A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures

The recent introduction of wind power futures written on the German wind power production index has brought with it new interesting challenges in terms of modelling and pricing. Some particularities of this product are the strong seasonal component embedded in the underlying, the fact that the wind index is bounded from both above and below and also that the futures are settled against a synthetically generated spot index. Here, we consider the non-Gaussian Ornstein–Uhlenbeck type processes proposed by Barndorff-Nielsen and Shephard in the context of modelling the wind power production index. We discuss the properties of the model and estimation of the model parameters. Further, the model allows for an analytical formula for pricing wind power futures. We provide an empirical study, where the model is calibrated to 37 years of German wind power production index that is synthetically generated assuming a constant level of installed capacity. Also, based on 1 year of observed prices for wind power futures with different delivery periods, we study the market price of risk. Generally, we find a negative risk premium whose magnitude decreases as the length of the delivery period increases. To further demonstrate the benefits of our proposed model, we address the pricing of European options written on wind power futures, which can be achieved through Fourier techniques.     

Large‐scale Experimental Study on the Effects of Flooring Materials on Combustion Behavior of Thermoplastics

The effects of flooring materials on the combustion behavior of thermoplastics is investigated. Based on the ISO 9705 fire test setup, an experimental rig was designed. Full‐scale experiments of PP combustion were carried out using five flooring boards, namely gypsum, steel, wood, ceramic tile and PVC. The experimental results indicate that the flooring boards play an important role in the heat release rates of typical thermoplastics combustion. Specifically, the time for the sharp increase of heat release rate is generally later for the flooring boards with larger thermal conductivity, except for the case of PVC. Preliminary analyses suggest that the reason for the exception of PVC is the expansion and carbonization of PVC at high temperature. In addition, experimental results also show that the corresponding peak heat release rate of thermoplastics combustion would be generally smaller for the flooring board with a larger thermal mass, except for the case of gypsum. The primary cause for the exception of gypsum may be the heat absorption by the crystal water released from the gypsum during the burning of hot pool oil.     

Mathematical Modeling and Simulation of Corrosion Processes in Nigerian Crude Oil Pipelines

In this work, a corrosion prediction mathematical model for risk assessment in oil and gas production and transportation facilities has been created. This work focuses on partial pressure of carbon (iv) oxide, CO₂ and the operating temperature in process equipment and transportation facility pipes as a function of corrosion rate. The model equation formulated was based on the principle of multiple linear regressions of data. The final model representing the corrosion rate of crude oil equipment was obtained CR = b _o + b ₁ T + b ₂ P (CO ₂). The model was simulated using polymath software. The correlation between the experimental and simulated resulted obtained using root mean square deviation (coefficient of determination) was 99.74% which is high, suggesting that the relationship between the predictor and response variables is linear. The variation in the model equation is 0.0066374. This low value of the variance shows that the model is accurate.     

Levels of Pesticide Residues in Food: Evaluation of Data from Total Diet Studies in Italy

Abstract

Total Diet Studies on pesticide residues in foods carried out in Italy in the last two decades are briefly summarized and data are discussed. Health risk assessment is expressed by the ratio total intake/ADI (%ADI ingested) for each compound and by the sum of the percentages of ADI for each compound within the same class of pesticides.

The total dietary intake of chlorinated pesticides, that was almost 100% of ADI in the years 1970-74, decreased down to 10% in the period 1978-84. This trend was confirmed for DDT in recent years, while data on Lindane and Heptachlor seem to be constant.

As regards the organophosphorus pesticides the sum of the percentages of ADI ingested for each compound, extrapolated from recent data (1990-1991) is about 20% and can be regarded as reasonably acceptable because the study included practically all the mainly used compounds.

Only few data are available for some pesticides like dithiocarbamates, especially EBDCs and their derivatives (e.g. ETU), other carbamates (e.g. aldicarb), paraquat etc. Moreover, analytical methods for these compounds should be improved.

The need for a considerable improvement in the number and organization of monitoring structures, in the use of standardized analytical procedures, in good laboratory practice standards and in the realibility of “monitoring protocols” and their homogeneity is evidenced.     

The long‐term extreme price risk measure of portfolio in inventory financing: An application to dynamic impawn rate interval

