A comprehensive comparison of fuel options for fuel cell vehicles in China

Fuel cell vehicles (FCVs) offer the potential of ultra-low emissions combined with high efficiency. Proton exchange membrane (PEM) fuel cells being developed for vehicles require hydrogen as a fuel. Due to the various pathways of hydrogen generation, both onboard and off-board, the question about which fuel option is the most competitive for fuel cell vehicles is of great current interest. In this paper, a life-cycle assessment (LCA) model was made to conduct a comprehensive study of the energy, environmental, and economic (3E) impacts of FCVs from well to wheel (WTW). In view of the special energy structure of China and the timeframe, 10 vehicle/fuel systems are chosen as the study projects. The results show that methanol is the most suitable fuel to serve as the ideal hydrogen source for fuel cell vehicles in the timeframe and geographic regions of this study. On the other hand, gasoline and pure hydrogen can also play a role in short-term and regional applications, especially for local demonstrations of FCV fleets. (c) 2004 Elsevier B.V All rights reserved.

A study of the Hobson and Rogers volatility model

We firstly examine the model of Hobson and Rogers for the volatility of a financial asset such as a stock or share. The main feature of this model is the specification of volatility in terms of past price returns. The volatility process and the underlying price process share the same source of randomness and so the model is said to be complete. Complete models are advantageous as they allow a unique, preference independent price for options on the underlying price process. One of the main objectives of the model is to reproduce the `smiles' and `skews' seen in the market implied volatilities and this model produces the desired effect. In the first main piece of work we numerically calibrate the model of Hobson and Rogers for comparison with existing literature. We also develop parameter estimation methods based on the calibration of a GARCH model. We examine alternative specifications of the volatility and show an improvement of model fit to market data based on these specifications. We also show how to process market data in order to take account of inter-day movements in the volatility surface. In the second piece of work, we extend the Hobson and Rogers model in a way that better reflects market structure. We extend the model to take into account both first and second order effects. We derive and numerically solve the pde which describes the price of options under this extended model. We show that this extension allows for a better fit to the market data. Finally, we analyse the parameters of this extended model in order to understand intuitively the role of these parameters in the volatility surface.

Multigrid for American option pricing with stochastic volatility

The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices and adaptive time-stepping.

Numerical solutions of certain nonlinear models in European options on a distributed computing environment

Financial modelling in the area of option pricing involves the understanding of the correlations between asset and movements of buy/sell in order to reduce risk in investment. Such activities depend on financial analysis tools being available to the trader with which he can make rapid and systematic evaluation of buy/sell contracts. In turn, analysis tools rely on fast numerical algorithms for the solution of financial mathematical models. There are many different financial activities apart from shares buy/sell activities. The main aim of this chapter is to discuss a distributed algorithm for the numerical solution of a European option. Both linear and non-linear cases are considered. The algorithm is based on the concept of the Laplace transform and its numerical inverse. The scalability of the algorithm is examined. Numerical tests are used to demonstrate the effectiveness of the algorithm for financial analysis. Time dependent functions for volatility and interest rates are also discussed. Applications of the algorithm to non-linear Black-Scholes equation where the volatility and the interest rate are functions of the option value are included. Some qualitative results of the convergence behaviour of the algorithm is examined. This chapter also examines the various computational issues of the Laplace transformation method in terms of distributed computing. The idea of using a two-level temporal mesh in order to achieve distributed computation along the temporal axis is introduced. Finally, the chapter ends with some conclusions.

Borehole Optimisation System (BOS) - a case study assessing options for abstraction of urban groundwater in Nottingham, UK

