Parametric Pricing of Higher Order Moments in S&P500 Options.

A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced. The parametric pricing model nests the Black-Scholes model and can explain volatility smiles and skews in stock options. The data consist of S&P500 options traded on select days in April, 1995, a total sample of over 500,000 observations. A number of performance criteria are used to evaluate the alternative models. The empirical results show that pricing higher order moments yield improvements in the pricing of options over the Black-Scholes model as well as other models.Option Pricing; Volatility Smiles and Skews; Generalized Student t; Skewness; Kurtosis; Time-Varying Volatility.

Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns

Volatility smiles arise in currency option markets when empirical exchange rate returns distributions exhibit leptokurtosis. This feature of empirical distributions is symptomatic of turbulent periods when exchange rate movements are in excess of movements based on the assumption of normality. In contrast, during periods of tranquility, movements in exchange rates are relatively small, resulting in unconditional empirical returns distributions with thinner tails than the normal distribution. Pricing currency options during tranquil periods on the assumption of normal returns yields implied volatility frowns, with over-pricing at both deep-in and deep-out-of-the-money contracts and under-pricing for at-the-money contracts. This paper shows how a parametric class of thin-tailed distributions based on the generalized Student t family of distributions can price currency options during periods of tranquility.Option pricing; volatility frowns; thin-tails; generalized Student t.

Discounting The Equity Premium Puzzle

This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to assess whether the existence of a premium is due to an incorrect choice of either the utility function or the underlying returns distribution. The approach is applied to a range of data sets including the S&P500Equity premium puzzle, stochastic dominance, nonparametric, subsampling.

The Apparent Velocity and Acceleration of Relativistically Moving Objects

Although special relativity limits the actual velocity of a particle to $c$, the velocity of light, the observed velocity need not be the same as the actual velocity as the observer is only aware of the position of a particle at the time in the past when it emits the detected signal. We consider the apparent speed and acceleration of a particle in two cases, one when the particle is moving with a constant speed and the other when it is moving with a constant acceleration. One curious feature of our results is that in both cases, if the actual velocity of the particle approaches $c$, then the apparent velocity approaches infinity when it is moving toward the observer and $c/2$ when it is moving away from the observer.Comment: 9 pages, LaTeX forma

Development of an orally relevant biofilm disinfection model

This thesis describes the development and use of a novel microtitre plate biofilm system for testing the antimicrobial activity of test materials. The developed model is capable of high-throughput screening and furthermore the system has been shown to be stable and reproducible. The search for new antimicrobial agents for improved plaque control requires appropriate screening models. Key criteria for these models include; predictive of clinical data, orally relevant organisms (mixed species, bacteria present in biofilms), short contact time, rapid, reproducible and high throughput. The most widely used biofilm system for evaluating oral antimicrobials are the Constant Depth Film Fermentor (CDFF) and the Minimum Biofilm Eradication Concentration (MBEC) model systems. Each system has advantages for specific investingations; however neither and no other single system fulfils all of the criteria listed above. The CDFF is an orally relevant model that mimics biofilm development under constant salivary flow; typically the inoculum is derived from human dental plaque. Microbial analyses of in vitro growth show populations that are representative of in vivo plaque. However, the system is prone to contamination, is labour intensive and has limited capacity for testing multiple agents. The MBEC model investigates the antibacterial susceptibility of attached bacteria to the 96-pegs on the lid of a microtitre plate based system. Unfortunately, this model was not originally designed for use with oral bacteria; therefore, concerns exist for the use of the MBEC with oral bacteria including the development of oral biofilms on non-orally relevant surfaces such as polystyrene, as found in the MBEC pegs. The aim of this project was to develop a microtitre plate based biofilm assay that could assess the effects of antimicrobials against orally relevant biofilms grown on a relevant surface and compare it to recognised standard model systems. Biofilms derived from a defined inoculum were grown on hydroxyapatite-coated microtitre plate wells. Biofilm characteristics were assessed and were shown to be reproducible and allow for high-throughput screening. Antimicrobial testing showed a dose response and known actives were able to be 'ranked' in the same order as seen in clinical trials. This research has culminated in the development of a simple, high-throughput, reproducible 'off-the-shelf' method for the rapid screening of antimicrobial compounds against an orally relevant biofilm

The effect of accounting for biarticularity in hip flexor and hip extensor joint torque representations

Subject-specific torque-driven models have ignored biarticular effects at the hip. The aim of this study was to establish the contribution of monoarticular hip flexors and hip extensors to total hip flexor and total hip extensor joint torques for an individual and to investigate whether torque-driven simulation models should consider incorporating biarticular effects at the hip joint. Maximum voluntary isometric and isovelocity hip flexion and hip extension joint torques were measured for a single participant together with surface electromyography. Single-joint and two-joint representations were fitted to the collected torque data and used to determine the maximum voluntary joint torque capacity. When comparing two-joint and single-joint representations, the single-joint representation had the capacity to produce larger maximum voluntary hip flexion torque (larger by around 9% of maximum torque) and smaller maximum voluntary hip extension torque (smaller by around 33% of maximum torque) with the knee extended. Considering the range of kinematics found for jumping movements, the single-joint hip flexors had the capacity to produce around 10% additional torque, while the single joint hip extensors had about 70% of the capacity of the two-joint representation. Two-joint representations may overcome an over-simplification of single-joint representations by accounting for biarticular effects, while building on the strength of determining subject-specific parameters from measurements on the participant

