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

Keeping an Eye on Wild Brown Trout (Salmo trutta) Populations: Correlation Between Temperature, Environmental Parameters, and Proliferative Kidney Disease.

Proliferative kidney disease (PKD) is an emerging disease of salmonids caused by the myxozoan parasite Tetracapsuloides bryosalmonae, which plays a major role in the decrease of wild brown trout (Salmo trutta) populations in Switzerland. Strong evidence demonstrated that water temperature modulates parasite infection. However, less knowledge exists on how seasonal water temperature fluctuations influence PKD manifestation under field conditions, how further environmental factors such as water quality may modulate the disease, and whether these factors coalesce with temperatures role possibly giving rise to cumulative effects on PKD. The aims of this study were to (1) determine the correlation between seasonal course of water temperature and PKD prevalence and intensity in wild brown trout populations, (2) assess if other factors such as water quality or ecomorphology correlate with the infection, and (3) quantitatively predict the implication of these factors on PKD prevalence with a statistical model. Young-of-the-year brown trout were sampled in 45 sites through the Canton of Vaud (Switzerland). For each site, longitudinal time series of water temperature, water quality (macroinvertebrate community index, presence of wastewater treatment plant effluent) and ecomorphological data were collected and correlated with PKD prevalence and intensity. 251 T. bryosalmonae-infected trout of 1,118 were found (overall prevalence 22.5%) at 19 of 45 study sites (42.2%). Relation between PKD infection and seasonal water temperature underlined that the mean water temperature for June and the number of days with mean temperature ≥15°C were the most significantly correlated parameters with parasite prevalence and intensity. The presence of a wastewater treatment plant effluent was significantly correlated with the prevalence and infection intensity. In contrast, macroinvertebrate diversity and river ecomorphology were shown to have little impact on disease parameters. Linear and logistic regressions highlighted quantitatively the prediction of PKD prevalence depending on environmental parameters at a given site and its possible increase due to rising temperatures. The model developed within this study could serve as a useful tool for identifying and predicting disease hot spots. These results support the importance of temperature for PKD in salmonids and provides evidence for a modulating influence of additional environmental stress factors

Polarization-mode interferometry in birefringent single-mode fibers

An interferometric technique was used to investigate the relative phase delay between polarization modes in birefringent single-mode fibers. Polarization-mode dispersion is directly deduced from the measurements of relative phase delay at different wavelengths. Relative group delays of 20 fsec can be measured in meter-length samples without the need for light-polarizing device

Spin-wave scattering at low temperatures in manganite films

The temperature $T$ and magnetic field $H$ dependence of the resistivity $\rho$ has been measured for La$_{0.8-y}$Sr$_{0.2}$MnO$_{3}$ (y=0 and 0.128) films grown on (100) SrTiO$_{3}$ substrates. The low-temperature $\rho$ in the ferromagnetic metallic region follows well $\rho (H,T)=\rho _{0}(H)+A(H)\omega_{s}/\sinh (\hbar \omega_{s}/2k_{B}T)+B(H)T^{7/2}$ with $\rho _{0}$ being the residual resistivity. We attribute the second and third term to small-polaron and spin-wave scattering, respectively. Our analysis based on these scattering mechanisms also gives the observed difference between the metal-insulator transition temperatures of the films studied. Transport measurements in applied magnetic field further indicate that spin-wave scattering is a key transport mechanism at low temperatures.Comment: 5 pages, 4 figures. to appear in Phys. Rev.

Midgap edge states and pairing symmetry of quasi-one-dimensional organic superconductors

The singlet s-, d- and triplet p-wave pairing symmetries in quasi-one-dimensional organic superconductors can be experimentally discriminated by probing the Andreev bound states at the sample edges. These states have the energy in the middle of the superconducting gap and manifest themselves as a zero-bias peak in tunneling conductance into the corresponding edge. Their existence is related to the sign change of the pairing potential around the Fermi surface. We present an exact self-consistent solution of the edge problem showing the presence of the midgap states for p_x-wave superconductivity. The spins of the edge state respond paramagnetically to a magnetic field parallel to the vector d that characterizes triplet pairing.Comment: 6 pages, 4 figures. V.2: New section on spin response is added and references are updated. V.3: Final version accepted to PRB. Typos are corrected and important note is added in proof

Bond and charge density waves in the isotropic interacting two-dimensional quarter-filled band and the insulating state proximate to organic superconductivity

