Linear free divisors and Frobenius manifolds

We study linear functions on fibrations whose central fibre is a linear free divisor. We analyse the Gauß–Manin system associated to these functions, and prove the existence of a primitive and homogenous form. As a consequence, we show that the base space of the semi-universal unfolding of such a function carries a Frobenius manifold structure

Why do we smile? On the determinants of the implied volatility function.

We report simple regressions and Granger causality tests in order to understand the pattern of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX-35 index from January 1994 to April 1996. Transaction costs, proxied by the bid–ask spread, seem to be a key determinant of the curvature of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile.Smiles; Bid–ask spread; Volatility; Causality;

Smiles, Bid-ask Spreads and Option pricing.

Given the evidence provided by Longstaff (1995), and Peña, Rubio and Serna (1999) a serious candidate to explain the pronounced pattern of volatility estimates across exercise prices might be related to liquidity costs. Using all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX‐35 index futures from January 1994 to October 1998 we extend previous papers to study the influence of liquidity costs, as proxied by the relative bid‐ask spread, on the pricing of options. Surprisingly, alternative parametric option pricing models incorporating the bid‐ask spread seem to perform poorly relative to Black‐Scholes.smiles; bid-ask spread; implied volatility function; option pricing;

Distribution of radicals in laminar flames

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Some contributions to laminar flame theory

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Why do we smile? On the determinants of the implied volatility function

We report simple regressions and Granger causality tests in order to understand the pattern of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX-35 index from January 1994 to April 1996. Transaction costs, proxied by the bid–ask spread, seem to be a key determinant of the curvature of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile.Publicad

Advanced methodology for wind resource assessment near hydroelectric dams in complex mountainous areas

To increase renewable energy generation in some hydroelectric dams, a solution consisting in installing wind turbines close to dams is proposed. Indeed, dam surroundings are prone to benefit from wind speed-up effect, extra wind generation associated with thermal winds, and existing electrical infrastructure. Identifying the most suitable locations for turbines, that is, areas of relatively high-speed and low-turbulence wind, is fundamental to maximize this complementary power. Easy accessibility to turbines and minimum distance to dam electrical infrastructure are also essential to reduce the costs. Thus, a methodology is proposed to improve wind resource assessment in complex mountainous areas. First, potentially interesting dams are chosen using statistical local wind data. Second, weighted results of wind speed and turbulence intensity, considering all wind directions are presented based on CFD simulations. Finally, wind power density and annual energy production maps are generated, along with accessibility maps, to identify suitable sites. The Camarasa dam in the north-east of the Iberian Peninsula is chosen as case study to show and test the proposed methodology. Error estimations are provided, along with validation against Wind Atlas data and WAsP simulations.Peer ReviewedPostprint (published version

Why do we smile? on the determinants of the implied volatility function

We report simple regressions and rather sophisticated linear and nonlinear Granger causality test in order to understand the pattem of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish ffiEX-35 index from January 1994 to Apri1 l996. Transaction costs, proxied by the bid-ask spread, seem to be a key determinant of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile

Perspectives on OpenFOAM numerical simulations of slope winds in Mars

Planetary boundary layer phenomena, such as slope winds and nocturnal low-level jets, are frequent on Mars, e.g., whenever diurnal surface temperature variations are significant, and large-scale winds are weak. In particular, thermally-driven winds are very common over sloping regions; they can reach significantly high speeds for steep slopes, and govern near-surface winds in many sites. Simulations of this type of flows on Earth have usually been conducted using commercial computational fluid dynamics software (CFD). In this work, a set-up is described for numerically simulating slope flows on Mars within the framework of the open-source code OpenFOAM CFD. For this purpose, thermally-driven winds are analysed in an idealised 2D Martian mountain-valley system with realistic values of parameters such as the slope angle, temperature difference between the atmosphere and slope, etc. The fluid domain dimensions, and the temperature and pressure initial and boundary conditions used in this work were tested and proven suitable in previous similar investigations for Earth applications. Large-eddy simulations (LES) turbulent model is used here. The results obtained for velocity and temperature profiles are shown both for anabatic (up-slope) and katabatic (down-slope) winds. This study shows the potential of the proposed methodology and the performance of OpenFOAM. Future work aims at facilitating the screening of large numbers of candidate landing sites for future Mars missions, and at estimating the thermally-driven wind speeds for wind resource assessment.This work has been supported by the project PID2019-105162RB-I00 funded by MCIN/AEI/10.13039/501100011033 and by the project 2017 SGR 1278 from the AGAUR from Generalitat de CatalunyaPeer ReviewedObjectius de Desenvolupament Sostenible::7 - Energia Assequible i No Contaminant::7.2 - Per a 2030, augmentar substancialment el percentatge d’energia renovable en el con­junt de fonts d’energiaObjectius de Desenvolupament Sostenible::7 - Energia Assequible i No ContaminantObjectius de Desenvolupament Sostenible::7 - Energia Assequible i No Contaminant::7.1 - Per a 2030, garantir l’accés universal a serveis d’energia assequibles, confiables i modernsPostprint (published version