The valuation of clean spread options: linking electricity, emissions and fuels

The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the use of a structural model as opposed to reduced-form models which fail to capture properly the fundamental dependencies between the economic factors entering the production process

Time series prediction via aggregation : an oracle bound including numerical cost

We address the problem of forecasting a time series meeting the Causal Bernoulli Shift model, using a parametric set of predictors. The aggregation technique provides a predictor with well established and quite satisfying theoretical properties expressed by an oracle inequality for the prediction risk. The numerical computation of the aggregated predictor usually relies on a Markov chain Monte Carlo method whose convergence should be evaluated. In particular, it is crucial to bound the number of simulations needed to achieve a numerical precision of the same order as the prediction risk. In this direction we present a fairly general result which can be seen as an oracle inequality including the numerical cost of the predictor computation. The numerical cost appears by letting the oracle inequality depend on the number of simulations required in the Monte Carlo approximation. Some numerical experiments are then carried out to support our findings

Microwave dielectric study of spin-Peierls and charge ordering transitions in (TMTTF)2_2PF6_6 salts

We report a study of the 16.5 GHz dielectric function of hydrogenated and deuterated organic salts (TMTTF)$_2$PF$_6$. The temperature behavior of the dielectric function is consistent with short-range polar order whose relaxation time decreases rapidly below the charge ordering temperature. If this transition has more a relaxor character in the hydrogenated salt, charge ordering is strengthened in the deuterated one where the transition temperature has increased by more than thirty percent. Anomalies in the dielectric function are also observed in the spin-Peierls ground state revealing some intricate lattice effects in a temperature range where both phases coexist. The variation of the spin-Peierls ordering temperature under magnetic field appears to follow a mean-field prediction despite the presence of spin-Peierls fluctuations over a very wide temperature range in the charge ordered state of these salts.Comment: 7 pages, 6 figure

Molecular transport and flow past hard and soft surfaces: Computer simulation of model systems

The properties of polymer liquids on hard and soft substrates are investigated by molecular dynamics simulation of a coarse-grained bead-spring model and dynamic single-chain-in-mean-field (SCMF) simulations of a soft, coarse-grained polymer model. Hard, corrugated substrates are modelled by an FCC Lennard-Jones solid while polymer brushes are investigated as a prototypical example of a soft, deformable surface. From the molecular simulation we extract the coarse-grained parameters that characterise the equilibrium and flow properties of the liquid in contact with the substrate: the surface and interface tensions, and the parameters of the hydrodynamic boundary condition. The so-determined parameters enter a continuum description like the Stokes equation or the lubrication approximation.Comment: 41 pages, 13 figure

Superconductivity and Antiferromagnetism in Quasi-one-dimensional Organic Conductors

We review the current understanding of superconductivity in the quasi-one-dimensional organic conductors of the Bechgaard and Fabre salt families. We discuss the interplay between superconductivity, antiferromagnetism, and charge-density-wave fluctuations. The connection to recent experimental observations supporting unconventional pairing and the possibility of a triplet-spin order parameter for the superconducting phase is also presented.Comment: (v1) 30 pages, 13 figures; Review article for the 20th anniversary of high-Tc superconductivity, to appear in J. Low Temp. Phys. (v2) 1 Ref. adde

Random noise in Diffusion Tensor Imaging, its Destructive Impact and Some Corrections

The empirical origin of random noise is described, its influence on DTI variables is illustrated by a review of numerical and in vivo studies supplemented by new simulations investigating high noise levels. A stochastic model of noise propagation is presented to structure noise impact in DTI. Finally, basics of voxelwise and spatial denoising procedures are presented. Recent denoising procedures are reviewed and consequences of the stochastic model for convenient denoising strategies are discussed

Finite-temperature phase transitions in quasi-one-dimensional molecular conductors

Phase transitions in 1/4-filled quasi-one-dimensional molecular conductors are studied theoretically on the basis of extended Hubbard chains including electron-lattice interactions coupled by interchain Coulomb repulsion. We apply the numerical quantum transfer-matrix method to an effective one-dimensional model, treating the interchain term within mean-field approximation. Finite-temperature properties are investigated for the charge ordering, the "dimer Mott" transition (bond dimerization), and the spin-Peierls transition (bond tetramerization). A coexistent state of charge order and bond dimerization exhibiting dielectricity is predicted in a certain parameter range, even when intrinsic dimerization is absent.Comment: to be published in J. Phys. Soc. Jpn., Vol. 76 (2007) No. 1 (5 pages, 4 figures); typo correcte

Elongation mechanism of the ion shaping of embedded gold nanoparticles under swift heavy ion irradiation

The elongation process under swift heavy ion irradiation (74 MeV Kr ions) of gold NPs, with a diameter in the range 10-30 nm, and embedded in a silica matrix has been investigated by combining experiment and simulation techniques: three-dimensional thermal spike (3DTS), molecular dynamics (MD) and a phenomenological simulation code specially developed for this study. 3DTS simulations evidence the formation of a track in the host matrix and the melting of the NP after the passage of the impinging ion. MD simulations demonstrate that melted NPs have enough time to expand after each ion impact. Our phenomenological simulation relies on the expansion of the melted NP, which flows in the track in silica with modified (lower) density, followed by its recrystallization upon cooling. Finally, the elongation of the spherical NP into a cylindrical one, with a length proportional to its initial size and a width close to the diameter of the track, is the result of the superposition of the independent effects of each expansion/recrystallization process occurring for each ion impact. In agreement with experiment, the simulation shows the gradual elongation of spherical NPs in the ion-beam direction until their widths saturate in the steady state and reach a value close to the track diameter. Moreover, the simulations indicate that the expansion of the gold NP is incomplete at each ion impact.Peer reviewe