Calibrating a market model with stochastic volatility to commodity and interest rate risk

© 2016 Informa UK Limited, trading as Taylor & Francis Group. Based on the multi-currency LIBOR Market Model, this paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function allowing the model to simultaneously fit the implied volatility surfaces of commodity and interest rate options. Since liquid market prices are only available for options on commodity futures, rather than forwards, a convexity correction formula for the model is derived to account for the difference between forward and futures prices. A procedure for efficiently calibrating the model to interest rate and commodity volatility smiles is constructed. Finally, the model is fitted to an exogenously given correlation structure between forward interest rates and commodity prices (cross-correlation). When calibrating to options on forwards (rather than futures), the fitting of cross-correlation preserves the (separate) calibration in the two markets (interest rate and commodity options), while in the case of futures a (rapidly converging) iterative fitting procedure is presented. The fitting of cross-correlation is reduced to finding an optimal rotation of volatility vectors, which is shown to be an appropriately modified version of the ‘orthonormal Procrustes’ problem in linear algebra. The calibration approach is demonstrated in an application to market data for oil futures

Non-linear thermogravimetric mass spectrometry of carbon materials providing direct speciation separation of oxygen functional groups

Thermogravimetric mass spectrometry (TG-MS) is an established way to analyze oxygen containing surface functional groups of carbon materials. Thermal stabilities and structures of functional groups influence their decomposition temperatures and products (CO, CO2). In this work, a non-linear procedure with isothermal steps is presented enabling a separation of functional groups by different decomposition temperatures. Nitrosulfuric acid functionalized carbon materials like multi-walled carbon nanotubes (MWCNT) and graphite were used to design the temperature program. Comparative studies of linear and non-linear heating experiments in argon and hydrogen containing atmosphere were performed to state the benefits and limits of both methods. The distinct advantage of non-linear thermal analysis is demonstrated by an application-oriented experiment where only selected functional groups are consumed

What Controls Activity Trends of Electrocatalytic Hydrogen Evolution Reaction?-Activation Energy Versus Frequency Factor

Renewable energy storage via water electrolysis strongly depends on the design of electrified electrode–electrolyte interfaces at which electricity is converted into chemical energy. At the core of the hydrogen evolution reaction (HER) and the oxygen evolution reaction conversion efficiency are interfacial processes with complex dynamic mechanisms, whose further acceleration is practically impossible without a thorough fundamental understanding of electrocatalysis. Here, we communicate new experimental insights into HER, which will potentially further deepen our general understanding of electrocatalysis. Of special note is the very surprising observation that the most active metals (i.e., noble metals) for HER, which exhibit the lowest overpotentials at a defined current density, exhibit the highest activation energies in comparison to the other metals from the d-block. This suggests a major, if not dominant, impact of the frequency factor on activity trends and the need for deeper reconsideration of the origins of electrocatalytic activity

Role of dispersion of vanadia on SBA-15 in the oxidative dehydrogenation of propane

A series of vanadia catalysts supported on the mesoporous silica SBA-15 are synthesized using an automated laboratory reactor. The catalysts contain from 0.6 up to 13.6V atoms/nm2 and are structurally characterized by various techniques (BET, XRD, SEM, TEM, Raman, IR, UV/Vis). Samples containing up to 3.1V/nm2 are structurally rather similar. They all contain a mixture of tetrahedral (VOx)n species, both monomeric and oligomeric. The ratio of monomeric and oligomeric species depends on the vanadia loading. At the highest loading of 13.6V/nm2, in addition to tetrahedral (VOx)n, also substantial amounts of three-dimensional, bulk-like V2O5 are present in the catalyst. The structural similarity of the low-loaded catalysts is reflected in their alike catalytical activity during the oxidative dehydrogenation (ODH) of propane between 380 and 480 °C. Propene, CO, and CO2 are formed as reaction products, while neither the formation of ethene nor acrolein or acrylic acid is observed in other than trace amounts. The activation energy for ODH of propane is not, vert, similar140 kJ/mol. The catalyst with the highest loading yields varying activation energies for different reaction conditions, which is probably related to rearrangements between bulk-like and dispersed, two-dimensional (VOx)n. Rather than the monomer to oligomer ratio, the ratio of two-dimensional to three-dimensional vanadia seems to be crucial for the catalytic properties of silica supported vanadia in the ODH of propane

Electrocatalysis Beyond 2020: How to Tune the Preexponential Frequency Factor

After a century of research on electrocatalytic reactions, a universal theory of electrocatalysis is still not established due to limited understanding of complex energy conversion processes at electrified electrode-electrolyte interfaces. Most of the research efforts directed toward the acceleration of important electrocatalytic reactions (e. g. hydrogen evolution reaction) were in the direction of minimizing activation energy by tuning the adsorption energies of key intermediates. This kind of approach is well-established and, importantly, in some cases it was valuable by predicting the design of electrocatalysts with advanced properties. However, in some very important research endeavors, advancement in performance of newly designed electrocatalysts could not be attributed to altered/minimized activation energy. Important to note is that modern electrocatalysis almost completely disregards influence of the preexponential factor on reaction rate. In this work, we open some important questions relevant for future of electrocatalysis and electrochemical energy conversion, with special focus on preexponential factor as major contributor to electrocatalytic reaction rate