Empirical pricing kernels obtained from the UK index options market

Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse representative agent, unlike similar estimates for the US market

On effects of regular S=1 dilution of S=1/2 antiferromagnetic Heisenberg chains by a quantum Monte Carlo simulation

The effects of regular S=1 dilution of S=1/2 isotropic antiferromagnetic chain are investigated by the quantum Monte Carlo loop/cluster algorithm. Our numerical results show that there are two kinds of ground-state phases which alternate with the variation of $S^1=1$ concentration. When the effective spin of a unit cell is half-integer, the ground state is ferrimagnetic with gapless energy spectrum and the magnetism becomes weaker with decreasing of the $S^1$ concentration $\rho = 1/M$. While it is integer, a non-magnetic ground state with gaped spectrum emerges and the gap gradually becomes narrowed as fitted by a relation of $\Delta \approx 1.25\sqrt{\rho}$.Comment: 6 pages, 9 figure

Investigate the impacts of assimilating satellite rainfall estimates on rainstorm forecast over southwest United States

Using the MM5-4DVAR system, a monsoon rainstorm case over southern Arizona (5-6 August 2002) was investigated for the influence of assimilating satellite rainfall estimates on precipitation forecasts. A set of numerical experiments was conducted with multiple configurations including using 20-km or 30-km grid distances and none or 3-h or 6-h assimilation time windows. Results show that satellite rainfall assimilation can improve the rainstorm-forecasting pattern and amount to some extent. The minimization procedure of 4DVAR is sensitive to model spatial resolution and the assimilation time window. The 3-h assimilation window with hourly rainfall data works well for the 6-h forecast, and for 12-h or longer forecasts, a 6-h assimilation window will be requested. Copyright 2004 by the American Geophysical Union

Impact of assimilating rainfall derived from radar and satellites on rainstorm forecasts over the Southwestern United States

The impact of assimilating rainfall derived from radar and satellites on rainstorm forecasts over the Southwestern United States is discussed. The major advantage of 4DVAR is the use of full model dynamics and physics to assimilate multiple-time-level observation data. Rainfall assimilation via 4DVAR is used to improve the moisture distributions in model IC. It is found that by using 4DVAR to generate model IC, the precipitation intensity and patterns can be improved substantially over the mid-latitude plain regions

Influence of assimilating rainfall derived from WSR-88D radar on the rainstorm forecasts over the southwestern United States

In this study, the impact of rainfall assimilation on the forecasts of convective rainfall over the mountainous areas in the southwestern United States is investigated. The rainfall is derived from the U.S. Weather Surveillance Radar-1988 Doppler (WSR-88D) radar network, and the fifth-generation Mesoscale Model (MM5) Four-Dimensional Variational (4DVAR) system is employed in the study. We evaluate the rainfall assimilation skill through two rainstorm events (5-6 August and 11-12 September 2002) that occurred over the southwestern United States in 2002. A series of experiments for the two cases is conducted. The results show that the minimization process in the 4DVAR is sensitive to the length of assimilation window and error variance in the observation data. Assimilation of rainfall can produce a better short-range precipitation forecast. However, the time range of improved forecasts is limited to about 15 hours with the model resolution of 20 km. It is indicated that rainfall assimilation produces more realistic moisture divergence and temperature fields in the initial conditions for the two cases. Therefore the forecast of rainstorms is closer to observations in both quantity and pattern. Copyright 2006 by the American Geophysical Union

Parameter estimation of GOES precipitation index at different calibration timescales

We examined two techniques that adjust the parameters of the GOES Precipitation Index (GPI) by combining the polar microwave and the geosynchronous infrared observations at three frequencies: daily, pentad, and monthly. The first technique is the adjusted GPI (AGPI), and the second is the universally adjusted GPI (UAGPI). The study shows that rainfall estimates can be improved by frequent calibrations providing there is sufficient superior (microwave) rainfall sampling within the calibration time and space domain. For this work, daily and pentad calibrations produce monthly rainfall estimates almost as good as monthly calibration. The daily calibration produced better daily rainfall estimates than pentad and monthly calibration, but it generates similar pentad rainfall estimates to these of the pentad calibration. The monthly calibrated scheme is not suitable for the daily and pentad rainfall estimates. Under the current twice-per-day sampling rate of polar-orbiting microwave observations, the pentad calibration scheme is suggested for the monthly, pentad, and daily rainfall. The potentials of applying the UAGPI and the AGPI techniques for daily rainfall estimation are also investigated. Copyright 2000 by the American Geophysical Union

