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.

Local model predictive control for navigation of a wheeled mobile robot using monocular information

Aquesta tesi està inspirada en els agents naturals per tal de planificar de manera dinàmica la navegació d'un robot diferencial de dues rodes. Les dades dels sistemes de percepció són integrades dins una graella d'ocupació de l'entorn local del robot. La planificació de les trajectòries es fa considerant la configuració desitjada del robot, així com els vértexs més significatius dels obstacles més propers. En el seguiment de les trajectòries s'utilitzen tècniques locals de control predictiu basades en el model, amb horitzons de predicció inferiors a un segon. La metodologia emprada és validada mitjançant nombrosos experiments.

ARX, model thinking: taxonomy and operativity of an architectural process

The purpose of this work was to establish a taxonomy of hand made model construction as a platform for an approach to project an operative method in architecture. It was therefore studied and catalogued in a systematic approach a broad model production in the work of ARX. A wide range of families and sub-families of models were found, with different purposes according to each phase of development, from searching steps for a new possible configuration to detailed refined decisions. This working method revealed as most relevant characteristics, the grounds for a potential personal reflection and open discussion on project method, its flexibility on space modeling, an accuracy on the representation of real construction situations and its constant and stimulating opening to new suggestions. This research helped on a meta-reflection about this method, having been useful on creating a consciousness of processes that pretend to become an autonomous language, knowledge that might become useful to those who pretend to implement a haptic modus operandi in the work of an architectural project.

Architecture & Research: a possible structure

This article results from three conferences organized by the research project titled “Architectural research framework” developed by the research center Architectural Lab – LabART – of the Lusófona University, and also by my personal experiences and dialogs with other members of the EAAE research committee. Architectural research always existed, but only recently some major questions have emerged, by the time that Europe started the last universitary reform on the 80’s. Two aspects are crucial in understanding the problematic that we are referring to. On the one hand we verify that the architectural teaching should maintain the articulation and close relationship between the theoretical and practical aspects. On the other hand, there is a need to confer academic degrees, as the MsC and PhD’s in the Faculties of Architecture. Inevitably, discussions began about the scientificity of architecture (its grounding), the types of research, methodological models, as well as on the evaluation criteria and the quality of research, or the relevance of the results. We will try to approach some of these discussions, and by the end, establish a basic structure that allows us to obtain an open model for research in architecture.

Population Change in a Marine Bird Colony is Driven By Changes in Recruitment

The population dynamics of long-lived birds are thought to be very sensitive to changes in adult survival. However, where natal philopatry is low, recruitment from the larger metapopulation may have the strongest effect on population growth rate even in long-lived species. Here, we illustrate such a situation where changes in a seabird colony size appeared to be the consequence of changes in recruitment. We studied the population dynamics of a declining colony of Ancient Murrelets (Synthliboramphus antiquus) at East Limestone Island, British Columbia. During 1990-2010, Ancient Murrelet chicks were trapped at East Limestone Island while departing to sea, using a standard trapping method carried on throughout the departure period. Adult murrelets were trapped while departing from the colony during 1990-2003. Numbers of chicks trapped declined during 1990-1995, probably because of raccoon predation, increased slightly from 1995-2000 and subsequently declined again. Reproductive success was 30% lower during 2000-2003 than in earlier years, mainly because of an increase in desertions. The proportion of nonbreeders among adult birds trapped at night also declined over the study period. Mortality of adult birds, thought to be mainly prebreeders, from predators more than doubled over the same period. Apparent adult survival of breeders remained constant during 1991-2002 once the first year after banding was excluded, but the apparent survival rates in the first year after banding fell and the survival of birds banded as chicks to age three halved over the same period. A matrix model of population dynamics suggested that even during the early part of the study immigration from other breeding areas must have been substantial, supporting earlier observations that natal philopatry in this species is low. The general colony decline after 2000 probably was related to diminished recruitment, as evidenced by the lower proportion of nonbreeders in the trapped sample. Hence the trend is determined by the recruitment decisions of externally reared birds, rather than demographic factors operating on the local breeding population, an unusual situation for a colonial marine bird. Because of the contraction in the colony it may now be subject to a level of predation pressure from which recovery will be impossible without some form of intervention.

