Modelling, Mathematical Analysis and Numerical Simulation to Value Derivatives Related to Renewable Energy Certificates

Programa Oficial de Doutoramento en Métodos Matemáticos e Simulación Numérica en Enxeñaría e Ciencias Aplicadas. 551V01[Resumo] O obxectivo principal desta tese céntrase na modelaxe, análise matemática e resolución numérica de problemas de ecuacións en derivadas parciais (EDPs) para a fixación de prezos de certificados de enerxía renovable (RECs, polas súas siglas en inglés) e produtos derivados asociados. Na modelaxe, o prezo do REC xoga un papel importante. Proponse un modelo de EDP non lineal con dous factores estocásticos. Os factores estocásticos son os certificados verdes acumulados e a taxa de xeración de enerxía renovable. Unha novidade desta tese é o tratamento numérico do término convectivo non lineal na EDP. Para resolver o problema linealizado obtido, propóñense esquemas de semi-Lagrange en tempo conxugados con diferenzas finitas, ou m´etodos alternativos de Lagrange-Galerkin. Utilizouse unha metodoloxía semellante para a valoración dos derivados de REC para obter un modelo de EDP lineal unha vez coñecido o prezo do REC. A existencia de solución obtense neste escenario. Abórdase a fixación de prezos de opcións europeas e futuros sobre RECs. Finalmente, móstranse os resultados do comportamento dos modelos e dos métodos numéricos implementados.[Resumen] El objetivo principal de esta tesis se centra en el modelado, análisis matemático y resolución numérica de problemas de ecuaciones en derivadas parciales (EDPs) para la fijación de precios de certificados de energía renovable (RECs, por sus siglas en inglés) y productos derivados asociados. En el modelado, el precio del REC juega un papel relevante. Se propone un modelo de EDP no lineal con dos factores estocásticos. Los factores estocásticos son los certificados verdes acumulados y la tasa de generación de energía renovable. Una novedad de esta tesis es el tratamiento numérico del término convectivo no lineal en la EDP. Para resolver el problema linealizado obtenido, se proponen esquemas de semi-Lagrange en tiempo combinados con diferencias finitas, o métodos alternativos de Lagrange-Galerkin. Se ha utilizado una metodología equivalente para la valoración de los derivados de REC para obtener un modelo de EDP lineal una vez conocido el precio del REC. La existencia de solución se obtiene en este escenario. Se aborda la fijación de precios de opciones europeas y futuros sobre RECs. Finalmente, se muestran resultados del comportamiento de los modelos y de los métodos numéricos implementados.[Abstract] The main objective of this thesis concerns to the modelling, mathematical analysis and numerical solution of partial differential equations (PDEs) models for pricing renewable energy certificates (RECs) and associated derivatives products. In the modelling, the price of the REC plays a relevant role. A non-linear PDE model with two stochastic factors is proposed. The stochastic factors are the accumulated green certificates and the renewable electricity generation rate. One novelty of this thesis comes from the numerical treatment of the non-linear convective term in the PDE. In order to solve the obtained linearized problem, semi-Lagrangian schemes in time combined with finite differences discretizations, or alternative Lagrange-Galerkin methods are proposed. An equivalent methodology has been used for the valuation of the REC derivatives to obtain a linear PDE model once the REC price is known. Existence of solution is obtained in this setting. The application to the pricing of European options and futures on RECs is addressed. Finally, we show illustrative results of the performance of the models and numerical methods that have been implemented.Xunta de Galicia; ED431C 2018/033Xunta de Galicia; ED431G 2019/01This research has been partially funded by the following projects: • Project PID2019-108584RB-I00 from Ministerio de Ciencia e Innovavi_on. • Project MTM2016-76497-R from Ministerio de Economía y Competitividad. • Project ED431C 2018/033 from Xunta de Galicia. • Project ED431G 2019/01 from Xunta de Galicia. All previous projects include FEDER funding

Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method

Financiado para publicación en acceso aberto: Universidade da Coruña/CISUG[Abstract]: The valuation problem of renewable energy certificates can be formulated in terms of a nonlinear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized producer and the natural logarithm of the renewable generation rate. In the present paper, the nonlinear convective term is treated with the Bermúdez–Moreno duality method for maximal monotone operators as in Baamonde-Seoane et al. (2021). The main novelty of this article comes from the proposed techniques for the numerical solution of the resulting linear problem. In this case, we propose a Lagrange–Galerkin method which mainly consists of Crank–Nicolson characteristics for time discretization combined with finite elements for the discretization in the accumulated green certificates and the natural logarithm of the renewable generation rate directions. Finally, several numerical examples are presented to illustrate the good performance of the method and model, and its comparison with other numerical schemes employed to solve the same problem.Xunta de Galicia; ED431C 2018/033Xunta de Galicia; ED431C 2022/47Xunta de Galicia; ED431G 2019/01The authors acknowledge the funding by Spanish MINECO with the grants MTM2016-76497-R and PID2019-10858RB-I00, and by Galician Government, Spain with the grants ED431C 2018/033 and ED431C 2022/47, both including FEDER financial support. As members of CITIC, they also acknowledge the grant ED431G 2019/01, funded by Consellería de Educación, Spain , Universidade e Formación Profesional of Xunta de Galicia through FEDER funds with 80%, from FEDER Galicia 2014–2020 Program and 20% from Secretaría Xeral de Universidades

