Australian Asian options

We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian Asian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use dierent approximations that produce very similar results.Asian options, arithmetic average, geometric average, edgeworth expansion, lognormal distribution, gamma distribution

On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives

This paper analyses the robustness of Least-Squares Monte Carlo, a technique recently proposed by Longstaff and Schwartz (2001) for pricing American options. This method is based on least-squares regressions in which the explanatory variables are certain polynomial functions. We analyze the impact of different basis functions on option prices. Numerical results for American put options provide evidence that a) this approach is very robust to the choice of different alternative polynomials and b) few basis functions are required. However, these conclusions are not reached when analyzing more complex derivatives.Least-Squares Monte Carlo, option pricing, American options

Three-dimensional hydrodynamic models coupled with GIS-based neuro-fuzzy classification for assessing environmental vulnerability of marine cage aquaculture

There is considerable opportunity to develop new modelling techniques within a Geographic Information Systems (GIS) framework for the development of sustainable marine cage culture. However, the spatial data sets are often uncertain and incomplete, therefore new spatial models employing “soft computing” methods such as fuzzy logic may be more suitable. The aim of this study is to develop a model using Neuro-fuzzy techniques in a 3D GIS (Arc View 3.2) to predict coastal environmental vulnerability for Atlantic salmon cage aquaculture. A 3D hydrodynamic model (3DMOHID) coupled to a particle-tracking model is applied to study the circulation patterns, dispersion processes and residence time in Mulroy Bay, Co. Donegal Ireland, an Irish fjard (shallow fjordic system), an area of restricted exchange, geometrically complicated with important aquaculture activities. The hydrodynamic model was calibrated and validated by comparison with sea surface and water flow measurements. The model provided spatial and temporal information on circulation, renewal time, helping to determine the influence of winds on circulation patterns and in particular the assessment of the hydrographic conditions with a strong influence on the management of fish cage culture. The particle-tracking model was used to study the transport and flushing processes. Instantaneous massive releases of particles from key boxes are modelled to analyse the ocean-fjord exchange characteristics and, by emulating discharge from finfish cages, to show the behaviour of waste in terms of water circulation and water exchange. In this study the results from the hydrodynamic model have been incorporated into GIS to provide an easy-to-use graphical user interface for 2D (maps), 3D and temporal visualization (animations), for interrogation of results. v Data on the physical environment and aquaculture suitability were derived from a 3- dimensional hydrodynamic model and GIS for incorporation into the final model framework and included mean and maximum current velocities, current flow quiescence time, water column stratification, sediment granulometry, particulate waste dispersion distance, oxygen depletion, water depth, coastal protection zones, and slope. The Neuro-fuzzy classification model NEFCLASS–J, was used to develop learning algorithms to create the structure (rule base) and the parameters (fuzzy sets) of a fuzzy classifier from a set of classified training data. A total of 42 training sites were sampled using stratified random sampling from the GIS raster data layers, and the vulnerability categories for each were manually classified into four categories based on the opinions of experts with field experience and specific knowledge of the environmental problems investigated. The final products, GIS/based Neuro Fuzzy maps were achieved by combining modeled and real environmental parameters relevant to marine fin fish Aquaculture. Environmental vulnerability models, based on Neuro-fuzzy techniques, showed sensitivity to the membership shapes of the fuzzy sets, the nature of the weightings applied to the model rules, and validation techniques used during the learning and validation process. The accuracy of the final classifier selected was R=85.71%, (estimated error value of ±16.5% from Cross Validation, N=10) with a Kappa coefficient of agreement of 81%. Unclassified cells in the whole spatial domain (of 1623 GIS cells) ranged from 0% to 24.18 %. A statistical comparison between vulnerability scores and a significant product of aquaculture waste (nitrogen concentrations in sediment under the salmon cages) showed that the final model gave a good correlation between predicted environmental vi vulnerability and sediment nitrogen levels, highlighting a number of areas with variable sensitivity to aquaculture. Further evaluation and analysis of the quality of the classification was achieved and the applicability of separability indexes was also studied. The inter-class separability estimations were performed on two different training data sets to assess the difficulty of the class separation problem under investigation. The Neuro-fuzzy classifier for a supervised and hard classification of coastal environmental vulnerability has demonstrated an ability to derive an accurate and reliable classification into areas of different levels of environmental vulnerability using a minimal number of training sets. The output will be an environmental spatial model for application in coastal areas intended to facilitate policy decision and to allow input into wider ranging spatial modelling projects, such as coastal zone management systems and effective environmental management of fish cage aquaculture

