WEATHER DERIVATIVES: MANAGING RISK WITH MARKET-BASED INSTRUMENTS

Accurate pricing of weather derivatives is critically dependent upon correct specification of the underlying weather process. We test among six likely alternative processes using maximum likelihood methods and data from the Fresno, CA weather station. Using these data, we find that the best process is a mean-reverting geometric Brownian process with discrete jumps and ARCH errors. We describe a pricing model for weather derivatives based on such a process.Risk and Uncertainty,

Pricing Weather Derivatives

This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for cooling degree day weather options. Comparing option prices estimated with three methods: a traditional burn-rate approach, a Black-Scholes-Merton approximation, and an equilibrium Monte Carlo simulation reveals significant differences. Equilibrium prices are preferred on theoretical grounds, so are used to demonstrate the usefulness of weather derivatives as risk management tools for California specialty crop growers.derivative, jump-diffusion process, mean-reversion, volatility, weather, Demand and Price Analysis,

Performance Analysis of a Hybrid Raman Optical Parametric Amplifier in the O- and E-Bands for CWDM PONs

We describe a hybrid Raman-optical parametric amplifier (HROPA) operating at the O- and E-bands and designed for coarse wavelength division multiplexed (CWDM) passive optical networks (PONs). We present the mathematical model and simulation results for the optimization of this HROPA design. Our analysis shows that separating the two amplification processes allows for optimization of each one separately, e.g., proper selection of pump optical powers and wavelengths to achieve maximum gain bandwidth and low gain ripple. Furthermore, we show that the proper design of optical filters incorporated in the HROPA architecture can suppress idlers generated during the OPA process, as well as other crosstalk that leaks through the passive optical components. The design approach enables error free performance for all nine wavelengths within the low half of the CWDM band, assigned to upstream traffic in a CWDM PON architecture, for all possible transmitter wavelength misalignments (±6 nm) from the center wavelength of the channel band. We show that the HROPA can achieve error-free performance with a 170-nm gain bandwidth (e.g., 1264 nm–1436 nm), a gain of \u3e20 dB and a gain ripple of \u3c4 \u3edB

A POF model for short fiber segments in avionics applications

Plastic Optical Fibres (POF) have now been a well-established media for transporting high-speed at low cost in short distance communications systems, and avionics is the latest segment where these fibers are becoming an important factor. In fact, the POF''s flexibility and ease of installation make this fiber a great option for the replacement by fiber of some of the existing aircraft data links. We propose a new model for short fiber links that are suitable for plane''s systems that involve a lot of connectors; the model is built around two important properties, namely, power transfer among modes and attenuation. The model expands on our previous work on the subject and is based on detailed experimental measurements for various fiber types and lengths

Transmission performance of plastic optical fibers designed for avionics platforms

Plastic optical fibers (POFs) have been proposed and implemented in the avionics environment lately, and temperature is naturally a big factor that can affect their performance in those platforms. We present an experimental characterization of the transmission properties of POFs comparing the performance of standard fibers with that of fibers designed to sustain high temperatures, such as those on avionics platforms. We tested different step-index 1-mm poly(methyl methacrylate) single-core and multicore fibers. Frequency response, bit error rate (BER), attenuation, and output power distribution were measured for each fiber type at room temperature. In addition, BER and fiber attenuation were monitored as a function of temperature, intentionally exceeding the temperature limits to obtain the true temperature ranges and to assess the performance penalty. The same properties were obtained for the overheated fibers and compared to those for nonheated fibers of the same type to reveal permanent performance degradation

Overcoming challenges in large-core SI-POF-based system-level modeling and simulation

