Calibrating a market model with stochastic volatility to commodity and interest rate risk

© 2016 Informa UK Limited, trading as Taylor & Francis Group. Based on the multi-currency LIBOR Market Model, this paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function allowing the model to simultaneously fit the implied volatility surfaces of commodity and interest rate options. Since liquid market prices are only available for options on commodity futures, rather than forwards, a convexity correction formula for the model is derived to account for the difference between forward and futures prices. A procedure for efficiently calibrating the model to interest rate and commodity volatility smiles is constructed. Finally, the model is fitted to an exogenously given correlation structure between forward interest rates and commodity prices (cross-correlation). When calibrating to options on forwards (rather than futures), the fitting of cross-correlation preserves the (separate) calibration in the two markets (interest rate and commodity options), while in the case of futures a (rapidly converging) iterative fitting procedure is presented. The fitting of cross-correlation is reduced to finding an optimal rotation of volatility vectors, which is shown to be an appropriately modified version of the ‘orthonormal Procrustes’ problem in linear algebra. The calibration approach is demonstrated in an application to market data for oil futures

Dynamical oscillations in nonlinear optical media

The spatial dynamics of pulses in Kerr media with parabolic index profile are examined. It is found that when diffraction and graded-index have opposite signs propagating pulses exhibit an oscillatory pattern, similar to a breathing behavior. Furthermore, if the pulse and the index profile are not aligned the pulse oscillates around the index origin with frequency that depends on the values of the diffraction and index of refraction. These oscillations are not observed when diffraction and graded-index share the same sign

ELVIS - ELectromagnetic Vector Information Sensor

The ELVIS instrument was recently proposed by the authors for the Indian Chandrayaan-1 mission to the Moon and is presently under consideration by the Indian Space Research Organisation (ISRO). The scientific objective of ELVIS is to explore the electromagnetic environment of the moon. ELVIS samples the full three-dimensional (3D) electric field vector, E(x,t), up to 18 MHz, with selective Nyqvist frequency bandwidths down to 5 kHz, and one component of the magnetic field vector, B(x,t), from a few Hz up to 100 kHz.As a transient detector, ELVIS is capable of detecting pulses with a minimum pulse width of 5 ns. The instrument comprises three orthogonal electric dipole antennas, one magnetic search coil antenna and a four-channel digital sampling system, utilising flexible digital down conversion and filtering together with state-of-the-art onboard digital signal processing.Comment: 8 pages, 3 figures. Submitted to the DGLR Int. Symposium "To Moon and Beyond", Bremen, Germany, 2005. Companion paper to arXiv:astro-ph/050921

‘Swim, swim and die at the beach’: family court and perpetrator induced trauma (CPIT) experiences of mothers in Brazil

Gender-based violence (GBV) and Domestic Violence (DV) are prevalent in Brazil. There are growing concerns globally regarding the weaponisation of the pseudo-concept ‘Parental Alienation’ (PA) in the family courts against women. Additionally, a lack of understanding of mothers’ family court and health-related experiences indicated a need to explore this topic further. A qualitative study was conducted with thirteen mothers who are victims of Domestic Violence and have been accused of PA. Mothers reported a range of harmful health experiences, delineated here under the conceptual framework of Court and Perpetrator Induced Trauma (CPIT). Six themes are presented, which encapsulate a range of harmful actions, behaviours and circumstances (ABCs) that surround these mothers and their responses to these ABCs. Multiple physical health conditions were reported as associated with family court proceedings. This included maternity problems, musculoskeletal, autoimmune, and respiratory conditions and a broad range of mental health implications including suicide and other trauma responses. Human rights violations, the weaponisation of ‘Parental Alienation’ and inherently misogynistic and oppressive justice systems in Brazil were also reported. Urgent measures and further research are now needed to investigate causal links between harm to health and the family courts and to strengthen human rights protection for women and child victims in Brazil and beyond

Polarized Neutron Laue Diffraction on a Crystal Containing Dynamically Polarized Proton Spins

We report on a polarized-neutron Laue diffraction experiment on a single crystal of neodynium doped lanthanum magnesium nitrate hydrate containing polarized proton spins. By using dynamic nuclear polarization to polarize the proton spins, we demonstrate that the intensities of the Bragg peaks can be enhanced or diminished significantly, whilst the incoherent background, due to proton spin disorder, is reduced. It follows that the method offers unique possibilities to tune continuously the contrast of the Bragg reflections and thereby represents a new tool for increasing substantially the signal-to-noise ratio in neutron diffraction patterns of hydrogenous matter.Comment: 5 pages, 3 figure

Activation of NF- B protein prevents the transition from juvenile ovary to testis and promotes ovarian development in Zebrafish

