Option Pricing of Twin Assets

How to price and hedge claims on nontraded assets are becoming increasingly important matters in option pricing theory today. The most common practice to deal with these issues is to use another similar or "closely related" asset or index which is traded, for hedging purposes. Implicitly, traders assume here that the higher the correlation between the traded and nontraded assets, the better the hedge is expected to perform. This raises the question as to how \textquoteleft{}closely related\textquoteright{} the assets really are. In this paper, the concept of twin assets is introduced, focusing the discussion precisely in what does it mean for two assets to be similar. Our findings point to the fact that, in order to have very similar assets, for example identical twins, high correlation measures are not enough. Specifically, two basic criteria of similarity are pointed out: i) the coefficient of variation of the assets and ii) the correlation between assets. From here, a method to measure the level of similarity between assets is proposed, and secondly, an option pricing model of twin assets is developed. The proposed model allows us to price an option of one nontraded asset using its twin asset, but this time knowing explicitly what levels of errors we are facing. Finally, some numerical illustrations show how twin assets behave depending upon their levels of similarities, and how their potential differences will traduce in MAPE (mean absolute percentage error) for the proposed option pricing model

Action Potentials that Go the Distance

AbstractDendrodendritic inhibition between mitral and granule cells in the olfactory bulb is thought to play an important role in olfactory discrimination. In this issue of Neuron, Xiong and Chen (2002) explore the propagation of action potentials along the secondary dendrites of mitral cells and their modulation by dendrodendritic inhibition

Synthesis, characterization of a new carbonylated zirconium metallocene using a dichloro-zirconocene derived from partially alkylated s-indacene

Indexación: ScieloThis work describes the synthesis and characterization of new organometallic species, an unprecedented mononuclear zirconium complex bearing a tetraalkylated s-indacene ligand, and secondly, its respective dicarbonyl complex obtained by reduction with Mg/HgCl2. Theoretical calculations of these two compounds were carried out to gain further understanding of these novel molecular systems.http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-97072009000300014&lng=es&nrm=is

Breaking the entangling gate speed limit for trapped-ion qubits using a phase-stable standing wave

All laser-driven entangling operations for trapped-ion qubits have hitherto been performed without control of the optical phase of the light field, which precludes independent tuning of the carrier and motional coupling. By placing $^{88}$Sr$^+$ ions in a $\lambda=674$ nm standing wave, whose relative position is controlled to $\approx\lambda/100$, we suppress the carrier coupling by a factor of $18$, while coherently enhancing the spin-motion coupling. We experimentally demonstrate that the off-resonant carrier coupling imposes a speed limit for conventional traveling-wave M{\o}lmer-S{\o}rensen gates; we use the standing wave to surpass this limit and achieve a gate duration of $15\ \mu$s, restricted by the available laser power.Comment: S. Saner and O. B\u{a}z\u{a}van contributed equally to this wor

The Analysis of Field Strains Isolated From Food, Animal and Clinical Sources Uncovers Natural Mutations in Listeria monocytogenes Nisin Resistance Genes

Nisin is a commonly used bacteriocin for controlling spoilage and pathogenic bacteria in food products. Strains possessing high natural nisin resistance that reduce or increase the potency of this bacteriocin against Listeria monocytogenes have been described. Our study sought to gather more insights into nisin resistance mechanisms in natural L. monocytogenes populations by examining a collection of 356 field strains that were isolated from different foods, food production environments, animals and human infections. A growth curve analysis-based approach was used to access nisin inhibition levels and assign the L. monocytogenes strains into three nisin response phenotypic categories; resistant (66%), intermediate (26%), and sensitive (8%). Using this categorization isolation source, serotype, genetic lineage, clonal complex (CC) and strain-dependent natural variation in nisin phenotypic resistance among L. monocytogenes field strains was revealed. Whole genome sequence analysis and comparison of high nisin resistant and sensitive strains led to the identification of new naturally occurring mutations in nisin response genes associated with increased nisin resistance and sensitivity in this bacterium. Increased nisin resistance was detected in strains harboring RsbUG77S and PBPB3V240F amino acid substitution mutations, which also showed increased detergent stress resistance as well as increased virulence in a zebra fish infection model. On the other hand, increased natural nisin sensitivity was detected among strains with mutations in sigB, vir, and dlt operons that also showed increased lysozyme sensitivity and lower virulence. Overall, our study identified naturally selected mutations involving pbpB3 (lm0441) as well as sigB, vir, and dlt operon genes that are associated with intrinsic nisin resistance in L. monocytogenes field strains recovered from various food and human associated sources. Finally, we show that combining growth parameter-based phenotypic analysis and genome sequencing is an effective approach that can be useful for the identification of novel nisin response associated genetic variants among L. monocytogenes field strains.Peer reviewe

