2018, Winsemann, Jutta, Lang, Jörg, Polom, Ulrich, Loewer, Markus, Igel, Jan, Pollok, Lukas, Brandes, Christian

This study presents a synthesis of the geomorphology, facies variability and depositional architecture of ice-marginal deltas affected by rapid lake-level change. The integration of digital elevation models, outcrop, borehole, ground-penetrating radar and high-resolution shear-wave seismic data allows for a comprehensive analysis of these delta systems and provides information about the distinct types of deltaic facies and geometries generated under different lake-level trends. The exposed delta sediments record mainly the phase of maximum lake level and subsequent lake drainage. The stair-stepped profiles of the delta systems reflect the progressive basinward lobe deposition during forced regression when the lakes successively drained. Depending on the rate and magnitude of lake-level fall, fan-shaped, lobate or more digitate tongue-like delta morphologies developed. Deposits of the stair-stepped transgressive delta bodies are buried, downlapped and onlapped by the younger forced regressive deposits. The delta styles comprise both Gilbert-type deltas and shoal-water deltas. The sedimentary facies of the steep Gilbert-type delta foresets include a wide range of gravity-flow deposits. Delta deposits of the forced-regressive phase are commonly dominated by coarse-grained debrisflow deposits, indicating strong upslope erosion and cannibalization of older delta deposits. Deposits of supercritical turbidity currents are particularly common in sand-rich Gilbert-type deltas that formed during slow rises in lake level and during highstands. Foreset beds consist typically of laterally and vertically stacked deposits of antidunes and cyclic steps. The trigger mechanisms for these supercritical turbidity currents were both hyperpycnal meltwater flows and slope-failure events. Shoal-water deltas formed at low water depths during both low rates of lake-level rise and forced regression. Deposition occurred from tractional flows. Transgressive mouthbars form laterally extensive sand-rich delta bodies with a digitate, multi-tongue morphology. In contrast, forced regressive gravelly shoal-water deltas show a high dispersion of flow directions and form laterally overlapping delta lobes. Deformation structures in the forced-regressive ice-marginal deltas are mainly extensional features, including normal faults, small graben or half-graben structures and shear-deformation bands, which are related to gravitational delta tectonics, postglacial faulting during glacial-isostatic adjustment, and crestal collapse above salt domes. A neotectonic component cannot be ruled out in some cases. © 2018 The Authors. Boreas published by John Wiley & Sons Ltd on behalf of The Boreas Collegium

2017, Friz, Peter, Gerhold, Stefan, Pinter, Arpad

We consider call option prices close to expiry in diffusion models, in an asymptotic regime (“moderately out of the money”) that interpolates between the well-studied cases of at-the-money and out-of-the-money regimes. First and higher order small-time moderate deviation estimates of call prices and implied volatilities are obtained. The expansions involve only simple expressions of the model parameters, and we show how to calculate them for generic local and stochastic volatility models. Some numerical computations for the Heston model illustrate the accuracy of our results.