Testis differentiation in zebrafish involves juvenile ovary to testis transformation initiated by an apoptotic wave. The molecular regulation of this transformation process is not fully understood. NF-κB is activated at an early stage of development and has been shown to interact with steroidogenic factor-1 in mammals, leading to the suppression of anti-Müllerian hormone (Amh) gene expression. Because steroidogenic factor-1 and Amh are important for proper testis development, NF-κB-mediated induction of anti-apoptotic genes could, therefore, also play a role in zebrafish gonad differentiation. The aim of this study was to examine the potential role of NF-κB in zebrafish gonad differentiation. Exposure of juvenile zebrafish to heat-killed Escherichia coli activated the NF-κB pathways and resulted in an increased ratio of females from 30 to 85%. Microarray and quantitative real-time-PCR analysis of gonads showed elevated expression of NF-κB-regulated genes. To confirm the involvement of NF-κB-induced anti-apoptotic effects, zebrafish were treated with sodium deoxycholate, a known inducer of NF-κB or NF-κB activation inhibitor (NAI). Sodium deoxycholate treatment mimicked the effect of heat-killed bacteria and resulted in an increased proportion of females from 25 to 45%, whereas the inhibition of NF-κB using NAI resulted in a decrease in females from 45 to 20%. This study provides proof for an essential role of NF-κB in gonadal differentiation of zebrafish and represents an important step toward the complete understanding of the complicated process of sex differentiation in this species and possibly other cyprinid teleosts as well

Excess breast cancer risk and the role of parity, age at first childbirth and exposure to radiation in infancy

Exposure to ionizing radiation is a known risk factor for breast cancer and the fertility pattern is a recognized modifier of breast cancer risk. The aim of this study was to elucidate the interaction between these 2 factors. This study is based on a Swedish cohort of 17 202 women who had been irradiated for skin haemangiomas in infancy between 1920 and 1965. The mean age at treatment was 6 months and the median breast dose was 0.05 Gy (range 0–35.8 Gy). Follow-up information on vital status, parity, age at first childbirth and breast cancer incidence was retrieved through record linkage with national population registers for the period 1958–1995. Analyses of excess relative risk (ERR) models were performed using Poisson regression methods. In this cohort, the fertility pattern differed from that in the Swedish population, with significantly fewer childbirths overall and before 25 years of age but more childbirth after that age. There were 307 breast cancers in the cohort and the standardized incidence ratio (SIR) was 1.22 (95% CI 1.09–1.36). A linear dose–response model with stratification for fertility pattern and menopausal status resulted in the best fit of the data. ERR/Gy was 0.33 (95% CI 0.17–0.53). In absolute terms this means an excess of 2.1 and 5.4 cases per Gy per 104breast-years in the age groups 40–49 and 50–59 years respectively. The fertility pattern influenced the breast cancer risk in this irradiated population in a similar way to that observed in other studies. SIR at dose = 0 was highest, 2.31, among postmenopausal nulliparous women (95% CI 1.48–3.40, n = 62). SIR at dose = 0 was lowest in pre- or postmenopausal women with a first childbirth before 25 years of age; 0.89 (0.71–1.09) and 0.88 (0.58–1.25) respectively. Thus, in addition to the dose–effect response in the cohort, part of the breast cancer excess could be explained by a different fertility pattern. The estimates of ERR/Gy for the various categories of age at first childbirth, number of children, menopausal status and ovarian dose were very similar, contradicting any interaction effects on the scale of relative risk. © 2001 Cancer Research Campaign http://www.bjcancer.co

An updated investigation of the multidimensional structure of language lateralization in left- and right-handed adults: a test-retest functional transcranial Doppler sonography study with six language tasks

A previous study we reported in this journal suggested that left and right-handers may differ in their patterns of lateralization for different language tasks (Woodhead et al. 2019 R. Soc. Open Sci.6, 181801. (doi:10.1098/rsos.181801)). However, it had too few left-handers (N = 7) to reach firm conclusions. For this update paper, further participants were added to the sample to create separate groups of left- (N = 31) and right-handers (N = 43). Two hypotheses were tested: (1) that lateralization would be weaker at the group level in left-than right-handers; and (2) that left-handers would show weaker covariance in lateralization between tasks, supporting a two-factor model. All participants performed the same protocol as in our previous paper: lateralization was measured using functional transcranial Doppler sonography during six different language tasks, on two separate testing sessions. The results supported hypothesis 1, with significant differences in laterality between groups for four out of six tasks. For hypothesis 2, structural equation modelling showed that there was stronger evidence for a two-factor model in left than right-handers; furthermore, examination of the factor loadings suggested that the pattern of laterality across tasks may also differ between handedness groups. These results expand on what is known about the differences in laterality between left- and right-handers

A Quantum solution to the Byzantine agreement problem

We present a solution to an old and timely problem in distributed computing. Like Quantum Key Distribution (QKD), quantum channels make it possible to achieve taks classically impossible. However, unlike QKD, here the goal is not secrecy but agreement, and the adversary is not outside but inside the game, and the resources require qutrits.Comment: 4 pages, 1 figur