Implicit Bayesian Inference Using Option Prices

Abstract. A Bayesian approach to option pricing is presented in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time‐varying volatility in returns are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Models are ranked according to several criteria, including out‐of‐sample predictive and hedging performance. The methodology accommodates heteroscedasticity and autocorrelation in the option pricing errors, as well as regime shifts across contract groups. The method is applied to intraday option price data on the S&P500 stock index for 1995. While the results provide support for models that accommodate leptokurtosis and skewness, no one model dominates when all criteria are considered.     

Enhanced Solar‐to‐Hydrogen Generation with Broadband Epsilon‐Near‐Zero Nanostructured Photocatalysts

The direct conversion of solar energy into fuels or feedstock is an attractive approach to address increasing demand of renewable energy sources. Photocatalytic systems relying on the direct photoexcitation of metals have been explored to this end, a strategy that exploits the decay of plasmonic resonances into hot carriers. An efficient hot carrier generation and collection requires, ideally, their generation to be enclosed within few tens of nanometers at the metal interface, but it is challenging to achieve this across the broadband solar spectrum. Here the authors demonstrate a new photocatalyst for hydrogen evolution based on metal epsilon‐near‐zero metamaterials. The authors have designed these to achieve broadband strong light confinement at the metal interface across the entire solar spectrum. Using electron energy loss spectroscopy, the authors prove that hot carriers are generated in a broadband fashion within 10 nm in this system. The resulting photocatalyst achieves a hydrogen production rate of 9.5 µmol h^?1 cm^?2 that exceeds, by a factor of 3.2, that of the best previously reported plasmonic‐based photocatalysts for the dissociation of H₂ with 50 h stable operation.     

Ram‐air kite airfoil and reinforcements optimization for airborne wind energy applications

We present a multidisciplinary design optimization method for the profile and structural reinforcement layout of a ram‐air kite rib. The aim is to minimize the structural elastic energy and to maximize the traction power of a ram‐air kite used for airborne wind energy generation. Because of the large deformations occurring during flight, a fluid‐structure interaction (FSI) routine is included in the optimization, which determines the actual deformed rib geometry and its corresponding aerodynamic characteristics. A qualitative comparison between FSI inclusion and exclusion in the optimization is given. Discrepancies in airfoil profile and structural layout are observed.     

Modeling heterogeneous photocatalytic inactivation of E. coli using suspended and immobilized TiO2 reactors

A study was carried out to develop a kinetic model of the photocatalytic inactivation of Escherichia coli using different TiO₂ catalysts. The model developed is based on a reaction scheme that involves effectively coupling mass‐transfer fluxes between bacteria and catalyst surface on one hand and bacterial degradation reaction on the other. The photocatalytic results were derived from experiments led in a batch reactor under both dark and Ultra Violet (UV) irradiation conditions. Using a reference catalyst, the robustness of the developed model was tested under solar conditions. The experimental data validated the model as successfully able to reproduce evolutions in the viable bacteria concentration in the range of parameters studied without any further adjustment of the kinetic parameters. The model was used to simulate the bacterial degradation kinetics under different working conditions to describe the partitioning of both bacterial adhesion and photocatalytic reaction in the solution to be treated © 2015 American Institute of Chemical Engineers AIChE J, 61: 2532–2542, 2015     

SIMULTANEOUS GC/MS ANALYSIS OF POLYCYCLIC AROMATIC HYDROCARBONS AND THEIR NITRATED DERIVATIVES IN ATMOSPHERIC PARTICULATE MATTER FROM WORKPLACES

Abstract

PAH are routinely analyzed using HPLC/FD. This technique is unsuitable for analyzing NPAH. This study aims at developing a reliable method, using GC/MS, and applying this technique to actual samples from small volumes of atmospheric particulate matter from workplaces. Mixtures of PAH and NPAH were separated by GC/MS and detected by electronic impact (EI) or negative ion chemical ionization (NICI). Analyses on twelve actual samples were thus carried out by sampling a small volume of atmosphere (≈0.5 m ³ ) from five different industrial workplaces. Samples displayed wide differences from one industrial workplace to another, and this can be explained by the specific methods applied. The PAH and NPAH concentrations also varied with time in the same industrial workplace. NPAH concentrations were not correlated with PAH concentrations, underscoring the complex chemical mechanisms involved in NPAH formation. PAH and NPAH formation appeared to be dependent on both industrial activities and uncontrolled physicochemical conditions.     