The application areas for plastic optical fibers such as in-building or aircraft networks usually have tight power budgets and require multiple passive components. In addition, advanced modulation formats are being considered for transmission over plastic optical fibers (POFs) to increase spectral efficiency. In this scenario, there is a clear need for a flexible and dynamic system-level simulation framework for POFs that includes models of light propagation in POFs and the components that are needed to evaluate the entire system performance. Until recently, commercial simulation software either was designed specifically for single-mode glass fibers or modeled individual guided modes in multimode fibers with considerable detail, which is not adequate for large-core POFs where there are millions of propagation modes, strong mode coupling and high variability. These are some of the many challenges involved in the modeling and simulation of POF-based systems. Here, we describe how we are addressing these challenges with models based on an intensity-vs-angle representation of the multimode signal rather than one that attempts to model all the modes in the fiber. Furthermore, we present model approaches for the individual components that comprise the POF-based system and how the models have been incorporated into system-level simulations, including the commercial software packages SimulinkTM and ModeSYSTM

Effectiveness of Machine Learning in Assessing QoT Impairments of Photonics Integrated Circuits to Reduce System Margin

We propose machine learning technique for assessment of QoT impairments of integrated circuits. We consider margin reduction problem applied to a switching component. Overall results and data sets for machine-learning training are obtained by leveraging the integrated software environment of the Synopsys Photonic Design Suite

Abstracting network elements from mask layout to network management: a case study

Using the vertical integration of the Synopsys environment, we analyze a 2 2 integrated optical switch obtaining a layer-0 abstraction used to analyze the impact of the design options on transmission performances of a PM-64QAM 600G channel in multi-hop routing in meshed optical networks. The optical switch is designed targeting the Analog Photonics Process Design Kit. The QoT degradation depending on the design option and on the choice for the transmission technique is assessed, taking into account the number of traversed switches. In addition, different routing techniques for the integrated optical waveguides of the 2x2 switches are investigated in terms of system performances. The reported analysis is an example of comprehensive investigation carried out by abstracting the network elements starting from the component design up to the networking management. This approach is today mandatory to enable the maximum capacity in state-of-the art optical networks. To face this challenging problem, Synopsys proposes a vertically integrated software environment for the design of optical communication systems with photonic integrated circuits: it is the integration of OptSim c -optical communication system, OptSim Circuit -schematic-driven photonic circuit, OptoDesigner c -mask layout, and RSoft component design tools. These tools have proven to be reliable aids to virtually designing and estimating the performance of optical transmission systems and photonic chips

Two distinct genomic lineages of sinaivirus detected in Guyanese Africanized honey bees

Over the past decade or so, PCR-based screening programs have reported that Africanized honey bees (AHB) are also hosts to viruses commonly found in European honey bees. Very little is known about the genomic variants found in AHB. Here, we present two distinct lineages of sinaiviruses in AHB

An aggravated trajectory of depression and anxiety co-morbid with hepatitis C: : A 21 to 62 month follow-up study in 61 South Australian outpatients

BACKGROUND: This study aimed to explore the course of depression and anxiety in chronic hepatitis C patients. METHODS:   Data were combined from two studies: (1) Hospital Anxiety and Depression Scale (HADS) scores in 395 consecutive Australian outpatients from 2006 to 2010 formed the baseline measurement; and (2) Depression Anxiety Stress Scales (DASS) scores in a survey of a sub-sample of these patients in 2011 formed the follow-up measurement. After converting DASS to HADS scores, changes in symptom scores and rates of case-ness (≥8), and predictors of follow-up symptoms were assessed. RESULTS:   Follow-up data were available for 61 patients (70.5% male) whose age ranged from 24.5 to 74.6 years (M=45.6). The time to follow-up ranged from 20.7 to 61.9 months (M=43.8). Baseline rates of depression (32.8%) and anxiety (44.3%) increased to 62.3% and 67.2%, respectively. These findings were confirmed, independent of the conversion, by comparing baseline HADS and follow-up DASS scores with British community norms. Baseline anxiety and younger age predicted depression, while baseline anxiety, high school non-completion, and single relationship status predicted anxiety. CONCLUSION:  This study demonstrated a worsening trajectory of depression and anxiety. Further controlled and prospective research in a larger sample is required to confirm these findings