Issue 6, October - November 2010
to the October
edition of CATS e-news.
Our highlight of this period was our celebration of
CATS 10th anniversary with an event on 29th October. Full details can be
found below. It was lovely to bring together so many members and friends of
Surminski will be a giving a lecture at the a BusinessGreen.com event
Preparing for stormy weather identifying
and managing climate risks being held on 16th March from 6pm at
the Wolfson Theatre, LSE. There are limited places
available, so if you are interested in attending, please contact
Lyn Grove by 22nd February.
thanks to Esther Heyhoe for helping put this issue together.
October & November
David Stainforth attended a Collaborative meeting with The Centre for Ice and Climate, Niels Bohr Institute in Copenhagen on 4th - 6th October.
The main focus was the
interpretation of climateprediction.net in the context of recent discussions
on difficulties in constraining climate sensitivity and the implicit
assumptions of linearity therein.
Joe Daron gave a talk to Masters Students at the University of Exeter, in
Falmouth about International Climate Policy as part of an MSc course in
Energy Policy and Sustainability on Wednesday 6th October.
Hailiang Du gave a talk entitled 'Nowcasting with Indistinguishable States'
DARC: Data Assimilation
at the University of Reading on Wednesday 6th October.
attended the Climate Tipping Points workshop organised by Tim Lenton and
Peter Cox at the Isaac Newton Institute for Mathematical Sciences on 18th -
21st October. The workshop consisted of a series of seminars and discussion
sessions exploring approaches to detect the proximity of shifts or
bifurcations in climate and ecological systems with the goal of developing
early warning systems.
CATS celebrated its 10th
anniversary with an afternoon of
talks and evening reception on 29th October. The talks covered
a broad range of CATS’ research – from climate model uncertainty, ocean
systems, valuation and risk in the finance sector, and robust decision
making in insurance. Speakers were Tim Palmer (European Centre for
Medium-Range Weather Forecasts), Max Fehr
(LSE), Ralph Rayner (ImarEST; Consortium for Ocean Leadership; LSE), and
Richard Max-Lino (Quest4 Consulting Ltd. Full details of the event and a
copy of the CATS anniversary brochure can be found on the
CATS events webpage.
Arthur Petersen and Ana
Lopez both gave
presentations at the
Circle-2 workshop on CCVIA
uncertainties which took place in Stockholm 11th - 12th November. The
workshop was organised by SMHI (Sweden) and KvK (Netherlands) within the
CIRCLE2 ERA-Network. Arthur Petersen's talk was entitled: 'Guidances: lessons from PBL' and
Ana Lopez': 'Is probabilistic climate change
information necessary to inform adaptation?'
Falk Niehoerster attended
the Climate Change Question Time meeting on 24th November. The Isaac Newton Institute and the Willis Research
Network, in conjunction with the Knowledge Transfer Network in Industrial
Mathematics and the Centre for Science and Policy convened an elite group of
climate experts to answer questions from finance and insurance
Papers & other
co-edited 'Modelling the impacts of Climate Change on Water Resources' with
Fai Fung and Mark New and contributed two chapters, "Emerging approaches to
climate risk management' (co-authored with R. Wilby, Fai Fung and Mark New)
and "A case study of Water Resource Management in South West England"
(author). The book was published by Wiley-Blackwell in November.
