Currency Derivatives under a Minimal Market Model with Random Scaling

This paper uses an alternative, parsimonious stochastic volatility model to describe the dynamics of a currency market for the pricing and hedging of derivatives. Time transformed squared Bessel processes are the basic driving factors of the minimal market model. The time transformation is characterized by a random scaling, which provides for realistic exchange rate dynamics. The pricing of standard European options is studied. In particular, it is shown that the model produces implied volatility surfaces that are typically observed in real markets.currency derivatives; stochastic volatility; random scaling; minimal market model

Global sensitivity analysis of an end-to-end marine ecosystem model of the North Sea : factors affecting the biomass of fish and benthos

Comprehensive analysis of parameter and driver sensitivity is key to establishing the credibility of models of complex systems. This is especially so for models of natural systems where experimental manipulation of the real-world to provide controlled validation data is not possible. Models of marine ecosystems fall into this category, but despite the interest in these models for evaluating the effects of climate change and fishing on nutrient fluxes and the abundances of flora and fauna, none have yet been subjected to global sensitivity analysis. Here we present results of both local ‘one-at-a-time’ (OAT), and variance based global sensitivity analyses (GSA) of the fish and fishery aspects of StrathE2E, an end-to-end (nutrients to birds and mammals) ecosystem model of the North Sea. The sensitivity of the model was examined with respect to internal biological parameters, and external drivers related to climate and human activity. The OAT Morris method was first used to screen for factors most influential on model outputs. The Sobol GSA method was then used to calculate quantitative sensitivity indices. The results indicated that the fish and shellfish components of the model (demersal and pelagic fish, filter/deposit and scavenge/carnivore feeding benthos) were influenced by different sets of factors. Harvesting rates were directly influential on demersal and pelagic fish biomasses. Suspension/deposit feeding benthos were directly sensitive to changes in temperature, while the temperature acted indirectly on pelagic fish through the connectivity between model components of the food web. Biomass conversion efficiency was the most important factor for scavenge/carnivorous feeding benthos. The results indicate the primacy of fishing as the most important process affecting total fish biomass, together with varying responses to environmental factors which may be relevant in the context of climate change. The non-linear responses and parameter interactions identified by the analysis also highlight the necessity to use global rather than local methods for the sensitivity analysis of ecosystem models

Letter to the Editor: a response to Horne and Lucey (2017)

No abstract available

Bats of Hot Springs National Park, Arkansas

A survey was conducted from June 1982 through January 1987 to determine the occurrence of bat species in Hot Springs National Park, Garland County, Arkansas; an area of approximately 2025 hectares. A total of 309 bats in the families Molossidae and Vespertilionidae were captured. Species represented included: Eptesicus fuscus, Lasiurus borealis, Lasiurus cinereus, Nycticeius humeralis, Pipistrellus subflavus, and Tadarida brasiliensis cynocephala

Effect of Ga Content on Defect States in CuIn\u3csub\u3e1-x\u3c/sub\u3eGa\u3csub\u3ex\u3c/sub\u3eSe\u3csub\u3e2\u3c/sub\u3e Photovoltaic Devices

Defects in the band gap of CuIn1-xGaxSe2 have been characterized using transient photocapacitance spectroscopy. The measured spectra clearly show response from a band of defects centered around 0.8 eV from the valence band edge as well as an exponential distribution of band tail states. Despite Ga contents ranging from Ga/(In+Ga)=0.0 to 0.8, the defect bandwidth and its position relative to the valence band remain constant. This defect band may act as an important recombination center, contributing to the decrease in device efficiency with increasing Ga content

Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model

This paper considers a modification of the well-known constant elasticity of variance model where it is used to model the growth optimal portfolio. It is shown taht, for this application, there is no equivalent risk neutral pricing methodology fails. However, a consistent pricing and hedging framework can be established by application of the benchmark approach. Perfect hedging strategies can be constructed for European style contingent claims, where the underlying risky asset is the growth optimal portfolio. In this framework, fair prices for contingent claims are the minimal prices that permit perfect replication of the claims. Numerical examples show that these prices may differ significantly from the corresponding "risk neutral" prices. In cases where these prices are different, arbitrage amounts can be generated.risk neutral pricing; benchmark model; constant elasticity of variance; fair pricing

Bayesian total evidence dating reveals the recent crown radiation of penguins

The total-evidence approach to divergence-time dating uses molecular and morphological data from extant and fossil species to infer phylogenetic relationships, species divergence times, and macroevolutionary parameters in a single coherent framework. Current model-based implementations of this approach lack an appropriate model for the tree describing the diversification and fossilization process and can produce estimates that lead to erroneous conclusions. We address this shortcoming by providing a total-evidence method implemented in a Bayesian framework. This approach uses a mechanistic tree prior to describe the underlying diversification process that generated the tree of extant and fossil taxa. Previous attempts to apply the total-evidence approach have used tree priors that do not account for the possibility that fossil samples may be direct ancestors of other samples. The fossilized birth-death (FBD) process explicitly models the diversification, fossilization, and sampling processes and naturally allows for sampled ancestors. This model was recently applied to estimate divergence times based on molecular data and fossil occurrence dates. We incorporate the FBD model and a model of morphological trait evolution into a Bayesian total-evidence approach to dating species phylogenies. We apply this method to extant and fossil penguins and show that the modern penguins radiated much more recently than has been previously estimated, with the basal divergence in the crown clade occurring at ~12.7 Ma and most splits leading to extant species occurring in the last 2 million years. Our results demonstrate that including stem-fossil diversity can greatly improve the estimates of the divergence times of crown taxa. The method is available in BEAST2 (v. 2.4) www.beast2.org with packages SA (v. at least 1.1.4) and morph-models (v. at least 1.0.4).Comment: 50 pages, 6 figure

The Clustering Of Galaxies Around Radio-Loud AGNs

We examine the hypothesis that mergers and close encounters between galaxies can fuel AGNs by increasing the rate at which gas accretes towards the central black hole. We compare the clustering of galaxies around radio-loud AGNs with the clustering around a population of radio-quiet galaxies with similar masses, colors and luminosities. Our catalog contains 2178 elliptical radio galaxies with flux densities greater than 2.8 mJy at 1.4 GHz from the 6dFGS survey. We find that radio AGNs with more than 200 times the median radio power have, on average, more close (r<160 kpc) companions than their radio-quiet counterparts, suggestive that mergers play a role in forming the most powerful radio galaxies. For ellipticals of fixed stellar mass, the radio power is not a function of large-scale environment nor halo mass, consistent with the radio powers of ellipticals varying by orders of magnitude over billions of years.Comment: 12 pages, 6 figure

Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling

This paper describes a two-factor model for a diversified market index using the growth optimal portfolio with a stochastic and possibly correlated intrinsic time scale. The index is modeled using a time transformed squared Bessel process of dimension four with a lognormal scaling factor for the time transformation. A consistent pricing and hedging framework is established by using the benchmark approach. here the numeraire is taken to be the growth optimal portfolio. Benchmarked traded prices appear as conditional expectations of future benchmarked prices under the real world probability measure. The proposed minimal market model with lognormal scaling produces the type of implied volatility term structures for European call nd put options typically observed in real markets. In addition, the prices of binary options and their deviations from corresponding Black-Scholes prices are examined.index derivatives; minimal market model; lognormal scaling; growth optimal portfolio; fair pricing; binary options