An analysis of the Libor and Swap market models for pricing interest-rate derivatives
- Authors: Mutengwa, Tafadzwa Isaac
- Date: 2012
- Subjects: LIBOR market model , Monte Carlo method , Interest rates -- Mathematical models , Derivative securities
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:5573 , http://hdl.handle.net/10962/d1005535
- Description: This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular caplets and swaptions using the LIBOR market model (LMM) developed by Brace, Gatarek, and Musiela (1997) and Swap market model (SMM) developed Jamshidan (1997), respectively. Today, in most financial markets, interest rate derivatives are priced using the renowned Black-Scholes formula developed by Black and Scholes (1973). We present new pricing models for caplets and swaptions, which can be implemented in the financial market other than the Black-Scholes model. We theoretically construct these "new market models" and then test their practical aspects. We show that the dynamics of the LMM imply a pricing formula for caplets that has the same structure as the Black-Scholes pricing formula for a caplet that is used by market practitioners. For the SMM we also theoretically construct an arbitrage-free interest rate model that implies a pricing formula for swaptions that has the same structure as the Black-Scholes pricing formula for swaptions. We empirically compare the pricing performance of the LMM against the Black-Scholes for pricing caplets using Monte Carlo methods.
- Full Text:
- Date Issued: 2012
- Authors: Mutengwa, Tafadzwa Isaac
- Date: 2012
- Subjects: LIBOR market model , Monte Carlo method , Interest rates -- Mathematical models , Derivative securities
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:5573 , http://hdl.handle.net/10962/d1005535
- Description: This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular caplets and swaptions using the LIBOR market model (LMM) developed by Brace, Gatarek, and Musiela (1997) and Swap market model (SMM) developed Jamshidan (1997), respectively. Today, in most financial markets, interest rate derivatives are priced using the renowned Black-Scholes formula developed by Black and Scholes (1973). We present new pricing models for caplets and swaptions, which can be implemented in the financial market other than the Black-Scholes model. We theoretically construct these "new market models" and then test their practical aspects. We show that the dynamics of the LMM imply a pricing formula for caplets that has the same structure as the Black-Scholes pricing formula for a caplet that is used by market practitioners. For the SMM we also theoretically construct an arbitrage-free interest rate model that implies a pricing formula for swaptions that has the same structure as the Black-Scholes pricing formula for swaptions. We empirically compare the pricing performance of the LMM against the Black-Scholes for pricing caplets using Monte Carlo methods.
- Full Text:
- Date Issued: 2012
Investigating thermal physiology as a tool to improve the release efficacy of insect biological control agents
- Authors: Griffith, Tamzin Camilla
- Date: 2018
- Subjects: Aquatic weeds -- Biological control , Water hyacinth -- Biological control , Insects -- Physiology , Miridae -- Effect of low temperatures on , Cold adaptation , Insects as biological pest control agents , Eccritotarsus catarinensis
- Language: English
- Type: text , Thesis , Masters , MSc
- Identifier: http://hdl.handle.net/10962/63301 , vital:28391
- Description: Biological control is commonly used for the control of invasive aquatic weeds, which often involves the release of multiple host-specific agents. Releasing multiple agents has inherent safety concerns as the introduction of each new agent is associated with risks, but is often required to improve control where establishment is limited. Climatic incompatibility between the agent’s thermal physiology and its introduced range often causes agents to fail to establish. However, it has been suggested that the thermal physiology of insects is plastic. Therefore, the potential to manipulate their thermal physiologies before releasing them into the field needs to be explored; reducing the need to release additional agents, thereby ensuring the safety of biological control. This thesis therefore aimed to firstly, determine whether season and locality influenced the thermal physiology of two field populations of a water hyacinth (Eichhornia crassipes) control agent, the mirid Eccritotarsus catarinensis; one collected from the hottest establishment site, and one collected from the coldest establishment site in South Africa. Their thermal physiology was significantly influenced by season and not by the sites’ climate, suggesting their thermal physiology is plastic under field conditions. Secondly, the classical method of determining the lower critical thermal limit (CTmin), and a new respirometry method of determining this limit, compared the thermal physiology of two Eccritotarsus species reared in quarantine. Eccritotarsus catarinensis was significantly more cold tolerant than the more recently released Eccritotarsus eichhorniae, despite similar maintenance conditions, and as such, was used to establish whether cold hardening under laboratory conditions was possible. Successfully cold hardened E. catarinensis had a significantly lower CTmin compared to the field cold acclimated population, suggesting that cold hardening of agents could be conducted before release to improve their cold tolerance and increase their chances of establishment, allowing for further adaptation to colder climates in the field to occur. Increasing establishment of the most effective agents will decrease the number of agents needed in a biological control programme, thus encouraging a more parsimonious approach to biological control.