Doctor of Philosophy

dissertationModern medicine would benefi t from the pursuit of new, more speci fic and easier to implement diagnosis tools. In recent years, Raman scattering, surface-enhanced Raman scattering and fluorescence spectroscopy have proven to be successful diagnostic techniques for a wide range of diseases including atherosclerosis, kidney stones, bone diseases, diabetes, and a wide collection of neoplasms. Optical spectroscopy has several advantages over more traditional diagnostic methods (i.e., histopathology, quantitative PCR, etc.) such as faster data analysis, nonspecifi c sample preparation, nonspecifi c labels/reagents/antibodies usage requirements, and immediate on-site implementation. In the present work, label-free in vitro fluorescence and surface enhanced Raman scattering (SERS) spectroscopy have been used to di fferentiate between blood cells of patients aff ected with myeloproliferative neoplasms (MPN) and those of healthy subjects. The SERS technique has also been applied to hemoglobin variants as well as to serum obtained from patients affected with chronic heart failure who positively or negatively responded to the seasonal influenza vaccine. We found that spectral ratios of the background fluorescence intensity that accompanies the SERS spectra of granulocytes serve as excellent markers for the presence of MPNs. In addition, we also found expression dysregulation of two hypoxia induced factor regulated genes, which correlates with our results obtained by SERS spectroscopy assay in MPN patients and supports the presence of the Warburg e ffect in MPNs. We hypothesize that SERS measures metabolic change in granulocytes through two possible mechanisms: (i) Changes in dielectric properties of the environment surrounding the silver-cell interface; and (ii) changes in flavinadenine dinucleotide concentrations, which in turn changes the relative contribution of the auto uorescence to the emission spectrum. These hypotheses are supported by SERS measurement of 2-deoxy-D-glucose incubated granulocytes, where the emission spectra show a similar behavior as observed in the SERS spectra of controls and patients. Using SERS spectroscopy in combination with multivariate analysis (e.g., principal component analysis) and classi fication algorithms (e.g., support vector machines), we are able to distinguish among hemoglobin variants S, C and E and traits FS and FE, as well as seasonal infuenza vaccine responders and nonresponders within a population of patients su ffering from chronic heart failure. The results presented here may have an extraordinary impact on the diagnostics of patients having Myeloproliferative Neoplasms, as well as on the health care management of patients aff ected with hemoglobinopathies and chronic heart failure

Hydrodynamic changes in Guadalquivir estuary (Spain) due to a hypothetical tidal marsh restoration project

Tidal marsh restoration will be an important management issue in Guadalquivir Estuary in the near future. The Guadalquivir Estuary has been anthropologically modified several times, the river is bounded by embankments to protect rice and cotton plantations from tidal inundation, the meanders have been transformed into straight sections, about 80 % of the original marsh surface has been lost and approximately one-fourth of the total surface of the estuary is now part of two protected areas, one of them is a UNESCO, MAB Biosphere Reserve. A hypothetical restoration of tidal marshes will benefits different species and functions based on location, elevation, adjacent habitats, degree of hydrodynamic connectivity and would reduce the present high levels of turbidity. The restoration projects should be accompanied by studies for a better understanding of the environmental changes expected. A Large-scale construction of tidal marsh will change tidal dynamics, modify the tidal inundation regime and the freshwater flow over the surrounding areas. A hydrodynamic model has been developed to study changes in the tidal propagation and the flow regime due to a hypothetical marsh restoration. The model has been calibrated and the output has been validated with in situ water elevation and good agreement between modelled and real measurements have been obtained. A sensitivity test changing the size, locations from the estuary mouth and depth has been carried out to highlights impacts over the tidal propagation, flow regime, salinity intrusion and the tidal inundation regime. Our preliminary results show that the tidal elevation and the current speed will be considerably affected in the estuary. The model open the possibility to study interactions among the tidal marsh restoration project, Seville port operations, fisheries and agricultural activities. The numerical model will be a powerful tool in restoration projects in a complex socio-ecological system.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech. Autoridad Portuaria de Sevill

