Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Isomerism and C-H, C-C, O-O, C-O bond activation studies by transition metals

Aquesta tesi és el reflex que de la cooperació entre grups experimentals i grups teòrics s'aconsegueix l'assoliment d'objectius inassolibles de forma individual. A partir de la DFT s'expliquen processos inorgànics i organometàl·lics de gran valor biològic i/o industrial. La tesi està enfocada especialment a l'estudi de complexos mononuclears i binuclears de coure, on té lloc l'activació d'enllaços C-H, C-C, i O-O. L'estudi de complexos octaèdrics de ruteni ha permès dur a terme extensos estudis isomèrics i racionalitzar les propietats espectroscòpiques dels mateixos. A més a més, estudis més puntuals respecte clusters de coure, l'estudi de la reacció de Pawson-Khand, l'estudi d'enllaços Pt-Pt en complexos trimèrics de platí, a més a més de l'estudi de la isomeria de complexos de Ni i Pt.

Differential sensitivity to tonal frequency and to the rate of modulation of broad-band noise by hearing-impaired listeners

This dissertation examined whether a hearing impairment of the auditory end-organ has the same or a differential effect on the place and periodicity processes. Differential sensitivities for four normally hearing listeners and for both ears of five patients with unilateral Meniere’s disease were measured for tonal frequency and rate of sinusoidally amplitude-modulated noise at common frequencies and rates of the stimulus.

Towards a Theoretical Understating of How to Study the State: Governmentality, Power and Governmental Regimes

Artículo teórico que se origina a partir de un proyecto más amplio que investiga la construcción del Plan Nacional del Buen Vivir 2013-2017 (PNBV 2013-2017) en Ecuador. Su primordial preocupación teórica es responder a la siguiente pregunta: cómo estudiar los procesos de formación del Estado en Ecuador desde el año 2008. El documento responde a esta amplia cuestión argumentando, a nivel general, que el Estado se reproduce en parte mediante la creación de espacios donde efectivamente puede intervenir en la sociedad. Este trabajo se refiere, por lo tanto, con el examen de las formas particulares en que los Estados penetran la sociedad a través de regímenes gubernamentales. En términos más específicos, este trabajo sostiene que los procesos de intervención del Estado pueden ser ampliamente entendidos por la observación de tres procesos complementarios e interrelacionados: a. La forma en la que el Estado busca legitimar su presencia en la sociedad; b. Prácticas gubernamentales: las formas en las que el Estado aprende, organiza, distribuye y en última instancia crea campos específicos de intervención; c. El ejercicio de diferentes y complementarias modalidades de poder. En base a los citados elementos analiza la construcción de un "régimen gubernamental".

Forest Policy Scenario Analysis: Sensitivity of Songbird Community to Changes in Forest Cover Amount and Configuration

Changes in mature forest cover amount, composition, and configuration can be of significant consequence to wildlife populations. The response of wildlife to forest patterns is of concern to forest managers because it lies at the heart of such competing approaches to forest planning as aggregated vs. dispersed harvest block layouts. In this study, we developed a species assessment framework to evaluate the outcomes of forest management scenarios on biodiversity conservation objectives. Scenarios were assessed in the context of a broad range of forest structures and patterns that would be expected to occur under natural disturbance and succession processes. Spatial habitat models were used to predict the effects of varying degrees of mature forest cover amount, composition, and configuration on habitat occupancy for a set of 13 focal songbird species. We used a spatially explicit harvest scheduling program to model forest management options and simulate future forest conditions resulting from alternative forest management scenarios, and used a process-based fire-simulation model to simulate future forest conditions resulting from natural wildfire disturbance. Spatial pattern signatures were derived for both habitat occupancy and forest conditions, and these were placed in the context of the simulated range of natural variation. Strategic policy analyses were set in the context of current Ontario forest management policies. This included use of sequential time-restricted harvest blocks (created for Woodland caribou (Rangifer tarandus) conservation) and delayed harvest areas (created for American marten (Martes americana atrata) conservation). This approach increased the realism of the analysis, but reduced the generality of interpretations. We found that forest management options that create linear strips of old forest deviate the most from simulated natural patterns, and had the greatest negative effects on habitat occupancy, whereas policy options that specify deferment and timing of harvest for large blocks helped ensure the stable presence of an intact mature forest matrix over time. The management scenario that focused on maintaining compositional targets best supported biodiversity objectives by providing the composition patterns required by the 13 focal species, but this scenario may be improved by adding some broad-scale spatial objectives to better maintain large blocks of interior forest habitat through time.

