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.

A systematic review of mathematical models of mosquito-borne pathogen transmission: 1970-2010

Mathematical models of mosquito-borne pathogen transmission originated in the early twentieth century to provide insights into how to most effectively combat malaria. The foundations of the Ross–Macdonald theory were established by 1970. Since then, there has been a growing interest in reducing the public health burden of mosquito-borne pathogens and an expanding use of models to guide their control. To assess how theory has changed to confront evolving public health challenges, we compiled a bibliography of 325 publications from 1970 through 2010 that included at least one mathematical model of mosquito-borne pathogen transmission and then used a 79-part questionnaire to classify each of 388 associated models according to its biological assumptions. As a composite measure to interpret the multidimensional results of our survey, we assigned a numerical value to each model that measured its similarity to 15 core assumptions of the Ross–Macdonald model. Although the analysis illustrated a growing acknowledgement of geographical, ecological and epidemiological complexities in modelling transmission, most models during the past 40 years closely resemble the Ross–Macdonald model. Modern theory would benefit from an expansion around the concepts of heterogeneous mosquito biting, poorly mixed mosquito-host encounters, spatial heterogeneity and temporal variation in the transmission process.

Spatiotemporal model or time series model for assessing city-wide temperature effects on mortality?

Most studies examining the temperature–mortality association in a city used temperatures from one site or the average from a network of sites. This may cause measurement error as temperature varies across a city due to effects such as urban heat islands. We examined whether spatiotemporal models using spatially resolved temperatures produced different associations between temperature and mortality compared with time series models that used non-spatial temperatures. We obtained daily mortality data in 163 areas across Brisbane city, Australia from 2000 to 2004. We used ordinary kriging to interpolate spatial temperature variation across the city based on 19 monitoring sites. We used a spatiotemporal model to examine the impact of spatially resolved temperatures on mortality. Also, we used a time series model to examine non-spatial temperatures using a single site and the average temperature from three sites. We used squared Pearson scaled residuals to compare model fit. We found that kriged temperatures were consistent with observed temperatures. Spatiotemporal models using kriged temperature data yielded slightly better model fit than time series models using a single site or the average of three sites' data. Despite this better fit, spatiotemporal and time series models produced similar associations between temperature and mortality. In conclusion, time series models using non-spatial temperatures were equally good at estimating the city-wide association between temperature and mortality as spatiotemporal models.

Travel time prediction on signalised urban arterials by applying SARIMA modelling on Bluetooth data

Travel time prediction has long been the topic of transportation research. But most relevant prediction models in the literature are limited to motorways. Travel time prediction on arterial networks is challenging due to involving traffic signals and significant variability of individual vehicle travel time. The limited availability of traffic data from arterial networks makes travel time prediction even more challenging. Recently, there has been significant interest of exploiting Bluetooth data for travel time estimation. This research analysed the real travel time data collected by the Brisbane City Council using the Bluetooth technology on arterials. Databases, including experienced average daily travel time are created and classified for approximately 8 months. Thereafter, based on data characteristics, Seasonal Auto Regressive Integrated Moving Average (SARIMA) modelling is applied on the database for short-term travel time prediction. The SARMIA model not only takes the previous continuous lags into account, but also uses the values from the same time of previous days for travel time prediction. This is carried out by defining a seasonality coefficient which improves the accuracy of travel time prediction in linear models. The accuracy, robustness and transferability of the model are evaluated through comparing the real and predicted values on three sites within Brisbane network. The results contain the detailed validation for different prediction horizons (5 min to 90 minutes). The model performance is evaluated mainly on congested periods and compared to the naive technique of considering the historical average.

Towards a model of spray-canopy interactions : interception, shatter, bounce and retention of droplets on horizontal leaves

Pesticides used in agricultural systems must be applied in economically viable and environmentally sensitive ways, and this often requires expensive field trials on spray deposition and retention by plant foliage. Computational models to describe whether a spray droplet sticks (adheres), bounces or shatters on impact, and if any rebounding parent or shatter daughter droplets are recaptured, would provide an estimate of spray retention and thereby act as a useful guide prior to any field trials. Parameter-driven interactive software has been implemented to enable the end-user to study and visualise droplet interception and impaction on a single, horizontal leaf. Living chenopodium, wheat and cotton leaves have been scanned to capture the surface topography and realistic virtual leaf surface models have been generated. Individual leaf models have then been subjected to virtual spray droplets and predictions made of droplet interception with the virtual plant leaf. Thereafter, the impaction behaviour of the droplets and the subsequent behaviour of any daughter droplets, up until re-capture, are simulated to give the predicted total spray retention by the leaf. A series of critical thresholds for the stick, bounce, and shatter elements in the impaction process have been developed for different combinations of formulation, droplet size and velocity, and leaf surface characteristics to provide this output. The results show that droplet properties, spray formulations and leaf surface characteristics all influence the predicted amount of spray retained on a horizontal leaf surface. Overall the predicted spray retention increases as formulation surface tension, static contact angle, droplet size and velocity decreases. Predicted retention on cotton is much higher than on chenopodium. The average predicted retention on a single horizontal leaf across all droplet size, velocity and formulations scenarios tested, is 18, 30 and 85% for chenopodium, wheat and cotton, respectively.

