Control Variates for Monte Carlo-Pricing of Three-Asset Spread Options with Application in the Energy Markets

The purpose of this paper is to compare a collection of control variates for Monte Carlo-valuation of spread options on three assets with a view towards energy markets and to lay a foundation for continued research on control variates, e.g. combinations of control variates and adaption for quasi-Monte Carlo. The paper builds upon previous research on option pricing using Monte Carlo-simulation and closed form approximations. The use of underlying assets, underlying spread, call option, exchange options and delta hedge as control variates are tested in both a parametric study to test the impact of every input parameter, and a real-world scenario using data from the Dutch energy markets. In the real-world scenario the exchange option outperforms the other control variates in most cases. Uneven results for the exchange option in the parametric study leads to the conclusion that the use of delta hedge as control variate is the best performing based on the test results

Геннадий Петрович Котельников : к 65-летию со дня рождения

Few studies from low- and middle-income countries use qualitative methodologyto explore suicidal behavior among young people. In Cambodia, young peopleface the challenge of rapidly changing times and are vulnerable for suicidalbehavior as revealed by research in transitional economies. This study seeks togain a deeper understanding of the suicidal phenomena from a gender, psychosocialand cultural perspective. Six focus-group discussions were conductedamong boys and girls, aged 15–19 years, in two secondary schools in a suburbanarea close to Phnom Penh, the capital city. The data was analyzed using thematicanalysis approach. The participants highlighted the gender difference in suicidalbehavior by describing the suicide-prone, acting-out male as ‘plue plun’, whilesuicide-prone females were described as caught in constricted, tunneled-thinkingbehavior, expressed as ‘kath klei’. Parental attitude and family environment werealso pointed out as the chief causes of discontent and there was a strong wish onthe part of young people to find space for modern values within the traditionalfamily. The young people’s awareness of their challenges in everyday life suggeststhat school-based programs to prevent suicidal behavior ought to be gendersensitiveand peer-focused

Variations in indoor temperature in residential apartments of different size and building category

In a case study, comprising 1177 residential apartments with 3248 rooms, temperature registrations every 15th minute in all living-rooms and bedrooms, during one year, in the system for individual metering and billing of space heating costs, were analyzed. The apartments were divided into two categories, apartment blocks from 1960th and row houses from about 1990. Apartments mean temperatures and standard deviations as a function of apartment size and category was compared. Corresponding was done on room level divided on apartment size for the two building categories. Finally, temperatures in bedrooms were compared to those in living-rooms for two objects from each category; presented in duration charts based on all single 15th minute values. The same pattern between different apartment sizes is kept for all month, though with a seasonal variation. The livingrooms are in mean warmer than bedrooms. The larger the apartments are the larger are the differences. The results provide a more nuanced picture of the temperature conditions in homes beneficial for better input data for building energy simulations

Reglering av värmesystem i flerbostadshus med individuell värmemätning

Indoor temperatures in multifamily houses are indirectly controlled by the outdoor temperature. The radiator supply temperature is a function of the outdoor temperature. This control principle cannot take into account for disturbances from people, electric appliances, airing, sun, and air leakage due to wind. A control setting with a suitable margin can avoid complaints, but may result in overheating and airing. The obvious control principle with direct control of indoor temperature has been tested with good result in 1978. The exhaust air temperature was used as a measure of the indoor temperature. LKF, Lund community housing company, has installed individual metering of heating costs using the indoor temperature in each flat. The research project aim was to use these temperature measurements and to test the control principle and compare the energy saving versus normal control and no individual metering of heating costs. The normal control has been extended with a limited proportional correction of the supply temperature. The extended control gives a more constant indoor temperature, which is appreciated by the maintenance personnel. A comparison between 2009/2010 and 2011 shows that the heating cost is larger than the control group due to higher indoor temperature caused by limited extended control, low gain and improper selection of desired indoor temperature at start up. The study has been performed with financial support from CERBOF - the Centre for Energy and Resource Efficient Construction and Facilities management

Finite element modelling of moisture related and visco-elastic deformations in inhomogeneous timber beams

Wood is a hygro-mechanical, non-isotropic and inhomogeneous material concerning both modulus of elasticity (MOE) and shrinkage properties. In stress calculations associated with ordinary timber design, these matters are often not dealt with properly. The main reason for this is that stress distributions in inhomogeneous glued laminated members (glulam) and in composite beams exposed to combined mechanical action and variable climate conditions are extremely difficult to predict by hand. Several experimental studies of Norway spruce have shown that the longitudinal modulus of elasticity and the longitudinal shrinkage coefficient vary considerably from pith to bark. The question is how much these variations affect the stress distribution in wooden structures exposed to variable moisture climate. The paper presents a finite element implementation of a beam element with the aim of studying how wooden composites behave during both mechanical and environmental load action. The beam element is exposed to both axial and lateral deformation. The material model employed concerns the elastic, shrinkage, mechano-sorption and visco-elastic behaviour of the wood material. It is used here to simulate the behaviour of several simply-supported and continuous composite beams subjected to both mechanical and environmental loading to illustrate the advantages this can provide. The results indicate clearly both the inhomogeneity of the material and the variable moisture action occurring to have had a significant effect on the stress distribution within the cross-section of the products that were studie

Reconceptualising temporality in young lives: exploring young people’s current and future livelihoods in AIDS-affected southern Africa

In recent years, anxieties have been expressed that the impacts of southern Africa's AIDS pandemic on young people today will damage their future livelihood prospects. Geographers have been remarkably reluctant to explore young people's future livelihoods, inspired by a concern to view young people as human beings, worthy of study in their own right rather than mere human becomings, of interest only as ‘adults in the making’. Yet there is growing acknowledgement that young people, like older people, are always both ‘being and becoming’. The connections between current and future lives merit much greater attention, both because experiences and actions in childhood and youth undoubtedly shape the futures of individuals and wider society, but also because young people's thoughts and actions are so often geared to the future, and this future orientation shapes their present worlds. This paper reports on research that set out to explore links between the impacts of AIDS and young people's livelihood prospects. Intensive case study research was undertaken, combining participatory methods and life history interviews with young people aged 10–24 in two villages, one in southern Malawi and the other in the mountains of Lesotho. By theorising a temporal dimension to de Haan and Zoomers’ concept of livelihood trajectories, the paper focuses on the ways in which young people respond to both the immediate sustenance requirements of themselves and their households and their need to accrue assets for future livelihoods. Some young people's trajectories appear to be disturbed by the influence of AIDS, but with no systematic patterns. Beyond addressing empirical questions concerning the impacts of AIDS, the paper contributes to our understanding of how livelihoods are produced and to the conceptualisation of youth transitions as produced through the iteration of present and future