Estimation of Risk-Neutral Density Surfaces

Option price data is often used to infer risk-neutral densities for future prices of an underlying asset. Given the prices of a set of options on the same underlying asset with different strikes and maturities, we propose a nonparametric approach for estimating risk-neutral densities associated with several maturities. Our method uses bicubic splines in order to achieve the desired smoothness for the estimation and an optimization model to choose the spline functions that best fit the price data. Semidefinite programming is employed to guarantee the nonnegativity of the densities. We illustrate the process using synthetic option price data generated using log-normal and absolute diffusion processes as well as actual price data for options on the S&P500 index. We also used the risk-neutral densities that we computed to price exotic options and observed that this approach generates prices that closely approximate the market prices of these options.

A small sperm whale (Cetacea: Odontoceti, Physeteridae) from the Miocene of Antwerp

In the summer of 1967 during the construction of the circular highway in the city of Antwerp (Belgium) the fossil remains of a small physeterid whale were discovered. In the 1990’s the remains were sold by the collector and they disappeared from sight. In 2001 the fossils turned up again and were bought by the Museum of Natural History (Natuurhistorisch Museum de Peel) in Asten, the Netherlands, where they are now exhibited. This article presents (1) a re-examination of the site of discovery and its documentation by the collector, and (2) an investigation of the fossils that reappeared in 2001. Compared to the findings in situ, the fossils originating from glauconitic sands of late Early to Middle Miocene Age (Antwerpen Sands) are missing a number of teeth. The remaining pieces of the whale are described and illustrated in this study. On the basis of the teeth, some parts of the skull, the main parts of the atlas and the typically fused cervical vertebrae 2-7, as well as a photograph of the periotic it is concluded that the sperm whale belongs to the family Physeteridae, subfamily Physeterinae. Assigning to generic or specific rank turned out to be more difficult. Yet an attempt is made to interpret the sperm whale find in a provisional way by comparing its skull parts and teeth with physeterine genera and species described hitherto. Physeterula dubusii and Orycterocetus sp. seem to show closest affinities. Postcranial structure of fossil sperm whales is not very well known. The numerous fragments of the specimen described here could give a more complete insight in the overall skeletal structure of these Miocene odontocetes

Laboratório de SIG e CAD, Unidade Técnico Científica - Recursos Naturais e Desenvolvimento Sustentável.

Laboratório de SIG e CAD, Unidade Técnico Científica - Recursos Naturais e Desenvolvimento Sustentável.info:eu-repo/semantics/publishedVersio

Structural and optical properties of europium doped zirconia single crystals fibers grown by laser floating zone

Yttria stabilized zirconia single crystal fibers doped with europium ions were developed envisaging optical applications. The laser floating zone technique was used in order to grow millimetric high quality single crystal fibers. The as-grown fibers are completely transparent and inclusion free, exhibiting a cubic structure. Under ultraviolet (UV) excitation, a broad emission band appears at 551 nm. The europium doped fibers are translucent with a tetragonal structure and exhibit an intense red emission at room temperature under UV excitation. The fingerprint transition lines between the 5D0 and 7FJ(0–4) multiplets of the Eu3+ ions are observed with the main emission line at ∼ 606 nm due to 5D0→7F2 transition. Photoluminescence excitation and wavelength dependent the photoluminescence spectra confirm the existence of different Eu3+ optical centers. © 2011 American Institute of PhysicsFCT-PTDC/CTM/66195/2006FCT-SFRH/BD/45774/200

A 3D generalized rigid particle contact model for rock fracture

Detailed rigid particle models have been proposed for modeling fracture in quasibrittle materials. The rigid particle circular models proposed in the literature do not properly reproduce the known rock friction angle and the observed rock tensile strength to compression strength ratio. In this article, a 3D rigid particle contact model, 3D-GCM, is presented which has been developed to study fracture phenomena in rock. The 3D-GCM contact model incorporates in a straightforward manner the force versus displacement relationships of the traditional contact point contact model model, PCM. Furthermore it provides both moment transmission and simple physical constitutive models based on standard force displacement relationships. The 3D-GCM model is validated against known triaxial and Brazilian tests of a granite rock. It is shown that the enhanced rigid particle model leads to a better agreement with the experimental results