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

Quantum nucleation in a single-chain magnet

The field sweep rate (v=dH/dt) and temperature (T) dependence of the magnetization reversal of a single-chain magnet (SCM) is studied at low temperatures. As expected for a thermally activated process, the nucleation field (H_n) increases with decreasing T and increasing v. The set of H_n(T,v) data is analyzed with a model of thermally activated nucleation of magnetization reversal. Below 1 K, H_n becomes temperature independent but remains strongly sweep rate dependent. In this temperature range, the reversal of the magnetization is induced by a quantum nucleation of a domain wall that then propagates due to the applied field.Comment: 5 pages, 4 figure

A stochastic movement simulator improves estimates of landscape connectivity

Acknowledgments This publication issued from the project TenLamas funded by the French Ministère de l'Energie, de l'Ecologie, du Développement Durable et de la Mer through the EU FP6 BiodivERsA Eranet; by the Agence Nationale de la Recherche (ANR) through the open call INDHET and 6th extinction MOBIGEN to V. M. Stevens, M. Baguette, and A. Coulon, and young researcher GEMS (ANR-13-JSV7-0010-01) to V. M. Stevens and M. Baguette; and by a VLIR-VLADOC scholarship awarded to J. Aben. L. Lens, J. Aben, D. Strubbe, and E. Matthysen are grateful to the Research Foundation Flanders (FWO) for financial support of fieldwork and genetic analysis (grant G.0308.13). V. M. Stevens and M. Baguette are members of the “Laboratoire d'Excellence” (LABEX) entitled TULIP (ANR-10-LABX-41). J. M. J. Travis and S. C. F. Palmer also acknowledge the support of NERC. A. Coulon and J. Aben contributed equally to the work.Peer reviewedPublisher PD

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

Instabilities and disorder of the domain patterns in the systems with competing interactions

The dynamics of the domains is studied in a two-dimensional model of the microphase separation of diblock copolymers in the vicinity of the transition. A criterion for the validity of the mean field theory is derived. It is shown that at certain temperatures the ordered hexagonal pattern becomes unstable with respect to the two types of instabilities: the radially-nonsymmetric distortions of the domains and the repumping of the order parameter between the neighbors. Both these instabilities may lead to the transformation of the regular hexagonal pattern into a disordered pattern.Comment: ReVTeX, 4 pages, 3 figures (postscript); submitted to Phys. Rev. Let

An assessment of different extraction and quantification methods of penta- and hexa-chlorobenzene from SRF fly-ash

Highly chlorinated benzenes, produced in the presence of organic matter and chlorine, are considered PCDD/Fs precursors, and are used as cost and time convenient substitute indicators for the indirect measurement of the latter. In this study penta- and hexa-chlorobenzene are quantified for the determination of the organochloride load of fly ash from solid recovered fuel incineration. Some of the chlorobenzenes are formed under ‘de novo’ conditions, through heterogeneous (ash particles/flue gases) reactions and are therefore deeply incorporated within fly ash. Accelerated solvent extraction (ASE) and ultrasonic solvent extraction (USE), along with the equivalent clean-up methods suggested by literature were compared to traditional Soxhlet. The extraction efficiencies achieved were 83 ± 7.5% for Soxhlet, 111 ± 19% for PFE, and 67 ± 17% for ultrasonication. Soxhlet extraction and clean-up through a multilayer silica gel column gave more precise results compared to the other sample preparation methods. Furthermore, performance comparison of gas chromatography fitted with either a mass spectrometer operated in single ion monitoring mode (GC-MS-SIM), or electron capture detector (GC- ECD) highlighted that ECD can be used for measuring chlorobenzenes traces down to 0.21 ng g−1, when the equivalent LOQ for MS-SIM was 3.26 ng g−1. The results further suggest that ECD can provide better peak integration than MS-SIM in the detection of chlorobenzenes in fly ash extracts, due to the detector's sensitivity to halogenated compounds