Security price process models : do these have the correct properties for understanding options values?

It is well known that the market price of options are inconsistent with option pricing models that assume the innovation of the underlying price follows Geometric Brownian Motion. What is not clear is why this occurs. The testing of option pricing models requires a joint hypothesis to be tested that the options pricing models are correct and that the options markets are efficient. To test the option pricing models, we will examine the relationship between the objective and risk neutral dispersion processes for twelve financial futures markets. These markets have been selected so that we can investigate the dynamics of equity, fixed income and foreign exchange asset classes. Our analysis of the objective dispersion processes allows us to reject the hypothesis that the prices of these twelve markets follow Geometric Brownian motion. For all twelve markets and for various sub-periods of analysis, we find that the optimal models for capturing the dynamics of the objective dispersion process include jump diffusion and stochastic volatility. For the risk neutral dispersion process, we chose to examine the implied volatility surfaces from the closing prices of options (on these same futures markets). It appears that both within and between markets similar dynamics determine the shapes of the implied volatility surfaces. By employing an Analysis of Covariance approach, we found that important consistencies exist within asset classes and between markets. The first order strike price effect (skewness) differs widely among markets but is fairly consistent within the same asset class. The second order strike price effect (kurtosis) is consistent among all markets. The dependency of both strike price effects on the time to expiration is also similar across all markets and suggests that both jump diffusion and stochastic volatility play a role. A comparison of option prices, which are consistent with the objective dispersion process, with actual options prices suggests that significant divergences exist. The actual smile patterns display greater variation in the amplitude compared to those from the objective function. The least degree of discrepancy exists for the foreign exchange markets. Both the stock index and fixed income options dispersion processes display behaviours that diverge considerably. This divergence is primarily due to the existence of negative skews that are not justified by the objective dispersion processes. This suggests that other mechanisms are at work for the risk neutral dispersion processes for these asset classes. The most likely explanations are the existence of risk premia associated with stochastic volatility and non-diversifiable jumps or that transaction costs are relevant

Simulation of human factors for material safety

The D-1 (Statistical Sciences) and D-2 (Stockpile Complex Modeling and Analysis) groups frequently collaborate to analyze production capabilities at Los Alamos National Laboratory. The facilities in question run the gamut from traditional machining to the fabrication of Plutonium components. This paper documents our efforts to extend our modeling capabilities from traditional discrete event simulation modeling to include agent based models

The Treatment In Morning versus Evening (TIME) study:Analysis of recruitment, follow-up and retention rates post-recruitment

Abstract Background The use of information technology (IT) is now the preferred method of capturing and storing clinical research data. The Treatment In Morning versus Evening (TIME) study predominantly uses electronic data capture and IT to compare morning dosing of hypertensive medication against evening dosing. Registration, consent, participant demographics and follow-up data are all captured via the study website. The aim of this article is to assess the success of the TIME methodology compared with similar studies. Methods To assess the TIME study, published literature on similar clinical trials was reviewed and compared against TIME recruitment, follow-up and email interaction data. Results The TIME website registered 31,695 individuals, 21,116 of whom were randomised. Recruitment cost per randomised participant varied by strategy: £17.40 by GP practice, £3.08 by UK Biobank and £58.82 for GoShare. Twelve-month follow-up retention rates were 96%. A total of 1089 participants have withdrawn from their assigned time of dosing, 2% of whom have declined follow-up by record linkage or further contact. When the TIME data are compared with similar study data, study recruitment is very successful. However, TIME suffers difficulties with participant follow-up and withdrawal rates similar to those of conventional studies. Conclusions The TIME study has been successful in recruitment. Follow-up, retention rates and withdrawal rates are all acceptable, but ongoing work is required to ensure participants remain engaged with the study. Various recruitment strategies are necessary, and all viable options should be encouraged to maintain participant engagement throughout the life of studies using IT

Pre-Clinical Evaluation of a Replication-Competent Recombinant Adenovirus Serotype 4 Vaccine Expressing Influenza H5 Hemagglutinin

Influenza virus remains a significant health and social concern in part because of newly emerging strains, such as avian H5N1 virus. We have developed a prototype H5N1 vaccine using a recombinant, replication-competent Adenovirus serotype 4 (Ad4) vector, derived from the U.S. military Ad4 vaccine strain, to express the hemagglutinin (HA) gene from A/Vietnam/1194/2004 influenza virus (Ad4-H5-Vtn). Our hypothesis is that a mucosally-delivered replicating Ad4-H5-Vtn recombinant vector will be safe and induce protective immunity against H5N1 influenza virus infection and disease pathogenesis.The Ad4-H5-Vtn vaccine was designed with a partial deletion of the E3 region of Ad4 to accommodate the influenza HA gene. Replication and growth kinetics of the vaccine virus in multiple human cell lines indicated that the vaccine virus is attenuated relative to the wild type virus. Expression of the HA transgene in infected cells was documented by flow cytometry, western blot analysis and induction of HA-specific antibody and cellular immune responses in mice. Of particular note, mice immunized intranasally with the Ad4-H5-Vtn vaccine were protected against lethal H5N1 reassortant viral challenge even in the presence of pre-existing immunity to the Ad4 wild type virus.Several non-clinical attributes of this vaccine including safety, induction of HA-specific humoral and cellular immunity, and efficacy were demonstrated using an animal model to support Phase 1 clinical trial evaluation of this new vaccine

