Pricing and Hedging Asian Options

This paper will mainly focus on a path-dependent option—Asian options. The value of a path-dependent option is affected by how the price of the underlying asset was reached at the time of maturity. Unlike a vanilla European option, the pay-off of an Asian option is a function of multiple points up to and including the price at expiry. Asian options are some of the most common exotic options traded. As P. Wilmott (2006) and E. G. Haug (2007) both point out, Asian options are popular in the OTC energy markets and in other commodity markets lacking liquidity. [9

Optimal time following fluorescein instillation to evaluate rigid gas permeable contact lens fit

PURPOSE: To examine the optimum time at which fluorescein patterns of gas permeable lenses (GPs) should be evaluated. METHODS: Aligned, 0.2mm steep and 0.2mm flat GPs were fitted to 17 patients (aged 20.6±1.1 years, 10 male). Fluorescein was applied to their upper temporal bulbar conjunctiva with a moistened fluorescein strip. Digital slit lamp images (CSO, Italy) at 10× magnification of the fluorescein pattern viewed with blue light through a yellow filter were captured every 15s. Fluorescein intensity in central, mid peripheral and edge regions of the superior, inferior, temporal and nasal quadrants of the lens were graded subjectively using a +2 to -2 scale and using ImageJ software on the simultaneously captured images. RESULTS: Subjectively graded and objectively image analysed fluorescein intensity changed with time (p<0.001), lens region (centre, mid-periphery and edge: p<0.05) and there was interaction between lens region with lens fit (p<0.001). For edge band width, there was a significant effect of time (F=118.503, p<0.001) and lens fit (F=5.1249, p=0.012). The expected alignment, flat and steep fitting patterns could be seen from approximately after 30 to 180s subjectively and 15 to 105s in captured images. CONCLUSION: Although the stability of fluorescein intensity can start to decline in as little as 45s post fluorescein instillation, the diagnostic pattern of alignment, steep or flat fit is seen in each meridian by subjective observation from about 30s to 3min indicating this is the most appropriate time window to evaluate GP lenses in clinical practice

Investigating misperceptions of visuotactile information, somatosensory amplification and illusory tactile sensations

This thesis investigated the underlying mechanisms of illusory tactile sensations that are generated by visuotactile cross-modal manipulations in healthy individuals using the Somatic Signal Detection Task (SSDT) as well as a modified version of the task known as Somatic Signal Discrimination Task (SSDiT). To investigate how the presence of light can result in an illusory report of tactile intensity (i.e., False Alarms), a series of behavioural experiments were conducted using the SSDT and SSDiT paradigms. Further experiments measured the underlying neural processing using EEG and MIRAGE augmented reality system. Behavioural findings indicate that simultaneous presentation of light with a tactile pulse created an illusory tactile enhancement effect (greater false alarms). EEG results indicate that there are two underlying mechanisms that are present during the SSDiT, an early sensory mechanism (EEG components P120 and P160) and a later discrimination mechanism (P360 and P400). Additionally, the SSDiT MIRAGE investigation found that participants were affected by bottom-up visual information they perceived, as fewer false alarms were observed during light present trials during the visual manipulated conditions (no sight and pixilated view). This implies that the level of external focus participants have can affect their susceptibility to experience these illusory sensations; more specifically, bottom-up sensory information can be affected by top-down expectations. The findings from the current investigations suggest that these illusory mechanisms occur as a result of hyper awareness to ambiguous extra-bodily stimulus that is misinterpreted subjectively as being an actual stimulus sensation when it is not. The individual’s ability to ‘filter’ out non-essential sensory noise causes disruptions to the mechanisms that mediate sensory information processing (e.g., the ability to distinguish threatening stimulus from non-threatening). The findings of this thesis can be used to help improve the treatment of patients with Medically Unexplained Symptoms (MUS) by focusing on improving patients’ interpretation and perception of sensory signals

Investigating misperceptions of visuotactile information, somatosensory amplification and illusory tactile sensations

