Bounds on baskets option prices

Includes bibliographical references (leaves 70-71).The celebrated Black-Scholes option pricing model is unable to produce closed-form solutions for arithmetic basket options. This problem stems from the lack of an analitical form for the distribution of a sum of lognormal random variables. lVlarket participants commonly price basket options by assuming the basket follows lognormal dynamics, although it is known that this approximation performs poorly in some cicumstances. The problem of finding an analytical approximation to the sum of lognormally distributed random variables has been widely studied. In this dissertation we seek to draw these studies together and apply them in an option pricing setting. We propose some new option pricing formulae based on these approximations. In order to examine the utility of these new formulae and compare them to commonly used market approximations we present rigorous analytical bounds for the price of arithmetic basket options using the theory of comonotonicity. In this we follow the ideas in Deelstra et al. [7]. Additionally we provide an interval of hedge parameters (the Greeks). We carry out a numerical sensitivity analysis and identify circumstances under which the market approximation misprices basket options

The clinical environment: A facilitator of professional socialisation

Background: Competencies of health care workers, including nurses, often do not meet the health needs of populations. The clinical learning environment (CLE) is vital in socialising neophyte student nurses to display the desired competencies. Student nurses are however confronted with challenges, especially in the CLE, during this process. Aim: This article shares three validated guidelines to support professional nurses and nurse educators in facilitating appropriate professional socialisation of student nurses in the CLE. Setting: The study was conducted in an 832-bed academic hospital and nine nursing education institutions (NEIs) that offered the nursing programme concerned in a province in South Africa. Method: A sequential, exploratory, mixed-methods study was conducted and qualitative data were collected from two purposive samples, consisting of seven focus group interviews and field notes. Five themes that emerged from the integrated data guided the instrument design to collect data quantitatively from 277 educators. Experts validated 10 guidelines to a set of criteria, which was developed combining all data. Results: Qualitative and quantitative research evidenced that the CLE mostly did not support student nurses during professional socialisation. A few role models’ behaviour was noteworthy, while student supervision was inadequate. The CLE was stressful, lacked in resources, marked by uncoordinated student placement, insufficient communication and inadequate preparation of student nurses. This evidence informed the development of the guidelines. Conclusions: The guidelines were (1) the empowerment of role models through reflective practice, (2) capacity building of professional nurses and nurse educators as clinical supervisors by means of intervention strategies and (3) adopting a multifaceted approach in the creation of a positive CLE. These guidelines could facilitate appropriate professional socialisation of student nurses

Photometric Properties of Six Local Volume Dwarf Galaxies from Deep Near-Infrared Observations

We have obtained deep near-infrared $J$- (1.25 $\mu$m), $H$- (1.65$\mu$m) and $K_s$-band (2.15 $\mu$m) imaging for a sample of six dwarf galaxies (M_B\ga-17 mag) in the Local Volume (LV, D\la10 Mpc). The sample consists mainly of early-type dwarf galaxies found in various environments in the LV. Two galaxies (LEDA 166099 and UGCA 200) in the sample are detected in the near-infrared for the first time. The deep near-infrared images allow for a detailed study of the photometric and structural properties of each galaxy. The surface brightness profiles of the galaxies are detected down to the ~$24 mag arcsec^{-2}$ isophote in the $J$- and $H$-bands, and $23 mag arcsec^{-2}$ in the $K_s$-band. The total magnitudes of the galaxies are derived in the three wavelength bands. For the brightest galaxies (M_B\la-15.5 mag) in the sample, we find that the Two Micron All Sky Survey (2MASS) underestimates the total magnitudes of these systems by up to \la0.5 mag. The radial surface brightness profiles of the galaxies are fitted with an exponential (for those galaxies having a stellar disk) or S\'ersic law to derive the structure of the underlying stellar component. In particular, the effective surface brightness ($\mu_e$) and effective radius ($r_e$) are determined from the analytic fits to the surface brightness profile. The $J$-$K_s$ colours for the galaxies have been measured to explore the luminosity-metallicity relation for early-type dwarfs. In addition, the $B$-$K_s$ colours of the galaxies are used to assess their evolutionary state relative to other galaxy morphologies. The total stellar masses of the dwarf galaxies are derived from the $H$-band photometric measurements. These will later be compared to the dynamical mass estimates for the galaxies to determine their dark matter content.Comment: 14 pages, 8 figures, submitted to MNRA

