Currency option pricing and realised volatility

Volatility is a key parameter in currency option pricing. This paper examines alternative specifications ofthe volatility input to the Black-Scholes option pricing procedure. The focus is the relative performance ofimplied, realized, and GARCH-based models as predictors of market volatility to forecast currency optionsprices. Using exchange-traded, daily and intra-daily data for three major European currencies, the results indicate that the realized volatility model tends to outperform the other two specifications, both in-sample and out-of-sample. This result is intuitively appealing and expected to facilitate resolution of other problems in risk management applications

Theoretical Investigation on Monomer and Dimers of Inhibitor of Cytochrome P450 Enzymes: 1-Aminobenzotriazole

In this research, structures and properties of monomer and two dimers (1 and 2) of inhibitor of cytochrome P450 enzymes, 1-Aminobenzotriazole (ABT) have been studied by using functional hybrid B3LYP/6-311++G** calculations. The very good correlations observed between theoretical and experimental 1H-, 13C-NMR, FT-IR and FT-Raman spectra suggest that C-H···N interactions of dimeric species should be expected in the solid phase, as was observed in the experimental crystalline structure of a quinolin benzotriazole derivative. NBO and AIM calculations suggest that dimer 2 with inverted positions of its monomers could be present in the solid phase because it evidence higher stabilities in both media. On the other hand, frontier orbitals studies support a higher reactivity of dimer 2 of ABT higher than the monomer and dimer 1, for which, the presence of dimer 2 containing N-NH2 groups in ABT could justify the biological activities observed for this species with gap values between 4.5933 and 4.8164 eV different from antiviral agents containing the C-NH2 moiety, as amantadine and chloroquine whose gap values are around 4.3012-4.1116 eV. Finally, the presence of bands of monomer and of both dimers are predicted in the vibrational spectra and, hence, its completes assignments have been performed. The scaled force constants for the three studied species are also reported

Minimal irreversible quantum mechanics. The decay of unstable states

Brownian motion is modelled by a harmonic oscillator (Brownian particle) interacting with a continuous set of uncoupled harmonic oscillators. The interaction is linear in the coordinates and the momenta. The model has an analytical solution that is used to study the time evolution of the reduced density operator. It is derived in a closed form, in the one-particle sector of the model. The irreversible behavior of the Brownian particle is described by a reduced density matrix.Comment: 39 pages, 2 figure

Knowledge Mobilization for Agri-Food Supply Chain Decisions: Identification of Knowledge Boundaries and Categorization of Boundary-Spanning Mechanisms

The current world business environment is characterized by increasing uncertainties, complexities, and risks, which require agri-food supply chain (AFSC) managers to respond and act quickly in a context full of instability and unpredictability. Increasing pressure placed on AFSC managers intensifies the need to combine knowledge management (KM) and decision support that rapidly overcome knowledge boundaries. It has been recognized that the research issue related to the knowledge mobilization crossing boundaries in the AFSC needs to be addressed. This paper investigates knowledge boundaries and boundary-spanning mechanisms by collecting data from experienced AFSC practitioners. Empirical results verify that knowledge boundaries such as syntactic boundaries, semantic boundaries, and pragmatic boundaries could be effectively tackled by four specific boundary-spanning mechanisms: boundary spanners, boundary objects, boundary practices, and boundary discourses

3D Position Sensitive XeTPC for Dark Matter Search

The technique to realize 3D position sensitivity in a two-phase xenon time projection chamber (XeTPC) for dark matter search is described. Results from a prototype detector (XENON3) are presented.Comment: Presented at the 7th UCLA Symposium on "Sources and Detection of Dark Matter and Dark Energy in the Universe

Dark Matter Direct Detection with Non-Maxwellian Velocity Structure

The velocity distribution function of dark matter particles is expected to show significant departures from a Maxwell-Boltzmann distribution. This can have profound effects on the predicted dark matter - nucleon scattering rates in direct detection experiments, especially for dark matter models in which the scattering is sensitive to the high velocity tail of the distribution, such as inelastic dark matter (iDM) or light (few GeV) dark matter (LDM), and for experiments that require high energy recoil events, such as many directionally sensitive experiments. Here we determine the velocity distribution functions from two of the highest resolution numerical simulations of Galactic dark matter structure (Via Lactea II and GHALO), and study the effects for these scenarios. For directional detection, we find that the observed departures from Maxwell-Boltzmann increase the contrast of the signal and change the typical direction of incoming DM particles. For iDM, the expected signals at direct detection experiments are changed dramatically: the annual modulation can be enhanced by more than a factor two, and the relative rates of DAMA compared to CDMS can change by an order of magnitude, while those compared to CRESST can change by a factor of two. The spectrum of the signal can also change dramatically, with many features arising due to substructure. For LDM the spectral effects are smaller, but changes do arise that improve the compatibility with existing experiments. We find that the phase of the modulation can depend upon energy, which would help discriminate against background should it be found.Comment: 34 pages, 16 figures, submitted to JCAP. Tables of g(v_min), the integral of f(v)/v from v_min to infinity, derived from our simulations, are available for download at http://astro.berkeley.edu/~mqk/dmdd

