Lookback option pricing using the Fourier transform B-spline method

We derive a new, efficient closed-form formula approximating the price of discrete lookback options, whose underlying asset price is driven by an exponential semimartingale process, which includes (jump) diffusions, Lévy models, affine processes and other models. The derivation of our pricing formula is based on inverting the Fourier transform using B-spline approximation theory. We give an error bound for our formula and establish its fast rate of convergence to the true price. Our method provides lookback option prices across the quantum of strike prices with greater efficiency than for a single strike price under existing methods. We provide an alternative proof to the Spitzer formula for the characteristic function of the maximum of a discretely observed stochastic process, which yields a numerically efficient algorithm based on convolutions. This is an important result which could have a wide range of applications in which the Spitzer formula is utilized. We illustrate the numerical efficiency of our algorithm by applying it in pricing fixed and floating discrete lookback options under Brownian motion, jump diffusion models, and the variance gamma process

Improving simultaneous saccharification and co-fermentation of pretreated wheat straw using both enzyme and substrate feeding

<p>Abstract</p> <p>Background</p> <p>Simultaneous saccharification and co-fermentation (SSCF) has been recognized as a feasible option for ethanol production from xylose-rich lignocellulosic materials. To reach high ethanol concentration in the broth, a high content of water-insoluble solids (WIS) is needed, which creates mixing problems and, furthermore, may decrease xylose uptake. Feeding of substrate has already been proven to give a higher xylose conversion than a batch SSCF. In the current work, enzyme feeding, in addition to substrate feeding, was investigated as a means of enabling a higher WIS content with a high xylose conversion in SSCF of a xylose-rich material. A recombinant xylose-fermenting strain of <it>Saccharomyces cerevisiae </it>(TMB3400) was used for this purpose in fed-batch SSCF experiments of steam-pretreated wheat straw.</p> <p>Results</p> <p>By using both enzyme and substrate feeding, the xylose conversion in SSCF could be increased from 40% to 50% in comparison to substrate feeding only. In addition, by this design of the feeding strategy, it was possible to process a WIS content corresponding to 11% in SSCF and obtain an ethanol yield on fermentable sugars of 0.35 g g^-1.</p> <p>Conclusion</p> <p>A combination of enzyme and substrate feeding was shown to enhance xylose uptake by yeast and increase overall ethanol yield in SSCF. This is conceptually important for the design of novel SSCF processes aiming at high-ethanol titers. Substrate feeding prevents viscosity from becoming too high and thereby allows a higher total amount of WIS to be added in the process. The enzyme feeding, furthermore, enables keeping the glucose concentration low, which kinetically favors xylose uptake and results in a higher xylose conversion.</p

Population genomics of <i>Escherichia coli</i> in livestock-keeping households across a rapidly developing urban landscape

Quantitative evidence for the risk of zoonoses and the spread of antimicrobial resistance remains lacking. Here, as part of the UrbanZoo project, we sampled Escherichia coli from humans, livestock and peri-domestic wildlife in 99 households across Nairobi, Kenya, to investigate its distribution among host species in this rapidly developing urban landscape. We performed whole-genome sequencing of 1,338 E. coli isolates and found that the diversity and sharing patterns of E. coli were heavily structured by household and strongly shaped by host type. We also found evidence for inter-household and inter-host sharing and, importantly, between humans and animals, although this occurs much less frequently. Resistome similarity was differently distributed across host and household, consistent with being driven by shared exposure to antimicrobials. Our results indicate that a large, epidemiologically structured sampling framework combined with WGS is needed to uncover strain-sharing events among different host populations in complex environments and the major contributing pathways that could ultimately drive the emergence of zoonoses and the spread of antimicrobial resistance

Solid-state fermentation of oil palm frond petiole for lignin peroxidase and xylanase-rich cocktail production

In current practice, oil palm frond leaflets and stems are re-used for soil nutrient recycling, while the petioles are typically burned. Frond petioles have high commercialization value, attributed to high lignocellulose fiber content and abundant of juice containing free reducing sugars. Pressed petiole fiber is the subject of interest in this study for the production of lignocellulolytic enzyme. The initial characterization showed the combination of 0.125 mm frond particle size and 60% moisture content provided a surface area of 42.3 m2/g, porosity of 12.8%, and density of 1.2 g/cm3, which facilitated fungal solid-state fermentation. Among the several species of Aspergillus and Trichoderma tested, Aspergillus awamori MMS4 yielded the highest xylanase (109 IU/g) and cellulase (12 IU/g), while Trichoderma virens UKM1 yielded the highest lignin peroxidase (222 IU/g). Crude enzyme cocktail also contained various sugar residues, mainly glucose and xylose (0.1–0.4 g/L), from the hydrolysis of cellulose and hemicellulose. FT-IR analysis of the fermented petioles observed reduction in cellulose crystallinity (I900/1098), cellulose–lignin (I900/1511), and lignin–hemicellulose (I1511/1738) linkages. The study demonstrated successful bioconversion of chemically untreated frond petioles into lignin peroxidase and xylanase-rich enzyme cocktail under SSF condition

A novel hybrid organosolv: steam explosion method for the efficient fractionation and pretreatment of birch biomass

Background: The main role of pretreatment is to reduce the natural biomass recalcitrance and thus enhance sac- charification yield. A further prerequisite for efficient utilization of all biomass components is their efficient fractiona- tion into well-defined process streams. Currently available pretreatment methods only partially fulfill these criteria. Steam explosion, for example, excels as a pretreatment method but has limited potential for fractionation, whereas organosolv is excellent for delignification but offers poor biomass deconstruction. Results: In this article, a hybrid method combining the cooking and fractionation of conventional organosolv pre - treatment with the implementation of an explosive discharge of the cooking mixture at the end of pretreatment was developed. The effects of various pretreatment parameters (ethanol content, duration, and addition of sulfuric acid) were evaluated. Pretreatment of birch at 200 °C with 60% v/v ethanol and 1% w/w biomass H 2 SO 4 was proven to be the most efficient pretreatment condition yielding pretreated solids with 77.9% w/w cellulose, 8.9% w/w hemicellulose, and 7.0 w/w lignin content. Under these conditions, high delignification of 86.2% was demonstrated. The recovered lignin was of high purity, with cellulose and hemicellulose contents not exceeding 0.31 and 3.25% w/w, respectively, and ash to be < 0.17% w/w in all cases, making it suitable for various applications. The pretreated solids presented high saccharification yields, reaching 68% at low enzyme load (6 FPU/g) and complete saccharification at high enzyme load (22.5 FPU/g). Finally, simultaneous saccharification and fermentation (SSF) at 20% w/w solids yielded an ethanol titer of 80 g/L after 192 h, corresponding to 90% of the theoretical maximum. Conclusions: The novel hybrid method developed in this study allowed for the efficient fractionation of birch biomass and production of pretreated solids with high cellulose and low lignin contents. Moreover, the explosive dis- charge at the end of pretreatment had a positive effect on enzymatic saccharification, resulting in high hydrolyzability of the pretreated solids and elevated ethanol titers in the following high-gravity SSF. To the best of our knowledge, the ethanol concentration obtained with this method is the highest so far for birch biomass