Understanding Demographic and Behavioral Mechanisms that Guide Responses of Neotropical Migratory Birds to Urbanization: a Simulation Approach

Although studies often report that densities of many forest birds are negatively related to urbanization, the mechanisms guiding this pattern are poorly understood. Our objective was to use a population simulation to examine the relative influence of six demographic and behavioral processes on patterns of avian abundance in urbanizing landscapes. We constructed an individual-based population simulation model representing the annual cycle of a Neotropical migratory songbird. Each simulation was performed under two landscape scenarios. The first scenario had similar proportions of high- and low-quality habitat across the urban to rural gradient. Under the first scenario, avian density was negatively related to urbanization only when rural habitats were perceived to be of higher quality than they actually were. The second landscape scenario had declining proportions of high-quality habitat as urbanization increased. Under the second scenario, each mechanism generated a negative relationship between density and urbanization. The strongest effect on density resulted when birds preferentially selected habitats in landscapes from which they fledged or were constrained from dispersing. The next strongest patterns occurred when birds directly evaluated habitat quality and accurately selected the highest-quality available territories. When birds selected habitats based on the presence of conspecifics, the density–urbanization relationship was only one-third the strength of other habitat selection mechanisms and only occurred under certain levels of population survival. Although differences in adult or nest survival in the face of random habitat selection still elicited reduced densities in urban landscapes, the relationships between urbanization and density were weaker than those produced by the conspecific attraction mechanism. Results from our study identify key predictions and areas for future research, including assessing habitat quality in urban and rural areas in order to determine if habitats in urban areas are underutilized.

Seasonal variations of the physical and optical characteristics of Saharan Dust: results from the Dust outflow and Deposition to the Ocean (DODO) experiment

North African dust is important for climate through its direct radiative effect on solar and terrestrial radiation and its role in the biogeochemical system. The Dust Outflow and Deposition to the Ocean project (DODO) aimed to characterize the physical and optical properties of airborne North African dust in two seasons and to use these observations to constrain model simulations, with the ultimate aim of being able to quantify the deposition of iron to the North Atlantic Ocean. The in situ properties of dust from airborne campaigns measured during February and August 2006, based at Dakar, Senegal, are presented here. Average values of the single scattering albedo (0.99, 0.98), mass specific extinction (0.85 m^2 g^-1 , 1.14 m^2 g^-1 ), asymmetry parameter (0.68, 0.68), and refractive index (1.53--0.0005i,1.53--0.0014i) for the accumulation mode were found to differ by varying degrees between the dry and wet season, respectively. It is hypothesized that these differences are due to different source regions and transport processes which also differ between the DODO campaigns. Elemental ratios of Ca/Al were found to differ between the dry and wet season (1.1 and 0.5, respectively). Differences in vertical profiles are found between seasons and between land and ocean locations and reflect the different dynamics of the seasons. Using measurements of the coarse mode size distribution and illustrative Mie calculations, the optical properties are found to be very sensitive to the presence and amount of coarse mode of mineral dust, and the importance of accurate measurements of the coarse mode of dust is highlighted.

Catchment-scale modelling of flow and nutrient transport in the Chalk unsaturated zone

The unsaturated zone exerts a major control on the delivery of nutrients to Chalk streams, yet flow and transport processes in this complex, dual-porosity medium have remained controversial. A major challenge arises in characterising these processes, both at the detailed mechanistic level and at an appropriate level for inclusion within catchment-scale models for nutrient management. The lowland catchment research (LOCAR) programme in the UK has provided a unique set of comprehensively instrumented groundwater-dominated catchments. Of these, the Pang and Lambourn, tributaries of the Thames near Reading, have been a particular focus for research into subsurface processes and surface water-groundwater interactions. Data from LOCAR and other sources, along with a new dual permeability numerical model of the Chalk, have been used to explore the relative roles of matrix and fracture flow within the unsaturated zone and resolve conflicting hypotheses of response. From the improved understanding gained through these explorations, a parsimonious conceptualisation of the general response of flow and transport within the Chalk unsaturated zone was formulated. This paper summarises the modelling and data findings of these explorations, and describes the integration of the new simplified unsaturated zone representation with a catchment-scale model of nutrients (INCA), resulting in a new model for catchment-scale flow and transport within Chalk systems: INCA-Chalk. This model is applied to the Lambourn, and results, including hindcast and forecast simulations, are presented. These clearly illustrate the decadal time-scales that need to be considered in the context of nutrient management and the EU Water Framework Directive. (C) 2007 Elsevier B.V. All rights reserved.