Designing innovative business models: Five emerging meta-models

Business models to date have remained the creation of management, however, it is the belief of the authors that designers should be critically approaching, challenging and creating new business models as part of their practice. This belief portrays a new era where business model constructs become the new design brief of the future and fuel design and innovation to work together at the strategic level of an organisation. Innovation can no longer rely on technology and R&D alone but must incorporate business models. Business model innovation has become a strong type of competitive advantage. As firms choose not to compete only on price, but through the delivery of a unique value proposition in order to engage with customers and to differentiate a company within a competitive market. The purpose of this paper is to explore and investigate business model design through various product and/or service deliveries, and identify common drivers that are catalysts for business model innovation. Fifty companies spanning a diverse range of criteria were chosen, to evaluate and compare commonalities and differences in the design of their business models. The analysis of these business cases uncovered commonalities of the key strategic drivers behind these innovative business models. Five Meta Models were derived from this content analysis: Customer Led, Cost Driven, Resource Led, Partnership Led and Price Led. These five key foci provide a designer with a focus from which quick prototypes of new business models are created. Implications from this research suggest there is no ‘one right’ model, but rather through experimentation, the generation of many unique and diverse concepts can result in greater possibilities for future innovation and sustained competitive advantage.

Agent-based model of passenger flows in airport terminals

Passenger flow studies in airport terminals have shown consistent statistical relationships between airport spatial layout and pedestrian movement, facilitating prediction of movement from terminal designs. However, these studies are done at an aggregate level and do not incorporate how individual passengers make decisions at a microscopic level. Therefore, they do not explain the formation of complex movement flows. In addition, existing models mostly focus on standard airport processing procedures such as immigration and security, but seldom consider discretionary activities of passengers, and thus are not able to truly describe the full range of passenger flows within airport terminals. As the route-choice decision-making of passengers involves many uncertain factors within the airport terminals, the mechanisms to fulfill the capacity of managing the route-choice have proven difficult to acquire and quantify. Could the study of cognitive factors of passengers (i.e. human mental preferences of deciding which on-airport facility to use) be useful to tackle these issues? Assuming the movement in virtual simulated environments can be analogous to movement in real environments, passenger behaviour dynamics can be similar to those generated in virtual experiments. Three levels of dynamics have been devised for motion control: the localised field, tactical level, and strategic level. A localised field refers to basic motion capabilities, such as walking speed, direction and avoidance of obstacles. The other two fields represent cognitive route-choice decision-making. This research views passenger flow problems via a "bottom-up approach", regarding individual passengers as independent intelligent agents who can behave autonomously and are able to interact with others and the ambient environment. In this regard, passenger flow formation becomes an emergent phenomenon of large numbers of passengers interacting with others. In the thesis, first, the passenger flow in airport terminals was investigated. Discretionary activities of passengers were integrated with standard processing procedures in the research. The localised field for passenger motion dynamics was constructed by a devised force-based model. Next, advanced traits of passengers (such as their desire to shop, their comfort with technology and their willingness to ask for assistance) were formulated to facilitate tactical route-choice decision-making. The traits consist of quantified measures of mental preferences of passengers when they travel through airport terminals. Each category of the traits indicates a decision which passengers may take. They were inferred through a Bayesian network model by analysing the probabilities based on currently available data. Route-choice decision-making was finalised by calculating corresponding utility results based on those probabilities observed. Three sorts of simulation outcomes were generated: namely, queuing length before checkpoints, average dwell time of passengers at service facilities, and instantaneous space utilisation. Queuing length reflects the number of passengers who are in a queue. Long queues no doubt cause significant delay in processing procedures. The dwell time of each passenger agent at the service facilities were recorded. The overall dwell time of passenger agents at typical facility areas were analysed so as to demonstrate portions of utilisation in the temporal aspect. For the spatial aspect, the number of passenger agents who were dwelling within specific terminal areas can be used to estimate service rates. All outcomes demonstrated specific results by typical simulated passenger flows. They directly reflect terminal capacity. The simulation results strongly suggest that integrating discretionary activities of passengers makes the passenger flows more intuitive, observing probabilities of mental preferences by inferring advanced traits make up an approach capable of carrying out tactical route-choice decision-making. On the whole, the research studied passenger flows in airport terminals by an agent-based model, which investigated individual characteristics of passengers and their impact on psychological route-choice decisions of passengers. Finally, intuitive passenger flows in airport terminals were able to be realised in simulation.