3D hydrodynamic model as a tool for more efficient port management and operations.

Ports have been attempting to increase their competitiveness by enhancing their productivity and operate in a more environmentally friendly way. The Port of Seville is located in the Guadalquivir River in the south of Spain and it is the unique Spanish inland port. The estuary has generated and is still generating conflicts of interests. The access channel to the port is being periodically dredged, the natural course has been anthropologically modified several times, original salt marshes have been transformed to grow rice and approximately one-fourth of the total surface of the estuary is now part of two protected areas, one of them is a UNESCO_MAB Biosphere Reserve. Despite its socio-economic and environmental significance there is a surprising lack of scientific and technical information about the environmental interactions between the port activities and the Guadalquivir estuary stakeholders. A 3D hydrodynamic model has been developed to study the tidal regime, water circulation, temperature and salinity distributions, flooding areas and the sediment dynamics in the estuary. The model output has been validated with in situ current speed, direction, water elevation and also with temperature and salinity measurements. Good agreement between modeled and real measurements have been obtained. Our preliminary results show that the vessel traffic management could be improved by using the tidal elevations and currents calculated by the model in the whole estuary. The interactions among the port activities (mainly due of changes in the sediments dynamics), the watershed management and the saline intrusion evolution will be studied in detail. 3D Hydrodynamic Modelling provide spatially explicit information on the key variables governing the dynamics of estuarine areas. The numerical model is a powerful tool to effectively guide the management and operations of ports located in a complex socio-ecological systems.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech

Modeling changes in the tidal propagation and its implication for vessel navigation in Guadalquivir estuary ( Spain)

The Port of Seville is an inland harbour located in the Guadalquivir Estuary some 80 km from the river mouth and is the unique Spanish inland port. Vessel traffic in the estuary is a relevant economic activity and a suitable trade-off between vessel draught and safety to prevent ship aground is required and to optimize the port operability. The Guadalquivir is a mesotidal estuary with tidal range of 2-3 m, an important fraction of the minimum depth of the navigation waterway (presently 6.5m). Upstream navigation is favoured around high water as the tide progresses at 12 knots, which is comparable to the vessel speed, thus allowing greater vessel draughts. Oceanwards navigation of heavy vessels, on the contrary, is hampered by the tide because a low water is unavoidably met when heading downstream. A 3D, high resolution hydrodynamic model has been implemented in the whole estuary to study the tidal propagation. The model is forced by the oceanic tide at the mouth and freshwater discharges controlled by an upstream dam at the head. It has been satisfactorily validated and predicts tidal oscillations with high accuracy (less than 4 cm in amplitude and 20 min in phase everywhere in the estuary). Based on the model outputs of tidal heights and currents and using present-day estuary bathymetry, a MATLAB application has been developed for shipping planning (Vessel Traffic Decision Support System, VTDSS). The application allows the final users to test different traffic scheduling scenarios in order to assess the effects on navigational patterns and explore possible management and policy scenarios under sea level rise and changes in tidal propagation. A description of the model and an overview of the VTDSS are presented here; the effectiveness as a decision support tool is demonstrated via the simulated navigation time of several vessels.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech. Autoridad Portuaria de Sevill

Heat fluxes between the Guadalquivir river and the Gulf of Cádiz Continental Shelf

