Pricing swing options and other electricity derivatives

The deregulation of regional electricity markets has led to more competitive prices but also higher uncertainty in the future electricity price development. Most markets exhibit high volatilities and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. A good understanding of the stochastic price dynamics is required for the purposes of risk management and pricing derivatives. In this thesis we examine a simple spot price model which is the exponential of the sum of an Ornstein-Uhlenbeck and an independent pure jump process. We derive the moment generating function as well as various approximations to the probability density function of the logarithm of this spot price process at maturity T. With some restrictions on the set of possible martingale measures we show that the risk neutral dynamics remains within the class of considered models and hence we are able to calibrate the model to the observed forward curve and present semi-analytic formulas for premia of path-independent options as well as approximations to call and put options on forward contracts with and without a delivery period. In order to price path-dependent options with multiple exercise rights like swing contracts a grid method is utilised which in turn uses approximations to the conditional density of the spot process. Further contributions of this thesis include a short discussion of interpolation methods to generate a continuous forward curve based on the forward contracts with delivery periods observed in the market, and an investigation into optimal martingale measures in incomplete markets. In particular we present known results of q-optimal martingale measures in the setting of a stochastic volatility model and give a first indication of how to determine the q-optimal measure for q=0 in an exponential Ornstein-Uhlenbeck model consistent with a given forward curve

Feasibility of the Hardware Muon Trigger Track Finder Processor in CMS

This paper describes a feasibility study for the design of the Muon Trigger Track Finder Processor in the high-energy physics experiment CMS (Compact Muon Solenoid, planned for 2005) at CERN. It covers the specification, proposed method, and a prototype implementation. Comparison between several other measurement methods and the proposed one are carried out. The task of the processor is to identify muons and measure their transverse momenta and locations within 350 ns. It uses data from almost two hundred thousand detector cells of drift tube muon chambers. The processor searches for muon tracks originating from the interaction point by joining the track segments provided by the drift tube muon chamber electronics to full tracks. It assigns transverse momentum to each reconstructed track using the track's bend angle

Track finding processor in the DTBX based CMS barrel muon trigger

We present the design and simulation of the track finding processor in the DTBX ( Drift Tube with Bunch Crossing Identification) based CMS barrel muon trigger system. The processor searches for muon tracks originating from the interaction region by joining the track segments provided by the mean timer processors of the drift chambers to track strings. It assigns transverse momenta to the reconstructed tracks using the tracks' bending angle. High speed is achieved by performing the track reconstruction fully in parallel. In this contribution the algorithms, implementation and simulation results are presented

Effects of brine chemistry and polymorphism on clumped isotopes revealed by laboratory precipitation of mono- and multiphase calcium carbonates

AbstractCarbonate clumped isotopes are applied to an increasing number of geological archives to address a wide range of Earth science questions. However, the effect of changes in salinity on the carbonate clumped isotope technique has not been investigated experimentally yet. In particular, evaporated sea water and diagenetic fluids differ substantially from solutions used to calibrate the clumped isotope thermometer as they exhibit high ionic concentrations of e.g., Na+, Ca2+, Mg2+, and Cl−. High ionic concentrations are known to have an impact on δ18O values, and could potentially impact the successful application of clumped isotopes to the reconstruction of diagenetic processes, including precipitation temperatures and the origin of the diagenetic fluid.In order to address the potential influence of salt ions on the clumped isotope Δ47 value we precipitated CaCO3 minerals (calcite, aragonite and vaterite), hydromagnesite and mixtures of these minerals in the laboratory from solutions containing different salt ions (Na+, Ca2+, Mg2+, Cl−) at various concentrations and temperatures. The precipitation of some mineralogies was restricted to solutions with specific ionic concentrations, limiting direct comparability. NaCl-rich solutions mostly led to vaterite formation. In control experiments CaCO3 minerals (calcite and aragonite) were precipitated from a CaCO3 supersaturated solution without addition of any other ions.Our results show that calcium carbonates precipitated from high NaCl concentrations yield Δ47 values identical to our NaCl-free control solution. Although addition of Mg led to the formation of hydromagnesite, it also follows the same Δ47-T calibration as calcite. In contrast, Δ47 values increase together with increased CaCl2 concentrations, and deviate by a few 0.01‰ from expected equilibrium values.Overall, clumped isotope values of CaCO3 minerals precipitated between 23°C and 91°C (with and without NaCl addition) follow a line with a slope close to results from statistical thermodynamics. We conclude for calcium carbonate and hydromagnesite that the combined effect of salt ion concentration, acid fractionation and polymorphism is negligible for Cl− and Na+ with respect to clumped isotope geochemistry, but that offsets are possible in brines containing high concentrations of CaCl2

Light Colored Scalar as Messenger of Up-Quark Flavor Dynamics in Grand Unified Theories

The measured forward-backward asymmetry in the t tbar production at the Tevatron might be explained by the additional exchange of a colored weak singlet scalar. Such state appears in some of the grand unified theories and its interactions with the up-quarks are purely antisymmetric in flavor space. We systematically investigate the resulting impact on charm and top quark physics. The constraints on the relevant Yukawa couplings come from the experimentally measured observables related to D0--D0bar oscillations, as well as di-jet and single top production measurements at the Tevatron. After fully constraining the relevant Yukawa couplings, we predict possible signatures of this model in rare top quark decays. In a class of grand unified models we demonstrate how the obtained information enables to constrain the Yukawa couplings of the up-quarks at very high energy scale.Comment: 13 pages, 11 figures, version as published in PR

Progressive Refinement Imaging

This paper presents a novel technique for progressive online integration of uncalibrated image sequences with substantial geometric and/or photometric discrepancies into a single, geometrically and photometrically consistent image. Our approach can handle large sets of images, acquired from a nearly planar or infinitely distant scene at different resolutions in object domain and under variable local or global illumination conditions. It allows for efficient user guidance as its progressive nature provides a valid and consistent reconstruction at any moment during the online refinement process. // Our approach avoids global optimization techniques, as commonly used in the field of image refinement, and progressively incorporates new imagery into a dynamically extendable and memory‐efficient Laplacian pyramid. Our image registration process includes a coarse homography and a local refinement stage using optical flow. Photometric consistency is achieved by retaining the photometric intensities given in a reference image, while it is being refined. Globally blurred imagery and local geometric inconsistencies due to, e.g. motion are detected and removed prior to image fusion. // We demonstrate the quality and robustness of our approach using several image and video sequences, including handheld acquisition with mobile phones and zooming sequences with consumer cameras