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.

Opportunities for improvements in flocking models

Flocking is the capacity of coherent movement between multiple animals, including birds. Prominent research into flocking is presented. Particle Swarm Optimisation (PSO) has been the prominent result from research into flocking. It is considered that opportunities for further research in flocking exist. With the potential for automated traffic systems, it is concluded that flocking should be reinvestigated for this purpose.

Examination of Relationships between Clear-Sky Longwave Radiation and Aspects of the Atmospheric Hydrological Cycle in Climate Models, Reanalyses, and Observations

Relationships between clear-sky longwave radiation and aspects of the atmospheric hydrological cycle are quantified in models, reanalyses, and observations over the period 1980-2000. The robust sensitivity of clear-sky surface net longwave radiation (SNLc) to column-integrated water vapor (CWV) of 1-1.5 Wm(-2) mm(-1) combined with the positive relationship between CWV and surface temperature (T-s) explains substantial increases in clear-sky longwave radiative cooling of the atmosphere (Q(LWc)) to the surface over the period. Clear-sky outgoing longwave radiation (OLRc) is highly sensitive to changes in aerosol and greenhouse gas concentrations in addition to temperature and humidity. Over tropical ocean regions of mean descent, Q(LWc) increases with T-s at similar to 3.5-5.5 W m(-2) K-1 for reanalyses, estimates derived from satellite data, and models without volcanic forcing included. Increased Q(LWc) with warming across the tropical oceans helps to explain model ensemble mean increases in precipitation of 0.1-0.15 mm day(-1) K-1, which are primarily determined by ascent regions where precipitation increases at the rate expected from the Clausius-Clapeyron equation. The implications for future projections in the atmospheric hydrological cycle are discussed

Aqueous geochemistry and oxygen isotope compositions of acid mine drainage from the Río Tinto, SW Spain, highlight inconsistencies in current models

The Rio Tinto river in SW Spain is a classic example of acid mine drainage and the focus of an increasing amount of research including environmental geochemistry, extremophile microbiology and Mars-analogue studies. Its 5000-year mining legacy has resulted in a wide range of point inputs including spoil heaps and tunnels draining underground workings. The variety of inputs and importance of the river as a research site make it an ideal location for investigating sulphide oxidation mechanisms at the field scale. Mass balance calculations showed that pyrite oxidation accounts for over 93% of the dissolved sulphate derived from sulphide oxidation in the Rio Tinto point inputs. Oxygen isotopes in water and sulphate were analysed from a variety of drainage sources and displayed delta O-18((SO4-H2O)) values from 3.9 to 13.6 parts per thousand, indicating that different oxidation pathways occurred at different sites within the catchment. The most commonly used approach to interpreting field oxygen isotope data applies water and oxygen fractionation factors derived from laboratory experiments. We demonstrate that this approach cannot explain high delta O-18((SO4-H2O)) values in a manner that is consistent with recent models of pyrite and sulphoxyanion oxidation. In the Rio Tinto, high delta O-18((SO4-H2O)) values (11.2-13.6 parts per thousand) occur in concentrated (Fe = 172-829 mM), low pH (0.88-1.4), ferrous iron (68-91% of total Fe) waters and are most simply explained by a mechanism involving a dissolved sulphite intermediate, sulphite-water oxygen equilibrium exchange and finally sulphite oxidation to sulphate with O-2. In contrast, drainage from large waste blocks of acid volcanic tuff with pyritiferous veins also had low pH (1.7). but had a low delta O-18((SO4-H2O)) value of 4.0 parts per thousand and high concentrations of ferric iron (Fe(III) = 185 mM, total Fe = 186 mM), suggesting a pathway where ferric iron is the primary oxidant, water is the primary source of oxygen in the sulphate and where sulphate is released directly from the pyrite surface. However, problems remain with the sulphite-water oxygen exchange model and recommendations are therefore made for future experiments to refine our understanding of oxygen isotopes in pyrite oxidation. (C) 2009 Elsevier B.V. All rights reserved.