Comparison of univariate and multivariate drought indices based on satellite data for hydrological drought monitoring in the Southern ARA, Mozambique

[EN] Drought is a natural phenomenon that affects socio-economic and environmental systems, so monitoring it is crucial to minimize its impacts. In Mozambique, in southern Africa, 70% of the population depends on agriculture for subsistence, and water for this activity is mostly extracted directly from rivers. In this paper we have compared several univariate and multivariate drought indices calculated with variables from satellite databases to define one that best fits the hydrological drought conditions in the watersheds of the Southern ARA of Mozambique. The hydrological conditions were defined using the Standardized Runoff Index 3-month cumulative (SRI-3). Using cross-correlations and linear and non-linear regression models, it was found that the Standardized Precipitation Index 3-month cumulative (SPI-3) could be used to monitor hydrological droughts in this region in (near) real time.[ES] La sequía es un fenómeno natural que afecta a los sistemas socioeconómicos y medioambientales por lo que su monitorización es clave para minimizar sus impactos. En Mozambique, en el sur de África el 70% de la población depende la agricultura para sobrevivir, y el agua para esta actividad se extrae mayoritariamente directo de los ríos. En este trabajo hemos comparado varios índices de sequía univariables y multivariables calculados con variables provenientes de bases de datos satelitales para definir uno que mejor se ajuste a las condiciones de sequía hidrológica en las cuencas hidrográficas del ARA Sur de Mozambique. Las condiciones hidrológicas se definieron con el Índice Estandarizado de Escorrentía acumulado 3 meses (SRI-3). Mediante relaciones cruzadas y modelos de regresión lineales y no lineales se encontró que el Índice Estandarizado de Precipitación acumulado 3 meses (SPI-3) podría usarse para monitorizar las sequías hidrológicas en esta región en tiempo (casi) real.Este trabajo fue realizado en el marco del proyecto AquaMoz-Secara Fase 2, financiado por Augas de Galicia y la Dirección Xeral de Relacións Exteriores y con la Unión Europea de la Xunta de Galicia.Araneda-Cabrera, RJ.; Bermúdez, M.; Puertas, J.; Penas, V. (2022). Comparación de índices de sequía univariables y multivariables basados en datos satelitales para la monitorización de sequías hidrológicas en el ARA Sur, Mozambique. Ingeniería del Agua. 26(3):217-229. https://doi.org/10.4995/ia.2022.1803721722926

Eradication of introduced fish allows successful recovery of a stream-dwelling amphibian

Introduction of alien fish is a major problem for the conservation of amphibians inhabiting originally fishless mountain streams. While fish eradication programs in lakes and ponds have proven successful for the recovery of amphibian populations, there is no such information for stream-dwelling amphibians, possibly because fish removal from streams is difficult and costly. Here, we show the first case of successful recovery of a stream-dwelling amphibian (Rana iberica) in a mountain area of central Spain, following eradication of introduced brook trout (Salvelinus fontinalis) and native brown trout (Salmo trutta) translocated from downstream reaches by local anglers. Electrofishing for 12 consecutive years eradicated both fish species in the introduced area, and allowed the recovery of the R. iberica population as a result of natural recolonization from nearby streams and reintroduction of captive-reared individuals. Our results demonstrate how electrofishing can be a costly but effective method for the eradication of introduced fish and the conservation of stream-dwelling amphibians