Parasites of non-native freshwater fishes introduced into england and wales suggest enemy release and parasite acquisition

When non-native species are introduced into a new range, their parasites can also be introduced, with these potentially spilling-over into native hosts. However, in general, evidence suggests that a high proportion of their native parasites are lost during introduction and infections by some new parasites from the native range might occur, potentially resulting in parasite spill-back to native species. These processes were investigated here using parasite surveys and literature review on seven non-native freshwater fishes introduced into England and Wales. Comparison of the mean numbers of parasite species and genera per population for each fish species England andWaleswith their native ranges revealed\9 % of the native parasite fauna were present in their populations in England and Wales. There was no evidence suggesting these introduced parasites had spilled over into sympatric native fishes. The non-native fishes did acquire parasites following their introduction, providing potential for parasite spill-back to sympatric fishes, and resulted in non-significant differences in overall mean numbers of parasites per populations between the two ranges. Through this acquisition, the non-native fishes also had mean numbers of parasite species and genera per population that were not significantly different to sympatric native fishes. Thus, the non-native fishes in England and Wales showed evidence of enemy release, acquired new parasites following introduction providing potential for spill-back, but showed no evidence of parasite spill-over

Immunological Change in a Parasite-Impoverished Environment: Divergent Signals from Four Island Taxa

Dramatic declines of native Hawaiian avifauna due to the human-mediated emergence of avian malaria and pox prompted an examination of whether island taxa share a common altered immunological signature, potentially driven by reduced genetic diversity and reduced exposure to parasites. We tested this hypothesis by characterizing parasite prevalence, genetic diversity and three measures of immune response in two recently-introduced species (Neochmia temporalis and Zosterops lateralis) and two island endemics (Acrocephalus aequinoctialis and A. rimitarae) and then comparing the results to those observed in closely-related mainland counterparts. The prevalence of blood parasites was significantly lower in 3 of 4 island taxa, due in part to the absence of certain parasite lineages represented in mainland populations. Indices of genetic diversity were unchanged in the island population of N. temporalis; however, allelic richness was significantly lower in the island population of Z. lateralis while both allelic richness and heterozygosity were significantly reduced in the two island-endemic species examined. Although parasite prevalence and genetic diversity generally conformed to expectations for an island system, we did not find evidence for a pattern of uniformly altered immune responses in island taxa, even amongst endemic taxa with the longest residence times. The island population of Z. lateralis exhibited a significantly reduced inflammatory cell-mediated response while levels of natural antibodies remained unchanged for this and the other recently introduced island taxon. In contrast, the island endemic A. rimitarae exhibited a significantly increased inflammatory response as well as higher levels of natural antibodies and complement. These measures were unchanged or lower in A. aequinoctialis. We suggest that small differences in the pathogenic landscape and the stochastic history of mutation and genetic drift are likely to be important in shaping the unique immunological profiles of small isolated populations. Consequently, predicting the impact of introduced disease on the many other endemic faunas of the remote Pacific will remain a challenge

Current and emerging developments in subseasonal to decadal prediction

Weather and climate variations of subseasonal to decadal timescales can have enormous social, economic and environmental impacts, making skillful predictions on these timescales a valuable tool for decision makers. As such, there is a growing interest in the scientific, operational and applications communities in developing forecasts to improve our foreknowledge of extreme events. On subseasonal to seasonal (S2S) timescales, these include high-impact meteorological events such as tropical cyclones, extratropical storms, floods, droughts, and heat and cold waves. On seasonal to decadal (S2D) timescales, while the focus remains broadly similar (e.g., on precipitation, surface and upper ocean temperatures and their effects on the probabilities of high-impact meteorological events), understanding the roles of internal and externally-forced variability such as anthropogenic warming in forecasts also becomes important. The S2S and S2D communities share common scientific and technical challenges. These include forecast initialization and ensemble generation; initialization shock and drift; understanding the onset of model systematic errors; bias correct, calibration and forecast quality assessment; model resolution; atmosphere-ocean coupling; sources and expectations for predictability; and linking research, operational forecasting, and end user needs. In September 2018 a coordinated pair of international conferences, framed by the above challenges, was organized jointly by the World Climate Research Programme (WCRP) and the World Weather Research Prograame (WWRP). These conferences surveyed the state of S2S and S2D prediction, ongoing research, and future needs, providing an ideal basis for synthesizing current and emerging developments in these areas that promise to enhance future operational services. This article provides such a synthesis