Bivariate Normal Mixture Spread Option Valuation

This paper explores the properties of a European spread option valuation method for correlated assets when the marginal distribution each asset return is assumed to be a mixture of normal distributions. In this ‘bivariate normal mixture’ (BNM) approach no-arbitrage option values are just weighted sums of different 2GBM values based on two correlated lognormal diffusions, and likewise for their sensitivities. The main advantage of this approach is that BNM option values are consistent with the volatility smiles for each asset and an implied correlation ‘frown’, both of which are often observed when spread options are priced under the 2GBM assumptions. It is simple to perform an extensive consideration of model values for varying strike, and for different asset volatility and correlation structures. We compare BNM valuations with those based on the ‘2GBM’ assumption of two correlated lognormal diffusions and explain the differences between the BNM values and the 2GBM values of spread options as a weighted sum of six second order 2GBM value sensitivities. We also investigate the BNM sensitivities and these, like the option values, can sometimes be significantly different from those obtained under the 2GBM model. Finally, we show how the correlation frown that is implied by this model is affected as we change the parameters in the bivariate normal mixture density of the asset returns.spread option, implied correlation, bivariate normal mixture density

Modelling the widespread effects of TOC1 signalling on the plant circadian clock and its outputs

This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/2.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. This work was supported by the European Commission FP7 Collaborative Project TiMet (project 245143). SynthSys is a Centre for Integrative and Systems Biology supported by BBSRC and EPSRC award D019621. Work in P.M. laboratory is supported by grants from the Ramón Areces Foundation, from the Spanish Ministry of Science and Innovation (MICINN) (BIO2010-16483) and from EUROHORCS (European Heads Of Research Councils) and the European Science Foundation (ESF) through the EURYI Award.Peer reviewedPublisher PD

Adverse Childhood Experiences in the New Mexico Juvenile Justice Population

Faculty from the University of New Mexico (UNM) School of Law and the UNM School of Medicine, and New Mexico’s Children, Youth and Families Department (CYFD) initiated a joint project to look at the prevalence of Adverse Childhood Experiences (ACEs) nationally and in New Mexico. The study was intended to better establish the association between early childhood trauma and delinquency, as well as to explore the role that law and medicine can play in ensuring better health and juvenile justice outcomes for children who have experienced ACEs

Seasonal dynamics of soil respiration and nitrogen mineralization in chronically warmed and fertilized soils

Although numerous studies have examined the individual effects of increased temperatures and N deposition on soil biogeochemical cycling, few have considered how these disturbances interact to impact soil C and N dynamics. Likewise, many have not assessed season-specific responses to warming and N inputs despite seasonal variability in soil processes. We studied interactions among season, warming, and N additions on soil respiration and N mineralization at the Soil Warming × Nitrogen Addition Study at the Harvard Forest. Of particular interest were wintertime fluxes of C and N typically excluded from investigations of soils and global change. Soils were warmed to 5°C above ambient, and N was applied at a rate of 5 g m−2 y−1. Soil respiration and N mineralization were sampled over two years between 2007 and 2009 and showed strong seasonal patterns that mirrored changes in soil temperature. Winter fluxes of C and N contributed between 2 and 17% to the total annual flux. Net N mineralization increased in response to the experimental manipulations across all seasons, and was 8% higher in fertilized plots and 83% higher in warmed plots over the duration of the study. Soil respiration showed a more season-specific response. Nitrogen additions enhanced soil respiration by 14%, but this increase was significant only in summer and fall. Likewise, warming increased soil respiration by 44% over the whole study period, but the effect of warming was most pronounced in spring and fall. The only interaction between warming × N additions took place in autumn, when N availability likely diminished the positive effect of warming on soil respiration. Our results suggest that winter measurements of C and N are necessary to accurately describe winter biogeochemical processes. In addition, season-specific responses to the experimental treatments suggest that some components of the belowground community may be more susceptible to warming and N additions than others. Seasonal changes in the abiotic environment may have also interacted with the experimental manipulations to evoke biogeochemical responses at certain times of year

Between Noise and Silence: Architecture since the 1970s

This essay considers noise in architectural discourse as it might lend form to issues hitherto tabled in rather different terms. We ask what noise offers this discussion or, perhaps better put, what seeing architectural debates in terms of distinctions between noise and silence, random and structured sound, silence as absence and pregnant void might add to disciplinary debates within architectural theory and criticism. By treating these acoustic values analogously rather than literally we wish to suggest that reading the late postmodern moment through this filter opens out new possibilities for a critical assessment of this period and its present-day legacies

Asymmetric synthesis of tri- and tetrasubstituted trifluoromethyl dihydropyranones from alpha-aroyloxyaldehydes via NHC redox catalysis

We thank the Royal Society for a University Research Fellowship (A.D.S.), and the European Research Council under the European Union’s Seventh Framework Programme (FP7/2007-2013) ERC Grant Agreement No. 279850 (A.T.D.).The asymmetric synthesis of tri- and tetrasubstituted trifluoromethyl dihydropyranones via an NHC-catalyzed redox process, introducing methyl, benzyl, and aryl substituents to the C(5) position, is presented. Their substrate-controlled derivatization into δ-lactones and cyclic hemiacetals containing stereogenic trifluoromethyl groups is also described.PostprintPeer reviewe