Fermentation of resistant starches: influence of in vitro models on colon carcinogenesis

Resistant starch type 2 (RS2) and type 3 (RS3) containing preparations were digested using a batch (a) and a dynamic in vitro model (b). Furthermore, in vivo obtained indigestible fractions from ileostomy patients were used (c). Subsequently these samples were fermented with human feces with a batch and a dynamic in vitro method. The fermentation supernatants were used to treat CAC02 cells. Cytotoxicity, anti-genotoxicity against hydrogen peroxide (comet assay) and the effect on barrier function measured by trans-epithelial electrical resistance were determine. Dynamically fermented samples led to high cytotoxic activity, probably due to additional compounds added during in vitro fermentation. As a consequence only batch fermented samples were investigated further. Batch fermentation of RS resulted in an anti-genotoxic activity ranging from 9-30% decrease in DNA damage for all the samples, except for RS2-b. It is assumed that the changes in RS2 structures due to dynamic digestion resulted in a different fermentation profile not leading to any anti-genotoxic effect. Additionally, in vitro batch fermentation of RS caused an improvement in integrity across the intestinal barrier by approximately 22% for all the samples. We have demonstrated that batch in vitro fermentation of RS2 and RS3 preparations differently pre-digested are capable of inhibiting the initiation and promotion stage in colon carcinogenesis in vitro.

Baroclinic stationary waves in aquaplanet models

An aquaplanet model is used to study the nature of the highly persistent low-frequency waves that have been observed in models forced by zonally symmetric boundary conditions. Using the Hayashi spectral analysis of the extratropical waves, the authors find that a quasi-stationary wave 5 belongs to a wave packet obeying a well-defined dispersion relation with eastward group velocity. The components of the dispersion relation with k ≥ 5 baroclinically convert eddy available potential energy into eddy kinetic energy, whereas those with k < 5 are baroclinically neutral. In agreement with Green’s model of baroclinic instability, wave 5 is weakly unstable, and the inverse energy cascade, which had been previously proposed as a main forcing for this type of wave, only acts as a positive feedback on its predominantly baroclinic energetics. The quasi-stationary wave is reinforced by a phase lock to an analogous pattern in the tropical convection, which provides further amplification to the wave. It is also found that the Pedlosky bounds on the phase speed of unstable waves provide guidance in explaining the latitudinal structure of the energy conversion, which is shown to be more enhanced where the zonal westerly surface wind is weaker. The wave’s energy is then trapped in the waveguide created by the upper tropospheric jet stream. In agreement with Green’s theory, as the equator-to-pole SST difference is reduced, the stationary marginally stable component shifts toward higher wavenumbers, while wave 5 becomes neutral and westward propagating. Some properties of the aquaplanet quasi-stationary waves are found to be in interesting agreement with a low frequency wave observed by Salby during December–February in the Southern Hemisphere so that this perspective on low frequency variability, apart from its value in terms of basic geophysical fluid dynamics, might be of specific interest for studying the earth’s atmosphere.

Atmospheric blocking and mean biases in climate models

Models often underestimate blocking in the Atlantic and Pacific basins and this can lead to errors in both weather and climate predictions. Horizontal resolution is often cited as the main culprit for blocking errors due to poorly resolved small-scale variability, the upscale effects of which help to maintain blocks. Although these processes are important for blocking, the authors show that much of the blocking error diagnosed using common methods of analysis and current climate models is directly attributable to the climatological bias of the model. This explains a large proportion of diagnosed blocking error in models used in the recent Intergovernmental Panel for Climate Change report. Furthermore, greatly improved statistics are obtained by diagnosing blocking using climate model data corrected to account for mean model biases. To the extent that mean biases may be corrected in low-resolution models, this suggests that such models may be able to generate greatly improved levels of atmospheric blocking.