Spherical nonparametric estimators applied to the UGAMP model integration for AMIP

The aim of this paper is essentially twofold: first, to describe the use of spherical nonparametric estimators for determining statistical diagnostic fields from ensembles of feature tracks on a global domain, and second, to report the application of these techniques to data derived from a modern general circulation model. New spherical kernel functions are introduced that are more efficiently computed than the traditional exponential kernels. The data-driven techniques of cross-validation to determine the amount elf smoothing objectively, and adaptive smoothing to vary the smoothing locally, are also considered. Also introduced are techniques for combining seasonal statistical distributions to produce longer-term statistical distributions. Although all calculations are performed globally, only the results for the Northern Hemisphere winter (December, January, February) and Southern Hemisphere winter (June, July, August) cyclonic activity are presented, discussed, and compared with previous studies. Overall, results for the two hemispheric winters are in good agreement with previous studies, both for model-based studies and observational studies.

Glacier shrinkage and climatic change in the Russian Altai from the mid-20th century: An assessment using remote sensing and PRECIS regional climate model

This paper examines changes in the surface area of glaciers in the North and South Chuya Ridges, Altai Mountains in 1952-2004 and their links with regional climatic variations. The glacier surface areas for 2004 were derived from the Advanced Spaceborne Thermal Emission and Reflection Radiometer (ASTER) imagery. Data from the World Glacier Inventory (WGI)dating to 1952 and aerial photographs from 1952 were used to estimate the changes. 256 glaciers with a combined area of 253±5.1 km2 have been identified in the region in 2004. Estimation of changes in extent of 126 glaciers with the individual areas not less than 0.5 km2 in 1952 revealed a 19.7±5.8% reduction. The observed glacier retreat is primarily driven by an increase in summer temperatures since the 1980s when air temperatures were increasing at a rate of 0.10 - 0.13oC a-1 at the glacier tongue elevation. The regional climate projections for A2 and B2 CO2 emission scenarios developed using PRECIS regional climate model indicate that summer temperatures will increase in the Altai in 2071-2100 by 6-7oC and 3-5oC respectively in comparison with 1961-1990 while annual precipitation will increase by 15% and 5%. The length of the ablation season will extend from June-August to the late April – early October. The projected increases in precipitation will not compensate for the projected warming and glaciers will continue to retreat in the 21st century under both B2 and A2 scenarios.

An adaptive finite element water column model using the Mellor-Yamada level 2.5 turbulence closure scheme

A one-dimensional water column model using the Mellor and Yamada level 2.5 parameterization of vertical turbulent fluxes is presented. The model equations are discretized with a mixed finite element scheme. Details of the finite element discrete equations are given and adaptive mesh refinement strategies are presented. The refinement criterion is an "a posteriori" error estimator based on stratification, shear and distance to surface. The model performances are assessed by studying the stress driven penetration of a turbulent layer into a stratified fluid. This example illustrates the ability of the presented model to follow some internal structures of the flow and paves the way for truly generalized vertical coordinates. (c) 2005 Elsevier Ltd. All rights reserved.

Anthropogenic warming of the oceans: Observations and model results

Observations show the oceans have warmed over the past 40 yr. with appreciable regional variation and more warming at the surface than at depth. Comparing the observations with results from two coupled ocean-atmosphere climate models [the Parallel Climate Model version 1 (PCM) and the Hadley Centre Coupled Climate Model version 3 (HadCM3)] that include anthropogenic forcing shows remarkable agreement between the observed and model-estimated warming. In this comparison the models were sampled at the same locations as gridded yearly observed data. In the top 100 m of the water column the warming is well separated from natural variability, including both variability arising from internal instabilities of the coupled ocean-atmosphere climate system and that arising from volcanism and solar fluctuations. Between 125 and 200 m the agreement is not significant, but then increases again below this level, and remains significant down to 600 m. Analysis of PCM's heat budget indicates that the warming is driven by an increase in net surface heat flux that reaches 0.7 W m(-2) by the 1990s; the downward longwave flux increases bv 3.7 W m(-2). which is not fully compensated by an increase in the upward longwave flux of 2.2 W m(-2). Latent and net solar heat fluxes each decrease by about 0.6 W m(-2). The changes in the individual longwave components are distinguishable from the preindustrial mean by the 1920s, but due to cancellation of components. changes in the net surface heat flux do not become well separated from zero until the 1960s. Changes in advection can also play an important role in local ocean warming due to anthropogenic forcing, depending, on the location. The observed sampling of ocean temperature is highly variable in space and time. but sufficient to detect the anthropogenic warming signal in all basins, at least in the surface layers, bv the 1980s.