- Full Text:
- Date Issued: 2018
- Authors: Griffith, Tamzin Camilla
- Date: 2018
- Subjects: Aquatic weeds -- Biological control , Water hyacinth -- Biological control , Insects -- Physiology , Miridae -- Effect of low temperatures on , Cold adaptation , Insects as biological pest control agents , Eccritotarsus catarinensis
- Language: English
- Type: text , Thesis , Masters , MSc
- Identifier: http://hdl.handle.net/10962/63301 , vital:28391
- Description: Biological control is commonly used for the control of invasive aquatic weeds, which often involves the release of multiple host-specific agents. Releasing multiple agents has inherent safety concerns as the introduction of each new agent is associated with risks, but is often required to improve control where establishment is limited. Climatic incompatibility between the agent’s thermal physiology and its introduced range often causes agents to fail to establish. However, it has been suggested that the thermal physiology of insects is plastic. Therefore, the potential to manipulate their thermal physiologies before releasing them into the field needs to be explored; reducing the need to release additional agents, thereby ensuring the safety of biological control. This thesis therefore aimed to firstly, determine whether season and locality influenced the thermal physiology of two field populations of a water hyacinth (Eichhornia crassipes) control agent, the mirid Eccritotarsus catarinensis; one collected from the hottest establishment site, and one collected from the coldest establishment site in South Africa. Their thermal physiology was significantly influenced by season and not by the sites’ climate, suggesting their thermal physiology is plastic under field conditions. Secondly, the classical method of determining the lower critical thermal limit (CTmin), and a new respirometry method of determining this limit, compared the thermal physiology of two Eccritotarsus species reared in quarantine. Eccritotarsus catarinensis was significantly more cold tolerant than the more recently released Eccritotarsus eichhorniae, despite similar maintenance conditions, and as such, was used to establish whether cold hardening under laboratory conditions was possible. Successfully cold hardened E. catarinensis had a significantly lower CTmin compared to the field cold acclimated population, suggesting that cold hardening of agents could be conducted before release to improve their cold tolerance and increase their chances of establishment, allowing for further adaptation to colder climates in the field to occur. Increasing establishment of the most effective agents will decrease the number of agents needed in a biological control programme, thus encouraging a more parsimonious approach to biological control.
- Full Text:
- Date Issued: 2018
Nutrient removal and biofuel potential of MaB-floc biomass from an integrated algal pond system treating domestic sewage
- Authors: Sibelo, Linda
- Date: 2020
- Subjects: Biomass energy , Waste products as fuel , Algal biofuels , Sewage -- Purification -- Nutrient removal
- Language: English
- Type: text , Thesis , Masters , MSc
- Identifier: http://hdl.handle.net/10962/144955 , vital:38395
- Description: Integrated algal pond systems (IAPS) are a passive water treatment technology derived from the Oswald designed advanced integrated wastewater pond systems (AIWPS®) and effect wastewater treatment based on biological activity of microorganisms within the system, solar energy and gravity. The technology consists of an advanced facultative pond (AFP), a series of interconnected high rate algal oxidation ponds (HRAOP) and algal settling ponds. The symbiotic relationship between microalgae and bacteria facilitated by paddlewheel mixing of HRAOP results in the formation of biomass aggregates known as MaB-flocs. MaB-floc formation