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Register a new userEvaSylv: A user-friendly software to evaluate forestry scenarii including natural risk
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Forest management relies on the evaluation of silviculture practices. The increase in natural risk due to climate change makes it necessary to consider evaluation criteria that take natural risk into account. Risk integration in existing software requires advanced programming skills.We propose a user-friendly software to simulate even-aged and monospecific forest at the stand level, in order to evaluate and optimize forest management. The software gives the possibility to run management scenarii with or without considering the impact of natural risk. The control variables are the dates and rates of thinning and the cutting age.The risk model is based on a Poisson processus. The Faustmann approach, including tree damage risk, is used to evaluate future benefits, economic or ecosystem services. It relies on the calculation of expected values, for which a dedicated mathematical development has been done. The optimized criteria used to evaluate the various scenarii are the Faustmann value and the Averaged yield value.We illustrate the approach and the software on two case studies: economic optimization of a beech stand and carbon sequestration optimization of a pine stand.Software interface makes it easy for users to write their own (growth-tree damage-economic) models without advanced programming skills. The possibility to run management scenarii with/without considering the impact of natural risk may contribute improving silviculture guidelines and adapting them to climate change. We propose future lines of research and improvement.
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In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein-Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. The other factor is an OU process driven by a pure jump Levy process and models the characteristic spikes observed in such markets. When it comes to pricing, a popular choice of pricing measure is given by the Esscher transform that preserves the probabilistic structure of the driving Levy processes, while changing the levels of mean reversion. Using this choice one can generate stochastic risk premiums (in geometric spot models) but with (deterministically) changing sign. In this paper we introduce a pricing change of measure, which is an extension of the Esscher transform. With this new change of measure we also can slow down the speed of mean reversion and generate stochastic risk premiums with stochastic non constant sign, even in arithmetic spot models. In particular, we can generate risk profiles with positive values in the short end of the forward curve and negative values in the long end. Finally, our pricing measure allows us to have a stationary spot dynamics while still having randomly fluctuating forward prices for contracts far from maturity.
The risk and return profiles of a broad class of dynamic trading strategies, including pairs trading and other statistical arbitrage strategies, may be characterized in terms of excursions of the market price of a portfolio away from a reference level. We propose a mathematical framework for the risk analysis of such strategies, based on a description in terms of price excursions, first in a pathwise setting, without probabilistic assumptions, then in a Markovian setting. We introduce the notion of delta-excursion, defined as a path which deviates by delta from a reference level before returning to this level. We show that every continuous path has a unique decomposition into delta-excursions, which is useful for the scenario analysis of dynamic trading strategies, leading to simple expressions for the number of trades, realized profit, maximum loss and drawdown. As delta is decreased to zero, properties of this decomposition relate to the local time of the path. When the underlying asset follows a Markov process, we combine these results with Itos excursion theory to obtain a tractable decomposition of the process as a concatenation of independent delta-excursions, whose distribution is described in terms of Itos excursion measure. We provide analytical results for linear diffusions and give new examples of stochastic processes for flexible and tractable modeling of excursions. Finally, we describe a non-parametric scenario simulation method for generating paths whose excursion properties match those observed in empirical data.
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In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively, coherent) risk measures. The proof does not depend on but easily leads to the classical representation theorems for convex and coherent risk measures. When the law-invariance and the SSD (second-order stochastic dominance)-consistency are involved, it is not the convexity (respectively, coherence) but the comonotonic convexity (respectively, comonotonic coherence) of risk measures that can be used for such kind of lower envelope characterizations in a unified form. The representation of a law-invariant risk measure in terms of VaR is provided.
Adherent biological cells generate traction forces on a substrate that play a central role for migration, mechanosensing, differentiation, and collective behavior. The established method for quantifying this cell-substrate interaction is traction force microscopy (TFM). In spite of recent advancements, inference of the traction forces from measurements remains very sensitive to noise. However, suppression of the noise reduces the measurement accuracy and the spatial resolution, which makes it crucial to select an optimal level of noise reduction. Here, we present a fully automated method for noise reduction and robust, standardized traction-force reconstruction. The method, termed Bayesian Fourier transform traction cytometry, combines the robustness of Bayesian L2 regularization with the computation speed of Fourier transform traction cytometry. We validate the performance of the method with synthetic and real data. The method is made freely available as a software package with a graphical user-interface for intuitive usage.
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