A Non-Gaussian Option Pricing Model with Skew

Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borland (Quantitative Finance, {\bf 2}, 415-431, 2002) to include volatility-stock correlations consistent with the leverage effect. A generalized Black-Scholes partial differential equation for this model is obtained, together with closed-form approximate solutions for the fair price of a European call option. In certain limits, the standard Black-Scholes model is recovered, as is the Constant Elasticity of Variance (CEV) model of Cox and Ross. Alternative methods of solution to that model are thereby also discussed. The model parameters are partially fit from empirical observations of the distribution of the underlying. The option pricing model then predicts European call prices which fit well to empirical market data over several maturities.Comment: 37 pages, 11 ps figures, minor changes, typos corrected, to appear in Quantitative Financ

Displaced Workers in Australia 1984-1996: Macroeconomic Conditions and Structural Change.

This paper examines the incidence of worker displacement in Australia between 1984 and 1996. Similar to recent international studies a particular focus is on whether job security declined between the 1980s and 1990s. It is found that a significant, but apparently temporary, increase in the incidence of displacement did occur at the beginning of the 1990s. This rise in the incidence of displacement was concentrated amongst workforce groups with low levels of educational attainment, and in blue-collar or low-skill white-collar occupations. The findings provide an interesting cross-country perspective to recent findings on the evolution of worker displacement in the United States.WORKERS; EDUCATION; MACROECONOMICS

Numerical solution of three-dimensional unsteady transonic flow over wings including inviscid/viscous interactions

A numerical procedure is presented for computing the unsteady transonic flow field about three dimensional swept wings undergoing general time dependent motion. The outer inviscid portion of the flow is assumed to be governed by the modified unsteady transonic small disturbance potential equation which is integrated in the time domain by means of an efficient alternating direction implicit approximate factorization algorithm. Gross dominant effects of the shock boundary layer interaction are accounted for by a simple empirically defined model. Viscous flow regions adjacent to the wing surface and in the trailing wake are described by a set of integral equations appropriate for compressible turbulent shear layers. The two dimensional boundary layer equations are applied quasi-statically stripwise across the span. Coupling with the outer inviscid flow is implemented through use of the displacement thickness concept within the limitations of small disturbance theory. Validity of the assumptions underlying the method is established by comparison with experimental data for the flow about a high aspect ratio transport wing having an advanced airfoil section

Aeroelastic loads prediction for an arrow wing. Task 1: Evaluation of R. P. White's method

The separated flow method is evaluated. This method was developed for moderately swept wings with multiple, constant strength vortex systems. The flow on the highly swept wing used in this evaluation is characterized by a single vortex system of continuously varying strength

Ferromagnetic material in the eastern red-spotted newt notophthalmus viridescens

Behavioral results obtained from the eastern red-spotted newt (Notophthalmus viridescens) led to the suggestion of a hybrid homing system involving inputs from both a light-dependent and a non-light-dependent mechanism. To evaluate the possible role of a receptor based on biogenic magnetite in this animal, we performed magnetometry experiments on a set of newts previously used in behavioral assays. The natural remanent magnetization (NRM) carried by these newts was strong enough to be measured easily using a direct-current-biased superconducting quantum interference device functioning as a moment magnetometer. Isothermal remanent magnetizations were two orders of magnitude higher than the NRM, suggesting that ferromagnetic material consistent with magnetite is present in the body of the newt. The NRM has no preferential orientation among the animals when analyzed relative to their body axis, and the demagnetization data show that, overall, the magnetic material grains are not aligned parallel to each other within each newt. Although the precise localization of the particles was not possible, the data indicate that magnetite is not clustered in a limited area. A quantity of single-domain magnetic material is present which would be adequate for use in either a magnetic intensity or direction receptor. Our data, when combined with the functional properties of homing, suggest a link between this behavioral response and the presence of ferromagnetic material, raising the possibility that magnetite is involved at least in the map component of homing of the eastern red-spotted newt

The interrelationships between arrest and employment: More evidence on the social determinants of Indigenous employment

