The value of the early unwind option in futures contracts with an endogenous basis

In this paper the implicit early unwind option of a risk neutral arbitrageur is valued. The problem is analyzed in a market microstructure framework where four different groups of market participants interact. Within this model the equilibrium price relationship between stock and futures markets is determined. Since the underlying of the option is influenced by arbitrage trading the underlying of the option depends contrary to standard option pricing theory on the unwind option itself. The non-Markovian stochastic process of the basis is characterized and the results of an extensive comparative static analysis of the option value are presented. --

DAX Index Futures: Mispricing and Arbitrage in German Markets

The paper reports the results of an empirical study of the price relation between the German Performance Stock Index, DAX, and DAX futures. An ex-ante arbitrage strategy based on arbitrage signals is analyzed. The data set contains intraday bid- and ask futures quotes and index values on a minute by minute basis. It is found that the number and persistence of arbitrage opportunities differs considerably for futures nearest to deliver as compared to futures which are not nearest to deliver. The findings suggest that arbitrageurs trade mainly in futures nearest to deliver. The risk associated with arbitrage trading is found to be very small so that arbitrage profits are nearly risk free. --

Climate Change and the Imagining of Migration: Emerging Discourses on Kiribati’s Land Purchase in Fiji

In this article we concentrate on the discursive links between climate change, migration, land, and imagined futures. We argue that the large tract of freehold land purchased by Kiribati’s government in Fiji has led citizens in both countries to develop imaginings of migration, which we interpret as building blocks for a cultural construct of the future, in anticipation of projected hazards resulting from climate change and sea level rise. We show that, contrary to official pronouncements that the land had been acquired for reasons of food security, many citizens of Kiribati and Fiji associated the purchase with the option of a future relocation. Thus I-Kiribati have taken to perceiving this property in terms of their concept of land, hoping that, in the event of an existential threat, this new land will allow them to preserve culture, nation, and identity over the long term. Citizens of Fiji, too, rely on their concept of land, as when they see that survival for I-Kiribati will only be possible if they can ground it in a territory of their own. Moreover, the governments of Kiribati and Fiji both engage in a politics of hope that contributed to imaginings of migration. We conclude that the emerging discourses on migration related to the land purchase were fostered by cultural conceptions of land as well as the climate policies of the two Pacific Island states

Optimale Arbitragestrategien in Terminmärkten

Der folgende Beitrag analysiert das optimale Verhalten eines Investors, der Arbitrage zwischen Kassa- und Futuresmarkt betreibt. Gegenüber dem Standardmodell der cash & carry-Arbitrage wird der zulässige Strategieraum des Arbitrageurs erweitert, indem berücksichtigt wird, daß der Arbitrageur in der Vergangenheit eingegangene Arbitragepositionen jederzeit vor Fälligkeit glattstellen kann. ; The following article analyses the optimal arbitrage strategy of an investor in the spot and in the futures market. In contrast to the cost of carry model, the arbitrageur is not obliged to hold positions until maturity, but he may unwind arbitrage positions before maturity whenever it is favourable to hirn. --

Der DAX-Future: Kursverhalten und Arbitragemöglichkeiten

Der folgende Beitrag analysiert das Verhalten des DAX-Futures im ersten Jahr seines Bestehens und untersucht insbesondere die Arbitrage-Effizienz dieses neuen Marktes relativ zum Kassamarkt unter Verwendung sämtlicher Transaktionskurse. Dabei zeigt sich, daß die Anzahl. der Arbitragemöglichkeit im Zeitablauf deutlich abnimmt. ; The following article analyses the price behaviour of stock index futures in Germany during the fIrst year of trading. It especially addresses the question of arbitrage efficiency in this new financial rnarket using a cornplete set of transaction data. It can be shown that the number of free lunches in the stock index futures rnarket dramatically decreased. --

