Derivative pricing under the possibility of long memory in the supOU stochastic volatility model

We consider the supOU stochastic volatility model which is able to exhibit long-range dependence. For this model we give conditions for the discounted stock price to be a martingale, calculate the characteristic function, give a strip where it is analytic and discuss the use of Fourier pricing techniques. Finally, we present a concrete specification with polynomially decaying autocorrelations and calibrate it to observed market prices of plain vanilla options

Numerical benchmark campaign of cost action tu1404 – microstructural modelling

This paper presents the results of the numerical benchmark campaign on modelling of hydration and microstructure development of cementitious materials. This numerical benchmark was performed in the scope of COST Action TU1404 “Towards the next generation of standards for service life of cement-based materials and structures”. Seven modelling groups took part in the campaign applying different models for prediction of mechanical properties (elastic moduli or compressive strength) in cement pastes and mortars. The simulations were based on published experimental data. The experimental data (both input and results used for validation) were open to the participants. The purpose of the benchmark campaign was to identify the needs of different models in terms of input experimental data, verify predictive potential of the models and finally to provide reference cases for new models in the future. The results of the benchmark show that a relatively high scatter in the predictions can arise between different models, in particular at early ages (e.g. elastic Young’s modulus predicted at 1 d in the range 6-20 GPa), while it reduces at later age, providing relatively good agreement with experimental data. Even though the input data was based on a single experimental dataset, the large differences between the results of the different models were found to be caused by distinct assumed properties for the individual phases at the microstructural level, mainly because of the scatter in the nanoindentation-derived properties of the C-S-H phase.</jats:p

Solubility of substances related to urolithiasis - Experiments and computer modelling.

Probably the largest ever, in terms of the number of reactions, species and thermodynamic quantities considered, equilibrium speciation model for solubility simulations of stone-forming solids in urine is presented. The thermodynamic database used has been augmented by solubility constants measured in our laboratory. These values as well as literature data are reviewed. The model calculations permit the accurate prediction and assessment of previously reported solubility measurements carried out in various salt solutions and urine-like liquor

Solubility of the three calcium oxalate hydrates in sodium chloride solutions and urine-like liquors

Calcium oxalate forms three hydrates (stable monoclinic mono-hydrate (COM), metastable tetragonal dihydrate (COD) and triclinic trihydrate (COT)), which are of medical importance in urinary calculi formation. In this work, the solubility of these calcium oxalate hydrates was determined at 20, 25, 30, 37, and 40°C in aqueous NaCl (0.02-0.20 mol • dm-3) and in urine-like liquors. Also, for the first time, the solubility of COM was systematically studied as a function of pH in artificial urine solutions which contain organic compounds. The concentrations of calcium ions were measured continuously using a calcium ion selective electrode and also determined by AAS. The thermodynamic solubility products were obtained from computer simulations in which all possible complexes formed in aqueous solution were taken into account. These values were compared to those available in the literature; it was found that the present results, especially for COD and COT, constitute a major improvement on the previously reported values. The constants determined in this work were used to predict the solubility of calcium oxalate hydrates at different pH in urine-like liquors. It was found that in artificial urine solutions, citrate and magnesium ions promote the solubility of COM, whereas urea and creatinine have no significant effect

Solid-solute phase equilibria in aqueous solutions X. Solubility constant and stability of norsethite

The solubility constant of norsethite, BaMg(CO3)2, was determined for the first time. Also, a new method was developed which permits the precipitation of pure norsethite from homogeneous solution. The solubility measurements were performed at 25°C in 0.20 mol • dm-3 sodium perchlorate media of constant ionic strength. It was shown that norsethite dissolves congruently in this solution. The pH variation method was used to obtain a stoichiometric solubility constant which was extrapolated to zero ionic strength by use of the Davies equation. The resulting thermodynamic solubility constant was incorporated in a comprehensive computer model which permits solubility calculations in complex systems. Thus, the conditions for norsethite formation in the environment and in the laboratory can be predicted. Furthermore, the stability of norsethite with respect to witherite (BaCO3) and the various magnesium carbonate phases was calculated