Influence of the seasonal cycle on the termination of El Nino events in a coupled general circulation model

In this study, the mechanisms leading to the El Nino peak and demise are explored through a coupled general circulation model ensemble approach evaluated against observations. The results here suggest that the timing of the peak and demise for intense El Nino events is highly predictable as the evolution of the coupled system is strongly driven by a southward shift of the intense equatorial Pacific westerly anomalies during boreal winter. In fact, this systematic late-year shift drives an intense eastern Pacific thermocline shallowing, constraining a rapid El Nino demise in the following months. This wind shift results from a southward displacement in winter of the central Pacific warmest SSTs in response to the seasonal evolution of solar insolation. In contrast, the intensity of this seasonal feedback mechanism and its impact on the coupled system are significantly weaker in moderate El Nino events, resulting in a less pronounced thermocline shallowing. This shallowing transfers the coupled system into an unstable state in spring but is not sufficient to systematically constrain the equatorial Pacific evolution toward a rapid El Nino termination. However, for some moderate events, the occurrence of intense easterly wind anomalies in the eastern Pacific during that period initiate a rapid surge of cold SSTs leading to La Nina conditions. In other cases, weaker trade winds combined with a slightly deeper thermocline allow the coupled system to maintain a broad warm phase evolving through the entire spring and summer and a delayed El Nino demise, an evolution that is similar to the prolonged 1986/87 El Nino event. La Nina events also show a similar tendency to peak in boreal winter, with characteristics and mechanisms mainly symmetric to those described for moderate El Nino cases.

Wave-driven wind jets in the marine atmospheric boundary layer

The interaction between ocean surface waves and the overlying wind leads to a transfer of momentum across the air–sea interface. Atmospheric and oceanic models typically allow for momentum transfer to be directed only downward, from the atmosphere to the ocean. Recent observations have suggested that momentum can also be transferred upward when long wavelength waves, characteristic of remotely generated swell, propagate faster than the wind speed. The effect of upward momentum transfer on the marine atmospheric boundary layer is investigated here using idealized models that solve the momentum budget above the ocean surface. A variant of the classical Ekman model that accounts for the wave-induced stress demonstrates that, although the momentum flux due to the waves penetrates only a small fraction of the depth of the boundary layer, the wind profile is profoundly changed through its whole depth. When the upward momentum transfer from surface waves sufficiently exceeds the downward turbulent momentum flux, then the near-surface wind accelerates, resulting in a low-level wave-driven wind jet. This increases the Coriolis force in the boundary layer, and so the wind turns in the opposite direction to the classical Ekman layer. Calculations of the wave-induced stress due to a wave spectrum representative of fast-moving swell demonstrate upward momentum transfer that is dominated by contributions from waves in the vicinity of the peak in the swell spectrum. This is in contrast to wind-driven waves whose wave-induced stress is dominated by very short wavelength waves. Hence the role of swell can be characterized by the inverse wave age based on the wave phase speed corresponding to the peak in the spectrum. For a spectrum of waves, the total momentum flux is found to reverse sign and become upward, from waves to wind, when the inverse wave age drops below the range 0.15–0.2, which agrees reasonably well with previously published oceanic observations.

A simple theoretical model for the intensification of tropical cyclones and polar lows

A simple theoretical model for the intensification of tropical cyclones and polar lows is developed using a minimal set of physical assumptions. These disturbances are assumed to be balanced systems intensifying through the WISHE (Wind-Induced Surface Heat Exchange) intensification mechanism, driven by surface fluxes of heat and moisture into an atmosphere which is neutral to moist convection. The equation set is linearized about a resting basic state and solved as an initial-value problem. A system is predicted to intensify with an exponential perturbation growth rate scaled by the radial gradient of an efficiency parameter which crudely represents the effects of unsaturated processes. The form of this efficiency parameter is assumed to be defined by initial conditions, dependent on the nature of a pre-existing vortex required to precondition the atmosphere to a state in which the vortex can intensify. Evaluation of the simple model using a primitive-equation, nonlinear numerical model provides support for the prediction of exponential perturbation growth. Good agreement is found between the simple and numerical models for the sensitivities of the measured growth rate to various parameters, including surface roughness, the rate of transfer of heat and moisture from the ocean surface, and the scale for the growing vortex.