P Barrieu, H Bensusan, N El Karoui, C
Hillairet, S Loisel, C Ravanelli & S Yahia "Understanding, modelling and
managing longevity risk: key issues and main challenges" to appear in
Scandinavian Actuarial Journal
had a letter published in the Economist in October
Binter, R & Niehoerster, F "Limits of i-shadowing in a perfect model
rotating annulus" submitted to Physica D
Stainforth,DA & Smith, LA "Adaptation to Global Warming: Do Climate Models
Tell Us What We Need to Know?" submitted to Philosophy of Science
& Fehr, MW “Integrated EUA and CER price modeling and application for spread
option pricing” submitted to Operations Research
& Tobelem,S “A new methodology for asset allocation under model risk”
submitted to Quantitative Finance
& Sinclair Desgagne, B. “Economic Policy when Models Disagree” submitted to
Senz-de-Cabezn, E. and Wynn, H. P. "the
Betti numbers of polynomial
hierarchical models for experimental designs"
submitted to Annals of Mathematics and Artificial
Bates, R.A., Maruri-Aguilar,
H and Wynn, H.P. "Smooth
supersaturated models" submitted to
Journal of Statistical
Planning and Inference
& Du, H.L."Parameter estimation using Ignorance" in revision for
Du, HL &
Smith, LA "Improvement in Full Probability Forecasting at Seasonal
Lead-times" in revision for QJRMS
Tredger, E., Stainforth, D.A. & Lopez, A. "On the Relevance of Model
Averages for Science Based Policy" in revision for GRL
Khare, S &
Smith, LA "Data assimilation: A fully nonlinear approach to ensemble
formation using Indistinguishable States" in revision for Monthly Weather
Maruri-Aguilar, H and
Wynn, H. P. "D-Optimality of
Sobol Sequences for Haar Wavelet
Models" under revision for Journal
of Statistical Theory and Practice
Giovagnoli, A and
Wynn, H. P. "(U,V)-ordering
and a duality theorem for risk aversion
and Lorentz-type ordering. Under
revision for Statistical Papers
Research progress and activities
Leonard Smith and Falk
Niehoerster started a closer collaboration with the
climateprediction.net project of Myles Allen in Oxford (www.climateprediction.net).
In this collaboration they use the distributed computing environment of the
project to test the robustness of results of Bowen&Ranger 2009 ("Mitigating
climate change through reductions in greenhouse gas emissions: The science
and economics of future paths for global annual emissions", Grantham Policy
Brief, December 2009). The goal is to estimate the extent to which the
probability distributions based on simulations with simple climate models (MAGICC)
are robust when compared to results of using more complex climate models (GCMs).
In the context of this collaboration Dan Rowland from Oxford joined CATS as
Arthur Petersen was involved in the
co-ordination of a Dutch governmental evaluation of the quality of the
regional chapters of the IPCC AR4 WG II report (on impacts, adaptation and vulnerability).
The report “Assessing an IPCC Assessment: An Analysis of Statements on
Projected Regional Impacts in the 2007 Report” was published by the
Netherlands Environmental Assessment Agency in July. A news piece on the
report was published in Nature, Volume 466-Number 7303, on 08 July 2010
fishy facts found in climate report".
Max Fehr, Pauline Barrieu and Umut Cetin continue their work on a model for risk
neutral futures price dynamics in the European Unions Emissions Trading
Scheme (EU ETS). Historical price dynamics suggest that both allowance
prices for different compliance periods and CER prices for different
compliance periods are significantly related. To obtain a realistic price
dynamics we take into account the specific details of the EU ETS compliance
regulations, such as banking and the link to the Clean Development
Mechanism (CDM), and exploit arbitrage relationships between futures on EU
allowances and Certified Emission Reductions.
Falk Niehoerster, Nicola Ranger, and Leonard Smith continue
work on Hurricanes: the predictability of Hurricane frequency and intensity
is investigated on seasonal to multi-decadal timescales. Comparison and
verification of different statistical approaches are conducted in addition
to expert elicitation. The goal is to generate scenarios of future
development of Hurricane activities for adaptation decision making.
