Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model

We investigate the problem of pricing derivatives under a fractional stochastic volatility model. We obtain an approximate expression of the derivative price where the stochastic volatility can be composed of deterministic functions of time and fractional Ornstein-Uhlenbeck process. Numerical simulations are given to illustrate the feasibility and operability of the approximation, and also demonstrate the effect of long-range on derivative prices

Application of complex network theory for flood estimation under current and future climate.

Understanding the nature and unravelling the extents of connections between various components in hydrologic systems have always remained a fundamental challenge in hydrologic research community. The complexity of hydrologic system stems from various aspects, including the constitution of numerous components and sub-components, their direct or indirect internal connections, interactions with climate and ecosystem, and the complicated dynamics due to natural evolution and human activities, among others. Furthermore, the impacts of evidenced warming climate and anthropogenic activities on hydrologic system force us to tackle a host of new considerations into detecting, attributing, and predicting hydrologic processes under nonstationary condition. All these factors pose a significant challenge to system modellers, hydrologists and water resource researchers and emphasize the importance of the application of latest and innovative scientific theories for hydrologic research. In catchment modelling and management applications, a proper understanding of the connectivity of different components is important, for example, rainfall, soil type, land use, slope and finally the catchment response, i.e., floods. Considering hydrologic stations or catchments as networks can lead to new insights and is emerging as an attractive field of research within the scientific community. The main objective of this thesis is to present the strength of network theory in solving hydrological problems by developing and implementing network-based numerical models. The research is divided into four main parts. In the first part, a network-based framework is developed to delineate homogeneous neighbours for ungauged catchment to be used with regional flood frequency analysis (RFFA). The developed framework clearly demonstrates the strength of network theory in identifying meaningful homogeneous region thus improving the accuracy of regional flood quantile estimations. In the second part, a network theory based RFFA approach has been integrated with nonstationary climate conditions and its ability in predicting future flood peaks under warming climate is demonstrated. The developed approach shows clear advantages over the existing nonstationary frequency distribution-based approaches. The third part focuses on investigating the temporal and spatial connectivity patterns of hydrologic variables. By assuming individual locations or timesteps as the nodes of a network, constructed time series are used to form network metrics and to define the strength of connections between nodes and the nature of network structure. Our findings indicate the utility and effectiveness of network theory in exploring and analysing different temporal and spatial connections in hydrology. Finally, the fourth part explores the joint dependence of extreme rainfall events in the space based on the theory of networks, where a novel measure to quantify the possibility of concurrence in complex systems is developed. Results show a weaker spatial dependence under warmer temperatures, however, a stronger dependence at El Niño and La Niña periods

Distribution of Soil Organic Carbon Fractions as Related to Land Use and Management in the Loess Plateau, Northern China

Organic C in the soil is not a uniform material but rather a complex mixture of plant, animal and microbial residues at different stages of decomposition (Post and Kwon 2000). So the dynamics of soil organic carbon (SOC) is usually described by dividing total SOC into different fractions (Six et al. 2002). Of all the different fractions, density defined fractions (light- and heavy fractions) may relate better to specific functions or processes (O’Hara et al. 2006), and the changes in SOC due to land use and management may be partly explained by the way C is allocated in these different SOC fractions (Tan et al. 2007). Previous research in the Loess Plateau of northern China indicate that, compared with the grassland restored from cropping, continuous tillage and proper management in cropland increased SOC storage in the lower soil horizons (Li et al. 2008). This study was conducted to investigate the distribution of light- and heavy fractions of SOC under cropland and grassland, aiming to better understand how the density fractions of SOC were affected by the land use conversion

Controlled polarization rotation of an optical field in multi-Zeeman-sublevel atoms

We investigate, both theoretically and experimentally, the phenomenon of polarization rotation of a weak, linearly-polarized optical (probe) field in an atomic system with multiple three-level electromagnetically induced transparency (EIT) sub-systems. The polarization rotation angle can be controlled by a circularly-polarized coupling beam, which breaks the symmetry in number of EIT subsystems seen by the left- and right-circularly-polarized components of the weak probe beam. A large polarization rotation angle (up to 45 degrees) has been achieved with a coupling beam power of only 15 mW. Detailed theoretical analyses including different transition probabilities in different transitions and Doppler-broadening are presented and the results are in good agreements with the experimentally measured results.Comment: 28pages, 12figure