Hyper-parallel tempering Monte Carlo simulations of Ar adsorption in new models of microporous non-graphitizing activated carbon: effect of microporosity

The adsorption of gases on microporous carbons is still poorly understood, partly because the structure of these carbons is not well known. Here, a model of microporous carbons based on fullerene- like fragments is used as the basis for a theoretical study of Ar adsorption on carbon. First, a simulation box was constructed, containing a plausible arrangement of carbon fragments. Next, using a new Monte Carlo simulation algorithm, two types of carbon fragments were gradually placed into the initial structure to increase its microporosity. Thirty six different microporous carbon structures were generated in this way. Using the method proposed recently by Bhattacharya and Gubbins ( BG), the micropore size distributions of the obtained carbon models and the average micropore diameters were calculated. For ten chosen structures, Ar adsorption isotherms ( 87 K) were simulated via the hyper- parallel tempering Monte Carlo simulation method. The isotherms obtained in this way were described by widely applied methods of microporous carbon characterisation, i. e. Nguyen and Do, Horvath - Kawazoe, high- resolution alpha(a)s plots, adsorption potential distributions and the Dubinin - Astakhov ( DA) equation. From simulated isotherms described by the DA equation, the average micropore diameters were calculated using empirical relationships proposed by different authors and they were compared with those from the BG method.

Cannabidiol exerts anti-convulsant effects in animal models of temporal lobe and partial seizures

Cannabis sativa has been associated with contradictory effects upon seizure states despite its medicinal use by numerous people with epilepsy. We have recently shown that the phytocannabinoid cannabidiol (CBD) reduces seizure severity and lethality in the well-established in vivo model of pentylenetetrazoleinduced generalised seizures, suggesting that earlier, small-scale clinical trials examining CBD effects in people with epilepsy warrant renewed attention. Here, we report the effects of pure CBD (1, 10 and 100 mg/kg) in two other established rodent seizure models, the acute pilocarpine model of temporal lobe seizure and the penicillin model of partial seizure. Seizure activity was video recorded and scored offline using model-specific seizure severity scales. In the pilocarpine model CBD (all doses) significantly reduced the percentage of animals experiencing the most severe seizures. In the penicillin model, CBD (�10 mg/kg) significantly decreased the percentage mortality as a result of seizures; CBD (all doses) also decreased the percentage of animals experiencing the most severe tonic–clonic seizures. These results extend the anticonvulsant profile of CBD; when combined with a reported absence of psychoactive effects, this evidence strongly supports CBD as a therapeutic candidate for a diverse range of human epilepsies.

Co-variation of temperature and precipitation in CMIP5 models and satellite observations

Current variability of precipitation (P) and its response to surface temperature (T) are analysed using coupled(CMIP5) and atmosphere-only (AMIP5) climate model simulations and compared with observational estimates. There is striking agreement between Global Precipitation Climatology Project (GPCP) observed and AMIP5 simulated P anomalies over land both globally and in the tropics suggesting that prescribed sea surface temperature and realistic radiative forcings are sufficient for simulating the interannual variability in continental P. Differences between the observed and simulated P variability over the ocean, originate primarily from the wet tropical regions, in particular the western Pacific, but are reduced slightly after 1995. All datasets show positive responses of P to T globally of around 2 %/K for simulations and 3-4 %/K in GPCP observations but model responses over the tropical oceans are around 3 times smaller than GPCP over the period 1988-2005. The observed anticorrelation between land and ocean P, linked with El Niño Southern Oscillation, is captured by the simulations. All data sets over the tropical ocean show a tendency for wet regions to become wetter and dry regions drier with warming. Over the wet region (75% precipitation percentile), the precipitation response is ~13-15%/K for GPCP and ~5%/K for models while trends in P are 2.4%/decade for GPCP, 0.6% /decade for CMIP5 and 0.9%/decade for AMIP5 suggesting that models are underestimating the precipitation responses or a deficiency exists in the satellite datasets.