The evolution of large-bodied theropod dinosaurs during the Mesozoic in Asia

The fossil record of large-bodied, apex carnivorous theropod dinosaurs in Eastern Asia is now among the best understood in the world, thanks to new discoveries and reinterpretations of long-neglected fossils. Asia boasts the most complete record of Middle Jurassic theropods globally, as well as one of the best-studied Late Cretaceous theropod faunas, and new research is helping to fill what was previously a 60-million-year gap in the Early-mid Cretaceous fossil record of large Asian predators. In general, the bio-geographic affinities of large-bodied Asian theropods over time were intimately related to physical geography, and progressively more derived theropod clades evolved large body size and occupied the apex predator niche throughout the Jurassic and Cretaceous. During the Middle Jurassic, largely endemic clades of basal tetanurans were prevalent in Asia, whereas during the Late Jurassic mid Cretaceous more derived “intermediate” tetanuran theropods with cosmopolitan affinities occupied the large predator role, including sinraptorids, spinosauris, and carcharodontosaurians. Finalli, during the final 20 million years of the Cretaceous, more derived, bird-like coelurosaurs attained large body size. Foremost among these were the tyrannosaurids, a radiation of northern (Asian and North American) megapredators whose ascent into the apex predator niche was a delayed event restricted to the Campanian-Masastrichian. As Asia is the focus of intense ongoing dinosaur fieldwork, our undestarnding of large-bodied theropod evolution will continue to be refined with future discoveries.El registro fósil de los dinosaurios carnívoros terópodos de gran talla en el este de Asia es uno de los mejor conocidos del mundo, gracias a nuevos descubrimientos y reinterpretaciones de fósiles que han permanecido pobremente estudiados durante mucho tiempo. Globalmente, Asia comprende el registro fósil mas completo de terópodos del Jurasico Medio, así como una de las faunas finicretácicas mejor estudiadas. Asimismo, las nuevas investigaciones están contribuyendo a completar un hiato de 60 millones de años en el registro fósil de grandes depredadores asiáticos correspondientes al Cretácico inferior-medio. En general las afinidades biogeográficas de los grandes terópodos asiáticos a través del tiempo se hallan íntimamente ligadas a la geografía física. Progresivamente, varios clados derivados de terópodos evolucionaron grandes tallas corporales, ocupando la cima del nicho de depredador durante todo el Jurasico y el Cretácico. Durante el Jurasico Medio prevalecieron clados de tetanuros basales mayormente endémicos, mientras que durante el Jurásico Superior-Cretácico Medio clados más derivados de terópodos tetanuros “intermedios” de afinidades cosmopolitas ocuparon el papel de gran depredador, incluyendo sinraptoridos, espinosauridos y carcharodontosauridos. Finalmente, durante los ultimos 20 millones de anos del Cretacico, coelurosaurios mas derivados con aspecto reminiscente a las aves alcanzaron grandes tallas corporales. Pirmordialmente entre estas formas se hallaban los tiranosauridos, una radiación septentrional (asiáticos y norteamericanos) de megadepredadores cuyo ascenso a la cumbre del nicho de gran depredador se retraso hasta el Campaniense y Maastrichtiense. Mientras Asia continua constituyendo el foco de una intensa actividad paleontológica, nuestros conocientos sobre la evolución de los grandes terópodos continuará refinándose con el estudio de futuros hallazgos

Delay-dependent robust stability of stochastic delay systems with Markovian switching

In recent years, stability of hybrid stochastic delay systems, one of the important issues in the study of stochastic systems, has received considerable attention. However, the existing results do not deal with the structure of the diffusion but estimate its upper bound, which induces conservatism. This paper studies delay-dependent robust stability of hybrid stochastic delay systems. A delay-dependent criterion for robust exponential stability of hybrid stochastic delay systems is presented in terms of linear matrix inequalities (LMIs), which exploits the structure of the diffusion. Numerical examples are given to verify the effectiveness and less conservativeness of the proposed method