Exploring new and emerging models for nonlinear performative works

This dissertation seeks to define and classify potential forms of Nonlinear structure and explore the possibilities they afford for the creation of new musical works. It provides the first comprehensive framework for the discussion of Nonlinear structure in musical works and provides a detailed overview of the rise of nonlinearity in music during the 20th century. Nonlinear events are shown to emerge through significant parametrical discontinuity at the boundaries between regions of relatively strong internal cohesion. The dissertation situates Nonlinear structures in relation to linear structures and unstructured sonic phenomena and provides a means of evaluating Nonlinearity in a musical structure through the consideration of the degree to which the structure is integrated, contingent, compressible and determinate as a whole. It is proposed that Nonlinearity can be classified as a three dimensional space described by three continuums: the temporal continuum, encompassing sequential and multilinear forms of organization, the narrative continuum encompassing processual, game structure and developmental narrative forms and the referential continuum encompassing stylistic allusion, adaptation and quotation. The use of spectrograms of recorded musical works is proposed as a means of evaluating Nonlinearity in a musical work through the visual representation of parametrical divergence in pitch, duration, timbre and dynamic over time. Spectral and structural analysis of repertoire works is undertaken as part of an exploration of musical nonlinearity and the compositional and performative features that characterize it. The contribution of cultural, ideological, scientific and technological shifts to the emergence of Nonlinearity in music is discussed and a range of compositional factors that contributed to the emergence of musical Nonlinearity is examined. The evolution of notational innovations from the mobile score to the screen score is plotted and a novel framework for the discussion of these forms of musical transmission is proposed. A computer coordinated performative model is discussed, in which a computer synchronises screening of notational information, provides temporal coordination of the performers through click-tracks or similar methods and synchronises the audio processing and synthesized elements of the work. It is proposed that such a model constitutes a highly effective means of realizing complex Nonlinear structures. A creative folio comprising 29 original works that explore nonlinearity is presented, discussed and categorised utilising the proposed classifications. Spectrograms of these works are employed where appropriate to illustrate the instantiation of parametrically divergent substructures and examples of structural openness through multiple versioning.

Applications and equivalent models for coupled inductor parallel interleaved converters

Parallel interleaved converters are finding more applications everyday, for example they are frequently used for VRMs on PC main boards mainly to obtain better transient response. Parallel interleaved converters can have their inductances uncoupled, directly coupled or inversely coupled, all of which have different applications with associated advantages and disadvantages. Coupled systems offer more control over converter features, such as ripple currents, inductance volume and transient response. To be able to gain an intuitive understanding of which type of parallel interleaved converter, what amount of coupling, what number of levels and how much inductance should be used for different applications a simple equivalent model is needed. As all phases of an interleaved converter are supposed to be identical, the equivalent model is nothing more than a separate inductance which is common to all phases. Without utilising this simplification the design of a coupled system is quite daunting. Being able to design a coupled system involves solving and understanding the RMS currents of the input, individual phase (or cell) and output. A procedure using this equivalent model and a small amount of modulo arithmetic is detailed.

Mathematical models of bubble evolution in a Hele-Shaw Cell

This thesis concerns the mathematical model of moving fluid interfaces in a Hele-Shaw cell: an experimental device in which fluid flow is studied by sandwiching the fluid between two closely separated plates. Analytic and numerical methods are developed to gain new insights into interfacial stability and bubble evolution, and the influence of different boundary effects is examined. In particular, the properties of the velocity-dependent kinetic undercooling boundary condition are analysed, with regard to the selection of only discrete possible shapes of travelling fingers of fluid, the formation of corners on the interface, and the interaction of kinetic undercooling with the better known effect of surface tension. Explicit solutions to the problem of an expanding or contracting ring of fluid are also developed.

The efficiency of corpus-based distributional models for literature-based discovery on large data sets

This paper evaluates the efficiency of a number of popular corpus-based distributional models in performing discovery on very large document sets, including online collections. Literature-based discovery is the process of identifying previously unknown connections from text, often published literature, that could lead to the development of new techniques or technologies. Literature-based discovery has attracted growing research interest ever since Swanson's serendipitous discovery of the therapeutic effects of fish oil on Raynaud's disease in 1986. The successful application of distributional models in automating the identification of indirect associations underpinning literature-based discovery has been heavily demonstrated in the medical domain. However, we wish to investigate the computational complexity of distributional models for literature-based discovery on much larger document collections, as they may provide computationally tractable solutions to tasks including, predicting future disruptive innovations. In this paper we perform a computational complexity analysis on four successful corpus-based distributional models to evaluate their fit for such tasks. Our results indicate that corpus-based distributional models that store their representations in fixed dimensions provide superior efficiency on literature-based discovery tasks.

