Modelling the implied volatility of options on long gilt futures

This paper investigates the properties of implied volatility series calculated from options on Treasury bond futures, traded on LIFFE. We demonstrate that the use of near-maturity at the money options to calculate implied volatilities causes less mis-pricing and is therefore superior to, a weighted average measure encompassing all relevant options. We demonstrate that, whilst a set of macroeconomic variables has some predictive power for implied volatilities, we are not able to earn excess returns by trading on the basis of these predictions once we allow for typical investor transactions costs.

Modelling the structure of a polymer glass poly(methylmethacrylate) through neutron scattering experiments

Determination of the local structure of a polymer glass by scattering methods is complex due to the number of spatial and orientational correlations, both from within the polymer chain (intrachain) and between neighbouring chains (interchain), from which the scattering arises. Recently considerable advances have been made in the structural analysis of relatively simple polymers such as poly(ethylene) through the use of broad Q neutron scattering data tightly coupled to atomistic modelling procedures. This paper presents the results of an investigation into the use of these procedures for the analysis of the local structure of a-PMMA which is chemically more complex with a much greater number of intrachain structural parameters. We have utilised high quality neutron scattering data obtained using SANDALS at ISIS coupled with computer models representing both the single chain and bulk polymer system. Several different modelling approaches have been explored which encompass such techniques as Reverse Monte Carlo refinement and energy minimisation and their relative merits and successes are discussed. These different approaches highlight structural parameters which any realistic model of glassy atactic PMMA must replicate.

Modelling the impact of land use change on water quality in agricultural catchments

Export coefficient modelling was used to model the impact of agriculture on nitrogen and phosphorus loading on the surface waters of two contrasting agricultural catchments. The model was originally developed for the Windrush catchment where the highly reactive Jurassic limestone aquifer underlying the catchment is well connected to the surface drainage network, allowing the system to be modelled using uniform export coefficients for each nutrient source in the catchment, regardless of proximity to the surface drainage network. In the Slapton catchment, the hydrological path-ways are dominated by surface and lateral shallow subsurface flow, requiring modification of the export coefficient model to incorporate a distance-decay component in the export coefficients. The modified model was calibrated against observed total nitrogen and total phosphorus loads delivered to Slapton Ley from inflowing streams in its catchment. Sensitivity analysis was conducted to isolate the key controls on nutrient export in the modified model. The model was validated against long-term records of water quality, and was found to be accurate in its predictions and sensitive to both temporal and spatial changes in agricultural practice in the catchment. The model was then used to forecast the potential reduction in nutrient loading on Slapton Ley associated with a range of catchment management strategies. The best practicable environmental option (BPEO) was found to be spatial redistribution of high nutrient export risk sources to areas of the catchment with the greatest intrinsic nutrient retention capacity.

Applicability of molecular simulations for modelling the adsorption of the greenhouse gas CF4 on carbons

Tetrafluoromethane, CF4, is powerful greenhouse gas, and the possibility of storing it in microporous carbon has been widely studied. In this paper we show, for the first time, that the results of molecular simulations can be very helpful in the study of CF4 adsorption. Moreover, experimental data fit to the results collected from simulations. We explain the meaning of the empirical parameters of the supercritical Dubinin–Astakhov model proposed by Ozawa and finally the meaning of the parameter k of the empirical relation proposed by Amankwah and Schwarz.

Modelling the diurnal cycle of tropical convection across the "Grey Zone"

We present the results of simulations carried out with the Met Office Unified Model at 12km, 4km and 1.5km resolution for a large region centred on West Africa using several different representations of the convection processes. These span the range of resolutions from much coarser than the size of the convection processes to the cloud-system resolving and thus encompass the intermediate "grey-zone". The diurnal cycle in the extent of convective regions in the models is tested against observations from the Geostationary Earth Radiation Budget instrument on Meteosat-8. By this measure, the two best-performing simulations are a 12km model without convective parametrization, using Smagorinsky style sub-grid scale mixing in all three dimensions and a 1.5km simulations with two-dimensional Smagorinsky mixing. Of these, the 12km model produces a better match to the magnitude of the total cloud fraction but the 1.5km results in better timing for its peak value. The results suggest that the previously-reported improvement in the representation of the diurnal cycle of convective organisation in the 4km model compared to the standard 12km configuration is principally a result of the convection scheme employed rather than the improved resolution per se. The details of and implications for high-resolution model simulations are discussed.