An 18-year time series of daily sea surface temperature of Gulf of Cadiz and an 18-month time series of temperature collected in the vicinity of the Guadalquivir estuary mouth have been analyzed to investigate the heat exchange between the estuary and the adjacent continental shelf. The first time identifies a continental shelf area where seasonal thermal oscillation signal (amplitudes and phase) changes abruptly. In order to explain this anomaly, the second data set allows a description of thermal fluctuations in a wide range of frequencies and an estimation of the upstream heat budget of the Guadalquivir estuary. Results show that high frequency thermal signal, diurnal and semidiurnal, and water flux signal through Guadalquivir mouth, mainly semidiurnal, apparently interact randomly to give a small exchange of thermal energy at high frequency. There is no trace, at the estuary's mouth, of daily heat exchanges with intertidal mudflats probably because it tends to cancel on daily time scales. Results also show that fluctuations of estimated air-sea fluxes force fluctuations of temperature in a quite homogeneous estuarine, with a delay of 20 days. The along-channel thermal energy gradient reaches magnitudes of 300-400 J m-4 near the mouth during the summer and winter and drives the estuary-shelf exchange of thermal energy at seasonal scale. Particularly, the thermal heat imported by the estuary from the shelf area during late fall-winter-early spring of 2008/2009 is balanced by the thermal heat that the estuary exports to the shelf area during late spring-summer of 2008. In summary, Guadalquivir river removes/imports excess of thermal energy towards/from the continental shelf seasonally, as a mechanism to accommodate excess of heat from one side respect to the other side.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech. Autoridad Portuaria de Sevilla (APS

Physical characterization of the Guadiana Estuary using a 3D model

Guadiana estuary is an intertidal estuary situated in SW of Iberian Península, the latest 50 Km of which constitutes the natural border between Spain and Portugal. Tidal influence extends to about 80 Km upstream. The Guadiana River presents a high seasonal irregularity with wet winters and dry summers. A 3D hydrodynamic model based on the MOHID System has been developed to study the hydrodynamics of the Guadiana Estuary. The model has been validated by comparison the output with in situ data measurements in several points along the estuary.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech

La información de las administraciones públicas locales : las webs de los ayuntamientos de Cataluña

"Introducción". La información de las administraciones públicas ha de ser completa e inteligible para que la ciudadanía pueda ejercer su derecho a la participación de forma fundamentada y para que los profesionales de los medios de comunicación dispongan de fuentes fiables. "Metodología". El objetivo de esta investigación es elaborar un procedimiento de evaluación de las informaciones que ofrecen las webs de los ayuntamientos, aplicarlo y ofrecer los resultados en línea a través de una plataforma específica para incitar a los responsables a introducir mejoras. Hemos definido 41 indicadores de evaluación y hemos evaluado las webs de los 947 ayuntamientos de Cataluña. "Resultados". Los resultados los hemos representado sobre una herramienta cartográfica, el Mapa de Buenas Prácticas de la Comunicación Pública Local, ofreciendo resultados individuales, de conjunto y estadísticas. "Conclusiones". Su publicación ha propiciado cambios en las webs en muy poco tiempo. Ahora aplicaremos esta misma metodología en otras 5 comunidades autónomas de España."Introduction". The information issued by government institutions must be complete and intelligible so that citizens are able to exercise their right to participation based on informed decisions and the media professionals can use consider these institutions as reliable sources of information. This article presents the results of the development and application of a method to evaluate the information offered by the websites of the municipal governments of Catalonia in order to encourage policymakers to introduce improvements to these platforms. "Methods". The sample of study includes the institutional websites run by the government of 947 municipalities of Catalonia. The evaluation is based on 41 purpose-created indicators. "Results". The results have been represented on an online geographical mapping tool, titled Map of Good Practices in Local Public Communication, which offers individual and general results and statistics. "Conclusions". The publication of results has quickly led to improvements in the sample of websites under analysis, which has led the research team to apply the same evaluation method to the websites of the municipal governments of other five Spanish autonomous communities