Dynamic voltage scaling for series hybrid amplifiers

We present an optimization of the voltage scaling algorithm in low power audio class-G amplifier for headphones application to allow longer playback time. The optimization approach minimizes the voltage difference between the internal audio amplifier power supply and its output signal over a large range of operating conditions. The modeling is based on a behavioral model enabling accurate and rapid evaluation of efficiency and audio quality with realistic input stimuli. The model validated in practice is used to optimize the voltage scaling using only few power supply levels. Thanks to a global search algorithm followed by a local one, the optimization gives the better parameters for voltage scaling algorithm while keeping a good audio quality. The proposed configuration increases the efficiency up to 48% at nominal operation.     

High niobium oxide content in germanate glasses: Thermal,structural, and optical properties

Niobium alkali germanate glasses were synthesized by the melt‐quenching technique. The ternary system (90‐x)GeO₂–xNb₂O₅–10K₂O forms homogeneous glasses with x ranging from 0 to 20 mol%. Samples were investigated by DSC and XRD analysis, FTIR and Raman spectroscopy, and optical absorption. Structural and physical features are discussed in terms of Nb₂O₅ content. The niobium content increase in the glass network strongly modifies the thermal, structural and optical properties of alkali germanate glasses. DSC, Raman and FTIR analysis suggest niobium addition promotes NbO₆ groups insertion close to GeO₄ units of the glass network. XRD analysis also pointed out that samples containing high niobium oxide contents exhibit preferential niobium oxide‐rich phase after crystallization after heat treatment, which is similar to orthorhombic Nb₂O₅. Absorption spectra revealed high transmission range between 400 nm to 6.2 μm, added to a considerably decreased hydroxyl group content as the addition of niobium in the alkali germanate network. The niobium oxide‐rich phase crystallization process was studied and activation energy was determined, as well as nucleation and crystal growth temperatures and time for obtaining transparent glass‐ceramics.     

Employment test validation for minority and nonminority clerks with work sample criteria.

10 tests of intellectual ability and perceptual speed and accuracy were validated against specially developed clerical work samples of telephone company employees, using a newly hired sample of 143 Blacks, 74 Spanish-surnamed, and 195 Whites. Most validity coefficients were statistically significant, and in only 2 out of 36 comparisons were ethnic sample validity coefficients significantly different. A combination of 4 tests was significantly predictive of clerical proficiency for each ethnic sample and for the total combined sample. Comparisons of ethnic sample regression equations indicated that the slopes were essentially the same but that the intercepts differed significantly. The total sample regression equation did not underpredict prospective proficiency levels for minority clerks. A composite predictor found to be appropriate for minority and nonminority applicants for clerical jobs is recommended for employment office use. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Energy harvesting based on FE-FE transition in ferroelectric single crystals

The pyroelectric properties of Pb(Zn(1/3)Nb(2/3))(0955)Ti(0.045)O(3) single crystals versus an electric field have been studied for energy harvesting in this paper. Two thermodynamic cycles (Stirling and Ericsson) were used for this purpose. By applying an electric field, a FE-FE transition was induced, abruptly increasing the polarization. This transition minimized the supplied energy and improved the harvested energy. By discharging the single crystal at a higher temperature, a gain of 1100% was obtained with the Stirling cycle at 1 kV/mm (gain is defined as harvested energy divided by supplied energy). The study revealed that Stirling cycles are more interesting for low electric fields. Based on experimental results, simulations were carried out to estimate energy harvesting in high electric fields to evaluate the performances of thin samples (single crystals or oriented thin films). At high electric fields, both cycles gave almost the same energy harvesting, but Ericsson cycles were more appropriate to control the voltage on the sample. The simulation led to a harvested energy of 500 mJ/g for an applied electric field equal to 50 kV/mm. The efficiency with respect to Carnot was raised 20%.