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

An isotope dilution model for partitioning phenylalanine uptake by the liver of lactating dairy cows

An isotope dilution model for partitioning phenylalanine uptake by the liver of the lactating dairy cow was constructed and solved in the steady state. If assumptions are made, model solution permits calculation of the rate of phenylalanine uptake from portal vein and hepatic arterial blood supply, phenylalanine release into the hepatic vein, phenylalanine oxidation and synthesis, and degradation of hepatic constitutive and export proteins. The model requires the measurement of plasma fow rate through the liver in combination with phenylalanine concentrations and plateau isotopic enrichments in arterial, portal and hepatic plasma during a constant infusion of [1-13C]phenylalanine tracer. The model can be applied to other amino acids with similar metabolic fates and will provide a means for assessing the impact of hepatic metabolism on amino acid availability to peripheral tissues. This is of particular importance for the dairy cow when considering the requirements for milk protein synthesis and the negative environmental impact of excessive nitrogen excretion.

An ECOOP web portal for visualising and comparing distributed coastal oceanography model and in situ data

As part of a large European coastal operational oceanography project (ECOOP), we have developed a web portal for the display and comparison of model and in situ marine data. The distributed model and in situ datasets are accessed via an Open Geospatial Consortium Web Map Service (WMS) and Web Feature Service (WFS) respectively. These services were developed independently and readily integrated for the purposes of the ECOOP project, illustrating the ease of interoperability resulting from adherence to international standards. The key feature of the portal is the ability to display co-plotted timeseries of the in situ and model data and the quantification of misfits between the two. By using standards-based web technology we allow the user to quickly and easily explore over twenty model data feeds and compare these with dozens of in situ data feeds without being concerned with the low level details of differing file formats or the physical location of the data. Scientific and operational benefits to this work include model validation, quality control of observations, data assimilation and decision support in near real time. In these areas it is essential to be able to bring different data streams together from often disparate locations.

Automated tertiary structure prediction with accurate local model quality assessment using the IntFOLD-TS method

The IntFOLD-TS method was developed according to the guiding principle that the model quality assessment would be the most critical stage for our template based modelling pipeline. Thus, the IntFOLD-TS method firstly generates numerous alternative models, using in-house versions of several different sequence-structure alignment methods, which are then ranked in terms of global quality using our top performing quality assessment method – ModFOLDclust2. In addition to the predicted global quality scores, the predictions of local errors are also provided in the resulting coordinate files, using scores that represent the predicted deviation of each residue in the model from the equivalent residue in the native structure. The IntFOLD-TS method was found to generate high quality 3D models for many of the CASP9 targets, whilst also providing highly accurate predictions of their per-residue errors. This important information may help to make the 3D models that are produced by the IntFOLD-TS method more useful for guiding future experimental work

Model-based groupware solution for distributed real-time collaborative 4D planning via teamwork

Construction planning plays a fundamental role in construction project management that requires team working among planners from a diverse range of disciplines and in geographically dispersed working situations. Model-based four-dimensional (4D) computer-aided design (CAD) groupware, though considered a possible approach to supporting collaborative planning, is still short of effective collaborative mechanisms for teamwork due to methodological, technological and social challenges. Targeting this problem, this paper proposes a model-based groupware solution to enable a group of multidisciplinary planners to perform real-time collaborative 4D planning across the Internet. In the light of the interactive definition method, and its computer-supported collaborative work (CSCW) design analysis, the paper discusses the realization of interactive collaborative mechanisms from software architecture, application mode, and data exchange protocol. These mechanisms have been integrated into a groupware solution, which was validated by a planning team in a truly geographically dispersed condition. Analysis of the validation results revealed that the proposed solution is feasible for real-time collaborative 4D planning to gain a robust construction plan through collaborative teamwork. The realization of this solution triggers further considerations about its enhancement for wider groupware applications.

Validation of the FALL3D ash dispersion model using observations of the 2010 Eyjafjallajökull volcanic ash clouds

During April-May 2010 volcanic ash clouds from the Icelandic Eyjafjallajökull volcano reached Europe causing an unprecedented disruption of the EUR/NAT region airspace. Civil aviation authorities banned all flight operations because of the threat posed by volcanic ash to modern turbine aircraft. New quantitative airborne ash mass concentration thresholds, still under discussion, were adopted for discerning regions contaminated by ash. This has implications for ash dispersal models routinely used to forecast the evolution of ash clouds. In this new context, quantitative model validation and assessment of the accuracies of current state-of-the-art models is of paramount importance. The passage of volcanic ash clouds over central Europe, a territory hosting a dense network of meteorological and air quality observatories, generated a quantity of observations unusual for volcanic clouds. From the ground, the cloud was observed by aerosol lidars, lidar ceilometers, sun photometers, other remote-sensing instru- ments and in-situ collectors. From the air, sondes and multiple aircraft measurements also took extremely valuable in-situ and remote-sensing measurements. These measurements constitute an excellent database for model validation. Here we validate the FALL3D ash dispersal model by comparing model results with ground and airplane-based measurements obtained during the initial 14e23 April 2010 Eyjafjallajökull explosive phase. We run the model at high spatial resolution using as input hourly- averaged observed heights of the eruption column and the total grain size distribution reconstructed from field observations. Model results are then compared against remote ground-based and in-situ aircraft-based measurements, including lidar ceilometers from the German Meteorological Service, aerosol lidars and sun photometers from EARLINET and AERONET networks, and flight missions of the German DLR Falcon aircraft. We find good quantitative agreement, with an error similar to the spread in the observations (however depending on the method used to estimate mass eruption rate) for both airborne and ground mass concentration. Such verification results help us understand and constrain the accuracy and reliability of ash transport models and it is of enormous relevance for designing future operational mitigation strategies at Volcanic Ash Advisory Centers.