Volatility estimation for stochastic project value models

One of the key parameters in modeling capital budgeting decisions for investments with embedded options is the project volatility. Most often, however, there is no market or historical data available to provide an accurate estimate for this parameter. A common approach to estimating the project volatility in such instances is to use a Monte Carlo simulation where one or more sources of uncertainty are consolidated into a single stochastic process for the project cash flows, from which the volatility parameter can be determined. Nonetheless, the simulation estimation method originally suggested for this purpose systematically overstates the project volatility, which can result in incorrect option values and non-optimal investment decisions. Examples that illustrate this issue numerically have appeared in several recent papers, along with revised estimation methods that address this problem. In this article, we extend that work by showing analytically the source of the overestimation bias and the adjustment necessary to remove it. We then generalize this development for the cases of levered cash flows and non-constant volatility. In each case, we use an example problem to show how a revised estimation methodology can be applied.     

Automated capillary electrophoresis with on-line preconcentration by solid phase extraction using a sequential injection manifold and contactless conductivity detection

An extension of a capillary electrophoresis instrument coupled to a sequential injection analysis manifold was developed for automated measurements with on-line solid-phase extraction preconcentration. An in-house built capacitively coupled contactless conductivity detector was employed for sensitive detection with narrow capillaries of 25 μm internal diameter. The system was assembled into standardized 19 in. frames and racks for easy transport and mobile deployment. The system can be left running unattendedly without manual intervention with good operation stability. To demonstrate the application of the system, a method for the determination of four drugs, namely ibuprofen, diclofenac, naproxen and bezafibrate, was developed with enrichment factors of up to several hundreds. Detection of the drug residues down to the nM-scale was found possible and the method was found suitable for the detection of ibuprofen in the waste water of a hospital in Hanoi.     

Dynamics of the rotational degrees of freedom in an undercooled crystal of cyanoadamantane

Results of molecular dynamics are presented for a simple model of cyanoadamantane crystal. Rotator cubic phase was simulated over a wide range of temperatures. In this system, glass formation is not induced by quenched diluted disorder, but it occurs similarly to conventional glasses. Simulations have shown that the system evolves from free small-step rotational diffusion to jump like motion. The results obtained with this model are used to discuss the validity of the Mode Coupling Theory (MCT) predictions.     

Multidimensional space groups: Tables and standards

The previous speakers have dealt with tangible physical objects; I am to deal with organizational and symbolic problems. The symbolic problems are of greater scientific importance, but I must begin with those of human organization and in particular with the structure of the International Union of Crystallography (acronym IUCr).     

Quantum simulation of zero-temperature quantum phases and incompressible states of light via non-Markovian reservoir engineering techniques

We review recent theoretical developments on the stabilization of strongly correlated quantum fluids of light in driven-dissipative photonic devices through novel non-Markovian reservoir engineering techniques. This approach allows one to compensate losses and refill selectively the photonic population so as to sustain a desired steady state. It relies in particular on the use of a frequency-dependent incoherent pump, which can be implemented, e.g., via embedded two-level systems maintained at a strong inversion of population. As specific applications of these methods, we discuss the generation of Mott Insulator (MI) and Fractional Quantum Hall (FQH) states of light. As a first step, we present the case of a narrowband emission spectrum and show how this allows for the stabilization of MI and FQH states under the condition that the photonic states are relatively flat in energy. As soon as the photonic bandbwidth becomes comparable to the emission linewidth, important non-equilibrium signatures and entropy generation appear, and a novel dissipative phase transition from a Mott Insulating state toward a superfluid (SF) phase is unveiled. As a second step, we review a more advanced configuration based on reservoirs with a broadband frequency distribution, and we highlight the potential of this configuration for the quantum simulation of equilibrium quantum phases at zero temperature with tunable chemical potential. As a proof of principle, we establish the applicability of our scheme to the Bose–Hubbard model by confirming the presence of a perfect agreement with the ground-state predictions both in the Mott insulating and superfluid regions, and more generally in all parts of the parameter space. Future prospects towards the quantum simulation of more complex configurations are finally outlined, along with a discussion of our scheme as a concrete realization of quantum annealing.     

