Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions

We study the general model of self-financing trading strategies in illiquid markets introduced by Schoenbucher and Wilmott, 2000. A hedging strategy in the framework of this model satisfies a nonlinear partial differential equation (PDE) which contains some function g(alpha). This function is deep connected to an utility function. We describe the Lie symmetry algebra of this PDE and provide a complete set of reductions of the PDE to ordinary differential equations (ODEs). In addition we are able to describe all types of functions g(alpha) for which the PDE admits an extended Lie group. Two of three special type functions lead to models introduced before by different authors, one is new. We clarify the connection between these three special models and the general model for trading strategies in illiquid markets. We study with the Lie group analysis the new special case of the PDE describing the self-financing strategies. In both, the general model and the new special model, we provide the optimal systems of subalgebras and study the complete set of reductions of the PDEs to different ODEs. In all cases we are able to provide explicit solutions to the new special model. In one of the cases the solutions describe power derivative products.Comment: 17 pages, 3 figure

Graph- versus Vector-Based Analysis of a Consensus Protocol

The Paxos distributed consensus algorithm is a challenging case-study for standard, vector-based model checking techniques. Due to asynchronous communication, exhaustive analysis may generate very large state spaces already for small model instances. In this paper, we show the advantages of graph transformation as an alternative modelling technique. We model Paxos in a rich declarative transformation language, featuring (among other things) nested quantifiers, and we validate our model using the GROOVE model checker, a graph-based tool that exploits isomorphism as a natural way to prune the state space via symmetry reductions. We compare the results with those obtained by the standard model checker Spin on the basis of a vector-based encoding of the algorithm.Comment: In Proceedings GRAPHITE 2014, arXiv:1407.767

Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions

We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study the case of a nonlinear demand function involved in the model. Using a Lie group analysis we investigate the symmetry properties of these nonlinear diffusion equations. We provide the optimal systems of subalgebras and the complete set of non-equivalent reductions of studied PDEs to ODEs. In most cases we obtain families of exact solutions or derive particular solutions to the equations.Comment: 14 page

Emergence of District-Heating Networks; Barriers and Enablers in the Development Process

Infrastructure provision business models that promise resource efficiencies and additional benefits, such as job creation, community cohesion and crime reduction exist at sub-national scales. These local business models, however, exist only as isolated cases of good practice and their expansion and wider adoption has been limited in the context of many centralised systems that are currently the norm. In this contribution, we present a conceptual agent based model for analysing the potential for different actors to implement local infrastructure provision business models. The model is based on agents’ ability to overcome barriers that occur throughout the development (i.e. feasibility, business case, procurement, and construction), and operation and maintenance of alternative business models. This presents a novel approach insofar as previous models have concentrated on the acceptance of alternative value provision models rather than the emergence of underlying business models. We implement the model for the case study of district heating networks in the UK, which have the potential to significantly contribute to carbon emission reductions, but remain under-developed compared with other European countries

Irrigation water use efficiency in collective irrigated schemes of Tunisia: determinants and potential irrigation cost reduction

This study aims first to measure the farm specific irrigation water use efficiency (IWUE), through non parametric DEA model; and second to evaluate the potential irrigation cost reductions and identify the main factors causing variations in IWUE among the sample farms. Cross sectional data collected from a sample of 75 farms participating in the WaDImena project in Nadhour region (northern Tunisia) was used for this aim. The results showed that the average level of IWUE across the farm sample was around 61.2% under variable returns to scale (VRS) assumption. However, the estimated mean irrigation water technical cost efficiency (ITCE) is much higher than IWUE. Farmers would be able to reduce their actual cost by 5% under VRS by adjusting irrigation water to its efficient level. This low level of cost reductions is consistent with the existing literature about IWUE in Tunisia. Moreover, education level of farmers, access to credit and agricultural extension service showed a positive relationship with the IWUE in our case study.Resource /Energy Economics and Policy,

On the use of trenches and walls on the control of ground transmitted railway vibrations

An actual case of an underground railway in the neighbourhood of habitation buildings has been analyzed. The study has been based on a twodimensional BEM model including a tunnel and a typical building. The soil properties were obtained using geophysical techniques. After a sensitivity study, the model has been simplyfied and validated by comparison with "in situ" measurements. Using this simplyfied model, a parametric study has been done including trenches and walls of different materials and different depths at two different distances from the tunnel. The reductions obtained with the different solutions can then be compared

EBF noise reduction through nozzle/flap positioning

Results are presented of an experimental and analytical study of the dependence of externally blown flap (EBF) noise on the relative position and shape of engine exhaust nozzle. Tests, conducted on a 1/15 scale model of a triple-slotted EBF system, indicate that a significant reduction (of up to 10 to 15 db for no forward speed case and of up to 5 to 10 db for forward speed case) is possible in the low frequency (around 63 Hz) region of the noise spectrum of the full scale device for small nozzle/flap separation distances. The overall acoustic performance, measured in PNdb, does not exhibit significant reductions. The analysis of the EBF noise is carried out for two limiting airfoil in a free jet. The analytical results also suggest that low frequency noise can be reduced by placing the nozzle close to the flow turning elements