The recognition that urban groundwater is a potentially valuable resource for potable and industrial uses due to growing pressures on perceived less polluted rural groundwater has led to a requirement to assess the groundwater contamination risk in urban areas from industrial contaminants such as chlorinated solvents. The development of a probabilistic risk based management tool that predicts groundwater quality at potential new urban boreholes is beneficial in determining the best sites for future resource development. The Borehole Optimisation System (BOS) is a custom Geographic Information System (GIs) application that has been developed with the objective of identifying the optimum locations for new abstraction boreholes. BOS can be applied to any aquifer subject to variable contamination risk. The system is described in more detail by Tait et al. [Tait, N.G., Davison, J.J., Whittaker, J.J., Lehame, S.A. Lerner, D.N., 2004a. Borehole Optimisation System (BOS) - a GIs based risk analysis tool for optimising the use of urban groundwater. Environmental Modelling and Software 19, 1111-1124]. This paper applies the BOS model to an urban Permo-Triassic Sandstone aquifer in the city centre of Nottingham, UK. The risk of pollution in potential new boreholes from the industrial chlorinated solvent tetrachloroethene (PCE) was assessed for this region. The risk model was validated against contaminant concentrations from 6 actual field boreholes within the study area. In these studies the model generally underestimated contaminant concentrations. A sensitivity analysis showed that the most responsive model parameters were recharge, effective porosity and contaminant degradation rate. Multiple simulations were undertaken across the study area in order to create surface maps indicating areas of low PCE concentrations, thus indicating the best locations to place new boreholes. Results indicate that northeastern, eastern and central regions have the lowest potential PCE concentrations in abstraction groundwater and therefore are the best sites for locating new boreholes. These locations coincide with aquifer areas that are confined by low permeability Mercia Mudstone deposits. Conversely southern and northwestern areas are unconfined and have shallower depth to groundwater. These areas have the highest potential PCE concentrations. These studies demonstrate the applicability of BOS as a tool for informing decision makers on the development of urban groundwater resources. (c) 2007 Elsevier Ltd. All rights reserved.

Pilot-scale evaluation of the application of low pH-inducible polyphosphate accumulation to the biological removal of phosphate from wastewaters.

To investigate the possible biotechnological application of the phenomenon of low pH-inducible phosphate uptake and polyphosphate accumulation, previously reported using pure microbial cultures and under laboratory conditions, a 2000 L activated sludge pilot plant was constructed at a municipal sewage treatment works. When operated as a single-stage reactor this removed more than 60% of influent phosphate from primary settled sewage at a pH of 6.0, as opposed to approximately 30% at the typical operational pH for the works of 7.0-7.3-yet without any deleterious effect on other treatment parameters. At these pH values the phosphorus content of the sludge was, respectively, 4.2% and 2.0%. At pH 6.0 some 33.9% of sludge microbial cells were observed to contain polyphosphate inclusions; the corresponding value at pH 7.0 was 18.7%. Such a process may serve as a prototype for the development of alternative biological and chemical options for phosphate removal from wastewaters.

An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets

The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis (FDA) approach, provides a framework to produce and interpret functional objects that characterise the underlying dynamics of oil future options. We use the FDA framework to examine implied volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007–2013 period, which includes the global financial crisis and the Arab Spring, strong evidence is found of converse jump dynamics during periods of demand and supply side weakness. This is used as a basis for an FDA-derived Merton (1976) jump diffusion optimised delta hedging strategy, which exhibits superior portfolio management results over traditional methods.

Land use for England and Wales: evaluation of management options to support 'good ecological status' in surface freshwaters

This paper analyses historic records of agricultural land use and management for England and Wales from 1931 and 1991 and uses export coefficient modelling to hindcast the impact of these practices on the rates of diffuse nitrogen (N) and phosphorus (P) export to water bodies for each of the major geo-climatic regions of England and Wales. Key trends indicate the importance of animal agriculture as a contributor to the total diffuse agricultural nutrient loading on waters, and the need to bring these sources under control if conditions suitable for sustaining 'Good Ecological Status' under the Water Framework Directive are to be generated. The analysis highlights the importance of measuring changes in nutrient loading in relation to the catchment-specific baseline state for different water bodies. The approach is also used to forecast the likely impact of broad regional scale scenarios on nutrient export to waters and highlights the need to take sensitive land out of production, introduce ceilings on fertilizer use and stocking densities, and controls on agricultural practice in higher risk areas where intensive agriculture is combined with a low intrinsic nutrient retention capacity, although the uncertainties associated with the modelling applied at this scale should be taken into account in the interpretation of model output. The paper advocates the need for a two-tiered approach to nutrient management, combining broad regional policies with targeted management in high risk areas at the catchment and farm scale.

Closed form approximations for spread options

This article expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new closed form approximation for the price of a European spread option and a corresponding approximation for each of its price, volatility and correlation hedge ratios. Our approach has many advantages over existing analytical approximations, which have limited validity and an indeterminacy that renders them of little practical use. The compound exchange option approximation for European spread options is then extended to American spread options on assets that pay dividends or incur costs. Simulations quantify the accuracy of our approach; we also present an empirical application to the American crack spread options that are traded on NYMEX. For illustration, we compare our results with those obtained using the approximation attributed to Kirk (1996, Correlation in energy markets. In: V. Kaminski (Ed.), Managing Energy Price Risk, pp. 71–78 (London: Risk Publications)), which is commonly used by traders.