Model and numerical methods for pricing renewable energy certificate derivatives

[Abstract]: Assuming that the price of the renewable energy certificate (REC) is known, we formulate the valuation problem of a European REC derivative in terms of a linear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized producer and the natural logarithm of the renewable generation rate. Next, a result of existence of solution is obtained for this PDE problem. In order to solve numerically the PDE problem, we propose two different methods: a semi-Lagrangian scheme in time combined with finite differences discretizations in the spatial-like variables, or alternative Lagrange–Galerkin methods. The application to the pricing of European options and futures on renewable energy certificates is addressed. Finally, we show illustrative results about the performance of the models and numerical methods that have been implemented.Xunta de Galicia; ED431C 2018/033Xunta de Galicia; ED431C 2022/047Xunta de Galicia; ED431G 2019/01This work has been funded by MICINN from Spain (Grant PID2019-10858RB-I00), and by Xunta of Galicia (Grant ED431C 2018/033 and ED431C 2022/047), all including FEDER financial co-funding. All authors are members of CITIC, so that they acknowledge grant ED431G 2019/01, funded by Consellería de Educación, Universidade e Formación Profesional of Xunta de Galicia through FEDER, Spain funds with 80%, from FEDER Galicia 2014–2020 Program and 20% from Secretaría Xeral de Universidades. Funding for open access charge: Universidade da Coruña/CISUG. Authors are also grateful to two anonymous reviewers whose remarks helped to improve the article

Increased endothelin-1 and diminished nitric oxide levels in blister fluids of patients with intermediate cold type complex regional pain syndrome type 1

BACKGROUND: In complex regional pain syndrome type 1 (CRPS1) pro-inflammatory mediators and vascular changes play an important role in the sustained development and outcome of the disease. The aim of this study was to determine the involvement of vasoactive substances endothelin-1 (ET-1) and nitric oxide (NO) during early chronic CRPS1. METHODS: Included were 29 patients with CRPS 1 who were diagnosed during the acute stage of their disease and observed during follow-up visits. Disease activity and impairment were determined and artificial suction blisters were made on the CRPS1 and the contralateral extremities for measurements of IL-6, TNF-α, ET-1 and nitrate/nitrite (NOx). RESULTS: The levels of IL-6, TNF-α and ET-1 in blister fluid in the CRPS1 extremity versus the contralateral extremity were significantly increased and correlated with each other, whereas NOx levels were decreased. CONCLUSION: The NOx/ET-1 ratio appears to be disturbed in the intermediate stage of CRPS, resulting in vasoconstriction and consequently in a diminished tissue blood distribution

DD04107-Derived neuronal exocytosis inhibitor peptides: Evidences for synaptotagmin-1 as a putative target

15 pags, 8 figs, 3 tabs. -- Supplementary data to this article can be found online at https://doi.org/10.1016/j.bioorg.2021.105231.The analgesic peptide DD04107 (Pal-EEMQRR-NH2) and its acetylated analogue inhibit α-calcitonin gene-related peptide (α-CGRP) exocytotic release from primary sensory neurons. Examining the crystal structure of the SNARE-Synaptotagmin-1(Syt1) complex, we hypothesized that these peptides could inhibit neuronal exocytosis by binding to Syt1, hampering at least partially its interaction with the SNARE complex. To address this hypothesis, we first interrogate the role of individual side-chains on the inhibition of α-CGRP release, finding that E1, M3, Q4 and R6 residues were crucial for activity. CD and NMR conformational analysis showed that linear peptides have tendency to adopt α-helical conformations, but the results with cyclic analogues indicated that this secondary structure is not needed for activity. Isothermal titration calorimetry (ITC) measurements demonstrate a direct interaction of some of these peptides with Syt1-C2B domain, but not with Syt7-C2B region, indicating selectivity. As expected for a compound able to inhibit α-CGRP release, cyclic peptide derivative Pal-E-cyclo[EMQK]R-NH2 showed potent in vivo analgesic activity, in a model of inflammatory pain. Molecular dynamics simulations provided a model consistent with KD values for the interaction of peptides with Syt1-C2B domain, and with their biological activity. Altogether, these results identify Syt1 as a potential new analgesic target.This work was supported by the Spanish Ministerio de Economía y Competitividad (MINECO-FEDER), RTI2018-097189-C2 and CTQ2017-84371-P), and the Spanish National Research Council (CSIC, 201880E109, 201980E030). The NMR experiments were performed in the “Manuel Rico” NMR laboratory, LMR, CSIC, a node of the Spanish Large-Scale National Facility ICTS R-LRB. We thank Prof. Josep Rizo and R. Voleti (Dept. Biophysics, Biochemistry and Pharmacology, UT Southwestern Medical Center, Dallas, USA) for providing the clones required for expressing Syt1 and Syt7 proteins. SG-R and AB belong to the Instituto de Investigación Sanitaria del Principado de Asturias (ISPA).Peer reviewe

Neuropathic Pain Phenotype Does Not Involve the NLRP3 Inflammasome and Its End Product Interleukin-1β in the Mice Spared Nerve Injury Model.