Variability of the North Atlantic eddy-driven jet stream

Much of the atmospheric variability in the North Atlantic sector is associated with variations in the eddy-driven component of the zonal flow. Here we present a simple method to specifically diagnose this component of the flow using the low-level wind field (925–700 hpa ). We focus on the North Atlantic winter season in the ERA-40 reanalysis. Diagnostics of the latitude and speed of the eddy-driven jet stream are compared with conventional diagnostics of the North Atlantic Oscillation (NAO) and the East Atlantic (EA) pattern. This shows that the NAO and the EA both describe combined changes in the latitude and speed of the jet stream. It is therefore necessary, but not always sufficient, to consider both the NAO and the EA in identifying changes in the jet stream. The jet stream analysis suggests that there are three preferred latitudinal positions of the North Atlantic eddy-driven jet stream in winter. This result is in very good agreement with the application of a statistical mixture model to the two-dimensional state space defined by the NAO and the EA. These results are consistent with several other studies which identify four European/Atlantic regimes, comprising three jet stream patterns plus European blocking events.

A model for the evolution of pathogen-induced leaf shedding

A size-structured plant population model is developed to study the evolution of pathogen-induced leaf shedding under various environmental conditions. The evolutionary stable strategy (ESS) of the leaf shedding rate is determined for two scenarios: i) a constant leaf shedding strategy and ii) an infection load driven leaf shedding strategy. The model predicts that ESS leaf shedding rates increase with nutrient availability. No effect of plant density on the ESS leaf shedding rate is found even though disease severity increases with plant density. When auto-infection, that is increased infection due to spores produced on the plant itself, plays a key role in further disease increase on the plant, shedding leaves removes disease that would otherwise contribute to disease increase on the plant itself. Consequently leaf shedding responses to infections may evolve. When external infection, that is infection due to immigrant spores, is the key determinant, shedding a leaf does not reduce the force of infection on the leaf shedding plant. In this case leaf shedding will not evolve. Under a low external disease pressure adopting an infection driven leaf shedding strategy is more efficient than adopting a constant leaf shedding strategy, since a plant adopting an infection driven leaf shedding strategy does not shed any leaves in the absence of infection, even when leaf shedding rates are high. A plant adopting a constant leaf shedding rate sheds the same amount of leaves regardless of the presence of infection. Based on the results we develop two hypotheses that can be tested if the appropriate plant material is available.

Muscle hypertrophy driven by myostatin blockade does not require stem/precursor-cell activity

Myostatin, a member of the TGF-beta family, has been identified as a powerful inhibitor of muscle growth. Absence or blockade of myostatin induces massive skeletal muscle hypertrophy that is widely attributed to proliferation of the population of muscle fiber-associated satellite cells that have been identified as the principle source of new muscle tissue during growth and regeneration. Postnatal blockade of myostatin has been proposed as a basis for therapeutic strategies to combat muscle loss in genetic and acquired myopathies. But this approach, according to the accepted mechanism, would raise the threat of premature exhaustion of the pool of satellite cells and eventual failure of muscle regeneration. Here, we show that hypertrophy in the absence of myostatin involves little or no input from satellite cells. Hypertrophic fibers contain no more myonuclei or satellite cells and myostatin had no significant effect on satellite cell proliferation in vitro, while expression of myostatin receptors dropped to the limits of detectability in postnatal satellite cells. Moreover, hypertrophy of dystrophic muscle arising from myostatin blockade was achieved without any apparent enhancement of contribution of myonuclei from satellite cells. These findings contradict the accepted model of myostatin-based control of size of postnatal muscle and reorient fundamental investigations away from the mechanisms that control satellite cell proliferation and toward those that increase myonuclear domain, by modulating synthesis and turnover of structural muscle fiber proteins. It predicts too that any benefits of myostatin blockade in chronic myopathies are unlikely to impose any extra stress on the satellite cells.