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We present a parsimonious multi-asset Heston model. All single-asset submodels follow the well-known Heston dynamics and their parameters are typically calibrated on implied market volatilities. We focus on the calibration of the correlation structure between the single-asset marginals in the absence of sucient liquid cross-asset option price data. The presented model is parsimonious in the sense that d(d􀀀1)=2 asset-asset cross-correlations are required for a d-asset Heston model. In order to calibrate the model, we present two general setups corresponding to relevant practical situations: (1) when the empirical cross-asset correlations in the risk neutral world are given by the user and we need to calibrate the correlations between the driving Brownian motions or (2) when they have to be estimated from the historical time series. The theoretical background, including the ergodicity of the multidimensional CIR process, for the proposed estimators is also studied.
A novel core–shell species for the adsorption-based separation of carbon dioxide (
CO2) from methane (
CH4) is introduced
by hydrothermal synthesis of Ni-MOF-74 on mesoporous spherical Al2O3
carrier substrate. The material was characterized
and the shell thickness determined by means of optical and scanning electron microscopy as well as volumetric
adsorption and fluid displacement experiments. Kinetic experiments with Ni-MOF-74@Al2O3 core–shell composites carried
out at 303.15 K and at pressures up to 10 bar expose remarkably dominating uptake rates for CO2
over CH4.
In the
contrary Ni-MOF-74@Al2O3 appears to be unselective according to equilibrium data at the same conditions. Dynamic
breakthrough experiments of binary CH4/
CO2-mixtures (at 303.15 K and 5 bar) prove the prevailing effect of adsorption
kinetics and the storage function of the mesoporous core. This statement is supported by a considerable boost in
CO2-
selectivity and capacity compared to adsorption equilibria measured on pure Ni-MOF-74 by the factor of 55.02 and
up to 2.42, respectively.