Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

Acoustic emission technique for leak detection in an end shield of a pressurised heavy water reactor

This paper discusses a successful application of the Acoustic Emission Technique (AET) for the detection and location of leak paths present on an inaccessible side of an end shield of a Pressurised Heavy Water Reactor (PHWR). The methodology was based on the fact that air- and water-leak AE signals have different characteristic features. Baseline data was generated from a sound end shield of a PHWR for characterising the background noise. A mock-up end shield system with saw-cut leak paths was used to verify the validity of the methodology. It was found that air-leak signals under pressurisation (as low as 3 psi) could be detected by frequency domain analysis. Signals due to air leaks from various locations of defective end shield were acquired and analysed. It was possible to detect and locate leak paths. The presence of detected leak paths was further confirmed by an alternative test.

The intramolecular external heavy atom effect in bromo-, benzo-, and naphthonorbornenes

A theoretical analysis of the external heavy atom effect of a halogen atom on the radiative rate constant of phosphorescence is examined as a function of position of a bromine atom or atoms relative to a naphthalene or a benzene chromophore for a series of mono- and dibromo-, naphtho-, and benzonorbornenes. The theoretical results are then compared to experimentaldata and lead to the conclusion that the enhancement of the phosphorescence process takes place through the second-ordermixing of the triplet states of the chromophore with the singlet charge transfer states arising primarily from an electron transferfrom the orbitals of the heavy atom perturber to the unfilled x* orbitals of the chromophore.

The 26 July 2005 heavy rainfall event over Mumbai: numerical modeling aspects

The performance of the Advanced Regional Prediction System (ARPS) in simulating an extreme rainfall event is evaluated, and subsequently the physical mechanisms leading to its initiation and sustenance are explored. As a case study, the heavy precipitation event that led to 65 cm of rainfall accumulation in a span of around 6 h (1430 LT-2030 LT) over Santacruz (Mumbai, India), on 26 July, 2005, is selected. Three sets of numerical experiments have been conducted. The first set of experiments (EXP1) consisted of a four-member ensemble, and was carried out in an idealized mode with a model grid spacing of 1 km. In spite of the idealized framework, signatures of heavy rainfall were seen in two of the ensemble members. The second set (EXP2) consisted of a five-member ensemble, with a four-level one-way nested integration and grid spacing of 54, 18, 6 and 1 km. The model was able to simulate a realistic spatial structure with the 54, 18, and 6 km grids; however, with the 1 km grid, the simulations were dominated by the prescribed boundary conditions. The third and final set of experiments (EXP3) consisted of a five-member ensemble, with a four-level one-way nesting and grid spacing of 54, 18, 6, and 2 km. The Scaled Lagged Average Forecasting (SLAF) methodology was employed to construct the ensemble members. The model simulations in this case were closer to observations, as compared to EXP2. Specifically, among all experiments, the timing of maximum rainfall, the abrupt increase in rainfall intensities, which was a major feature of this event, and the rainfall intensities simulated in EXP3 (at 6 km resolution) were closest to observations. Analysis of the physical mechanisms causing the initiation and sustenance of the event reveals some interesting aspects. Deep convection was found to be initiated by mid-tropospheric convergence that extended to lower levels during the later stage. In addition, there was a high negative vertical gradient of equivalent potential temperature suggesting strong atmospheric instability prior to and during the occurrence of the event. Finally, the presence of a conducive vertical wind shear in the lower and mid-troposphere is thought to be one of the major factors influencing the longevity of the event.

Elliptic flow of thermal photons in heavy-ion collisions at Relativistic Heavy Ion Collider and Large Hadron Collider

We calculate the thermal photon transverse momentum spectra and elliptic flow in $\sqrt{s_{NN}} = 200$ GeV Au+Au collisions at RHIC and in $\sqrt{s_{NN}} = 2.76$ TeV Pb+Pb collisions at the LHC, using an ideal-hydrodynamical framework which is constrained by the measured hadron spectra at RHIC and LHC. The sensitivity of the results to the QCD-matter equation of state and to the photon emission rates is studied, and the photon $v_2$ is discussed in the light of the photonic $p_T$ spectrum measured by the PHENIX Collaboration. In particular, we make a prediction for the thermal photon $p_T$ spectra and elliptic flow for the current LHC Pb+Pb collisions.

Central Limit Theorem for truncated heavy tailed Banach valued random vectors

In this paper the question of the extent to which truncated heavy tailed random vectors, taking values in a Banach space, retain the characteristic features of heavy tailed random vectors, is answered from the point of view of the central limit theorem.

Heavy-metal removal using liquid membrane

Experiments have been conducted to obtain the optimum conditions of hydrogen ion concentration of feed and strip phases and concentration of the carrier ALAMINE 336, in the extraction of Cr(VI) and Hg(II) using two different types of liquid membranes-bulk liquid membrane and emulsion liquid membrane. Experiments have also been carried out to find the effect of metal loading and the effect of extraction time on metal flux.

Leak Detection In Pressure Tubes Of A Pressurized Heavy-Water Reactor By Acoustic-Emission Technique

Leak detection in the fuel channels is one of the challenging problems during the in-service inspection (ISI) of Pressurised Heavy Water Reactors (PHWRs). In this paper, the use of an acoustic emission (AE) technique together with AE signal analysis is described, to detect a leak that was ncountered in one (or more) of the 306 fuel channels of the Madras Atomic Power Station (PHWR), Unit I. The paper describes the problems encountered during the ISI, the experimental methods adopted and the results obtained. Results obtained using acoustic emission signal analysis are compared with those obtained from other leak detection methods used in such cases.

Influence of pH on the retention of heavy metal ions by fly ash

Clay liners have been widely used to contain toxic and hazardous wastes. Clays adsorb the contaminant cations due to their exchange capacity. To improve the performance of the clay liner, fly ash, a waste material arising out of combustion of coal has been studied as a pre-filter material. The results indicate that fly ash has the potential to retain heavy metal ions. This study concerns the retention of zinc by fly ash. The influence of pH on retention as well as leaching characteristics are examined. The results obtained from the retention experiments by permeameter method indicate that fly ash retains the zinc ions through precipitation in the pores as well as onto the surface when the ambient pH value is more than 6.9, and only through adsorption when the pH value is less than 6.9. It has been observed that fly ash did not release the retained zinc ions when the pH value is between 3.5 and 10.0. Hence, the retention of zinc ions by fly ash is likely to be permanent since the pH of most of the landfill leachates are between 3.7 to 8.8.