Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives

Temperature-based weather derivatives are written on an index which is normally defined to be a nonlinear function of average daily temperatures. Recent empirical work has demonstrated the usefulness of simple time-series models of temperature for estimating the payoffs to these instruments. This paper develops analytical distributions of temperature indices on which temperature derivatives are written. If deviations of daily temperature from its expected value is modelled as an Ornstein-Uhlenbeck process with time-varying variance, then the distributions of the temperature index on which the derivative is written is the sum of truncated, correlated Gaussian deviates. The key result of this paper is to provide an analytical approximation to the distribution of this sum, thus allowing the accurate computation of payoffs without the need for any simulation. A data set comprising average daily temperature spanning over a hundred years for four Australian cities is used to demonstrate the efficacy of this approach for estimating the payoffs to temperature derivatives. It is demonstrated that expected payoffs computed directly from historical records is a particulary poor approach to the problem when there are trends in underlying average daily temperature. It is shown that the proposed analytical approach is superior to historical pricing.Weather Derivatives, Temperature Models, Cooling Degree Days, Maximum Likelihood Estimation, Distribution for Correlated Variables

Evansville Community Tennis Association master plan : an honors thesis (HONRS 499)

The Evansville Community Tennis Association (ECTA) charges itself with growing tennis in the city of Evansville, Indiana. Starting in the year 2000, ECTA established the expansion of the Wesselman Tennis Center as one of its primary objectives to accomplishing this goal. In the summer of 2009 as part of my Senior Honors Thesis, I developed a conceptual discussion plan for the expansion of the Wesselman Tennis Center. This thesis document explains the conceptual discussion design phase while also providing a framework for the completion of the programmatic design phase, thus enabling the project to move into schematic and design development stages in the near future.Honors CollegeThesis (B.?

Estimating the Payoffs of Temperature-based Weather Derivatives

Temperature-based weather derivatives are written on an index which is normally defined to be a nonlinear function of average daily temperatures. Recent empirical work has demonstrated the usefulness of simple time-series models of temperature for estimating the payoffs to these instruments. This paper argues that a more direct and parsimonious approach is to model the time-series behaviour of the index itself, provided a sufficiently rich supply of historical data is available. A data set comprising average daily temperature spanning over a hundred years for four Australian cities is assembled. The data is then used to compare the actual payoffs of temperature-based European call options with the expected payoffs computed from historical temperature records and two time-series approaches. It is concluded that expected payoffs computed directly from historical records perform poorly by comparison with the expected payoffs generated by means of competing time-series models. It is also found that modeling the relevant temperature index directly is superior to modeling average daily temperatures.Temperature, Weather Derivatives, Cooling Degree Days, Time-series Models.

Spectral factorization via Hermitian pencils

AbstractThe spectral factorization problem is solved for state-space systems via results on the canonical forms and inertia of Hermitian matrix pencils. These algebraic results then give a deflation method for spectral factorization

Photometric evolution of dusty starburst mergers:On the nature of ultra-luminous infrared galaxies

By performing N-body simulations of chemodynamical evolution of galaxies with dusty starbursts, we investigate photometric evolution of gas-rich major mergers in order to explore the nature of ultraluminous infrared galaxies (ULIRGs) with the total infrared luminosity ($L_{\rm IR}$ for $8\sim 1000$ $\mu$m) of $\sim$ $10^{12}$ $L_{\odot}$. Main results are the following three. (1) Global colors and absolute magnitudes the during dusty starburst of a major merger do not change with time significantly, because interstellar dust heavily obscures young starburst populations that could cause rapid evolution of photometric properties of the merger. (2) Dust extinction of stellar populations in a galaxy merger with large infrared luminosity ($L_{\rm IR}$ $>$ $10^{11}$ $L_{\odot}$) is selective in the sense that younger stellar populations are preferentially obscured by dust than old ones. This is because younger populations are located in the central region where a larger amount of dusty interstellar gas can be transferred from the outer gas-rich regions of the merger. (3) Both $L_{\rm IR}$ and the ratio of $L_{\rm IR}$ to $B$ band luminosity $(L_{\rm B}$) increases as the star formation rate increase during the starburst of the present merger model, resulting in the positive correlation between $L_{\rm IR}$ and $L_{\rm IR}/L_{\rm B}$.Comment: 32 pages 25 figures,2001,ApJ,in press. For all 25 PS figures (including fig25.ps), see http://newt.phys.unsw.edu.au/~bekki/res.dir/paper.dir/apj06.dir/fig.tar.g

Evaluation of WRF-Sfire Performance with Field Observations from the FireFlux experiment

This study uses in-situ measurements collected during the FireFlux field experiment to evaluate and improve the performance of coupled atmosphere-fire model WRF-Sfire. The simulation by WRF-Sfire of the experimental burn shows that WRF-Sfire is capable of providing realistic head fire rate-of-spread and the vertical temperature structure of the fire plume, and, up to 10 m above ground level, fire-induced surface flow and vertical velocities within the plume. The model captured the changes in wind speed and direction before, during, and after fire front passage, along with arrival times of wind speed, temperature, and updraft maximae, at the two instrumented flux towers used in FireFlux. The model overestimated vertical velocities and underestimated horizontal wind speeds measured at tower heights above the 10 m, and it is hypothesized that the limited model resolution over estimated the fire front depth, leading to too high a heat release and, subsequently, too strong an updraft. However, on the whole, WRF-Sfire fire plume behavior is consistent with the interpretation of FireFlux observations. The study suggests optimal experimental pre-planning, design, and execution of future field campaigns that are needed for further coupled atmosphere-fire model development and evaluation

Variation Within the Species \u3cem\u3eMacroptilium atropurpureum\u3c/em\u3e Regarding Adaptation to Grazing

The twining legume Macroptilium atropurpureum cv. Siratro was released around 1960 (Hutton 1962) and the rust resistant cultivar Aztec was released in 1994 (Bray & Woodroffe 1995). The species showed great potential for pastures in northern Australia and was planted over some 220 Kha in the 1960\u27s and 70\u27s. The species was high yielding and readily eaten by cattle. However, by the early 1980\u27s the species had declined dramatically in grazed pastures. Clements (1989) showed that a major problem with Siratro was the frequency of removal of growing points. This leads to less regrowth after grazing, less seed set and hence less regenerative capacity. Accessions with greater branching characteristics may overcome this problem

Chandra Observations of Arp 220: The Nuclear Source

We present the first results from 60ks of observations of Arp 220 using the ACIS-S instrument on Chandra. We report the detection of several sources near the galaxy's nucleus, including a point source with a hard spectrum that is coincident with the western radio nucleus B. This point source is mildly absorbed (N_H ~ 3 x 10^22 cm^-2) and has an estimated luminosity of 4 x 10^40 erg/s. In addition, a fainter source may coincide with the eastern nucleus A. Extended hard X-ray emission in the vicinity raises the total estimated nuclear 2-10 keV X-ray luminosity to 1.2 x 10^41 erg/s, but we cannot rule out a hidden AGN behind columns exceeding 5 x 10^24 cm^-2. We also detect a peak of soft X-ray emission to the west of the nucleus, and a hard point source 2.5 kpc from the nucleus with a luminosity of 6 x 10^39 erg/s.Comment: Accepted for publication in Ap