can produce upper and lower Hubbard bands that resemble those in the experiment, but the upper bands will overlap in energy with other higher energy bands; (iii) the effect of the finite width of the probe pulse is minimal on the shape of the photoemission spectra; and (iv) the quasiequilibrium approximation does not fully describe the behavior in this system.

Genetic alternatives to mulesing and tail docking in sheep: a review

A genetic solution to breech strike control is attractive, as it is potentially permanent, cumulative, would not involve increased use of chemicals and may ultimately reduce labour inputs. There appears to be significant opportunity to reduce the susceptibility of Merinos to breech strike by genetic means although it is unlikely that in the short term breeding alone will be able to confer the degree of protection provided by mulesing and tail docking. Breeding programmes that aim to replace surgical techniques of flystrike prevention could potentially: reduce breech wrinkle; increase the area of bare skin in the perineal area; reduce tail length and wool cover on and near the tail; increase shedding of breech wool; reduce susceptibility to internal parasites and diarrhoea; and increase immunological resistance to flystrike. The likely effectiveness of these approaches is reviewed and assessed here. Any breeding programme that seeks to replace surgical mulesing and tail docking will need to make sheep sufficiently resistant that the increased requirement for other strike management procedures remains within practically acceptable bounds and that levels of strike can be contained to ethically acceptable levels.

X-ray studies on crystalline complexes involving amino acids and peptides. Part XIV: Closed conformation and head-to-tail arrangement in a new crystal form of L-histidine L-aspartate monohydrate

A new form of L-histidine L-aspartate monohydrate crystallizes in space group P22 witha = 5.131(1),b = 6.881(1),c= 18.277(2) Å,β= 97.26(1)° and Z = 2. The structure has been solved by the direct methods and refined to anR value of 0.044 for 1377 observed reflections. Both the amino acid molecules in the complex assume the energetically least favourable allowed conformation with the side chains staggered between the α-amino and α-scarboxylate groups. This results in characteristic distortions in some bond angles. The unlike molecules aggregate into alternating double layers with water molecules sandwiched between the two layers in the aspartate double layer. The molecules in each layer are arranged in a head-to-tail fashion. The aggregation pattern in the complex is fundamentally similar to that in other binary complexes involving commonly occurring L amino acids, although the molecules aggregate into single layers in them. The distribution of crystallographic (and local) symmetry elements in the old form of the complex is very different from that in the new form. So is the conformation of half the histidine molecules. Yet, the basic features of molecular aggregation, particularly the nature and the orientation of head-to-tail sequences, remain the same in both the forms. This supports the thesis that the characteristic aggregation patterns observed in crystal structures represent an intrinsic property of amino acid aggregation.

Approximation algorithm for maximum independent set in planar traingle-free graphs

The maximum independent set problem is NP-complete even when restricted to planar graphs, cubic planar graphs or triangle free graphs. The problem of finding an absolute approximation still remains NP-complete. Various polynomial time approximation algorithms, that guarantee a fixed worst case ratio between the independent set size obtained to the maximum independent set size, in planar graphs have been proposed. We present in this paper a simple and efficient, O(|V|) algorithm that guarantees a ratio 1/2, for planar triangle free graphs. The algorithm differs completely from other approaches, in that, it collects groups of independent vertices at a time. Certain bounds we obtain in this paper relate to some interesting questions in the theory of extremal graphs.

Coherent potential approximation, averaged T-matrix approximation and Lloyd's model

It is shown how the single-site coherent potential approximation and the averaged T-matrix approximation become exact in the calculation of the averaged single-particle Green function of the electron in the Anderson model when the site energy is distributed randomly with lorentzian distribution. Using these approximations, Lloyd's exact result is reproduced.