We report two surprising results regarding the nature of the spatial broken symmetries in the two-dimensional (2D), quarter-filled band with strong electron-electron interactions. First, in direct contradiction to the predictions of one-electron theory, we find a coexisting ``bond-order and charge density wave'' (BCDW) insulating ground state in the 2D rectangular lattice for all anisotropies, including the isotropic limit. Second, we find that the BCDW further coexists with a spin-density wave (SDW) in the range of large anisotropy. Further, in contrast to the interacting half-filled band, in the interacting quarter-filled band there are two transitions: first, a similar singlet-to-AFM/SDW transition for large anisotropy and second, an AFM/SDW-to-singlet transition at smaller anisotropy. We discuss how these theoretical results apply to the insulating states that are proximate to the superconducting states of 2:1 cationic charge-transfer solids (CTS). An important consequence of this work is the suggestion that organic superconductivity is related to the proximate Coulomb-induced BCDW, with the SDW that coexists for large anisotropies being also a consequence of the BCDW, rather than the driver of superconductivity.Comment: 29 pages, 18 eps figures. Revised with new appendices; to appear in Phys. Rev. B 62, Nov 15, 200

Far-infrared study of the Jahn-Teller distorted C60 monoanion in C60 tetraphenylphosphoniumiodide

We report high-resolution far-infrared transmission measurements on C(60)-tetraphenylphosphoniumiodide as a function of temperature. In the spectral region investigated (20-650 cm(-1)), we assign intramolecular modes of the C(60) monoanion and identify low-frequency combination modes. The well-known F(1u)(1) and F(1u)(2) modes are split into doublers at room temperature, indicating a D(5d) or D(3d) distorted ball. This result is consistent with a dynamic Jahn-Teller effect in the strong-coupling limit or with a static distortion stabilized by low-symmetry perturbations. The appearance of silent odd modes is in keeping with symmetry reduction of the hall, while activation of even modes is attributed to interband electron-phonon coupling and orientational disorder in the fulleride salt. Temperature dependences reveal a weak transition in the region 125-150 K in both C(60)(-) and counterion modes, indicating a bulk, rather than solely molecular, effect. Anomalous softening (with decreasing temperature) in several modes may correlate with the radial character of those vibrations. [S0163-1829(98)03245-7]

Superconductivity in Fullerides

Experimental studies of superconductivity properties of fullerides are briefly reviewed. Theoretical calculations of the electron-phonon coupling, in particular for the intramolecular phonons, are discussed extensively. The calculations are compared with coupling constants deduced from a number of different experimental techniques. It is discussed why the A_3 C_60 are not Mott-Hubbard insulators, in spite of the large Coulomb interaction. Estimates of the Coulomb pseudopotential $\mu^*$, describing the effect of the Coulomb repulsion on the superconductivity, as well as possible electronic mechanisms for the superconductivity are reviewed. The calculation of various properties within the Migdal-Eliashberg theory and attempts to go beyond this theory are described.Comment: 33 pages, latex2e, revtex using rmp style, 15 figures, submitted to Review of Modern Physics, more information at http://radix2.mpi-stuttgart.mpg.de/fullerene/fullerene.htm

Measurements of Transverse Energy Flow in Deep-Inelastic Scattering at HERA

Measurements of transverse energy flow are presented for neutral current deep-inelastic scattering events produced in positron-proton collisions at HERA. The kinematic range covers squared momentum transfers Q^2 from 3.2 to 2,200 GeV^2, the Bjorken scaling variable x from 8.10^{-5} to 0.11 and the hadronic mass W from 66 to 233 GeV. The transverse energy flow is measured in the hadronic centre of mass frame and is studied as a function of Q^2, x, W and pseudorapidity. A comparison is made with QCD based models. The behaviour of the mean transverse energy in the central pseudorapidity region and an interval corresponding to the photon fragmentation region are analysed as a function of Q^2 and W.Comment: 26 pages, 8 figures, submitted to Eur. Phys.

The variable finesse locking technique

Virgo is a power recycled Michelson interferometer, with 3 km long Fabry-Perot cavities in the arms. The locking of the interferometer has been obtained with an original lock acquisition technique. The main idea is to lock the instrument away from its working point. Lock is obtained by misaligning the power recycling mirror and detuning the Michelson from the dark fringe. In this way, a good fraction of light escapes through the antisymmetric port and the power build-up inside the recycling cavity is extremely low. The benefit is that all the degrees of freedom are controlled when they are almost decoupled, and the linewidth of the recycling cavity is large. The interferometer is then adiabatically brought on to the dark fringe. This technique is referred to as variable finesse, since the recycling cavity is considered as a variable finesse Fabry-Perot. This technique has been widely tested and allows us to reach the dark fringe in few minutes, in an essentially deterministic way