Additive energy forward curves in a Heath-Jarrow-Morton framework

One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement settled on a maturity date. Our purpose is to design a Heath-Jarrow-Morton framework for an additive, mean-reverting, multicommodity market consisting of forward contracts of any delivery period. The main assumption is that forward prices can be represented as affine functions of a universal source of randomness. This allows us to completely characterize the models which prevent arbitrage opportunities: this boils down to finding a density between a risk-neutral measure $\mathbb{Q}$, such that the prices of traded assets like forward contracts are true $\mathbb{Q}$-martingales, and the real world probability measure $\mathbb{P}$, under which forward prices are mean-reverting. The Girsanov kernel for such a transformation turns out to be stochastic and unbounded in the diffusion part, while in the jump part the Girsanov kernel must be deterministic and bounded: thus, in this respect, we prove two results on the martingale property of stochastic exponentials. The first allows to validate measure changes made of two components: an Esscher-type density and a Girsanov transform with stochastic and unbounded kernel. The second uses a different approach and works for the case of continuous density. We apply this framework to two models: a generalized Lucia-Schwartz model and a cross-commodity cointegrated market.Comment: 28 page

Implementing northern peatlands in a global land surface model: description and evaluation in the ORCHIDEE high-latitude version model (ORC-HL-PEAT)

Widely present in boreal regions, peatlands contain large carbon stocks because of their hydrologic properties and high water content, which makes primary productivity exceed decomposition rates. We have enhanced the global land surface model ORCHIDEE by introducing a hydrological representation of northern peatlands. These peatlands are represented as a new plant functional type (PFT) in the model, with specific hydrological properties for peat soil. In this paper, we focus on the representation of the hydrology of northern peatlands and on the evaluation of the hydrological impact of this implementation. A prescribed map based on the inventory of Yu et al. (2010) defines peatlands as a fraction of a grid cell represented as a PFT comparable to C3 grasses, with adaptations to reproduce shallow roots and higher photosynthesis stress. The treatment of peatland hydrology differs from that of other vegetation types by the fact that runoff from other soil types is partially directed towards the peatlands (instead of directly to the river network). The evaluation of this implementation was carried out at different spatial and temporal scales, from site evaluation to larger scales such as the watershed scale and the scale of all northern latitudes. The simulated net ecosystem exchanges agree with observations from three FLUXNET sites. Water table positions were generally close to observations, with some exceptions in winter. Compared to other soils, the simulated peat soils have a reduced seasonal variability in water storage. The seasonal cycle of the simulated extent of inundated peatlands is compared to flooded area as estimated from satellite observations. The model is able to represent more than 89.5&thinsp;% of the flooded areas located in peatland areas, where the modelled extent of inundated peatlands reaches 0.83×106&thinsp;km2. However, the extent of peatlands in northern latitudes is too small to substantially impact the large-scale terrestrial water storage north of 45°&thinsp;N. Therefore, the inclusion of peatlands has a weak impact on the simulated river discharge rates in boreal regions.</p

Oceanic forcing of Antarctic climate change: a study using a stretched-grid atmospheric general circulation model

A variable-resolution atmospheric general circulation model (AGCM) is used for climate change projections over the Antarctic. The present-day simulation uses prescribed observed sea surface conditions, while a set of five simulations for the end of the twenty-first century (2070-99) under the Special Report on Emissions Scenarios (SRES) A1B scenario uses sea surface condition anomalies from selected coupled ocean atmosphere climate models from phase 3 of the Coupled Model Intercomparison Project (CMIP3). Analysis of the results shows that the prescribed sea surface condition anomalies have a very strong influence on the simulated climate change on the Antarctic continent, largely dominating the direct effect of the prescribed greenhouse gas concentration changes in the AGCM simulations. Complementary simulations with idealized forcings confirm these results. An analysis of circulation changes using self-organizing maps shows that the simulated climate change on regional scales is not principally caused by shifts of the frequencies of the dominant circulation patterns, except for precipitation changes in some coastal regions. The study illustrates that in some respects the use of bias-corrected sea surface boundary conditions in climate projections with a variable-resolution atmospheric general circulation model has some distinct advantages over the use of limited-area atmospheric circulation models directly forced by generally biased coupled climate model output

GATE : a simulation toolkit for PET and SPECT

Monte Carlo simulation is an essential tool in emission tomography that can assist in the design of new medical imaging devices, the optimization of acquisition protocols, and the development or assessment of image reconstruction algorithms and correction techniques. GATE, the Geant4 Application for Tomographic Emission, encapsulates the Geant4 libraries to achieve a modular, versatile, scripted simulation toolkit adapted to the field of nuclear medicine. In particular, GATE allows the description of time-dependent phenomena such as source or detector movement, and source decay kinetics. This feature makes it possible to simulate time curves under realistic acquisition conditions and to test dynamic reconstruction algorithms. A public release of GATE licensed under the GNU Lesser General Public License can be downloaded at the address http://www-lphe.epfl.ch/GATE/

Epidemiology and costs of cervical cancer screening and cervical dysplasia in Italy