Salt marsh morphodynamics: An investigation of tidal flows and marsh channel equilibrium

Although numerous field studies have evaluated flow and transport processes in salt marsh channels, the overall role of channels in delivering and removing material from salt marsh platforms is still poorly characterised. In this paper, we consider this issue based on a numerical hydrodynamic model for a prototype marsh system and on a field survey of the cross-sectional geometry of a marsh channel network. Results of the numerical simulations indicate that the channel transfers approximately three times the volume of water that would be estimated from mass balance considerations alone. Marsh platform roughness exerts a significant influence on the partitioning of discharge between the channel and the marsh platform edge, alters flow patterns on the marsh platform due to its effects on channel-to-platform transfer and also controls the timing of peak discharge relative to marsh-edge overtopping. Although peak channel discharges and velocities are associated with the flood tide and marsh inundation, a larger volume of water is transferred by the channel during ebb flows, a portion of which transfer takes place after the tidal height is below the marsh platform. Detailed surveys of the marsh channels crossing a series of transects at Upper Stiffkey Marsh, north Norfolk, England, show that the total channel cross-sectional area increases linearly with catchment area in the inner part of the marsh, which is consistent with the increase in shoreward tidal prism removed by the channels. Toward the marsh edge, however, a deficit in the total cross-sectional area develops, suggesting that discharge partitioning between the marsh channels and the marsh platform edge may also be expressed in the morphology of marsh channel systems.

REMOTE SENSING OF AEOLIAN DUST PRODUCTION AND DISTRIBUTION

Airborne dust is of concern due to hazards in the localities affected by erosion, transport and deposition, but it is also of global concern due to uncertainties over its role in radiative forcing of climate. In order to model the environmental impact of dust, we need a better knowledge of sources and transport processes. Satellite remote sensing has been instrumental in providing this knowledge, through long time series of observations of atmospheric dust transport. Three remote sensing methodologies have been used, and are reviewed briefly in this paper. Firstly the use of observations from the Total Ozone Mapping Spectrometer (TOMS), secondly the use of the Infrared Difference Dust Index (IDDI) from Meterosat infrared data, thirdly the use of MODIS images from the rapid response system. These data have highlighted the major global sources of dust, mist of which are associated with endoreic drainage basins in deserts, which held lakes during Quaternary humid climate phases, and identified the Bodele Depression in Tchad as the dustiest place on Earth.

Evaluating the risk of non-point source pollution from biosolids: integrated modelling of nutrient losses at field and catchment scales

A semi-distributed model, INCA, has been developed to determine the fate and distribution of nutrients in terrestrial and aquatic systems. The model simulates nitrogen and phosphorus processes in soils, groundwaters and river systems and can be applied in a semi-distributed manner at a range of scales. In this study, the model has been applied at field to sub-catchment to whole catchment scale to evaluate the behaviour of biosolid-derived losses of P in agricultural systems. It is shown that process-based models such as INCA, applied at a wide range of scales, reproduce field and catchment behaviour satisfactorily. The INCA model can also be used to generate generic information for risk assessment. By adjusting three key variables: biosolid application rates, the hydrological connectivity of the catchment and the initial P-status of the soils within the model, a matrix of P loss rates can be generated to evaluate the behaviour of the model and, hence, of the catchment system. The results, which indicate the sensitivity of the catchment to flow paths, to application rates and to initial soil conditions, have been incorporated into a Nutrient Export Risk Matrix (NERM).