Incorporating spatial correlations into multispecies mean-field models

In biology, we frequently observe different species existing within the same environment. For example, there are many cell types in a tumour, or different animal species may occupy a given habitat. In modelling interactions between such species, we often make use of the mean field approximation, whereby spatial correlations between the locations of individuals are neglected. Whilst this approximation holds in certain situations, this is not always the case, and care must be taken to ensure the mean field approximation is only used in appropriate settings. In circumstances where the mean field approximation is unsuitable we need to include information on the spatial distributions of individuals, which is not a simple task. In this paper we provide a method that overcomes many of the failures of the mean field approximation for an on-lattice volume-excluding birth-death-movement process with multiple species. We explicitly take into account spatial information on the distribution of individuals by including partial differential equation descriptions of lattice site occupancy correlations. We demonstrate how to derive these equations for the multi-species case, and show results specific to a two-species problem. We compare averaged discrete results to both the mean field approximation and our improved method which incorporates spatial correlations. We note that the mean field approximation fails dramatically in some cases, predicting very different behaviour from that seen upon averaging multiple realisations of the discrete system. In contrast, our improved method provides excellent agreement with the averaged discrete behaviour in all cases, thus providing a more reliable modelling framework. Furthermore, our method is tractable as the resulting partial differential equations can be solved efficiently using standard numerical techniques.

Towards a dignified and sustainable electricity generation sector in Australia : a comparative review of three models

Electricity is the cornerstone of modern life. It is essential to economic stability and growth, jobs and improved living standards. Electricity is also the fundamental ingredient for a dignified life; it is the source of such basic human requirements as cooked food, a comfortable living temperature and essential health care. For these reasons, it is unimaginable that today's economies could function without electricity and the modern energy services that it delivers. Somewhat ironically, however, the current approach to electricity generation also contributes to two of the gravest and most persistent problems threatening the livelihood of humans. These problems are anthropogenic climate change and sustained human poverty. To address these challenges, the global electricity sector must reduce its reliance on fossil fuel sources. In this context, the object of this research is twofold. Initially it is to consider the design of the Renewable Energy (Electricity) Act 2000 (Cth) (Renewable Electricity Act), which represents Australia's primary regulatory approach to increase the production of renewable sourced electricity. This analysis is conducted by reference to the regulatory models that exist in Germany and Great Britain. Within this context, this thesis then evaluates whether the Renewable Electricity Act is designed effectively to contribute to a more sustainable and dignified electricity generation sector in Australia. On the basis of the appraisal of the Renewable Electricity Act, this thesis contends that while certain aspects of the regulatory regime have merit, ultimately its design does not represent an effective and coherent regulatory approach to increase the production of renewable sourced electricity. In this regard, this thesis proposes a number of recommendations to reform the existing regime. These recommendations are not intended to provide instantaneous or simple solutions to the current regulatory regime. Instead, the purpose of these recommendations is to establish the legal foundations for an effective regulatory regime that is designed to increase the production of renewable sourced electricity in Australia in order to contribute to a more sustainable and dignified approach to electricity production.

How Can Models of Motor Control Be Useful for Understanding Low Back Pain?

Introduction. The purpose of this chapter is to address the question raised in the chapter title. Specifically, how can models of motor control help us understand low back pain (LBP)? There are several classes of models that have been used in the past for studying spinal loading, stability, and risk of injury (see Reeves and Cholewicki (2003) for a review of past modeling approaches), but for the purpose of this chapter we will focus primarily on models used to assess motor control and its effect on spine behavior. This chapter consists of 4 sections. The first section discusses why a shift in modeling approaches is needed to study motor control issues. We will argue that the current approach for studying the spine system is limited and not well-suited for assessing motor control issues related to spine function and dysfunction. The second section will explore how models can be used to gain insight into how the central nervous system (CNS) controls the spine. This segues segue nicely into the next section that will address how models of motor control can be used in the diagnosis and treatment of LBP. Finally, the last section will deal with the issue of model verification and validity. This issue is important since modelling accuracy is critical for obtaining useful insight into the behavior of the system being studied. This chapter is not intended to be a critical review of the literature, but instead intended to capture some of the discussion raised during the 2009 Spinal Control Symposium, with some elaboration on certain issues. Readers interested in more details are referred to the cited publications.

Improving in vivo models of fracture fixation associated osteomyelitis

This project’s aim was to create new experimental models in small animals for the investigation of infections related to bone fracture fixation implants. Animal models are essential in orthopaedic trauma research and this study evaluated new implants and surgical techniques designed to improve standardisation in these experiments, and ultimately to minimise the number of animals needed in future work. This study developed and assessed procedures using plates and inter-locked nails to stabilise fractures in rabbit thigh bones. Fracture healing was examined with mechanical testing and histology. The results of this work contribute to improvements in future small animal infection experiments.