<p>Abstract</p> <p>Background</p> <p>We estimated the number of women undergoing cervical cancer screening annually in Italy, the rates of cervical abnormalities detected, and the costs of screening and management of abnormalities.</p> <p>Methods</p> <p>The annual number of screened women was estimated from National Health Interview data. Data from the Italian Group for Cervical Cancer Screening were used to estimate the number of positive, negative and unsatisfactory Pap smears. The incidence of CIN (cervical intra-epithelial neoplasia) was estimated from the Emilia Romagna Cancer Registry. Patterns of follow-up and treatment costs were estimated using a typical disease management approach based on national guidelines and data from the Italian Group for Cervical Cancer Screening. Treatment unit costs were obtained from Italian National Health Service and Hospital Information System of the Lazio Region.</p> <p>Results</p> <p>An estimated 6.4 million women aged 25–69 years undergo screening annually in Italy (1.2 million and 5.2 million through organized and opportunistic screening programs, respectively). Approximately 2.4% of tests have positive findings. There are approximately 21,000 cases of CIN1 and 7,000–17,000 cases of CIN2/3. Estimated costs to the healthcare service amount to €158.5 million for screening and €22.9 million for the management of cervical abnormalities.</p> <p>Conclusion</p> <p>Although some cervical abnormalities might have been underestimated, the total annual cost of cervical cancer prevention in Italy is approximately €181.5 million, of which 87% is attributable to screening.</p

ORCHIDEE-PEAT (revision 4596), a model for northern peatland CO2, water, and energy fluxes on daily to annual scales

Peatlands store substantial amounts of carbon and are vulnerable to climate change. We present a modified version of the Organising Carbon and Hydrology In Dynamic Ecosystems (ORCHIDEE) land surface model for simulating the hydrology, surface energy, and CO2 fluxes of peatlands on daily to annual timescales. The model includes a separate soil tile in each 0.5 degrees grid cell, defined from a global peatland map and identified with peat-specific soil hydraulic properties. Runoff from non-peat vegetation within a grid cell containing a fraction of peat is routed to this peat soil tile, which maintains shallow water tables. The water table position separates oxic from anoxic decomposition. The model was evaluated against eddy-covariance (EC) observations from 30 northern peatland sites, with the maximum rate of carboxylation (V-cmax) being optimized at each site. Regarding short-term day-to-day variations, the model performance was good for gross primary production (GPP) (r(2) = 0.76; Nash-Sutcliffe modeling efficiency, MEF = 0.76) and ecosystem respiration (ER, r(2) = 0.78, MEF = 0.75), with lesser accuracy for latent heat fluxes (LE, r(2) = 0.42, MEF = 0.14) and and net ecosystem CO2 exchange (NEE, r(2) = 0.38, MEF = 0.26). Seasonal variations in GPP, ER, NEE, and energy fluxes on monthly scales showed moderate to high r(2) values (0.57-0.86). For spatial across-site gradients of annual mean GPP, ER, NEE, and LE, r(2) values of 0.93, 0.89, 0.27, and 0.71 were achieved, respectively. Water table (WT) variation was not well predicted (r(2) <0.1), likely due to the uncertain water input to the peat from surrounding areas. However, the poor performance of WT simulation did not greatly affect predictions of ER and NEE. We found a significant relationship between optimized V-cmax and latitude (temperature), which better reflects the spatial gradients of annual NEE than using an average V-cmax value.Peer reviewe

Interactions between the night time valley-wind system and a developing cold-air pool

This is a pre-copyedited, author-produced PDF of an article accepted for publication in Boundary-Layer Meteorology following peer review. The version of record [Arduini, G., Staquet, C & Chemel, C., ‘Interactions between the night time valley-wind system and a developing cold-air pool’, Boundary-Layer Meteorol (2016) 161:1 (49-72), first published online June 2, 2016, is available at Springer online at doi: 10.1007/s10546-016-0155-8The Weather Research and Forecast (WRF) numerical model is used to characterize the influence of a thermally-driven down-valley flow on a developing cold-air pool in an idealized alpine valley decoupled from the atmosphere above. Results for a three-dimensional (3D) valley, which allows for the formation of a down-valley flow, and for a two-dimensional (2D) valley, where the formation of a down-valley flow is inhibited, are analyzed and compared. A key result is that advection leads to a net cooling in the 2D valley and to a warming in the 3D valley, once the down-valley flow is fully developed. This difference stems from the suppression of the slope-flow induced upward motions over the valley centre in the 3D valley. As a result, the downslope flows develop a cross-valley circulation within the cold-air pool, the growth of the cold-air pool is reduced and the valley atmosphere is generally warmer than in the 2D valley. A quasi-steady state is reached for which the divergence of the down-valley flow along the valley is balanced by the convergence of the downslope flows at the top of the cold-air pool, with no net contribution of subsiding motions far from the slope layer. More precisely, the inflow of air at the top of the cold-air pool is found to be driven by an interplay between the return flow from the plain region and subsidence over the plateaux. Finally, the mechanisms that control the structure of the cold-air pool and its evolution are found to be independent of the valley length as soon as the quasi-steady state is reached and the down-valley flow is fully developed.Peer reviewedFinal Accepted Versio