Roman Binter, Hailiang Du, Falk Niehoerster and Leonard Smith work on Seasonal to Decadal
Predictability: The predictability of important atmospheric phenomena is
investigated in seasonal to decadal (s2d) predictions produced in the
multi-model framework of the ENSEMBLES project. Impact relevant indices
like the sea surface temperature (SST) in the main development region for
hurricanes (MDR) and the Nino3.4 index (related to the El Nino phenomenon)
as well as the global mean temperature (GMT) are currently the focus of the
Falk Niehoerster and Leonard Smith work
on SVD on ICE - Linearity questions in climate modelling:
The question of linearity in general circulation model (GCM) simulations of
global warming as a function of a increasing atmospheric CO2 concentration
is another focus. The assumption that climate response is
"linear" is widely used and multiply defined. Indeed, the
assumption of linearity is crucial for several applications of climate
science including pattern scaling. The extent to which linearity
approximations hold is evaluated in large (~2^9)) initial condition
ensembles (ICE). These simulations consider the equilibrium response of
HadSM3 to three different levels of CO2 concentration increase. By
comparing the singular value decomposition (SVD) and the leading singular
vectors of the three initial condition ensembles we evaluate not only the
relevance of the linearity assumption, but also the robustness of the
principal pattern of temperature change. See poster presented at IMSC,
on ICE - On the linearity of climate change simulation with GCMs"
Arthur Petersen (Munich Re Programme Visiting Professor) visited
LSE from 29th October - 1st November.
Mark Berliner, Professor of Statistics at
Ohio State University, has joined CATS as a Visiting Senior Fellow. We look
forward to working with him in the near future.
Congratulations to CATS Visiting Fellow Jerome Ellepolla on
the birth of his son Alexandre Mahinda Maurice born on 2nd October!
are they now?
regular end piece of where ex-CATS members are now.
Roland Young, who was a Research Officer at
CATS last year, is back in Oxford
where he did his D.Phil., working as a postdoc in
Peter Read's group. He has moved from studying the rotating annulus to
studying the dynamics of giant planet atmospheres (specifically Jupiter and
Saturn) using general circulation models.
Anna Andrianova completed
her PhD at CATS, thesis title: "Incorporating weather forecasts into the
energy markets". Anna now works as a Coal and freight Options trader for RWE,
an energy company that owns Npower and is the biggest utility company in
Germany. RWE trades Gas, Power, Coal, Freight, Oil and CO2. It trades
physical assets and also paper markets. They also optimise the running of power
stations and invest in pipe lines and infrastructure around the world.
Ron Bates is currently working at Rolls
Royce. He was a senior Research Fellow in the Department of Statistics and
CATS from 2003 to 2008, working with Henry Wynn on a number of European and
EPSRC funded projects.
Neil Bathia completed his PhD earlier this year, thesis title: "Factor modelling for high dimensional time". He is
currently doing a postdoc with Prof. Peter Hall
in the Maths department at the University of Melbourne
and he is working on problems in high dimensional data analysis and model
Roman Binter is finishing his phd thesis,
and began work with Penson GHCO at the beginning
of May. We hope to organise a proper leaving do
for Roman soon....watch this space!
Jochen Broecker is
now a visiting fellow at CATS. He works at the Max Planck Institute
for Physics of Complex Systems in Dresden.
We are very happy to announce that Jochen got married on 24th April!
Jochen was a Research Officer at CATS from 2003 to 2007, working on a
number of projects including the EU project ENSEMBLES and the EPSRC project
Liam Clarke is working at the Financial
Services Authority, London.
He was a Research Officer at CATS from 2003 to 2008, working on the EPSRC
and then the NERC funded project
Reason Machete is currently a Research
Assistant in Mathematical Modeling for the Digital Economy in the
Mathematics Department at the University
of Reading. He was a
Research Assistant in CATS from 2007 to 2010, working on a number of
different CATS projects.
Milena Cuellar is now an Adjunct
Assistant Professor at CUNY Bronx's Community College. She's teaching Math
to first year college students.
She completed her PhD at CATS funded by NGT. Thesis title: "Time
series analysis, model parameters estimation."
Edward Tredger completed his PhD in 2009,
thesis title: "What can Insurers learn from Climate Models?"
Edward is now working at Defra.
Hugo Maruri-Aguilar is now lecturing in the Statistics Department at Queen
of London. He was a
Research Officer on the EPSRC funded project, MUCM, from 2006 to 2009,
working with Henry Wynn.
Antje Weisheimer is at the European Centre for Medium Range Weather Forecasting
(ECMWF) in Reading,
and we're very pleased to announce that she has just had a new baby! Antje
was an EC Marie Curie Postdoctoral Fellow at CATS from 2002 to 2003. She
was working on predictability in large climate models.