Is the gamma risk of options insurable?

In this article we analyze the risk associated with hedging written call options. We introduce a way to isolate the gamma risk from other risk types and present its loss distribution, which has heavy tails. Moving to an insurance point of view, we define a loss ratio that we find to be well behaved with a slightly negative correlation to traditional lines of insurance business, offering diversification opportunities. The tails of the loss distribution are shown to be much fatter than those of the underlying stock returns. We also show that badly estimated volatility, in the Black-Scholes model, leads to considerably biased values for the replicating portfolio. Operational risk is defined as caused by imperfect delta hedging and is found to be limited in today's markets where the autocorrelation of stock returns is small.Option; Insurance; Risk

Preserving Value in the Post-BAPCPA Era — An Empirical Study

Through the use of a multivariate regression model, this article studies the effect on debtor reorganization values of the shortened reorganization timeframe imposed by the Bankruptcy Abuse Prevention and Consumer Protection Act (“BAPCPA”). The study shows that BAPCPA is positively correlated at a statistically significant level with higher reorganization recoveries. This result is attributed to the increased proportion of prepackaged and prenegotiated bankruptcies observed in the post-2005 era, as these “fast-track” bankruptcy cases entail lower costs and better preserve the firm’s value

Christianity and Sport Psychology: One Aspect of Cultural Competence

There is currently a dearth of literature relating to how applied sport psychology practitioners might work with a Christian sportsperson (Czech et al., 2004, Egli et al., 2014). Therefore, the purpose of this article is to provide practical suggestions for sport psychology practitioners based on relevant research related to Christianity and sport psychology as well as personal and professional experience. We first explain the various sport psychology roles before providing a brief review of literature. Studies related to Christian athletes, Christian coaches, Christian prayer within sport, and sport psychology consultants’ experiences of spirituality are presented. Lastly, the authors include four practical steps for sport psychology practitioners who may encounter Christianity within their consulting relationships. These include: (a) education, (b) intake interview, (c) integrating Christianity into mental skills training, and (d) collaboration and/or referral

A modified least-squares collocation method for the determination of crustal deformation: first results in the Swiss Alps

The calculation of recent crustal movements and the associated crustal deformation rely on a suitable interpolation of geodetic measurements with repetition cycles of years or decades and modern GPS permanent networks. A common interpolation methods is the least-square collocation (LSC). LSC requires some a priori assumptions about the characteristics of the velocity field, that is, stocasticity in Moritz's definition of LSC. We present a novel approach, called adaptative LSC (ALSC) to the interpolation of non-stochastic fields, which encompass the traditional LSC and the block model as special cases. This modified collocation method is based on the empirical estimation of a anisotropic and inhomogeneous covariance function of the interpolated field. The method has been tested on synthetic data that simulate geodetic measurements over a triple plate junction and with real data from precise levelling measurements over the Swiss Alps. In both cases, ALSC gave better and more stable results, compared to LSC and other interpolation methods, such as smoothed spline

Microbially assisted recording of the Earth's magnetic field in sediment

Sediments continuously record variations of the Earth's magnetic field and thus provide an important archive for studying the geodynamo. The recording process occurs as magnetic grains partially align with the geomagnetic field during and after sediment deposition, generating a depositional remanent magnetization (DRM) or post-DRM (PDRM). (P) DRM acquisition mechanisms have been investigated for over 50 years, yet many aspects remain unclear. A key issue concerns the controversial role of bioturbation, that is, the mechanical disturbance of sediment by benthic organisms, during PDRM acquisition. A recent theory on bioturbation-driven PDRM appears to solve many inconsistencies between laboratory experiments and palaeomagnetic records, yet it lacks experimental proof. Here we fill this gap by documenting the important role of bioturbation-induced rotational diffusion for (P) DRM acquisition, including the control exerted on the recorded inclination and intensity, as determined by the equilibrium between aligning and perturbing torques acting on magnetic particles

Microbially assisted recording of the Earth's magnetic field in sediment

Sediments continuously record variations of the Earth's magnetic field and thus provide an important archive for studying the geodynamo. The recording process occurs as magnetic grains partially align with the geomagnetic field during and after sediment deposition, generating a depositional remanent magnetization (DRM) or post-DRM (PDRM). (P) DRM acquisition mechanisms have been investigated for over 50 years, yet many aspects remain unclear. A key issue concerns the controversial role of bioturbation, that is, the mechanical disturbance of sediment by benthic organisms, during PDRM acquisition. A recent theory on bioturbation-driven PDRM appears to solve many inconsistencies between laboratory experiments and palaeomagnetic records, yet it lacks experimental proof. Here we fill this gap by documenting the important role of bioturbation-induced rotational diffusion for (P) DRM acquisition, including the control exerted on the recorded inclination and intensity, as determined by the equilibrium between aligning and perturbing torques acting on magnetic particles

Effect of Heavy Metal Contaminated Shooting Range Soils on Mycorrhizal Colonization of Roots and Metal Uptake by Leek

We grew leek (Allium porrum) in soils of two shooting ranges heavily contaminated with heavy metals in the towns of Zuchwil and Oberuzwil in Switzerland as a bioassay to test theactivity of arbuscular mycorrhizal (AM) fungi in these soils.Soil samples were taken from (1) front of the shooting house(HOUSE), (2) the area between house and target (FIELD) and (3) the berm (BACKSTOP). Samples of Ribwort plantain (Plantagolanceolata) growing naturally within the shooting ranges werealso collected and the colonization of its roots by mycorrhizalfungi was measured. The number of AM spores in the soils wassignificantly reduced concomitant with the increase in thedegree of soil contamination with metals. In Zuchwil,mycorrhizal fungi equally colonized roots of Ribwort plantainsampled from BACKSTOP and HOUSE. In Oberuzwil, however, plantsfrom BACKSTOP had lower colonization when compared with thosesampled from HOUSE. Colonization of leek was strongly reducedin the BACKSTOP soil of Zuchwil and slightly reduced in theBACKSTOP soil of Oberuzwil when compared with plants grown inrespective HOUSE soil. Concentrations of Cd, Cr, Cu, Ni, Pb andZn in the leaves of leek grown in the BACKSTOP soil was withinthe range considered toxic for human consumption. This pointsto the high degree of bio-availability of these metal in thesesoils. Significant decrease in the number of mycorrhizal sporesin the BACKSTOP soils in Zuchwil and the low colonization ofleek roots grown in these soils point to possible changes inthe species diversity of mycorrhizal fungi in these soil