Novel mutations expand the clinical spectrum of DYNC1H1-associated spinal muscular atrophy

OBJECTIVE To expand the clinical phenotype of autosomal dominant congenital spinal muscular atrophy with lower extremity predominance (SMA-LED) due to mutations in the dynein, cytoplasmic 1, heavy chain 1 (DYNC1H1) gene. METHODS Patients with a phenotype suggestive of a motor, non-length-dependent neuronopathy predominantly affecting the lower limbs were identified at participating neuromuscular centers and referred for targeted sequencing of DYNC1H1. RESULTS We report a cohort of 30 cases of SMA-LED from 16 families, carrying mutations in the tail and motor domains of DYNC1H1, including 10 novel mutations. These patients are characterized by congenital or childhood-onset lower limb wasting and weakness frequently associated with cognitive impairment. The clinical severity is variable, ranging from generalized arthrogryposis and inability to ambulate to exclusive and mild lower limb weakness. In many individuals with cognitive impairment (9/30 had cognitive impairment) who underwent brain MRI, there was an underlying structural malformation resulting in polymicrogyric appearance. The lower limb muscle MRI shows a distinctive pattern suggestive of denervation characterized by sparing and relative hypertrophy of the adductor longus and semitendinosus muscles at the thigh level, and diffuse involvement with relative sparing of the anterior-medial muscles at the calf level. Proximal muscle histopathology did not always show classic neurogenic features. CONCLUSION Our report expands the clinical spectrum of DYNC1H1-related SMA-LED to include generalized arthrogryposis. In addition, we report that the neurogenic peripheral pathology and the CNS neuronal migration defects are often associated, reinforcing the importance of DYNC1H1 in both central and peripheral neuronal functions

Bi-allelic mutations in MYL1 cause a severe congenital myopathy.

OBJECTIVE: Congenital myopathies are typically characterised by early onset hypotonia, weakness and hallmark features on biopsy. Despite the rapid pace of gene discovery, approximately 50% of patients with a congenital myopathy remain without a genetic diagnosis following screening of known disease genes. METHODS: We performed exome sequencing on two consanguineous probands diagnosed with a congenital myopathy and muscle biopsy showing selective atrophy/hypotrophy or absence of type II myofibres. RESULTS: We identified variants in the gene (MYL1) encoding the skeletal muscle fast-twitch specific myosin essential light chain in both probands. A homozygous essential splice acceptor variant (c.479-2A>G, predicted to result in skipping of exon 5 was identified in Proband 1, and a homozygous missense substitution (c.488T>G, p.(Met163Arg)) was identified in Proband 2. Protein modeling of the p.(Met163Arg) substitution predicted it might impede intermolecular interactions that facilitate binding to the IQ domain of myosin heavy chain, thus likely impacting on the structure and functioning of the myosin motor. MYL1 was markedly reduced in skeletal muscle from both probands, suggesting that the missense substitution likely results in an unstable protein. Knock down of myl1 in zebrafish resulted in abnormal morphology, disrupted muscle structure and impaired touch-evoked escape responses, thus confirming that skeletal muscle fast-twitch specific myosin essential light chain is critical for myofibre development and function. INTERPRETATION: Our data implicate MYL1 as a crucial protein for adequate skeletal muscle function and that MYL1 deficiency is associated with a severe congenital myopathy

Pesticide Residues and Health Risk Assessment in Tomatoes and Lettuces from Farms of Metropolitan Region Chile

Over the last years, the detection of pesticide residues in the official food surveillance programs of Chile has been increased, mainly in fresh vegetables such as tomatoes and lettuces. The Metropolitana Region of Chile presents the highest detections in the country. The lack of evaluations of toxicological risks in human health have increased uncertainty of the potential effects of pesticides exposures in the Chilean population. This research aims to determinate health risks assessment of pesticide residues associated to tomatoes and lettuces produced in Metropolitana Region. The findings of this study reveal that tomatoes and lettuces cultivated in the MR show more than 50% of samples with one or multiple pesticides residues. From the total samples, 16% were over the Chilean Maximum Residue Levels (MRLs). The main pesticides detected in tomatoes and lettuces were methamidophos, methomyl, difenoconazole, cyprodinil and boscalid. The results obtained using the official data of the Ministry of Health of Chile (MINSAL) compared to the World Health Organization (WHO), describe relevant risks through the Estimated Daily Intakes (EDI), Hazard Quotients (HQ) and Hazard Index (HI) for the Chilean population due to high concentrations of methamidophos, methomyl and cyprodinil. More restrictions for the use of methamidophos, methomyl, difenoconazole, cyprodinil and boscalid and effective control programs should be implemented in order to mitigate the impacts on the Chilean population.</jats:p