enhances nutrient abstraction, gravitational sedimentation and separation from water hence forming two product streams; recyclable water and biomass, both with valorisation potential. This work aimed to determine the suitability of MaB-floc biomass generated in the HRAOP of an IAPS treating domestic sewage as feedstock for biofuel production based on the content of carbohydrate and lipid. Nutrient removal efficiency, biomass productivity and bulk lipid and carbohydrate concentration were monitored for two consecutive three-month periods in the winter and summer seasons of 2018/19. Maximum removal efficiencies of nitrogen and phosphorus were determined as 71% and 75% respectively, demonstrating the efficiency of IAPS as a wastewater treatment technology. MaB-floc biomass productivity in winter and summer was 9.4 g/m2/d and 16.5 g/m2/d respectively indicating the heavy influence of seasonal temperature, possibly day length, and solar irradiation on biomass productivity in the HRAOP. Summer productivity was lower than the maximum theoretical productivity of 25 g/m2/d possibly due to photoinhibition of photosynthesis as well as grazing pressures caused by the proliferation of rotifers mainly of the Brachionus genus. MaB-floc biomass consistently contained higher amounts of carbohydrate than lipid despite the changes in species dominance from Scenedesmus sp. and Desmodesmus sp. in winter to Pediastrum sp. in summer. Variations in MaB-floc biomass carbohydrate content were linked to changes in nitrogen concentration, mainly in the form of nitrates. Lower nitrogen concentration significantly increased the carbohydrate content of MaB-floc biomass from 17.5 ± 0.15% to 33.5 ± 0.3 % recorded in summer. In winter, biomass carbohydrate increased from 18.3 ± 1.2% to 35.8 ± 0.3%.To induce accumulation of carbohydrates through nitrogen starvation, isolated microalgal species native to the HRAOPs of the IAPS at Institute for Environmental Biotechnology Rhodes University(EBRU) were used. The outcome from the laboratory studies showed that carbon partitioning within isolated strains could be altered from carbohydrate to lipid which is more energy-rich. Hence, exploring the biodiesel production option using HRAOP MaB-floc biomass, which had a lipid content ranging between 12.1 ± 0.64 % and 13.9 ± 0.5 %, would require a preconditioning step in the form of nitrogen starvation to enhance its lipid content. Overall, the outcome of outdoor monitoring studies on biomass biochemical composition indicated that HRAOPs operating under natural environmental conditions preferentially generated a biomass rich in carbohydrate. Therefore, anaerobic digestion may be a more viable option for HRAOP MaB-floc biomass because of the high carbohydrate levels ranging between 24.9 ± 0.6 % and 25.6 ± 1.3 % of the dry MaB-floc biomass weight. Despite the low biomass C/N ratio (7.1 to 7.8), the MaB-floc biomass can be anaerobically co-digested with a higher C/N ratio (24) substrate such as in-pond digester sludge, to improve methane yields calculated to be between 0.31 m3 CH4/ kg MaB-floc biomass and 0.33 m3 CH4/ kg MaB-floc biomass. Anaerobic digestion of biomass also produces CO2 which can be recovered and added to HRAOPs to enhance MaB-floc biomass productivity while lowering greenhouse gas emissions from a wastewater treatment plant. The digestate from the anaerobic process, which is rich in nitrogen and phosphorus can be used as a biofertiliser. Thus, a potential MaB-floc biomass biorefinery consisting of biogas and bio-fertiliser pathways can be established using IAPS treating sewage as the platform technology. IAPS is a system designed to operate in a way that is passive and without substantial environmental impact but technological innovations and a reduction in the size of the system are required to make the technology more acceptable.