Impacts of forestry on nitrogen in upland and lowland catchments: a comparison of the River Severn at Plynlimon in mid-Wales and the Bedford Ouse in south-east England using the INCA Model

The impacts of afforestation at Plynlimon in the Severn catchment, mid-Wales. and in the Bedford Ouse catchment in south-east England are evaluated using the INCA model to simulate Nitrogen (N) fluxes and concentrations. The INCA model represents the key hydrological and N processes operating in catchments and simulates the daily dynamic behaviour as well as the annual fluxes. INCA has been applied to five years of data front the Hafren and Hore headwater sub-catchments (6.8 km(2) area in total) of the River Severn at Plytilimon and the model was calibrated and validated against field data. Simulation of afforestation is achieved by altering the uptake rate parameters in the model. INCA simulates the daily N behaviour in the catchments with good accuracy as well as reconstructing the annual budgets for N release following clearfelling a four-fold increase in N fluxes was followed by a slow recovery after re-afforestation. For comparison, INCA has been applied to the large (8380 km(2)) Bedford Ouse catchment to investigate the impact of replacing 20% arable land with forestry. The reduction in fertiliser inputs from arable farming and the N uptake by the forest are predicted to reduce the N flux reaching the main river system, leading to a 33% reduction in N-Nitrate concentrations in the river water.

Estimating surface net solar radiation by use of Landsat-5 TM and digital elevation models

The ground surface net solar radiation is the energy that drives physical and chemical processes at the ground surface. In this paper, multi-spectral data from the Landsat-5 TM, topographic data from a gridded digital elevation model, field measurements, and the atmosphere model LOWTRAN 7 are used to estimate surface net solar radiation over the FIFE site. Firstly an improved method is presented and used for calculating total surface incoming radiation. Then, surface albedo is integrated from surface reflectance factors derived from remotely sensed data from Landsat-5 TM. Finally, surface net solar radiation is calculated by subtracting surface upwelling radiation from the total surface incoming radiation.

Remote sensing of tidal networks and their relation to vegetation

The study of the morphology of tidal networks and their relation to salt marsh vegetation is currently an active area of research, and a number of theories have been developed which require validation using extensive observations. Conventional methods of measuring networks and associated vegetation can be cumbersome and subjective. Recent advances in remote sensing techniques mean that these can now often reduce measurement effort whilst at the same time increasing measurement scale. The status of remote sensing of tidal networks and their relation to vegetation is reviewed. The measurement of network planforms and their associated variables is possible to sufficient resolution using digital aerial photography and airborne scanning laser altimetry (LiDAR), with LiDAR also being able to measure channel depths. A multi-level knowledge-based technique is described to extract networks from LiDAR in a semi-automated fashion. This allows objective and detailed geomorphological information on networks to be obtained over large areas of the inter-tidal zone. It is illustrated using LIDAR data of the River Ems, Germany, the Venice lagoon, and Carnforth Marsh, Morecambe Bay, UK. Examples of geomorphological variables of networks extracted from LiDAR data are given. Associated marsh vegetation can be classified into its component species using airborne hyperspectral and satellite multispectral data. Other potential applications of remote sensing for network studies include determining spatial relationships between networks and vegetation, measuring marsh platform vegetation roughness, in-channel velocities and sediment processes, studying salt pans, and for marsh restoration schemes.

HOx observations over West Africa during AMMA: impact of isoprene and NOx

Aircraft OH and HO2 measurements made over West Africa during the AMMA field campaign in summer 2006 have been investigated using a box model constrained to observations of long-lived species and physical parameters. "Good" agreement was found for HO2 (modelled to observed gradient of 1.23 ± 0.11). However, the model significantly overpredicts OH concentrations. The reasons for this are not clear, but may reflect instrumental instabilities affecting the OH measurements. Within the model, HOx concentrations in West Africa are controlled by relatively simple photochemistry, with production dominated by ozone photolysis and reaction of O(1D) with water vapour, and loss processes dominated by HO2 + HO2 and HO2 + RO2. Isoprene chemistry was found to influence forested regions. In contrast to several recent field studies in very low NOx and high isoprene environments, we do not observe any dependence of model success for HO2 on isoprene and attribute this to efficient recycling of HOx through RO2 + NO reactions under the moderate NOx concentrations (5–300 ppt NO in the boundary layer, median 76 ppt) encountered during AMMA. This suggests that some of the problems with understanding the impact of isoprene on atmospheric composition may be limited to the extreme low range of NOx concentrations.