Minke whales change their swimming behavior with respect to their calling behavior, nearby conspecifics, and the environment in the central North Pacific

This research was supported by the Office of Naval Research (Code 322, Award Number N0001422WX01263), Commander, U.S. Pacific Fleet (Code N465JR, Award Number N0007023WR0EP8F), and tool development necessary for this analysis was supported by the U.S. Navy’s Living Marine Resources Program (Award Number N0002520WR0141R). AcknowledgmentsBehavioral responses to sonar have been observed in a number of baleen whales, including minke whales (Balaenoptera acutorostrata). Previous studies used acoustic minke whale boing detections to localize and track individual whales on the U.S. Pacific Missile Range Facility (PMRF) in Kaua ‘i, Hawai‘i before, during, and after Navy training activities. These analyses showed significant changes in central North Pacific minke whale distribution and swimming behavior during Navy sonar events. For the purposes of contextualizing changes in animal movement relative to Navy sonar, we expanded on this research to examine the natural variation in minke whale movement when Navy sonar was not present. This study included 2,245 acoustically derived minke whale tracks spanning the years 2012–2017 over all months that minke whales were detected (October–May). Minke whale movement was examined relative to calling season, day of the year, hour of day, wind speed, calling state (nominal or rapid), and distance to the nearest calling conspecific. Hidden Markov models were used to identify two kinematic states (slower, less directional movement and faster, more directional movement). The findings indicate that minke whales were more likely to travel in a faster and more directional state when they were calling rapidly, when other vocalizing minke whales were nearby, during certain times of the day and calling seasons, and in windier conditions, but these changes in movement were less intense than the changes observed during exposure to Navy sonar, when swim speeds were the fastest. These results start to put behavioral responses to Navy sonar into an environmental context to understand the severity of responses relative to natural changes in behavior.Publisher PDFPeer reviewe

Are joint torque models limited by an assumption of monoarticularity?

This study determines whether maximal voluntary ankle plantar flexor torque could be more accurately represented using a torque generator that is a function of both knee and ankle kinematics. Isovelocity and isometric ankle plantar flexor torques were measured on a single participant for knee joint angles of 111° to 169° (approximately full extension) using a Contrex MJ dynamometer. Maximal voluntary torque was represented by a 19-parameter two-joint function of ankle and knee joint angles and angular velocities with the parameters determined by minimizing a weighted root mean square difference between measured torques and the two-joint function. The weighted root mean square difference between the two-joint function and the measured torques was 10 N-m or 3% of maximum torque. The two-joint function was a more accurate representation of maximal voluntary ankle plantar flexor torques than an existing single-joint function where differences of 19% of maximum torque were found. It is concluded that when the knee is flexed by more than 40°, a two-joint representation is necessary

Parametric Pricing of Higher Order Moments in S&p500 Options

A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced. The parametric pricing model nests the Black-Scholes model and can explain volatility smiles and skews in stock options. The data consist of S&P500 options traded on select days in April, 1995, a total sample of over 500,000 observations. A number of performance criteria are used to evaluate the alternative models. The empirical results show that pricing higher order moments yield improvements in the pricing of options over the Black-Scholes model as well as other models

Human red blood cells at work: identification and visualization of erythrocytic eNOS activity in health and disease

A nitric oxide synthase (NOS)-like activity has been demonstrated in human red blood cells (RBCs), but doubts about its functional significance, isoform identity and disease relevance remain. Using flow cytometry in combination with the NO-imaging probe DAF-FM we find that all blood cells form NO intracellularly, with a rank order of monocytes > neutrophils > lymphocytes > RBCs > platelets. The observation of a NO-related fluorescence within RBCs was unexpected given the abundance of the NO-scavenger oxyhemoglobin. Constitutive normoxic NO formation was abolished by NOS inhibition and intracellular NO scavenging, confirmed by laser-scanning microscopy and unequivocally validated by detection of the DAF-FM reaction product with NO using HPLC and LC-MS/MS. Employing immunoprecipitation, ESI-MS/MS-based peptide sequencing and enzymatic assay we further demonstrate that human RBCs contain an endothelial NOS (eNOS) that converts L-3H-Arginine to L-3H-Citrulline in a Ca2+/Calmodulin-dependent fashion. Moreover, in patients with coronary artery disease, red cell eNOS expression and activity are both lower than in age-matched healthy individuals and correlate with the degree of endothelial dysfunction. Thus, human RBCs constitutively produce NO under normoxic conditions via an active eNOS isoform the activity of which is compromised in patients with coronary artery disease