This thesis investigated the underlying mechanisms of illusory tactile sensations that are generated by visuotactile cross-modal manipulations in healthy individuals using the Somatic Signal Detection Task (SSDT) as well as a modified version of the task known as Somatic Signal Discrimination Task (SSDiT). To investigate how the presence of light can result in an illusory report of tactile intensity (i.e., False Alarms), a series of behavioural experiments were conducted using the SSDT and SSDiT paradigms. Further experiments measured the underlying neural processing using EEG and MIRAGE augmented reality system. Behavioural findings indicate that simultaneous presentation of light with a tactile pulse created an illusory tactile enhancement effect (greater false alarms). EEG results indicate that there are two underlying mechanisms that are present during the SSDiT, an early sensory mechanism (EEG components P120 and P160) and a later discrimination mechanism (P360 and P400). Additionally, the SSDiT MIRAGE investigation found that participants were affected by bottom-up visual information they perceived, as fewer false alarms were observed during light present trials during the visual manipulated conditions (no sight and pixilated view). This implies that the level of external focus participants have can affect their susceptibility to experience these illusory sensations; more specifically, bottom-up sensory information can be affected by top-down expectations. The findings from the current investigations suggest that these illusory mechanisms occur as a result of hyper awareness to ambiguous extra-bodily stimulus that is misinterpreted subjectively as being an actual stimulus sensation when it is not. The individual’s ability to ‘filter’ out non-essential sensory noise causes disruptions to the mechanisms that mediate sensory information processing (e.g., the ability to distinguish threatening stimulus from non-threatening). The findings of this thesis can be used to help improve the treatment of patients with Medically Unexplained Symptoms (MUS) by focusing on improving patients’ interpretation and perception of sensory signals

Exhaust gas recirculation dispersion analysis using in-cylinder pressure measurements in automotive diesel engines

Current diesel engines are struggling to achieve exhaust emissions regulations margins, in certain cases penalizing the fuel consumption. The exhaust gas recirculation (EGR) continues to be employed as a technique to reduce NOx emissions. EGR dispersion between cylinders is one important issue when a high pressure (HP) loop is used. Different techniques have been developed in order to analyze the EGR dispersion between cylinders in an engine test bench. In this paper a methodology using the in-cylinder pressure was developed. The in-cylinder pressure was used to calculate a heat release law and combustion parameters that were used to analyze the EGR dispersion between cylinders. Engine test measurements at three different engine speeds and with three different HP-EGR configurations were performed in order to assess the developed analysis methodology. NOx emissions and fuel consumption were also compared between the different HP-EGR configurations to complete the analysis. The developed methodology was successfully used in three different operating conditions for three different HP-EGR configurations, showing the relation between the decrease in EGR dispersion between cylinders and the decrease in NOx emissions, while maintaining and, in some points, improving the fuel consumption.Luján, JM.; Climent, H.; Pla Moreno, B.; Rivas Perea, ME.; Francois, N.; Borges Alejo, J.; Soukeur, Z. (2015). Exhaust gas recirculation dispersion analysis using in-cylinder pressure measurements in automotive diesel engines. Applied Thermal Engineering. 89:459-468. doi:10.1016/j.applthermaleng.2015.06.029S4594688

Dominant-Negative Mutants Identify a Role for Girk Channels in D3 Dopamine Receptor-Mediated Regulation of Spontaneous Secretory Activity

The human D3 dopamine receptor can activate G-protein–coupled inward rectifier potassium channels (GIRKs), inhibit P/Q-type calcium channels, and inhibit spontaneous secretory activity in AtT-20 neuroendocrine cells (Kuzhikandathil, E.V., W. Yu, and G.S. Oxford. 1998. Mol . Cell . Neurosci . 12:390–402; Kuzhikandathil, E.V., and G.S. Oxford. 1999. J . Neurosci . 19:1698–1707). In this study, we evaluate the role of GIRKs in the D3 receptor-mediated inhibition of secretory activity in AtT-20 cells. The absence of selective blockers for GIRKs has precluded a direct test of the hypothesis that they play an important role in inhibiting secretory activity. However, the tetrameric structure of these channels provides a means of disrupting endogenous GIRK function using a dominant negative approach. To develop a dominant-negative GIRK mutant, the K + selectivity amino acid sequence -GYG- in the putative pore domain of the human GIRK2 channels was mutated to -AAA-, -GLG-, or -GFG-. While the mutation of -GYG- to -GFG- did not affect channel function, both the -AAA- and -GLG- GIRK2 mutants were nonfunctional. This suggests that the aromatic ring of the tyrosine residue rather than its hydroxyl group is involved in maintaining the pore architecture of human GIRK2 channels. When expressed in AtT-20 cells, the nonfunctional AAA-GIRK2 and GLG-GIRK2 acted as effective dominant-negative mutants and significantly attenuated endogenous GIRK currents. Furthermore, these dominant-negative mutants interfered with the D3 receptor-mediated inhibition of secretion in AtT-20 cells, suggesting they are centrally involved in the signaling pathway of this secretory response. These results indicate that dominant-negative GIRK mutants are effective molecular tools to examine the role of GIRK channels in vivo