- Full Text:
- Date Issued: 2020
- Authors: Sibelo, Linda
- Date: 2020
- Subjects: Biomass energy , Waste products as fuel , Algal biofuels , Sewage -- Purification -- Nutrient removal
- Language: English
- Type: text , Thesis , Masters , MSc
- Identifier: http://hdl.handle.net/10962/144955 , vital:38395
- Description: Integrated algal pond systems (IAPS) are a passive water treatment technology derived from the Oswald designed advanced integrated wastewater pond systems (AIWPS®) and effect wastewater treatment based on biological activity of microorganisms within the system, solar energy and gravity. The technology consists of an advanced facultative pond (AFP), a series of interconnected high rate algal oxidation ponds (HRAOP) and algal settling ponds. The symbiotic relationship between microalgae and bacteria facilitated by paddlewheel mixing of HRAOP results in the formation of biomass aggregates known as MaB-flocs. MaB-floc formation enhances nutrient abstraction, gravitational sedimentation and separation from water hence forming two product streams; recyclable water and biomass, both with valorisation potential. This work aimed to determine the suitability of MaB-floc biomass generated in the HRAOP of an IAPS treating domestic sewage as feedstock for biofuel production based on the content of carbohydrate and lipid. Nutrient removal efficiency, biomass productivity and bulk lipid and carbohydrate concentration were monitored for two consecutive three-month periods in the winter and summer seasons of 2018/19. Maximum removal efficiencies of nitrogen and phosphorus were determined as 71% and 75% respectively, demonstrating the efficiency of IAPS as a wastewater treatment technology. MaB-floc biomass productivity in winter and summer was 9.4 g/m2/d and 16.5 g/m2/d respectively indicating the heavy influence of seasonal temperature, possibly day length, and solar irradiation on biomass productivity in the HRAOP. Summer productivity was lower than the maximum theoretical productivity of 25 g/m2/d possibly due to photoinhibition of photosynthesis as well as grazing pressures caused by the proliferation of rotifers mainly of the Brachionus genus. MaB-floc biomass consistently contained higher amounts of carbohydrate than lipid despite the changes in species dominance from Scenedesmus sp. and Desmodesmus sp. in winter to Pediastrum sp. in summer. Variations in MaB-floc biomass carbohydrate content were linked to changes in nitrogen concentration, mainly in the form of nitrates. Lower nitrogen concentration significantly increased the carbohydrate content of MaB-floc biomass from 17.5 ± 0.15% to 33.5 ± 0.3 % recorded in summer. In winter, biomass carbohydrate increased from 18.3 ± 1.2% to 35.8 ± 0.3%.To induce accumulation of carbohydrates through nitrogen starvation, isolated microalgal species native to the HRAOPs of the IAPS at Institute for Environmental Biotechnology Rhodes University(EBRU) were used. The outcome from the laboratory studies showed that carbon partitioning within isolated strains could be altered from carbohydrate to lipid which is more energy-rich. Hence, exploring the biodiesel production option using HRAOP MaB-floc biomass, which had a lipid content ranging between 12.1 ± 0.64 % and 13.9 ± 0.5 %, would require a preconditioning step in the form of nitrogen starvation to enhance its lipid content. Overall, the outcome of outdoor monitoring studies on biomass biochemical composition indicated that HRAOPs operating under natural environmental conditions preferentially generated a biomass rich in carbohydrate. Therefore, anaerobic digestion may be a more viable option for HRAOP MaB-floc biomass because of the high carbohydrate levels ranging between 24.9 ± 0.6 % and 25.6 ± 1.3 % of the dry MaB-floc biomass weight. Despite the low biomass C/N ratio (7.1 to 7.8), the MaB-floc biomass can be anaerobically co-digested with a higher C/N ratio (24) substrate such as in-pond digester sludge, to improve methane yields calculated to be between 0.31 m3 CH4/ kg MaB-floc biomass and 0.33 m3 CH4/ kg MaB-floc biomass. Anaerobic digestion of biomass also produces CO2 which can be recovered and added to HRAOPs to enhance MaB-floc biomass productivity while lowering greenhouse gas emissions from a wastewater treatment plant. The digestate from the anaerobic process, which is rich in nitrogen and phosphorus can be used as a biofertiliser. Thus, a potential MaB-floc biomass biorefinery consisting of biogas and bio-fertiliser pathways can be established using IAPS treating sewage as the platform technology. IAPS is a system designed to operate in a way that is passive and without substantial environmental impact but technological innovations and a reduction in the size of the system are required to make the technology more acceptable.
