Quadratic Hedging of Basis Risk

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Follmer-Schweizer decomposition of a European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk-minimizing strategy. Furthermore, since the mean-variance tradeoff process is deterministic in our setup, the minimal martingale- and variance-optimal martingale measures coincide. Consequently, the mean-variance optimal strategy is easily constructed. Simple closed-form pricing and hedging formulae for put and call options are derived. Due to market incompleteness, these formulae depend on the drift parameters of the processes. By making a further equilibrium assumption, we derive an approximate hedging formula, which does not require knowledge of these parameters. The hedging strategies are tested using Monte Carlo experiments, and are compared with recent results achieved using a utility maximization approach.Option hedging; incomplete markets; basis risk; local risk minimization; mean-variance hedging

Staff-prisoner relationships, staff professionalism, and the use of authority in public- and private-sector prisons

Prison privatization has generally been associated with developments in neoliberal punishment. However, relatively little is known about the specific impact of privatization on the daily life of prisoners, including areas that are particularly salient not just to debates about neoliberal penality, but the wider reconfiguration of public service provision and frontline work. Drawing on a study of values, practices, and quality of life in five private‐sector and two public‐sector prisons in England and Wales, this article seeks to compare and explain three key domains of prison culture and quality: relationships between frontline staff and prisoners, levels of staff professionalism (or jailcraft), and prisoners' experience of state authority. The study identifies some of the characteristic strengths and weaknesses of the public and private prison sectors, particularly in relation to staff professionalism and its impact on the prisoner experience. These findings have relevance beyond the sphere of prisons and punishment.This is the final version. It was first published by Wiley at onlinelibrary.wiley.com/doi/10.1111/lsi.12093/abstrac

Iris colour in passerine birds: why be bright-eyed?

An initial survey of iris coloration in passerine birds (Aves: Passeriformes) showed that a brightly pigmented iris is much more common in southern African and Australian birds than in those from Europe, temperate North America, and Venezuela. However, the only statistical correlation reflected the distribution of particular bird families in these regions. Ten family-level groups considered to represent monophyletic taxa were then selected for a more detailed analysis, comparing iris coloration with distribution, status, taxonomy, plumage patterns, and some biological and behavioural characters for 1143 species. No pattern associating iris colour with particular traits was common to all families, but within families there were statistically significant associations with both plumage and biology. Our expectation that social behaviour would be an important predictor of iris colour was not supported, but critical information is still lacking for many species. Future studies of avian behavioural ecology should examine critically the role of iris coloration in individual species.Rhodes Centenary issu

Synegies Between Visible/Near-Infrared Imaging Spectrometry and the Thermal Infrared in an Urban Environment: An Evaluation of the Hyperspectral Infrared Imager (HYSPIRI) Mission

A majority of the human population lives in urban areas and as such, the quality of urban environments is becoming increasingly important to the human population. Furthermore, these areas are major sources of environmental contaminants and sinks of energy and materials. Remote sensing provides an improved understanding of urban areas and their impacts by mapping urban extent, urban composition (vegetation and impervious cover fractions), and urban radiation balance through measures of albedo, emissivity and land surface temperature (LST). Recently, the National Research Council (NRC) completed an assessment of remote sensing needs for the next decade (NRC, 2007), proposing several missions suitable for urban studies, including a visible, near-infrared and shortwave infrared (VSWIR) imaging spectrometer and a multispectral thermal infrared (TIR) instrument called the Hyperspectral Infrared Imagery (HyspIRI). In this talk, we introduce the HyspIRI mission, focusing on potential synergies between VSWIR and TIR data in an urban area. We evaluate potential synergies using an Airborne Visible/Infrared Imaging Spectrometer (AVIRIS) and MODIS-ASTER (MASTER) image pair acquired over Santa Barbara, United States. AVIRIS data were analyzed at their native spatial resolutions (7.5m VSWIR and 15m TIR), and aggregated 60 m spatial resolution similar to HyspIRI. Surface reflectance was calculated using ACORN and a ground reflectance target to remove atmospheric and sensor artifacts. MASTER data were processed to generate estimates of spectral emissivity and LST using Modtran radiative transfer code and the ASTER Temperature Emissivity Separation algorithm. A spectral library of common urban materials, including urban vegetation, roofs and roads was assembled from combined AVIRIS and field-measured reflectance spectra. LST and emissivity were also retrieved from MASTER and reflectance/emissivity spectra for a subset of urban materials were retrieved from co-located MASTER and AVIRIS pixels. Fractions of Impervious, Soil, Green Vegetation (GV) and Non-photosynthetic Vegetation (NPV), were estimated using Multiple Endmember Spectral Mixture Analysis (MESMA) applied to AVIRIS data at 7.5, 15 and 60 m spatial scales. Surface energy parameters, including albedo, vegetation cover fraction, broadband emissivity and LST were also determined for urban and natural land-cover classes in the region. Fractions were validated using 1m digital photography

Prevention of bone mineral changes induced by bed rest: Modification by static compression simulating weight bearing, combined supplementation of oral calcium and phosphate, calcitonin injections, oscillating compression, the oral diophosphonatedisodium etidronate, and lower body negative pressure