Time domain simulation of vortex-induced vibrations in stationary and oscillating flows

This paper focuses on the further development of a previously published semi-empirical method for time domain simulation of vortex-induced vibrations (VIV). A new hydrodynamic damping formulation is given, and the necessary coefficients are found from experimental data. It is shown that the new model predicts the observed hydrodynamic damping in still water and for cross-flow oscillations in stationary incoming flow with high accuracy. Next, the excitation force model, which is one component of the total hydrodynamic force model, is optimized by simulating the VIV response of an elastic cylinder in a series of experiments with stationary flow. The optimization is performed by repeating the simulations until the best possible agreement with the experiments is found. The optimized model is then applied to simulate the cross-flow VIV of an elastic cylinder in oscillating flow, without introducing any changes to the hydrodynamic force modeling. By comparison with experiment, it is shown that the model predicts the frequency content, mode and amplitude of vibration with a high level of realism, and the amplitude modulations occurring at high Keulegan–Carpenter numbers are well captured. The model is also utilized to investigate the effect of increasing the maximum reduced velocity and the mass ratio of the elastic cylinder in oscillating flow. Simulations show that complex response patterns with multiple modes and frequencies appear when the maximum reduced velocity is increased. If, however, the mass ratio is increased by a factor of 5, a single mode dominates. This illustrates that, in oscillating flows, the mass ratio is important in determining the mode participation at high maximum reduced velocities.     

Simulation of fine polydisperse particle condensational growth under an octadecane–nitrogen atmosphere

The evolution of particle size distribution (PSD) of fine polydisperse particles at high number concentrations (>10⁵ cm⁻³) was simulated through a combined model employing direct quadrature method of moments (DQMOM) with heat and mass transfer equations. The PSD was assumed to retain log-normal distribution during the heterogeneous condensation process. The model was first verified by exact solution and experimental data prior to investigating the influence of initial conditions on final PSD under an octadecane–nitrogen atmosphere. Low particle number concentrations and high vapor concentrations were beneficial to shift the PSD to larger particles having a narrower distribution. Additionally, vapor depletion has more influence on the final PSD than the heat release parameter for a number concentration of 10⁶ cm⁻³. This study may assist the design process of a gas–solid separating cyclone, to eliminate dust from high-temperature volatiles by pyrolysis of solid fuels.     

On-line liquid phase micro-extraction based on drop-in-plug sequential injection lab-at-valve platform for metal determination

A novel automatic on-line liquid phase micro-extraction method based on drop-in-plug sequential injection lab-at-valve (LAV) platform was proposed for metal preconcentration and determination. A flow-through micro-extraction chamber mounted at the selection valve was adopted without the need of sophisticated lab-on-valve components. Coupled to flame atomic absorption spectrometry (FAAS), the potential of this lab-at-valve scheme is demonstrated for trace lead determination in environmental and biological water samples. A hydrophobic complex of lead with ammonium pyrrolidine dithiocarbamate (APDC) was formed on-line and subsequently extracted into an 80 μL plug of chloroform. The extraction procedure was performed by forming micro-droplets of aqueous phase into the plug of the extractant. All critical parameters that affect the efficiency of the system were studied and optimized. The proposed method offered good performance characteristics and high preconcentration ratios. For 10 mL sample consumption an enhancement factor of 125 was obtained. The detection limit was 1.8 μg L⁻¹ and the precision expressed as relative standard deviation (RSD) at 50.0 μg L⁻¹ of lead was 2.9%. The proposed method was evaluated by analyzing certified reference materials and applied for lead determination in natural waters and urine samples.     

Sequential injection methodology for carbon speciation in bathing waters

A sequential injection method (SIA) for carbon speciation in inland bathing waters was developed comprising, in a single manifold, the determination of dissolved inorganic carbon (DIC), free dissolved carbon dioxide (CO₂), total carbon (TC), dissolved organic carbon and alkalinity. The determination of DIC, CO₂ and TC was based on colour change of bromothymol blue (660 nm) after CO₂ diffusion through a hydrophobic membrane placed in a gas diffusion unit (GDU). For the DIC determination, an in-line acidification prior to the GDU was performed and, for the TC determination, an in-line UV photo-oxidation of the sample prior to GDU ensured the conversion of all carbon forms into CO₂. Dissolved organic carbon (DOC) was determined by subtracting the obtained DIC value from the TC obtained value. The determination of alkalinity was based on the spectrophotometric measurement of bromocresol green colour change (611 nm) after reaction with acetic acid. The developed SIA method enabled the determination of DIC (0.24–3.5 mg C L⁻¹), CO₂ (1.0–10 mg C L⁻¹), TC (0.50–4.0 mg C L⁻¹) and alkalinity (1.2–4.7 mg C L⁻¹ and 4.7–19 mg C L⁻¹) with limits of detection of: 9.5 μg C L⁻¹, 20 μg C L⁻¹, 0.21 mg C L⁻¹, 0.32 mg C L⁻¹, respectively. The SIA system was effectively applied to inland bathing waters and the results showed good agreement with reference procedures.