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.     

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     

Narrowband auscultatory blood pressure measurement

Auscultatory blood pressure measurement uses the presence and absence of acoustic pulses generated by an artery (i.e., Korotkoff sound), detected with a stethoscope or a sensitive microphone, to noninvasively estimate systolic and diastolic pressures. Unfortunately, in high noise situations, such as ambulatory environments or when the patient moves moderately, the current auscultatory blood pressure method is unreliable, if at all possible. Empirical evidence suggests that the pulse beneath an artery occlusion travels relatively slow compared with the speed of sound. By placing two microphones along the bicep muscle near the brachial artery under the occlusion cuff, a similar blood pressure pulse appears in the two microphones with a relative time delay. The acoustic noise, on the other hand, appears in both microphones simultaneously. The contribution of this paper is to utilize this phenomenon by filtering the microphone waveforms to create spatially narrowband information signals. With a narrowband signal, the microphone signal phasing information is adequate for distinguishing between acoustic noise and the blood pressure pulse. By choosing the microphone spacing correctly, subtraction of the two signals will enhance the information signal and cancel the noise signal. The general spacing problem is also presented.     

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.     

A History of Steam Surface Condensers for the Electric Utility Industry

At the session entitled History and Evolution of Heat Exchanger Equipment and Standards at the ASME/AIChE 18th National Heat Transfer Conference, San Diego, California, August 6-8, 1979, various segments of the history of heat transfer devices were discussed by engineers who had themselves played significant roles in that history. Because of time, topics were limited to those involving shell-and-tube exchangers. One of these historical studies, Joe Sebald's history of the surface condenser, is presented in this issue. It provides an excellent record of the evolution of the modern surface condenser, which is in fact a spectacularly large, fixed, tube sheet shell-and-tube unit. The history of other types of heat transfer apparatus, as well as shell-and-tube exchangers, will appear in this column in future issues.     

Iterative lineshape fitting of MAS NMR spectra: a tool to investigate homonuclear J coupling in isolated spin pairs

Possibilities and limitations of iterative lineshape fitting procedures of MAS NMR spectra of isolated homonuclear spin pairs, aiming at determination of magnitudes and orientations of the various interaction tensors, are explored. Requirements regarding experimental MAS NMR spectra as well as simulation and fitting procedures are discussed. Our examples chosen are the isolated 31P spin pairs in solid Na4P2O7. 10H2O, (1), and Cd(NO3)2. 2PPh3, (2). In both cases the two 31P chemical shielding tensors in the molecular unit are related by C2 symmetry, and determination of the orientations of these two tensors in the molecular frame is possible. In addition, aspects of homonuclear J coupling will be addressed. For 1, both magnitude and sign of 2Jiso(31P, 31P) (Jiso = -19.5 +/- 2.5 Hz) are obtained; for 2, (Jiso = +139 +/- 3 Hz) anisotropy of J with an orientation of the J-coupling tensor collinear, or nearly collinear, with the dipolar coupling tensor can be excluded, while absence or presence of anisotropy of J with any other relative orientation of the J-coupling tensor cannot be determined.     

29Si CP/MAS NMR of phosphorus-bearing organosilicon compounds

While liquid-state 29Si NMR of phosphorus-bearing organosilicon compounds with more than one phosphorus per molecule can take advantage of the presence of J-coupling nJ(31P29Si) for purposes of structural assignment from J-coupling patterns, conventional 29Si CP/MAS spectra of such molecular solids do not reveal structural details in a straightforward manner. For such compounds it is necessary to obtain 29Si CP/MAS spectra under conditions of simultaneous 1H- and 31P-high power decoupling in order to derive reliable 29Si chemical shift information. 29Si CP/MAS NMR spectra, obtained with and without 31P high power decoupling during the acquisition time, of several organosilicon compounds containing SixPy (x = 1-10, y = 1-10) moieties are reported.     

Analysis of ac-dc conversion for energy harvesting using an electrostrictive polymer P(VDF-TrFE-CFE)

Harvesting systems capable of transforming unused environmental energy into useful electrical energy have been extensively studied for the last two decades. The recent development of electrostrictive polymers has generated new opportunities for harvesting energy. The contribution of this study lies in the design and validation of electrostrictive polymer- based harvesters able to deliver dc output voltage to the load terminal, making the practical application of such material for self-powered devices much more realistic. Theoretical analysis supported by experimental investigations showed that an energy harvesting module with ac-to-dc conversion allows scavenging power up to 7 μW using a bias electric field of 10 V/μm and a transverse strain of 0.2%. This represents a power density of 280 μW/cm(3) at 100 Hz, which is much higher than the corresponding values of most piezo-based harvesters.