The phenomenon of calcium loss during bed rest was found to be analogous to the loss of bone material which occurs in the hypogravic environment of space flight. Ways of preventing this occurrence are investigated. A group of healthy adult males underwent 24-30 weeks of continuous bed rest. Some of them were given an exercise program designed to resemble normal ambulatory activity; another subgroup was fed supplemental potassium phosphate. The results from a 12-week period of treatment were compared with those untreated bed rest periods. The potassium phosphate supplements prevented the hypercalciuria of bed rest, but fecal calcium tended to increase. The exercise program did not diminish the negative calcium balance. Neither treatment affected the heavy loss of mineral from the calcaneus. Several additional studies are developed to examine the problem further

Advanced control strategies for bioprocess chromatography: Challenges and opportunities for intensified processes and next generation products

Recent advances in process analytical technologies and modelling techniques present opportunities to improve industrial chromatography control strategies to enhance process robustness, increase productivity and move towards real-time release testing. This paper provides a critical overview of batch and continuous industrial chromatography control systems for therapeutic protein purification. Firstly, the limitations of conventional industrial fractionation control strategies using in-line UV spectroscopy and on-line HPLC are outlined. Following this, an evaluation of monitoring and control techniques showing promise within research, process development and manufacturing is provided. These novel control strategies combine rapid in-line data capture (e.g. NIR, MALS and variable pathlength UV) with enhanced process understanding obtained from mechanistic and empirical modelling techniques. Finally, a summary of the future states of industrial chromatography control systems is proposed, including strategies to control buffer formulation, product fractionation, column switching and column fouling. The implementation of these control systems improves process capabilities to fulfil product quality criteria as processes are scaled, transferred and operated, thus fast tracking the delivery of new medicines to market

Hormonal replacement therapy, prothrombotic mutations and the risk of venous thrombosis

Hormone replacement therapy (HRT) increases the risk of venous thrombosis. We investigated whether this risk is affected by carriership of hereditary prothrombotic abnormalities. Therefore, we determined the two most common prothrombotic mutations, factor V Leiden and prothrombin 20210A in women who participated in a case-control study on venous thrombosis. Relative risks were expressed as odds ratios (OR) with 95% confidence intervals (CI95). Among 7 7 women aged 45-64 years with a first venous thrombosis, 51% were receiving HRT at the time of thrombosis, compared with 24% of control women (OR = 3.3, CI95 1.8-5.8). Among the patients, 23% had a prothrombotic defect, versus 7% among the control women (OR = 3.8, CI95 1.7- 8.5). Women who had factor V Leiden and used HRT had a 15-fold increased risk (OR = 15.5, CI95 3.1-77), which exceeded the expected joint odds ratio of 6.1 (under an additive model). We conclude that the thrombotic risk of HRT may particularly affect women with prothrombotic mutations. Efforts to avoid HRT in women with increased risk of thrombosis are advisable

High-Throughput Raman Spectroscopy Combined with Innovate Data Analysis Workflow to Enhance Biopharmaceutical Process Development

Raman spectroscopy has the potential to revolutionise many aspects of biopharmaceutical process development. The widespread adoption of this promising technology has been hindered by the high cost associated with individual probes and the challenge of measuring low sample volumes. To address these issues, this paper investigates the potential of an emerging new high-throughput (HT) Raman spectroscopy microscope combined with a novel data analysis workflow to replace off-line analytics for upstream and downstream operations. On the upstream front, the case study involved the at-line monitoring of an HT micro-bioreactor system cultivating two mammalian cell cultures expressing two different therapeutic proteins. The spectra generated were analysed using a partial least squares (PLS) model. This enabled the successful prediction of the glucose, lactate, antibody, and viable cell density concentrations directly from the Raman spectra without reliance on multiple off-line analytical devices and using only a single low-volume sample (50–300 μL). However, upon the subsequent investigation of these models, only the glucose and lactate models appeared to be robust based upon their model coefficients containing the expected Raman vibrational signatures. On the downstream front, the HT Raman device was incorporated into the development of a cation exchange chromatography step for an Fc-fusion protein to compare different elution conditions. PLS models were derived from the spectra and were found to predict accurately monomer purity and concentration. The low molecular weight (LMW) and high molecular weight (HMW) species concentrations were found to be too low to be predicted accurately by the Raman device. However, the method enabled the classification of samples based on protein concentration and monomer purity, allowing a prioritisation and reduction in samples analysed using A280 UV absorbance and high-performance liquid chromatography (HPLC). The flexibility and highly configurable nature of this HT Raman spectroscopy microscope makes it an ideal tool for bioprocess research and development, and is a cost-effective solution based on its ability to support a large range of unit operations in both upstream and downstream process operations

Genetic and morphological variation of the lanternfish lampanyctodes hectoris (myctophiformes: myctophidae) off Southern Africa

Genetic and morphological variation within the southern African population of Lampanyctodes hectoris was analysed. A total of 15 enzymes, encoding 22 isozyme loci, was examined (n = 327); seven were polymorphic. The percentage of polymorphic loci ranged from 13.6 to 27.3%. The mean heterozygosity was generally low and ranged from 0.003 to 0.005. Genetic divergences between specimens from four areas along the west coast of southern Africa were negligible, genetic distance values (D) ranging from 0 to 0.00011. The results showed the population of L. hectoris to be genetically invariant. Principal Component Analysis was performed separately on ratios of 13 morphometric and 6 meristic variables (n = 446), and there was evidence of extensive overlap between fish from all areas. However, discriminant analysis suggested some morphological variability within this population. Although genetically the population of L. hectoris seems to be homogenous, morphologically it appears to be variable. A combination of these results suggests that there is no clear genetic basis for the slight morphological differentiation within the population