The Spitzer Survey of Stellar Structure in Galaxies (S^4G)

The Spitzer Survey of Stellar Structure in Galaxies S^4G is an Exploration Science Legacy Program approved for the Spitzer post-cryogenic mission. It is a volume-, magnitude-, and size-limited (d < 40 Mpc, |b| > 30 degrees, m_(Bcorr) < 15.5, D25>1') survey of 2,331 galaxies using IRAC at 3.6 and 4.5 microns. Each galaxy is observed for 240 s and mapped to > 1.5 x D25. The final mosaicked images have a typical 1 sigma rms noise level of 0.0072 and 0.0093 MJy / sr at 3.6 and 4.5 microns, respectively. Our azimuthally-averaged surface brightness profile typically traces isophotes at mu_3.6 (AB) (1 sigma) ~ 27 mag arcsec^-2, equivalent to a stellar mass surface density of ~ 1 Msun pc^-2. S^4G thus provides an unprecedented data set for the study of the distribution of mass and stellar structures in the local Universe. This paper introduces the survey, the data analysis pipeline and measurements for a first set of galaxies, observed in both the cryogenic and warm mission phase of Spitzer. For every galaxy we tabulate the galaxy diameter, position angle, axial ratio, inclination at mu_3.6 (AB) = 25.5 and 26.5 mag arcsec^-2 (equivalent to ~ mu_B (AB) =27.2 and 28.2 mag arcsec^-2, respectively). These measurements will form the initial S^4G catalog of galaxy properties. We also measure the total magnitude and the azimuthally-averaged radial profiles of ellipticity, position angle, surface brightness and color. Finally, we deconstruct each galaxy using GALFIT into its main constituent stellar components: the bulge/spheroid, disk, bar, and nuclear point source, where necessary. Together these data products will provide a comprehensive and definitive catalog of stellar structures, mass and properties of galaxies in the nearby Universe.Comment: Accepted for Publication in PASP, 14 pages, 13 figure

How close can an Inhomogeneous Universe mimic the Concordance Model?

Recently, spatially inhomogeneous cosmological models have been proposed as an alternative to the LCDM model, with the aim of reproducing the late time dynamics of the Universe without introducing a cosmological constant or dark energy. This paper investigates the possibility of distinguishing such models from the standard LCDM using background or large scale structure data. It also illustrates and emphasizes the necessity of testing the Copernican principle in order to confront the tests of general relativity with the large scale structure.Comment: 15 pages, 7 figure

Revival of the magnetar PSR J1622-4950: observations with MeerKAT, Parkes, XMM-Newton, Swift, Chandra, and NuSTAR

New radio (MeerKAT and Parkes) and X-ray (XMM-Newton, Swift, Chandra, and NuSTAR) observations of PSR J1622-4950 indicate that the magnetar, in a quiescent state since at least early 2015, reactivated between 2017 March 19 and April 5. The radio flux density, while variable, is approximately 100x larger than during its dormant state. The X-ray flux one month after reactivation was at least 800x larger than during quiescence, and has been decaying exponentially on a 111+/-19 day timescale. This high-flux state, together with a radio-derived rotational ephemeris, enabled for the first time the detection of X-ray pulsations for this magnetar. At 5%, the 0.3-6 keV pulsed fraction is comparable to the smallest observed for magnetars. The overall pulsar geometry inferred from polarized radio emission appears to be broadly consistent with that determined 6-8 years earlier. However, rotating vector model fits suggest that we are now seeing radio emission from a different location in the magnetosphere than previously. This indicates a novel way in which radio emission from magnetars can differ from that of ordinary pulsars. The torque on the neutron star is varying rapidly and unsteadily, as is common for magnetars following outburst, having changed by a factor of 7 within six months of reactivation.Comment: Published in ApJ (2018 April 5); 13 pages, 4 figure

Rights, Knowledge, and Governance for Improved Health Equity in Urban Settings

All three of the interacting aspects of daily urban life (physical environment, social conditions, and the added pressure of climate change) that affect health inequities are nested within the concept of urban governance, which has the task of understanding and managing the interactions among these different factors so that all three can be improved together and coherently. Governance is defined as: “the process of collective decision making and processes by which decisions are implemented or not implemented”: it is concerned with the distribution, exercise, and consequences of power. Although there appears to be general agreement that the quality of governance is important for development, much less agreement appears to exist on what the concept really implies and how it should be used. Our review of the literature confirmed significant variation in meaning as well as in the practice of urban governance arrangements. The review found that the linkage between governance practices and health equity is under-researched and/or has been neglected. Reconnecting the fields of urban planning, social sciences, and public health are essential “not only for improving local governance, but also for understanding and addressing global political change” for enhanced urban health equity. Social mobilization, empowering governance, and improved knowledge for sustainable and equitable development in urban settings is urgently needed. A set of strategic research questions are suggested

Global patient outcomes after elective surgery: prospective cohort study in 27 low-, middle- and high-income countries.