The NACHT, LRR and PYD domains-containing protein 3 (NLRP3) inflammasome is one of the main sources of interleukin-1β (IL-1β) and is involved in several inflammatory-related pathologies. To date, its relationship with pain has not been studied in depth. The aim of our study was to elucidate the role of NLRP3 inflammasome and IL-1β production on neuropathic pain. Results showed that basal pain sensitivity is unaltered in NLRP3-/- mice as well as responses to formalin test. Spared nerve injury (SNI) surgery induced the development of mechanical allodynia and thermal hyperalgesia in a similar way in both genotypes and did not modify mRNA levels of the NLRP3 inflammasome components in the spinal cord. Intrathecal lipopolysaccharide (LPS) injection increases apoptosis-associated speck like protein (ASC), caspase-1 and IL-1β expression in both wildtype and NLRP3-/- mice. Those data suggest that NLRP3 is not involved in neuropathic pain and also that other sources of IL-1β are implicated in neuroinflammatory responses induced by LPS

Social Competitiveness and Plasticity of Neuroendocrine Function in Old Age: Influence of Neonatal Novelty Exposure and Maternal Care Reliability

Early experience is known to have a profound impact on brain and behavioral function later in life. Relatively few studies, however, have examined whether the effects of early experience remain detectable in the aging animal. Here, we examined the effects of neonatal novelty exposure, an early stimulation procedure, on late senescent rats' ability to win in social competition. During the first 3 weeks of life, half of each litter received daily 3-min exposures to a novel environment while the other half stayed in the home cage. At 24 months of age, pairs of rats competed against each other for exclusive access to chocolate rewards. We found that novelty-exposed rats won more rewards than home-staying rats, indicating that early experience exerts a life-long effect on this aspect of social dominance. Furthermore, novelty-exposed but not home-staying rats exhibited habituation of corticosterone release across repeated days of social competition testing, suggesting that early experience permanently enhances plasticity of the stress response system. Finally, we report a surprising finding that across individual rat families, greater effects of neonatal novelty exposure on stress response plasticity were found among families whose dams provided more reliable, instead of a greater total quantity of, maternal care

Separation of the convulsions and antidepressant-like effects produced by the delta-opioid agonist SNC80 in rats

Delta-opioid agonists produce a number of behavioral effects, including convulsions, antinociception, locomotor stimulation, and antidepressant-like effects. The development of these compounds as treatments for depression is limited by their convulsive effects. Therefore, determining how to separate the convulsive and antidepressant-like characteristics of these compounds is essential for their potential clinical use.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/46370/1/213_2005_Article_138.pd

Protective intraoperative ventilation with higher versus lower levels of positive end-expiratory pressure in obese patients (PROBESE): study protocol for a randomized controlled trial

Background: Postoperative pulmonary complications (PPCs) increase the morbidity and mortality of surgery in obese patients. High levels of positive end-expiratory pressure (PEEP) with lung recruitment maneuvers may improve intraoperative respiratory function, but they can also compromise hemodynamics, and the effects on PPCs are uncertain. We hypothesized that intraoperative mechanical ventilation using high PEEP with periodic recruitment maneuvers, as compared with low PEEP without recruitment maneuvers, prevents PPCs in obese patients. Methods/design The PRotective Ventilation with Higher versus Lower PEEP during General Anesthesia for Surgery in OBESE Patients (PROBESE) study is a multicenter, two-arm, international randomized controlled trial. In total, 2013 obese patients with body mass index ≥35 kg/m2 scheduled for at least 2 h of surgery under general anesthesia and at intermediate to high risk for PPCs will be included. Patients are ventilated intraoperatively with a low tidal volume of 7 ml/kg (predicted body weight) and randomly assigned to PEEP of 12 cmH2O with lung recruitment maneuvers (high PEEP) or PEEP of 4 cmH2O without recruitment maneuvers (low PEEP). The occurrence of PPCs will be recorded as collapsed composite of single adverse pulmonary events and represents the primary endpoint. Discussion To our knowledge, the PROBESE trial is the first multicenter, international randomized controlled trial to compare the effects of two different levels of intraoperative PEEP during protective low tidal volume ventilation on PPCs in obese patients. The results of the PROBESE trial will support anesthesiologists in their decision to choose a certain PEEP level during general anesthesia for surgery in obese patients in an attempt to prevent PPCs. Trial registration ClinicalTrials.gov identifier: NCT02148692. Registered on 23 May 2014; last updated 7 June 2016. Electronic supplementary material The online version of this article (doi:10.1186/s13063-017-1929-0) contains supplementary material, which is available to authorized users