Valley-polarized quantum anomalous Hall effect in van der Waals heterostructures based on monolayer jacutingaite family materials

We numerically study the general valley polarization and anomalous Hall effect in van der Waals (vdW) heterostructures based on monolayer jacutingaite family materials Pt$_{2}$AX$_{3}$ (A = Hg, Cd, Zn; X = S, Se, Te). We perform a systematic study on the atomic, electronic, and topological properties of vdW heterostructures composed of monolayer Pt$_{2}$AX$_{3}$ and two-dimensional ferromagnetic insulators. We show that four kinds of vdW heterostructures exhibit valley-polarized quantum anomalous Hall phase, i.e., Pt$_{2}$HgS$_{3}$/NiBr$_{2}$, Pt$_{2}$HgSe$_{3}$/CoBr$_{2}$, Pt$_{2}$HgSe$_{3}$/NiBr$_{2}$, and Pt$_{2}$ZnS$_{3}$/CoBr$_{2}$, with a maximum valley splitting of 134.2 meV in Pt$_{2}$HgSe$_{3}$/NiBr$_{2}$ and sizable global band gap of 58.8 meV in Pt$_{2}$HgS$_{3}$/NiBr$_{2}$. Our findings demonstrate an ideal platform to implement applications on topological valleytronics

Proprioceptive Learning with Soft Polyhedral Networks

Proprioception is the "sixth sense" that detects limb postures with motor neurons. It requires a natural integration between the musculoskeletal systems and sensory receptors, which is challenging among modern robots that aim for lightweight, adaptive, and sensitive designs at a low cost. Here, we present the Soft Polyhedral Network with an embedded vision for physical interactions, capable of adaptive kinesthesia and viscoelastic proprioception by learning kinetic features. This design enables passive adaptations to omni-directional interactions, visually captured by a miniature high-speed motion tracking system embedded inside for proprioceptive learning. The results show that the soft network can infer real-time 6D forces and torques with accuracies of 0.25/0.24/0.35 N and 0.025/0.034/0.006 Nm in dynamic interactions. We also incorporate viscoelasticity in proprioception during static adaptation by adding a creep and relaxation modifier to refine the predicted results. The proposed soft network combines simplicity in design, omni-adaptation, and proprioceptive sensing with high accuracy, making it a versatile solution for robotics at a low cost with more than 1 million use cycles for tasks such as sensitive and competitive grasping, and touch-based geometry reconstruction. This study offers new insights into vision-based proprioception for soft robots in adaptive grasping, soft manipulation, and human-robot interaction.Comment: 20 pages, 10 figures, 2 tables, submitted to the International Journal of Robotics Research for revie

Building integrated thermoelectric air conditioners—a potentially fully environmentally friendly solution in building services

The refrigerants used in conventional vapor-compression air conditioning systems have detrimental effects on the global environment. Phasing-down hydrofluorocarbon (HFC) refrigerants for HVAC equipment over the next 20 years has been proposed. A thermoelectric air conditioning system that directly converts electrical energy to thermal energy using a simple solid-state semiconductor device, has the advantages of environmentally friendly, no refrigerant, very compact, high reliability, no moving parts (except for small fans), and it can be easily integrated into the building structure. However, the existing thermoelectric air conditioning systems have the problem of low Coefficient of Performance (COP), which limits its applications for domestic air conditioning. With the development of the thermoelectric technologies, the above problem is prospected to be solved. The paper presents an overview of recent advances in thermoelectric materials, thermoelectric module design and thermoelectric heating and cooling system design which would provide the potential to greatly improve the COP of the thermoelectric air conditioner. In addition, utilizing the waste heat of the thermoelectric system for domestic applications to improve the overall COP of the system would be an ideal way to promote public adoption of the TE air conditioner, which is discussed in this paper. The paper also presents an overview of the existing building integrated thermoelectric air conditioning systems and proposes a novel building integrated thermoelectric system that integrates a thermoelectric heat pump unit into a double-skin ventilated facade to provide heating and cooling, heat recovery ventilation and domestic hot water or drying services for buildings, based on the thermoelectric waste heat utilization. Several building integration methods of the proposed system are presented