Analysing intraday implied volatility for pricing currency options

This research analyses the intraday implied volatility (IV) for pricing currency options. It conducts analyses in three steps. First, estimates at-the-money IV using the price of options with one-month, two-month, and three-month maturity during the opening, midday, and closing period of a trading day. Second, the Mincer-Zarnowitz regression test assessing the performance of IV to forecast the volatility of the underlying currency of options for the within-week, one-week, and one-month forecast horizon. Third, mean absolute error (MAE), mean squared error (MSE), and root mean squared error (RMSE) measures evaluating the performance of IV to estimate the price of currency options for the within-week, one-week, and one-month estimate horizon. It employs Australian dollar, British pound, Canadian dollar, Euro, and Swiss franc options trading from 01 January 2010 to 31 December 2017. This study reveals four critical findings. First, three-month maturity IV does not contain useful information about future volatility of the underlying currency and pricing currency options. Second, IV incorporates all information is not relevant to compute the price of currency options for less than a week estimate horizon. Third, IV of the closing period on Monday or Tuesday subsumes most of the essential information compared to other periods of a trading day and other days of a week to forecast volatility of the underlying currency and estimate the value of currency options. Fourth, the shorter (longer) maturity IV holds vital information to price currency options for the shorter (longer) estimate horizon. The overall research findings imply that the information content embedded in one-month and two-month maturity IV is appropriate to calculate the currency options price for the one-week and one-month estimate horizon, respectively. The intraday IV approach adds a new dimension to obtain the unobservable volatility in pricing currency options accurately for the researchers and practitioners

MODELING AND SIMULATION OF A LEAN SYSTEM. CASE STUDY OF A PAINT LINE IN A FURNITURE COMPANY

Since they were first developed, lean methodologies have grown in importance and scope and have been applied in both manufacturing and service. However, determining how to transform a common manufacturing company into a lean one, as well as how to evaluate the future company, are challenges for both researchers and manufacturers. This paper presents a case study of a lean manufacturing implementation for the paint line system in a furniture company. A systematic method for execution is shown. In addition, a simulation model is constructed to evaluate the new system in comparison with the MRP system. The new system promises much improvement in terms of a resource’s utility and the system’s productivity.Lean Techniques, Simulation Model, Paint Line, Furniture Company.

シロイヌナズナ種内系統およびそのF₁雑種における表現型と中心代謝物の比較解析

筑波大学 (University of Tsukuba)201

シロイヌナズナ種内系統およびそのF₁雑種における表現型と中心代謝物の比較解析

この博士論文は内容の要約のみの公開（または一部非公開）になっています筑波大学 (University of Tsukuba)201

Characteristics of Simulated Workplace Neutron Standard Fields

This paper presents the development of simulated workplace neutron standard fields at the Institute for Nuclear Science and Technology with the 241Am-Be source moderated by polyethylene spheres with diameters of 15 cm and 30 cm. The characterization of the standard fields (in terms of neutron fluence rates and neutron ambient dose equivalent rates) was performed using Bonner sphere spectrometer system together with MAXED and FRUIT unfolding codes. The related quantities such as neutron dose equivalent-averaged energies and fluence-to-ambient dose equivalent conversion coefficients were also determined. The discrepancies of values are satisfied the standard uncertainty criteria as recommended by the International Standard Organization 12789 series. It implies that the simulated workplace neutron standard fields can be applied in the practical works for calibration purposes

SỰ LAN TRUYỀN SÓNG ĐIỆN TỪ TRONG SIÊU VẬT LIỆU HYPERBOLIC VỚI ĐỘ THẤM ĐIỆN MÔI GẦN BẰNG KHÔNG

In this paper, we investigated hyperbolic metamaterials based on a structure containing metallic nanowires embedded in a dielectric matrix with the utility environment theory method. Hyperbolic metamaterials with near-zero permittivity may exist simultaneously in type I and type II. The propagation of transverse electromagnetic waves in these two types of metamaterial was considered. The diverging incident light beam seems to convert into a well-collimated beam and transfers all its energy in the direction perpendicular to the surface of the hyperbolic metamaterial of type I in the region of special values ​​of the incidence angle from –5 to 5°. In the hyperbolic metamaterial of type II, the light wave entirely transmits through the material layers, while the transmittance remains constant in the range of incident angle values ​​from –40 to 40°. The radius of the metal nanowires and the material thickness also affect the characteristics of electromagnetic wave propagation.Trong bài báo này, chúng tôi nghiên cứu siêu vật liệu hyperbolic trên cơ sở cấu trúc chứa sợi kim loại kích thước nanomet nhúng trong nền điện môi bằng phương pháp lý thuyết môi trường hiệu dụng. Kết quả nghiên cứu cho thấy siêu vật liệu hyperbolic với độ thấm điện môi gần bằng 0 (ENZ) có thể tồn tại cùng lúc ở loại I và loại II. Điểm đặc biệt lan truyền sóng điện từ phân cực từ ngang được nghiên cứu trong hai loại siêu vật liệu này. Chùm ánh sáng đến phân kỳ dường như chuyển thành chùm sáng chuẩn trực tốt và chuyển toàn bộ năng lượng theo hướng vuông góc với bề mặt siêu vật liệu hyperbolic loại I trong vùng giá trị đặc biệt của góc tới từ –5 đến 5°. Trong siêu vật liệu hyperbolic loại II, sóng ánh sáng truyền hoàn toàn qua lớp cấu trúc vật liệu; đồng thời, giá trị hệ số truyền qua không đổi trong vùng giá trị góc tới từ –40 đến 40°. Sự thay đổi bán kính sợi kim loại trong cấu trúc và độ dày của lớp siêu vật liệu có ảnh hưởng đến đặc tính lan truyền sóng điện từ