BACKGROUND: As global initiatives increase patient access to surgical treatments, there remains a need to understand the adverse effects of surgery and define appropriate levels of perioperative care. METHODS: We designed a prospective international 7-day cohort study of outcomes following elective adult inpatient surgery in 27 countries. The primary outcome was in-hospital complications. Secondary outcomes were death following a complication (failure to rescue) and death in hospital. Process measures were admission to critical care immediately after surgery or to treat a complication and duration of hospital stay. A single definition of critical care was used for all countries. RESULTS: A total of 474 hospitals in 19 high-, 7 middle- and 1 low-income country were included in the primary analysis. Data included 44 814 patients with a median hospital stay of 4 (range 2-7) days. A total of 7508 patients (16.8%) developed one or more postoperative complication and 207 died (0.5%). The overall mortality among patients who developed complications was 2.8%. Mortality following complications ranged from 2.4% for pulmonary embolism to 43.9% for cardiac arrest. A total of 4360 (9.7%) patients were admitted to a critical care unit as routine immediately after surgery, of whom 2198 (50.4%) developed a complication, with 105 (2.4%) deaths. A total of 1233 patients (16.4%) were admitted to a critical care unit to treat complications, with 119 (9.7%) deaths. Despite lower baseline risk, outcomes were similar in low- and middle-income compared with high-income countries. CONCLUSIONS: Poor patient outcomes are common after inpatient surgery. Global initiatives to increase access to surgical treatments should also address the need for safe perioperative care. STUDY REGISTRATION: ISRCTN5181700

Chronic and structural poverty in South Africa: Challenges for action and research

Ten years after liberation, the persistence of poverty is one of the most important and urgent problems facing South Africa. This paper reflects on some of the findings based on research undertaken as part of the participation of the Programme for Land and Agrarian Studies (PLAAS) at the University of the Western Cape in the work of the Chronic Poverty Research Centre (CPRC), situates it within the broader literature on poverty in South Africa, and considers some emergent challenges. Although PLAAS’s survey, being only the first wave of a panel study, does not yet cast light on short term poverty dynamics, it illuminates key aspects of the structural conditions that underpin long-term poverty: the close interactions between asset poverty, employment-vulnerability and subjection to unequal social power relations. Coming to grips with these dynamics requires going beyond the limitations of conventional ‘sustainable livelihoods’ analyses; and functionalist analyses of South African labour markets. The paper argues for a re-engagement with the traditions of critical sociology, anthropology and the theoretical conventions that allow a closer exploration of the political economy of chronic poverty at micro and macro level

Revival of the Magnetar PSR J1622-4950: Observations with MeerKAT, Parkes, XMM-Newton, Swift, Chandra, and NuSTAR

New radio (MeerKAT and Parkes) and X-ray (XMM-Newton, Swift, Chandra, and NuSTAR) observations of PSR J1622-4950 indicate that the magnetar, in a quiescent state since at least early 2015, reactivated between 2017 March 19 and April 5. The radio flux density, while variable, is approximately 100 larger than during its dormant state. The X-ray flux one month after reactivation was at least 800 larger than during quiescence, and has been decaying exponentially on a 111 19 day timescale. This high-flux state, together with a radio-derived rotational ephemeris, enabled for the first time the detection of X-ray pulsations for this magnetar. At 5%, the 0.3-6 keV pulsed fraction is comparable to the smallest observed for magnetars. The overall pulsar geometry inferred from polarized radio emission appears to be broadly consistent with that determined 6-8 years earlier. However, rotating vector model fits suggest that we are now seeing radio emission from a different location in the magnetosphere than previously. This indicates a novel way in which radio emission from magnetars can differ from that of ordinary pulsars. The torque on the neutron star is varying rapidly and unsteadily, as is common for magnetars following outburst, having changed by a factor of 7 within six months of reactivation