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- ItemSimilarities and differences in polar mesosphere summer echoes observed in the Arctic and Antarctica(München : European Geopyhsical Union, 2008) Latteck, R.; Singer, W.; Morris, R.J.; Hocking, W.K.; Murphy, D.J.; Holdsworth, D.A.; Swarnalingam, N.Polar Mesosphere Summer Echoes (PMSE) have been observed in the high latitudes of the Northern and Southern Hemisphere for several years using VHF radars located at Andenes/Norway (69° N, 16° E), Resolute Bay/Canada (75° N, 95° W), and Davis/Antarctica (69° S, 78° E). The VHF radars at the three sites were calibrated using the same methods (noise source and delayed transmitting signal) and identical equipment. Volume reflectivity was derived from the calibrated echo power and the characteristics of the seasonal variation of PMSE were estimated at the sites for the years 2004 to 2007. The largest peak volume reflectivity of about 2×10−9 m−1 was observed at Andenes compared with their counterparts at Davis (~4×10−11 m−1) and Resolute Bay (~6×10−12 m−1). The peak of the PMSE height distribution is 85.6 km at Davis which is about 1 km higher than at Andenes. At Resolute Bay the height distribution peaks at about 85 km but only a few layers were found below 84 km. The mean PMSE occurrence rate is 83% at Andenes, 38% at Davis with larger variability and only 18% at Resolute Bay (in late summer). The duration of the PMSE season varies at Andenes from 104 to 113 days and at Davis from 88 to 93 days. In general the PMSE seasons starts about 5 days later at Davis and ends about 10 days earlier compared to Andenes. In all three seasons the PMSE occurrence suddenly drops to a much lower level at Davis about 32 days after solstice whereas the PMSE season decays smoothly at Andenes. The duration of the PMSE season at Andenes and Davis is highly correlated with the presence of equatorward directed winds, the observed differences in PMSE occurrence are related to the mesospheric temperatures at both sites.
- ItemCalibration of LACIS as a CCN detector and its use in measuring activation and hygroscopic growth of atmospheric aerosol particles(München : European Geopyhsical Union, 2006) Wex, H.; Kiselev, A.; Ziese, M.; Stratmann, F.A calibration for LACIS (Leipzig Aerosol Cloud Interaction Simulator) for its use as a CCN (cloud condensation nuclei) detector has been developed. For this purpose, sodium chloride and ammonium sulfate particles of known sizes were generated and their grown sizes were detected at the LACIS outlet. From these signals, the effective critical super-saturation was derived as a function of the LACIS wall temperature. With this, LACIS is calibrated for its use as a CCN detector. The applicability of LACIS for measurements of the droplet activation, and also of the hygroscopic growth of atmospheric aerosol particles was tested. The activation of the urban aerosol particles used in the measurements was found to occur at a critical super-saturation of 0.46% for particles with a dry diameter of 75 nm, and at 0.42% for 85 nm, respectively. Hygroscopic growth was measured for atmospheric aerosol particles with dry diameters of 150, 300 and 350 nm at relative humidities of 98 and 99%, and it was found that the larger dry particles contained a larger soluble volume fraction of about 0.85, compared to about 0.6 for the 150 nm particles.
- ItemA stochastic volatility Libor model and its robust calibration(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2007) Belomestny, Denis; Mathew, Stanley; Schoenmakers, John G.M.In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration procedure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to implement.
- ItemA jump-diffusion Libor model and tits robust calibration(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2006) Belomestrny, Denis; Schoenmakers, John G.M.In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space and test a stable non-parametric calibration algorithm which takes into account a given local covariance structure. The algorithm returns smooth and simply structured Lévy densities, and penalizes the deviation from the Libor market model. In practice, the procedure is FFT based, thus fast, easy to implement, and yields good results, particularly in view of the ill-posedness of the underlying inverse problem.