Options on realized variance and convex orders

Realized variance option and options on quadratic variation normalized to unit expectation are analysed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk-neutral densities are said to be increasing in the convex order. For Leacutevy processes, such prices decrease with maturity. A time series analysis of squared log returns on the S&P 500 index also reveals such a decrease. If options are priced to a slightly increasing level of acceptability, then the resulting risk-neutral densities can be increasing in the convex order. Calibrated stochastic volatility models yield possibilities in both directions. Finally, we consider modeling strategies guaranteeing an increase in convex order for the normalized quadratic variation. These strategies model instantaneous variance as a normalized exponential of a Leacutevy process. Simulation studies suggest that other transformations may also deliver an increase in the convex order

The fine structure of asset returns: an empirical investigation

We investigate the importance of diffusion and jumps in a new model for asset returns. In contrast to standard models, we allow for jump components displaying finite or infinite activity and variation. Empirical investigations of time series indicate that index dynamics are devoid of a diffusion component, which may be present in the dynamics of individual stocks. This leads to the conjecture, confirmed on options data, that the risk-neutral process should be free of a diffusion component. We conclude that the statistical and risk-neutral processes for equity prices are pure jump processes of infinite activity and finite variation

Cohesive Energies and other Properties of Ionic Crystals—I. Alkali Halides

The lattice energies and other properties of ionic crystals have been studied on the basis of a Lennard-Jones (12 : 6) potential form and the necessary equations derived. Experimental data for the inter ionic distances and lattice energies for such crystal have been used to give the values of the repulsive force parameter B and the van der Waals Parameter C, which in turn have been utilized to obtain lattice energies, compress abilities and the coefficient of linear expansion. Satisfactory agreement is found between the experimental values and those calculated theoretically

Effect of elevated CO2 and high temperature on seed-set and grain quality of rice

Hybrid vigour may help overcome the negative effects of climate change in rice. A popular rice hybrid (IR75217H), a heat-tolerant check (N22), and a mega-variety (IR64) were tested for tolerance of seed-set and grain quality to high-temperature stress at anthesis at ambient and elevated [CO2]. Under an ambient air temperature of 29 °C (tissue temperature 28.3 °C), elevated [CO2] increased vegetative and reproductive growth, including seed yield in all three genotypes. Seed-set was reduced by high temperature in all three genotypes, with the hybrid and IR64 equally affected and twice as sensitive as the tolerant cultivar N22. No interaction occurred between temperature and [CO2] for seed-set. The hybrid had significantly more anthesed spikelets at all temperatures than IR64 and at 29 °C this resulted in a large yield advantage. At 35 °C (tissue temperature 32.9 °C) the hybrid had a higher seed yield than IR64 due to the higher spikelet number, but at 38 °C (tissue temperature 34–35 °C) there was no yield advantage. Grain gel consistency in the hybrid and IR64 was reduced by high temperatures only at elevated [CO2], while the percentage of broken grains increased from 10% at 29 °C to 35% at 38 °C in the hybrid. It is concluded that seed-set of hybrids is susceptible to short episodes of high temperature during anthesis, but that at intermediate tissue temperatures of 32.9 °C higher spikelet number (yield potential) of the hybrid can compensate to some extent. If the heat tolerance from N22 or other tolerant donors could be transferred into hybrids, yield could be maintained under the higher temperatures predicted with climate change

The hidden mystery of a lustrous pearl unraveled The Hindu dated 19th October 2012

People believe that pearl is conceived by oyster when it receives a drop of rain or dew. Natural pearls form under a set of accidental conditions when a microscopic intruder or grain of sand enters an oyster (mollusk) and settles inside the shell. The oyster, being irritated by the intruder, secretes a substance called nacre to soothe its irritation. This process is repeated for many years, thus producing a real pearl which may or may not be found by man. For a natural pearl forming with a nice round or oval shape, and free of any flaws, is actually a real-life “miracle.” The chances of a perfect natural pearl are one in a million. Nacre is a combination of crystalline and organic substances

Two Modes of Solid State Nucleation - Ferrites, Martensites and Isothermal Transformation Curves

When a crystalline solid such as iron is cooled across a structural transition, its final microstructure depends sensitively on the cooling rate. For instance, an adiabatic cooling across the transition results in an equilibrium `ferrite', while a rapid cooling gives rise to a metastable twinned `martensite'. There exists no theoretical framework to understand the dynamics and conditions under which both these microstructures obtain. Existing theories of martensite dynamics describe this transformation in terms of elastic strain, without any explanation for the occurence of the ferrite. Here we provide evidence for the crucial role played by non-elastic variables, {\it viz.}, dynamically generated interfacial defects. A molecular dynamics (MD) simulation of a model 2-dimensional (2d) solid-state transformation reveals two distinct modes of nucleation depending on the temperature of quench. At high temperatures, defects generated at the nucleation front relax quickly giving rise to an isotropically growing `ferrite'. At low temperatures, the defects relax extremely slowly, forcing a coordinated motion of atoms along specific directions. This results in a twinned critical nucleus which grows rapidly at speeds comparable to that of sound. Based on our MD results, we propose a solid-state nucleation theory involving the elastic strain and non-elastic defects, which successfully describes the transformation to both a ferrite and a martensite. Our work provides useful insights on how to formulate a general dynamics of solid state transformations.Comment: 3 pages, 4 B/W + 2 color figure

Bovine oocytes and early embryos express Staufen and ELAVL RNA-binding proteins.

RNA-binding proteins (RBP) influence RNA editing, localization, stability and translation and may contribute to oocyte developmental competence by regulating the stability and turnover of oogenetic mRNAs. The expression of Staufen 1 and 2 and ELAVL1, ELAVL2 RNA-binding proteins during cow early development was characterized. Cumulus-oocyte complexes were collected from slaughterhouse ovaries, matured, inseminated and subjected to embryo culture in vitro. Oocyte or preimplantation embryo pools were processed for RT-PCR and whole-mount immunofluorescence analysis of mRNA expression and protein distribution. STAU1 and STAU2 and ELAVL1 mRNAs and proteins were detected throughout cow preimplantation development from the germinal vesicle (GV) oocyte to the blastocyst stage. ELAVL2 mRNAs were detectable from the GV to the morula stage, whereas ELAVL2 protein was in all stages examined and localized to both cytoplasm and nuclei. The findings provide a foundation for investigating the role of RBPs during mammalian oocyte maturation and early embryogenesis