Preliminary analysis of the 1994 National Aboriginal and Torres Strait Islander Survey (NATSIS) indicates that arrest is one of the major factors underlying the poor employment prospects of the Indigenous population. Unfortunately, these early studies could not determine the direction of causality between arrest and employment. This paper addresses this problem by distinguishes the employment effect of the arrest from the effect of the unobservable characteristics of those arrested. The experience of arrest among Indigenous Australians reduces the probability of being in employment by between 13 to 20 per cent for males, and 7 to 13 per cent for females. Differences in arrest rates between Indigenous and non-Indigenous Australians may explain over 20 per cent of the difference in employment/population ratios between those groups. There are a number of reasons why arrest reduces employment prospects. If a person who has been arrested is stigmatised by employers, they are less likely to obtain employment Alternatively, employers may be deterred from locating in regions with high levels of criminal activity and hence there may be limited employment opportunities for persons living in those regions. On the supply side, contact with the criminal justice system may affect a person's motivation to work, or perceptions of the expected benefits from seeking employment. Unfortunately, it is not possible to distinguish between supply and demand side influences of arrest. This paper illustrates the importance of social factors in determining Indigenous employment. The significance of general socioeconomic indicators, such as whether a person voted in a recent election or whether they have a long-term health condition, means that labour economists should consider controlling for such factors, wherever possible. This study also confirms that removal from family environment has an adverse impact on the final socioeconomic status of individuals with the experience of arrest being the mode of transmission of disadvantage. Being taken from one's natural family increases the probability of arrest, but does not directly influence the employment outcome. This result contradicts the claims of certain demagogues who believe that members of the 'stolen generation' benefited from being taken away from their families. The statistical evidence clearly indicates that the average member of this generation has not experienced improved economic outcomes through greater employment opportunities. The effect of arrest on employment differs by reason for most recent arrest. Persons whose most recent arrest was for a drinking-related offence or on an outstanding warrant appear to have lower employment probabilities than persons arrested for theft or assault. The preponderance of alcohol-related offences in the Indigenous population also emphasises the direct benefits of decriminalising drunkenness. With 12.4 per cent Indigenous males having been arrested in the previous five years for public drunkenness and disorderly conduct, more than 10 per cent of the differential employment rates between the Indigenous and non-Indigenous population may be eliminated by changing the law(s) which fail to recognise cultural differences between Indigenous and mainstream Australian societies. The findings of this paper resonate with the recommendations of the Royal Commission into Aboriginal Deaths in Custody. In particular, ensuring that Indigenous citizens stay out of jails should be a priority policy issue for governments who are concerned about Indigenous employment outcomes

Extensions and improvements on XTRAN3S

Improvements to the XTRAN3S computer program are summarized. Work on this code, for steady and unsteady aerodynamic and aeroelastic analysis in the transonic flow regime has concentrated on the following areas: (1) Maintenance of the XTRAN3S code, including correction of errors, enhancement of operational capability, and installation on the Cray X-MP system; (2) Extension of the vectorization concepts in XTRAN3S to include additional areas of the code for improved execution speed; (3) Modification of the XTRAN3S algorithm for improved numerical stability for swept, tapered wing cases and improved computational efficiency; and (4) Extension of the wing-only version of XTRAN3S to include pylon and nacelle or external store capability

Report on the Cases of Pneumonia Treated in the Boston City Hospital from Its Opening, June 1, 1864, until February 8, 1868

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3D performance capture for facial animation

This work describes how a photogrammetry based 3D capture system can be used as an input device for animation. The 3D Dynamic Capture System is used to capture the motion of a human face, which is extracted from a sequence of 3D models captured at TV frame rate. Initially the positions of a set of landmarks on the face are extracted. These landmarks are then used to provide motion data in two different ways. First, a high level description of the movements is extracted, and these can be used as input to a procedural animation package (i.e. CreaToon). Second the landmarks can be used as registration points for a conformation process where the model to be animated is modified to match the captured model. This approach gives a new sequence of models, which have the structure of the drawn model but the movement of the captured sequence

Additional development of the XTRAN3S computer program

Additional developments and enhancements to the XTRAN3S computer program, a code for calculation of steady and unsteady aerodynamics, and associated aeroelastic solutions, for 3-D wings in the transonic flow regime are described. Algorithm improvements for the XTRAN3S program were provided including an implicit finite difference scheme to enhance the allowable time step and vectorization for improved computational efficiency. The code was modified to treat configurations with a fuselage, multiple stores/nacelles/pylons, and winglets. Computer program changes (updates) for error corrections and updates for version control are provided