A path-independent approach to integrated variance under the CEV model

In this paper, a closed form path-independent approximation of the fair variance strike for a variance swap under the constant elasticity of variance (CEV) model is obtained by applying the small disturbance asymptotic expansion. The realized variance is sampled continuously in a risk-neutral market environment. With the application of a Brownian bridge, we derive a theorem for the conditionally expected product of a Brownian motion at two different times for arbitrary powers. This theorem enables us to provide a conditional Monte-Carlo scheme for simulating the fair variance strike. Compared with results in the recent literature, the method outlined in our paper leads to a simplified approach for pricing variance swaps. The method may also be applied to other more sophisticated volatility derivatives. An empirical comparison of this model with the Heston model and a conditional Monte Carlo scheme is also presented using option data on the S&P 500

Report on the 9th inter-laboratory comparison organised by the European Union Reference Laboratory for Polycyclic Aromatic Hydrocarbons - Four marker PAHs in spiked olive oil

The proficiency test here reported concerned the determination of the four marker polycyclic aromatic hydrocarbons (PAHs) in an olive oil test sample: benz[a]anthacene, benzo[a]pyrene, benzo[b]fluoranthene, and chrysene. Participants to these PT were National Reference Laboratories for PAHs (NRLs-PAHs) and EU official food control laboratories. The number of participants was 50. The PT was organised according to ISO Standard 17043:2010. The test material used was olive oil spiked with the target PAHs. Participants also received a solution of the PAHs either in an organic solvent for checking their instrument calibration. The results from participants were rated with z-scores and zeta-scores. About 96 % and 88 % of the results reported by NRLs and OCLs respectively were attributed with z-scores with an absolute value of below two, which is the threshold for satisfactory performance. The zeta-score ratings were worse, which indicates problems in the estimation of reliable measurement uncertainty values.JRC.D.5-Standards for Food Bioscienc

Detecting Technibaryon Dark Matter

The technibaryon constitutes a possible dark matter candidate. Such a particle with electroweak quantum numbers is already nearly ruled out as the dominant component of the galactic dark matter by nuclear recoil experiments. Here, the scattering of singlet technibaryons, without electroweak quantum numbers, is considered. For scalar technibaryons the most important interaction is the charge radius. The scattering rates are typically of order $10^{-4}$ (kg keV day)$^{-1}$ for a technicolor scale of 1 TeV. For fermionic technibaryons the most important interaction is the magnetic dipole moment. The scattering rates in this case are considerably larger, typically between $10^{-1}$ and 1 (kg keV day)$^{-1}$, depending on the detector material. Rates this large may be detectable in the next generation of nuclear recoil experiments. Such experiments will also be sensitive to quite small technibaryon electric dipole moments.Comment: 11 pages, Tex file, requires phyzzx, Santa Cruz preprint SCIPP 93/3

Broadband acoustic measurement of an agar-based tissue mimicking material - a longitudinal study

Commercially available ultrasound quality assurance test phantoms rely upon the long-term acoustic stability of tissue-mimicking-materials (TMMs). The measurement of the acoustic properties can be technically challenging and it is important to ensure its stability. The standard technique is to film-wrap samples of TMM and to measure the acoustic properties in a water bath. In this study, a modified technique is proposed whereby the samples of TMM are measured in a preserving fluid that is intended to maintain their characteristics. The acoustic properties were evaluated using a broadband pulse-echo substitution technique over the frequency range of 4.5 – 50 MHz at 0, 6 and 12 months using both techniques. For both techniques, the measured mean values for the speed of sound and the attenuation were very similar and within the IEC recommended value. However, the results obtained using the proposed modified technique demonstrated greater stability over the 1-year period when compared with the results acquired using the standard technique

Bidirectional battery charger with grid-to-vehicle, vehicle-to-grid and vehicle-to-home technologies

This paper presents the development of na on-board bidirectional battery charger for Electric Vehicles (EVs) targeting Grid-to-Vehicle (G2V), Vehicle-to-Grid (V2G), and Vehicle-to-Home (V2H) technologies. During the G2V operation mode the batteries are charged from the power grid with sinusoidal current and unitary power factor. During the V2G operation mode the energy stored in the batteries can be delivered back to the power grid contributing to the power system stability. In the V2H operation mode the energy stored in the batteries can be used to supply home loads during power outages, or to supply loads in places without connection to the power grid. Along the paper the hardware topology of the bidirectional battery charger is presented and the control algorithms are explained. Some considerations about the sizing of the AC side passive filter are taken into account in order to improve the performance in the three operation modes. The adopted topology and control algorithms are accessed through computer simulations and validated by experimental results achieved with a developed laboratory prototype operating in the different scenarios

Meson-meson Scattering in QCD-like Theories

We discuss meson-meson scattering at next-to-next-to-leading order in the chiral expansion for QCD-like theories with general $n$ degenerate flavours for the cases with a complex, real and pseudo-real representation. I.e. with global symmetry and breaking pattern $SU(n)_L\times SU(n)_R\to SU(n)_V$, $SU(2n)\to SO(2n)$ and $SU(2n)\to Sp(2n)$. We obtain fully analytical expressions for all these cases. We discuss the general structure of the amplitude and the structure of the possible intermediate channels for all three cases. We derive the expressions for the lowest partial wave scattering length in each channel and present some representative numerical results. We also show various relations between the different cases in the limit of large $n$.Comment: 61 page

Properties of solid polymer electrolyte fluorocarbon film

The ionic fluorocarbon film used as the solid polymer electrolyte in hydrogen/oxygen fuel cells was found to exhibit delamination failures. Polarized light microscopy of as-received film showed a lined region at the center of the film thickness. It is shown that these lines were not caused by incomplete saponification but probably resulted from the film extrusion process. The film lines could be removed by an annealing process. Chemical, physical, and tensile tests showed that annealing improved or sustained the water contents, spectral properties, thermo-oxidative stability, and tensile properties of the film. The resistivity of the film was significantly decreased by the annealing process

ICP-MS trace-element analysis as a forensic tool

Careful tracing of evidence at the site of a crime must be performed before suspects can be convicted of a crime or homicide. Fingerprints and ballistic control samples are important evidence. A common method used to examine lead bullets is comparison of physical properties such as weight, dimensions, shape, and distinctive markings. However ballistic investigations, for example comparison of characteristic scratches and marks left on fired bullets, do not always give sufficient information. Ballistic abrasion patterns can change for a variety of reasons, e.g. deformation or mechanical strain. Sometimes only particles remain in a victim's body. In such cases trace-element composition and lead-isotope ratios can be compared with those of controls. Elemental composition of particles and deformed bullets have been compared with the elemental fingerprints and isotope ratios of potential bullet types found on suspects. The applicability of the method was studied for two different cases. Data interpretation and several limitations of the technique are also discussed in this pape