DK-1D: a drift-kinetic simulation tool for modelling the shear Alfvén wave and its interaction with collisionless plasma

We present a highly accurate tool for the simulation of shear Alfven waves (SAW) in collisionless plasma. SAW are important in space plasma environments because for small perpendicular scale lengths they can support an electric field parallel to the ambient magnetic field. Electrons can be accelerated by the parallel electric field and these waves have been implicated as the source of vibrant auroral displays. However, the parallel electric field carried by SAW is small in comparison to the perpendicular electric field of the wave, making it difficult to measure directly in the laboratory, or by satellites in the near-Earth plasma environment. In this paper, we present a simulation code that provides a means to study in detail the SAW-particle interaction in both space and laboratory plasma. Using idealised, small-amplitude propagating waves with a single perpendicular wavenumber, the simulation code accurately reproduces the damping rates and parallel electric field amplitudes predicted by linear theory for varying temperatures and perpendicular scale lengths. We present a rigorous kinetic derivation of the parallel electric field strength for small-amplitude SAW and show that commonly-used inertial and kinetic approximations are valid except for where the ratio of thermal to Alfv\'{e}n speed is between 0.7 and 1.0. We also present nonlinear simulations of large-amplitude waves and show that in cases of strong damping, the damping rates and parallel electric field strength deviate from linear predictions when wave energies are greater than only a few percent of the plasma kinetic energy, a situation which is often observed in the magnetosphere. The drift-kinetic code provides reliable, testable predictions of the parallel electric field strength which can be investigated directly in the laboratory, and will help to bridge the gap between studies of SAW in man-made and naturally occuring plasma.

Modelling the economics of farm-based anaerobic digestion in a UK whole-farm context

Anaerobic digestion (AD) technologies convert organic wastes and crops into methane-rich biogas for heating, electricity generation and vehicle fuel. Farm-based AD has proliferated in some EU countries, driven by favourable policies promoting sustainable energy generation and GHG mitigation. Despite increased state support there are still few AD plants on UK farms leading to a lack of normative data on viability of AD in the whole-farm context. Farmers and lenders are therefore reluctant to fund AD projects and policy makers are hampered in their attempts to design policies that adequately support the industry. Existing AD studies and modelling tools do not adequately capture the farm context within which AD interacts. This paper demonstrates a whole-farm, optimisation modelling approach to assess the viability of AD in a more holistic way, accounting for such issues as: AD scale, synergies and conflicts with other farm enterprises, choice of feedstocks, digestate use and impact on farm Net Margin. This modelling approach demonstrates, for example, that: AD is complementary to dairy enterprises, but competes with arable enterprises for farm resources. Reduced nutrient purchases significantly improve Net Margin on arable farms, but AD scale is constrained by the capacity of farmland to absorb nutrients in AD digestate.

Modelling the time-evolution of phytoplankton size spectra from satellite remote sensing

A dynamic size-structured model is developed for phytoplankton and nutrients in the oceanic mixed layer and applied to extract phytoplankton biomass at discrete size fractions from remotely sensed, ocean-colour data. General relationships between cell size and biophysical processes (such as sinking, grazing, and primary production) of phytoplankton were included in the model through a bottom–up approach. Time-dependent, mixed-layer depth was used as a forcing variable, and a sequential data-assimilation scheme was implemented to derive model trajectories. From a given time-series, the method produces estimates of size-structured biomass at every observation, so estimates seasonal succession of individual phytoplankton size, derived here from remote sensing for the first time. From these estimates, normalized phytoplankton biomass size spectra over a period of 9 years were calculated for one location in the North Atlantic. Further analysis demonstrated that strong relationships exist between the seasonal trends of the estimated size spectra and the mixed-layer depth, nutrient biomass, and total chlorophyll. The results contain useful information on the time-dependent biomass flux in the pelagic ecosystem.