- Full Text:
- Date Issued: 2020
The culture of Penaeus Indicus Milne Edwards in experimental closed systems with special reference to water quality
- Authors: Gerhardt, Hedley Vernon
- Date: 1979
- Subjects: Penaeus Indicus , Aquatic animals , Water quality
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:5595 , http://hdl.handle.net/10962/d1002045 , Penaeus Indicus , Aquatic animals , Water quality
- Description: This study embraces two aspects of closed system culture: (a) a comparative study of four different biological filtration treatments, and (b) a quantitative determination of the nitrogen flow in a particular biological filtration system. Twenty 0,5 g juvenile Penaeus indicus Milne Edwards were cultured for approximately two months in four different kinds of sea water recirculatory systems with bacterial filtration, algal filtration, algar plus bacterial filtration and water exchange (25% every 3 days). Growth was comparable to that found in the literature for P. indicus. Nitrification occurred in all systems irrespective of the type of biological filtration employed. Ammonia, nitrite and nitrate levels were reduced by the algae, but nitrate accumulated to approximately 30 mg NO¯³ -Nℓ¯¹ in those systems without algae. Depletion of trace elements (Cu, Fe, Zn, Hn and Co) by the algae did not occur due to trace metal replenishment from the addition of food. No marked changes occurred in the concentrations of the major cations (Ca⁺⁺, Mg⁺⁺, Na⁺ and K⁺), but a small increase in Ca⁺⁺ levels was detectable in those systems with oyster shell chips in the filtration medium. Only minor changes occurred in oxygen or pH values in the various systems tested. Inorganic carbon levels showed major increases in the algal filtration systems, while a slight drop occurred in the bacterial filtration systems. The increase in the algal filtration systems was thought to be due to the formation of carbonates and bicarbonates by the reaction of respiratory CO₂ with unionized ammonia and water. Suggestions are made as to how closed systems can be improved upon. By determining the rate of excretion of P.indicus as related to size and temperature, its faecal production, and the nitrogen content of P.indicus, its food and faeces, the nitrogen flow within a system could be calculated. P.indicus was found to have an assimilation efficiency of 88,93% and a food conversion ratio of 3,49:1. Of the total dietary nitrogen input into the system, P.indicus ingested 69,02% - 19,80% of which was used for growth, 41,58% excreted and 7,64% lost as faeces. The remaining 30,98% of the total nitrogen input can be regarded as excess food nitrogen. The total nitrogen loading on the biological filtration system was found to be 80,20% of the total input of dietary nitrogen. The ability of various types of filamentous algae to remove these nitrogen compounds was determined. Suggestions are made as to the application of this information on nitrogen flow to the culture of P.indicus
- Full Text:
- Date Issued: 1979
- Authors: Gerhardt, Hedley Vernon
- Date: 1979
- Subjects: Penaeus Indicus , Aquatic animals , Water quality
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:5595 , http://hdl.handle.net/10962/d1002045 , Penaeus Indicus , Aquatic animals , Water quality
- Description: This study embraces two aspects of closed system culture: (a) a comparative study of four different biological filtration treatments, and (b) a quantitative determination of the nitrogen flow in a particular biological filtration system. Twenty 0,5 g juvenile Penaeus indicus Milne Edwards were cultured for approximately two months in four different kinds of sea water recirculatory systems with bacterial filtration, algal filtration, algar plus bacterial filtration and water exchange (25% every 3 days). Growth was comparable to that found in the literature for P. indicus. Nitrification occurred in all systems irrespective of the type of biological filtration employed. Ammonia, nitrite and nitrate levels were reduced by the algae, but nitrate accumulated to approximately 30 mg NO¯³ -Nℓ¯¹ in those systems without algae. Depletion of trace elements (Cu, Fe, Zn, Hn and Co) by the algae did not occur due to trace metal replenishment from the addition of food. No marked changes occurred in the concentrations of the major cations (Ca⁺⁺, Mg⁺⁺, Na⁺ and K⁺), but a small increase in Ca⁺⁺ levels was detectable in those systems with oyster shell chips in the filtration medium. Only minor changes occurred in oxygen or pH values in the various systems tested. Inorganic carbon levels showed major increases in the algal filtration systems, while a slight drop occurred in the bacterial filtration systems. The increase in the algal filtration systems was thought to be due to the formation of carbonates and bicarbonates by the reaction of respiratory CO₂ with unionized ammonia and water. Suggestions are made as to how closed systems can be improved upon. By determining the rate of excretion of P.indicus as related to size and temperature, its faecal production, and the nitrogen content of P.indicus, its food and faeces, the nitrogen flow within a system could be calculated. P.indicus was found to have an assimilation efficiency of 88,93% and a food conversion ratio of 3,49:1. Of the total dietary nitrogen input into the system, P.indicus ingested 69,02% - 19,80% of which was used for growth, 41,58% excreted and 7,64% lost as faeces. The remaining 30,98% of the total nitrogen input can be regarded as excess food nitrogen. The total nitrogen loading on the biological filtration system was found to be 80,20% of the total input of dietary nitrogen. The ability of various types of filamentous algae to remove these nitrogen compounds was determined. Suggestions are made as to the application of this information on nitrogen flow to the culture of P.indicus
- Full Text:
- Date Issued: 1979
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