A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices

We present a numerical algorithm for pricing derivatives on electricity prices. The algorithm is based on approximating the generator of the underlying price process on a lattice of prices, resulting in an approximation of the stochastic process by a continuous time Markov chain. We numerically study the rate of convergence of the algorithm for the case of the Merton jump-diffusion model and apply the algorithm to calculate prices and sensitivities of both European and Bermudan electricity derivatives when the underlying price follows a stochastic process which exhibits both fast mean-reversion and jumps of large magnitude.     

Eine neue Methode zum Quecksilber-Nachweis

Ohne Zusammenfassung     

Normative KGP agents

We extend the logical model of agency known as the KGP model, to support agents with normative concepts, based on the roles an agent plays and the obligations and prohibitions that result from playing these roles. The proposed framework illustrates how the resulting normative concepts, including the roles, can evolve dynamically during the lifetime of the agent. Furthermore, we illustrate how these concepts can be combined with the existing capabilities of KGP agents in order to plan for their goals, react to changes in the environment, and interact with other agents. Our approach gives an executable specification of normative concepts that can be used directly for prototyping applications. Fariba Sadri is a senior lecturer at Imperial College London, from where she received her PhD. Her earlier work concentrated on integrity of deductive databases and temporal reasoning, in particular using the event calculus. In more recent years her work has been on agent technologies and multi-agent systems. She has worked on logic-based agent models, reasoning, dynamic belief revision, and inter-agent communication and negotiation for resources. She was co-awarded an EPSRC grant for research into logic-based multi-agents and was co-investigator in the EU SOCS project. Kostas Stathis is a senior lecturer at Royal Holloway, University of London and he holds a PhD from Imperial College London. His research interests are in the area of computational intelligence in general and in the intersection of computational logic and cognitive systems for social computing applications in particular. His research interests include: representation of human-computer (or computer-computer) interaction as a game; cognitive & autonomous agents; artificial agent societies; agent communication; programmable agents and agent platforms. He is a co-investigator of the EU ArguGRID project and was a co-investigator of the EU SOCS project. Francesca Toni is a senior lecturer at Imperial College London, from where she received her PhD. Her earlier work focused on abductive reasoning. In more recent years, she focused on argumentation, agent models and multi-agent systems. She has worked on computational logic-based agent models, agent reasoning, dynamic belief revision, and inter-agent communication and negotiation for resources. She has been co-ordinator of the EU SOCS project, which developed the KGP model of agency, and is coordinator of the EU ArguGRID project, on the application of argumentative agents within grid systems.     

Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model

We obtain lower and upper bounds for the severity of ruin in the renewal (Sparre Andersen) model of risk theory. We present two types of bounds: (i) bounds applicable generally; and (ii) exponential bounds for the case where the adjustment coefficient of the risk process exists. Many of these bounds are obtained using existing bounds and the integral equation for the severity of ruin.     

A measurement of direct photon production at large pT at the CERN ISR

We have measured direct photon production in pp collisions at the CERN intersecting storage rings for c.m. energies 31 < √s < 63 GeV and transverse momenta up to 9GeV/c, using segmented lead/liquid-argon calorimeters. The ratio of direct photon to π⁰ production is significantly larger than zero, starting at p_T ≈ 4 GeV/c and increasing to values of about 0.4 at 9GeV/c. No significant √s dependence is seen.     

Limits on the impact parameters occuring in specific K−p interactions at 8.25 GeV/c

We have determined a lower limit of the impact parameter for the reactions associated with the channels K^?p → K^?pπ⁺π^?K^?p → λπ⁺π^?π⁰. The limit was found to be highest for the diffractive parts of the first channel (～ 0.52 fm) and smallest for the forward Λ in the second channel (～0.21 fm).We have also examined the elements of the inverse correlation matrix for the transfer: the off-diagonal elements are small (consistent with zero) for n = 4?7 body products. The log 〈Q_i·Q_j〉 of the correlation matrix as a function of $\text{Гi?jГ}$ falls on a straight line and the eigenvalue λ₁ of the transverse momentum transfer eigenfunction was found to increase slightly from ～0.6 for 4-body to ～0.7 for 7-body products. The 〈cosφ_ij〉 of the Q_i, Q_j shows similar behaviour to the 〈Q_i·Q_j〉     

Inclusive η production at high pT at the ISR

The inclusive η production cross section at the CERN ISR has been measured for p_T values of up to 11 GeV/c. We find that the $\text{η}\text{π}{}^0$ cross-section ratio has an average value of 0.55 ± 0.07 and varies little with p_T.     

Study of resolved high-pT neutral pions at the CERN ISR

The inclusive production of π⁰ at large values of p_T in pp collisions at the ISR has been studied. In this experiment the two photons are resolved and separately measured for pT values of up to 6 GeV/c, giving confidence that the desired signal has been separated from various backgrounds.