Applications of Stochastic Control in Energy Real Options and Market Illiquidity

We present three interesting applications of stochastic control in finance. The first is a real option model that considers the optimal entry into and subsequent operation of a biofuel production facility. We derive the associated Hamilton Jacobi Bellman (HJB) equation for the entry and operating decisions along with the econometric analysis of the stochastic price inputs. We follow with a Monte Carlo analysis of the risk profile for the facility. The second application expands on the analysis of the biofuel facility to account for the associated regulatory and taxation uncertainty experienced by players in the renewables and energy industries. A federal biofuel production subsidy per gallon has been available to producers for many years but the subsidy price level has changed repeatedly. We model this uncertain price as a jump process. We present and solve the HJB equations for the associated multidimensional jump diffusion problem which also addresses the model uncertainty pervasive in real option problems such as these. The novel real option framework we present has many applications for industry practitioners and policy makers dealing with country risk or regulatory uncertainty---which is a very real problem in our current global environment. Our final application (which, although apparently different from the first two applications, uses the same tools) addresses the problem of producing reliable bid-ask spreads for derivatives in illiquid markets. We focus on the hedging of over the counter (OTC) equity derivatives where the underlying assets realistically have transaction costs and possible illiquidity which standard finance models such as Black-Scholes neglect. We present a model for hedging under market impact (such as bid-ask spreads, order book depth, liquidity) using temporary and permanent equity price impact functions and derive the associated HJB equations for the problem. This model transitions from continuous to impulse trading (control) with the introduction of fixed trading costs. We then price and hedge via the economically sound framework of utility indifference pricing. The problem of hedging under liquidity impact is an on-going concern of market makers following the Global Financial Crisis

Point contacts in encapsulated graphene

We present a novel method to establish inner point contacts on hexagonal boron nitride (hBN) encapsulated graphene heterostructures with dimensions as small as 100 nm by pre-patterning the top-hBN in a separate step prior to dry-stacking. 2 and 4-terminal field effect measurements between different lead combinations are in qualitative agreement with an electrostatic model assuming pointlike contacts. The measured contact resistances are 0.5-1.5 k$\Omega$ per contact, which is quite low for such small contacts. By applying a perpendicular magnetic fields, an insulating behaviour in the quantum Hall regime was observed, as expected for inner contacts. The fabricated contacts are compatible with high mobility graphene structures and open up the field for the realization of several electron optical proposals

Arabidopsis thaliana GYRB3 Does Not Encode a DNA Gyrase Subunit

, is predicted to encode four gyrase subunits: AtGyrA, AtGyrB1, AtGyrB2 and AtGyrB3. temperature-sensitive strain, whereas AtGyrB2 can. Yeast two-hybrid analysis suggests that AtGyrB3 cannot bind to AtGyrA or form a dimer.These data strongly suggest that AtGyrB3 is not a gyrase subunit but has another unknown function. One possibility is that it is a nuclear protein with a role in meiosis in pollen

Exploring the interactions underlying flow states: A connecting analysis of flow occurrence in European Tour golfers

Objectives: Research to date has identified a range of factors suggested to facilitate flow states in sport. However, less attention has focused on how exactly those facilitating factors influence the occurrence of flow. Therefore, this study aimed to explore the specific ways in which such facilitators influenced flow occurrence in European Tour golfers. Design: Qualitative design. Method: Ten full-time golfers from the European Tour (M age=37; SD=13.08) participated in semi-structured interviews investigating the occurrence of their flow states. Data were interpreted using an iterative process of thematic and connecting analyses. Results: Ten facilitators of flow were identified, of which commitment and the caddie have not been reported previously. Twenty four connecting links were identified in the data, through which the caddie, effective preparation, and high-quality performance appeared to be most influential for flow occurrence. Confidence and concentration also emerged as key constructs underlying the flow experience in this setting. Conclusion: A central contribution of this study is the identification of ways in which facilitating factors could influence flow occurrence in elite golf. This process adds detail to understanding of flow occurrence, and moves beyond simply identifying factors which are associated with the experience. As such, connecting analysis is proposed as an additional strategy for qualitatively investigating flow occurrence in sport. Results are discussed in relation to previous literature, and recommendations are identified for researchers, athletes, coaches and practitioners