Mapping Oceania past and present: movements, geographies, identities

Oceania has always been a place of exchanges, of contacs and interactions, in brief of movements. In this session, we have investigated the themes of ancient migration routes through computer simulation; of modes of maritime and terrestrial representations of space; and finally of the dialectic between mobility and enrootedness over the long term and in relation to cultural or colonial hegemony. The primary objective being to question ideas of Oceanic unity and identity through the adaptation of an insular perspective.L’Océanie a toujours été un lieu d’échanges, de contacts et interactions, en somme de mouvements. Dans cette session, nous avons abordé les thèmes des routes migratoires anciennes à travers les modélisations-simulations informatiques ; des modes de représentation de l’espace maritime et terrestre ; enfin de la dialectique mobilité – enracinement sur le long terme en rapport avec les hégémonies culturelles ou coloniales. L’objectif premier étant de questionner l’unité et l’identité océanienne en adoptant une perspective insulaire

Fully-resolved simulations of coal particle combustion using a detailed multi-step approach for heterogeneous kinetics

Fully-resolved simulations of the heating, ignition, volatile flame combustion and char conversion of single coal particles in convective gas environments are conducted and compared to experimental data (Molina and Shaddix, 2007). This work extends a previous computational study (Tufano et al., 2016) by adding a significant level of model fidelity and generality, in particular with regard to the particle interior description and heterogeneous kinetics. The model considers the elemental analysis of the given coal and interpolates its properties by linear superposition of a set of reference coals. The improved model description alleviates previously made assumptions of single-step pyrolysis, fixed volatile composition and simplified particle interior properties, and it allows for the consideration of char conversion. The results show that the burning behavior is affected by the oxygen concentration, i.e. for enhanced oxygen levels ignition occurs in a single step, whereas decreasing the oxygen content leads to a two-stage ignition process. Char conversion becomes dominant once the volatiles have been depleted, but also causes noticeable deviations of temperature, released mass, and overall particle conversion during devolatilization already, indicating an overlap of the two stages of coal conversion which are usually considered to be consecutive. The complex pyrolysis model leads to non-monotonous profiles of the combustion quantities which introduce a minor dependency of the ignition delay time τign on its definition. Regardless of the chosen extraction method, the simulations capture the measured values of τign very well

Towards recombinantly produced milk proteins: Physicochemical and emulsifying properties of engineered whey protein beta-lactoglobulin variants

DFG, 273937032, SPP 1934: Dispersitäts-, Struktur- und Phasenänderungen von Proteinen und biologischen Agglomeraten in biotechnologischen ProzessenBMBF, 031B0222, Basistechnologie Nachwuchsgruppe "Multiskalige Modellierung und Modifikation von Multienzymkomplexen als Basistechnologie für zellfreie Reaktionskaskaden" (II

Acute mental stress drives vascular inflammation and promotes plaque destabilization in mouse atherosclerosis

Publisher Copyright: © 2021 The Author(s). Published by Oxford University Press on behalf of the European Society of Cardiology.Aims: Mental stress substantially contributes to the initiation and progression of human disease, including cardiovascular conditions. We aim to investigate the underlying mechanisms of these contributions since they remain largely unclear. Methods and results: Here, we show in humans and mice that leucocytes deplete rapidly from the blood after a single episode of acute mental stress. Using cell-tracking experiments in animal models of acute mental stress, we found that stress exposure leads to prompt uptake of inflammatory leucocytes from the blood to distinct tissues including heart, lung, skin, and, if present, atherosclerotic plaques. Mechanistically, we found that acute stress enhances leucocyte influx into mouse atherosclerotic plaques by modulating endothelial cells. Specifically, acute stress increases adhesion molecule expression and chemokine release through locally derived norepinephrine. Either chemical or surgical disruption of norepinephrine signalling diminished stress-induced leucocyte migration into mouse atherosclerotic plaques. Conclusion: Our data show that acute mental stress rapidly amplifies inflammatory leucocyte expansion inside mouse atherosclerotic lesions and promotes plaque vulnerability.publishersversionPeer reviewe