Different from the short‐term risk measure for traditional financial assets (stocks, bonds, etc.), the key to illiquid inventory portfolio traded in the over‐the‐counter markets is to estimate the long‐term extreme price risk with time varying volatility. In this article, a new long‐term extreme price risk (value at risk and conditional value at risk) measure method for inventory portfolio and an application to dynamic impawn rate interval are proposed. To realize this, we first establish AutoRegressive Moving Average‐Exponential Generalized Autoregressive Conditional Heteroskedasticity‐Extreme Value Theory model and multivariatet‐Copula to depict the autocorrelation, fat tails, and volatility clustering of returns of inventories and the nonlinear dependence structure of inventories. Furthermore, we obtain the long‐term extreme price risk with time varying volatility via Monte Carlo simulation instead of square‐root‐of time rule. The results show that, first, benefits from risk diversification is significant; second, long‐term extreme price risk measure of inventory portfolio via Monte Carlo method outperforms the square‐root‐of time rule; the last is that the dynamic rate interval based on the long‐term price risk is superior to the crude rules of thumb in terms of reducing efficiency loss and improving risk coverage. In summary, this article provides a new quantitative framework for managing the risk of portfolio in inventory financing practice for banks constrained by risk limitation. © 2014 Wiley Periodicals, Inc. Complexity 20: 17–34, 2015     

Quality-by-Design-Based Development of n-Propyl-Gallate-Loaded Hyaluronic-Acid-Coated Liposomes for Intranasal Administration

The present study aimed to develop n-propyl gallate (PG)-encapsulated liposomes through a novel direct pouring method using the quality-by-design (QbD) approach. A further aim was to coat liposomes with hyaluronic acid (HA) to improve the stability of the formulation in nasal mucosa. The QbD method was used for the determination of critical quality attributes in the formulation of PG-loaded liposomes coated with HA. The optimized formulation was determined by applying the Box–Behnken design to investigate the effect of composition and process variables on particle size, polydispersity index (PDI), and zeta potential. Physiochemical characterization, in vitro release, and permeability tests, as well as accelerated stability studies, were performed with the optimized liposomal formulation. The optimized formulation resulted in 90 ± 3.6% encapsulation efficiency, 167.9 ± 3.5 nm average hydrodynamic diameter, 0.129 ± 0.002 PDI, and −33.9 ± 4.5 zeta potential. Coated liposomes showed significantly improved properties in 24 h in an in vitro release test (>60%), in vitro permeability measurement (420 μg/cm²) within 60 min, and also in accelerated stability studies compared to uncoated liposomes. A hydrogen-peroxide-scavenging assay showed improved stability of PG-containing liposomes. It can be concluded that the optimization of PG-encapsulated liposomes coated with HA has great potential for targeting several brain diseases.     

Operational risk: Emerging markets,sectors and measurement

The role of decision support systems in mitigating operational risks in firms is well established. However, there is a lack of investment in decision support systems in emerging markets, even though inadequate operational risk management is a key cause of discouraging external investment. This has also been exacerbated by insufficient understanding of operational risk in emerging markets, which can be attributed to past operational risk measurement techniques, limited studies on emerging markets and inadequate data.     

Real-World Forward Rate Dynamics With Affine Realizations

We investigate the existence of affine realizations for Lévy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For models driven by Wiener processes, all results obtained under the risk-neutral approach concerning the existence of affine realizations are transferred to the general case. A similar result holds true for models driven by compound Poisson processes with finite jump size distributions. However, in the presence of jumps with infinite activity we obtain severe restrictions on the structure of the market price of risk; typically, it must even be constant.     

北江干流沉积物重金属污染生态风险评价

通过北江干流水体沉积物重金属含量,研究其典型污染物的潜在生态风险。采集了北江干流韶关至清远段7份沉积物样品,经混酸消解后,以电感耦合等离子体质谱仪测定沉积物中重金属含量,并对沉积物重金属分布特征进行了分析。同时利用Hakanson的潜在生态危害指数（RI）评价模式,对北江干流沉积物重金属生态风险进行了评价。评价结果表明,北江干流沉积物中重金属综合生态危害程度均表现为很高级别,其生态危害因子Pb、Cd已成为北江干流突发性水污染事故潜在预警因子。     

Organophosphate esters by GC–MS: An optimized method for aquatic risk assessment

Organophosphate esters used as flame retardants and plasticizers are ubiquitous contaminants in surface waters. Many studies indicate that these compounds are neurotoxicants, endocrine disruptors, and may affect reproduction and development of aquatic organisms. Thus, analytical methods that allow accurate quantification of these contaminants at environmentally relevant concentrations are desirable for risk assessment studies. In this study, a method based on solid phase extraction and gas chromatography coupled to mass spectrometry was developed for determination of organophosphate esters in river water extracts. Multivariate optimization was used to determine the best conditions for injection of larger volumes of sample in a Programmable Temperature Vaporization inlet. Furthermore, the matrix effect on the instrumental response was evaluated and compensated by association of extraction‐blank‐matched calibration and isotopically labeled focus standards. The method quantification limits ranged from 0.009 to 0.11 µg/L, staying below the predicted non‐effect concentration for the aquatic compartment for all analytes, which is a requisite for using in risk assessment studies. The method was applied to freshwater samples collected in rivers from the Sao Paulo State, Brazil, and eight out of the ten target organophosphate esters were quantified, being tris(2‐chloroisopropyl) phosphate and tris(phenyl) phosphate the most frequently detected compounds.