Pricing the options inherent in leased commercial property: a UK case study

This paper sets out the findings of a group of research and development projects carried out at the Department of Real Estate & Planning at the University of Reading and at Oxford Property Systems over the period 1999 – 2003. The projects have several aims: these are to identify the fundamental drivers of the pricing of different lease terms in the UK property sector; to identify current and best market practice and uncover the main variations in lease terms; to identify key issues in pricing lease terms; and to develop a model for the pricing of rent under a variety of lease variations. From the landlord’s perspective, the main factors driving the required ‘compensation’ for a lease term amendment include expected rental volatility, expected probability of tenant vacation, and the expected costs of tenant vacation. These data are used in conjunction with simulation technology to reflect the options inherent in certain lease types to explore the required rent adjustment. The resulting cash flows have interesting qualities which illustrate the potential importance of option pricing in a non-complex and practical way.

Options for enhancing the biodiversity value of intensive livestock farms: experience from the English agri-environment schemes

Permanent grassland makes up a greater proportion of the agricultural area in the UK and Ireland than in any other EU country, representing 60% and 72% of UAA respectively (Eurostat 2007). Of the permanent grassland in the UK, approximately half (about 6 million hectares) comprises improved grassland on moist or free-draining neutral soils typical of lowland livestock farms. These swards tend to have low plant species richness and are typically dominated by perennial ryegrass (Lolium perenne). The aim of this paper is to review the ways in which biodiversity of such farmland can be enhanced, focussing on the evidence behind management options in English agri-environment schemes (AES) at a range of scales and utilising a range of mechanisms.

Mobilising community action towards a low-carbon future: Opportunities and challenges for local government in the UK

Over the last decade the important role that local authorities can play in catalyzing communityaction on climate change has been repeatedly emphasised by the UK Government. The paper examines this policy context and explores the options available to local authorities in terms of reaching and engaging their communities. The type of progressive response shown by some UKlocal authorities is illustrated with empirical evidence gathered through a study conducted in the London Borough of Islington focusing on their recently established ‘Green Living Centre’. The results confirm interest in this major council-led community initiative, with positive attitudes expressed by the majority of those questioned in terms of the advice and information available. However, it is also clear that many participants had preexisting pro-environmental attitudes and behavioural routines. Results from a broader sample of Islington residents indicate a substantial challenge in reaching the wider community, where enthusiasm for sustainability change and interest in this type of scheme were more mixed. The prospect for local government in addressing this challenge – and their ability to trigger and capitalize upon concepts of social change at the community level towardsalowercarbon future – is discussed in the final part of the paper.

Futures basis, inventory and commodity price volatility: an empirical analysis

We employ a large dataset of physical inventory data on 21 different commodities for the period 1993–2011 to empirically analyze the behavior of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between inventory and the shape of the forward curve. Low (high) inventory is associated with forward curves in backwardation (contango), as the theory of storage predicts. Second, we show that price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect is more pronounced in backwardated markets. Our findings are robust with respect to alternative inventory measures and over the recent commodity price boom.

Seasonality and the valuation of commodity options

Price movements in many commodity markets exhibit significant seasonal patterns. However, given an observed futures price, a deterministic seasonal component at the price level is not relevant for the pricing of commodity options. In contrast, this is not true for the seasonal pattern observed in the volatility of the commodity price. Analyzing an extensive sample of soybean, corn, heating oil and natural gas options, we find that seasonality in volatility is an important aspect to consider when valuing these contracts. The inclusion of an appropriate seasonality adjustment significantly reduces pricing errors in these markets and yields more improvement in valuation accuracy than increasing the number of stochastic factors.

Options for support to agriculture and food security under climate change

Agriculture and food security are key sectors for intervention under climate change. Agricultural production is highly vulnerable even to 2C (low-end) predictions for global mean temperatures in 2100, with major implications for rural poverty and for both rural and urban food security. Agriculture also presents untapped opportunities for mitigation, given the large land area under crops and rangeland, and the additional mitigation potential of aquaculture. This paper presents a summary of current knowledge on options to support farmers, particularly smallholder farmers, in achieving food security through agriculture under climate change. Actions towards adaptation fall into two broad overlapping areas: (1) accelerated adaptation to progressive climate change over decadal time scales, for example integrated packages of technology, agronomy and policy options for farmers and food systems, and (2) better management of agricultural risks associated with increasing climate variability and extreme events, for example improved climate information services and safety nets. Maximization of agriculture’s mitigation potential will require investments in technological innovation and agricultural intensification linked to increased efficiency of inputs, and creation of incentives and monitoring systems that are inclusive of smallholder farmers. Food systems faced with climate change need urgent, broad-based action in spite of uncertainties.