Estimation of Risk-Neutral Density Surfaces

Option price data is often used to infer risk-neutral densities for future prices of an underlying asset. Given the prices of a set of options on the same underlying asset with different strikes and maturities, we propose a nonparametric approach for estimating risk-neutral densities associated with several maturities. Our method uses bicubic splines in order to achieve the desired smoothness for the estimation and an optimization model to choose the spline functions that best fit the price data. Semidefinite programming is employed to guarantee the nonnegativity of the densities. We illustrate the process using synthetic option price data generated using log-normal and absolute diffusion processes as well as actual price data for options on the S&P500 index. We also used the risk-neutral densities that we computed to price exotic options and observed that this approach generates prices that closely approximate the market prices of these options.

Effects of standard diets from different sources on growth and some organ parameters of rats

ΔΕΝ ΔΙΑΤΙΘΕΤΑΙ ΠΕΡΙΛΗΨΗThis study aims to determine the effects of open and closed formulated standard diets supplied from different sources on growth performance and internal organ development of laboratory rats. Five-week-old 32 Wistar rats were used. A special control group diet was produced in accordance with the criteria determined by the National Research Council (NRC) (1995). Three different most preferred commercial open and closed-formula diets produced by international and local companies were used as trial groups’ diets. The experiment was carried out for 12 weeks. Weekly feed consumption, body weight change, internal organ weight, intestinal organ weigths and lengths, intestinal villi heigth and crypt depth were measured in groups. The body weight values of the control group and the first group fed with open-formula diet were found at the highest level (P <0.05). The control group diet had a positive effect on small intestine villi heigth and crypt depth (P <0.05). The nutrient contents and energy values of the diets of experimental groups were determined as different from the commercial firm notifications. As a result of the research, it is concluded that the diets prepared with open-formula give more reliable results in the growth performance and development of internal organs of Wistar rats

On the Nesterov-Todd Direction in Semidefinite Programming

On the Nesterov-Todd Direction in Semidefinite Programmin

A comparative ab initio study of superconductivity in the body centered tetragonal YC2and LaC2

Copyright © 2015 American Institute of Physics. This article may be downloaded for personal use only. Any other use requires prior permission of the author and the American Institute of Physics. The following article appeared in Journal of Applied Physics, Volume 117, article 153902, and may be found at http://dx.doi.org/10.1063/1.4918309Ab initio studies of the electronic band structure and phonon dispersion relations, using the planewave pseudopotential method and the density functional theory, have been made for the superconducting materials YC2 and LaC2. Differences in the phonon spectrum and density of states both in the acoustical and optical ranges between these materials are investigated and discussed. By integrating the Eliashberg spectral function α2F(ω), the average electron-phonon coupling parameter is found to be λ=0.55 for YC2 and 0.54 for LaC2, indicating these to be weak-coupling BCS superconductors. It is established that about 60% of λ is contributed by acoustic phonons in both materials. Using a reasonable value of μ=0.13 for the effective Coulomb repulsion parameter, the superconducting critical temperature Tc is found to be 3.81K for YC2 and 2.44K for LaC2, in good agreement with values reported from experimental measurements

A randomised controlled trial investigating the effect of nutritional supplementation on visual function in normal, and age-related macular disease affected eyes: design and methodology [ISRCTN78467674]

BACKGROUND: Age-related macular disease is the leading cause of blind registration in the developed world. One aetiological hypothesis involves oxidation, and the intrinsic vulnerability of the retina to damage via this process. This has prompted interest in the role of antioxidants, particularly the carotenoids lutein and zeaxanthin, in the prevention and treatment of this eye disease. METHODS: The aim of this randomised controlled trial is to determine the effect of a nutritional supplement containing lutein, vitamins A, C and E, zinc, and copper on measures of visual function in people with and without age-related macular disease. Outcome measures are distance and near visual acuity, contrast sensitivity, colour vision, macular visual field, glare recovery, and fundus photography. Randomisation is achieved via a random number generator, and masking achieved by third party coding of the active and placebo containers. Data collection will take place at nine and 18 months, and statistical analysis will employ Student's t test. DISCUSSION: A paucity of treatment modalities for age-related macular disease has prompted research into the development of prevention strategies. A positive effect on normals may be indicative of a role of nutritional supplementation in preventing or delaying onset of the condition. An observed benefit in the age-related macular disease group may indicate a potential role of supplementation in prevention of progression, or even a degree reversal of the visual effects caused by this condition