Mechanisms of grain refinement by intensive shearing of AZ91 alloy melt

The official published version of the article can be accessed at the link below.It has been demonstrated recently that intensive melt shearing can be an effective approach to the grain refinement of both shape casting and continuous casting of Mg alloys. In the present study, the mechanisms of grain refinement by intensive melt shearing were investigated through a combination of both modelling and experimental approaches. The measurement of the cooling curves during solidification, quantification of grain size of the solidified samples, and image analysis of the MgO particle size and size distribution in the pressurized filtration samples were performed for the AZ91 alloy with and without intensive melt shearing. The experimental results were then used as input parameters for the free growth model to investigate the mechanisms of grain refinement by intensive melt shearing. The experimental results showed that, although intensive melt shearing does not change the nucleation starting temperature, it increases the nucleation finishing temperature, giving rise to a reduced nucleation undercooling. The theoretical modelling using the free growth model revealed quantitatively that intensive melt shearing can effectively disperse MgO particles densely populated in the oxide films into more individual particles in the alloy melt, resulting in an increase in the MgO particle density by three orders of magnitude and the density of active nucleating MgO particles by a factor of 20 compared with those of the non-sheared melt. Therefore, the grain refining effect of intensive melt shearing can be confidently attributed to the significantly increased refining efficiency of the naturally occurring MgO particles in the alloy melt as potent nucleation sites.Financial support under Grant EP/H026177/1 from the EPSRC

Diverse molecular mechanisms involved in AChR deficiency due to rapsyn mutations

Congenital myasthenic syndromes are inherited disorders of neuromuscular transmission characterized by fatigable muscle weakness. Autosomal recessive acetylcholine receptor (AChR) deficiency syndromes, in which levels of this receptor at the neuromuscular junction are severely reduced, may be caused by mutations within genes encoding the AChR or the AChR-clustering protein, rapsyn. Most patients have mutations within the rapsyn coding region and are either homozygous for N88K or heteroallelic for N88K and a second mutation. In some cases the second allele carries a null mutation but in many the mutations are missense, and are located in different functional domains. Little is known about the functional effects of these mutations, but we hypothesize that they would have an effect on AChR clustering by a variety of mechanisms that might correlate with disease severity. Here we expressed RAPSN mutations A25V, N88K, R91L, L361R and K373del in TE671 cells and in rapsyn−/− myotubes to determine their pathogenic mechanisms. The A25Vmutation impaired colocalization of rapsyn with AChR and prevented agrin-induced AChR clusters in rapsyn−/− myotubes. In TE671 cells, R91L reduced the ability of rapsyn to self-associate, and K373del-rapsyn was significantly less stable than wild-type. The effects of mutations L361R and N88K were more subtle: in TE671 cells, in comparison with wild-type rapsyn, L361R-rapsyn showed reduced expression/stability, and both N88K-rapsyn and L361R-rapsyn showed significantly reduced co-localization with AChR. N88K-rapsyn and L361R-rapsyn could effectively mediate agrin-induced AChR clusters, but these were reduced in number and were less stable than with wild-type rapsyn. The disease severity of patients harbouring the compound allelic mutations was greater than that of patients with homozygous rapsyn mutation N88K, suggesting that the second mutant allele may largely determine severit

Different topologies in three manganese-μ-azido 1D compounds: magnetic behavior and DFT-quantum Monte Carlo calculations

The syntheses and structural characterization of three new monodimensional azido-bridged manganese(II) complexes with empirical formulae [Mn(N3)2(aminopyz)2]n (1), [Mn(N3)2(4-azpy)2]n (2) and [Mn(N3)2(4-Bzpy)2]n (3) (pyz = pyrazine (1,4-diazine)), 4-azpy = 4-azidopyridine and 4-Bzpy = 4-benzoylpyridine) are reported. 1 is a monodimensional compound with double EO azido bridges, 2 is an alternating monodimensional compound with double end-on and double end-to-end azido bridges in the sequence di-EO-di-EE and 3 is a monodimensional compound with double end-on and double end-to-end azido bridges in the sequence di-EO-di-EO-diEO-di-EO-di-EE. The magnetic properties of 1-3 are reported. Periodic DFT calculations were performed to estimate the J values and quantum Monte Carlo simulations were carried out using the calculated J values to check their accuracy in comparison with the experimental magnetic measurements. From this theoretical analysis, two appealing features of the di-EO Mn(II) compounds can be extracted: first, the exchange coupling becomes more ferromagnetic when the Mn-N-Mn bridging angle becomes larger and the spin density of the bridging nitrogen atoms has an opposite sign to that of the Mn(II) centers