Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P 500 index volatility. Volatility models are compared by their ability to hedge options positions sensitive to the term structure of volatility. Overall, the most effective hedge is a Black-Scholes (BS) delta-gamma hedge, while the BS delta-vega hedge is the least effective. The most successful volatility hedge is GARCH components delta-gamma, suggesting that the GARCH components estimate of the term structure of volatility is most accurate. The success of the BS delta-gamma hedge may be due to mispricing in the options market over the sample period.

Random mixtures of polycyclic aromatic hydrocarbon spectra match interstellar infrared emission

The mid-infrared (IR; 5-15~$\mu$m) spectrum of a wide variety of astronomical objects exhibits a set of broad emission features at 6.2, 7.7, 8.6, 11.3 and 12.7 $\mu$m. About 30 years ago it was proposed that these signatures are due to emission from a family of UV heated nanometer-sized carbonaceous molecules known as polycyclic aromatic hydrocarbons (PAHs), causing them to be referred to as aromatic IR bands (AIBs). Today, the acceptance of the PAH model is far from settled, as the identification of a single PAH in space has not yet been successful and physically relevant theoretical models involving ``true'' PAH cross sections do not reproduce the AIBs in detail. In this paper, we use the NASA Ames PAH IR Spectroscopic Database, which contains over 500 quantum-computed spectra, in conjunction with a simple emission model, to show that the spectrum produced by any random mixture of at least 30 PAHs converges to the same 'kernel'-spectrum. This kernel-spectrum captures the essence of the PAH emission spectrum and is highly correlated with observations of AIBs, strongly supporting PAHs as their source. Also, the fact that a large number of molecules are required implies that spectroscopic signatures of the individual PAHs contributing to the AIBs spanning the visible, near-infrared, and far infrared spectral regions are weak, explaining why they have not yet been detected. An improved effort, joining laboratory, theoretical, and observational studies of the PAH emission process, will support the use of PAH features as a probe of physical and chemical conditions in the nearby and distant Universe

Neutral carbon and CO in 76 (U)LIRGs and starburst galaxy centers A method to determine molecular gas properties in luminous galaxies

We present fluxes in both neutral carbon [CI] lines at the centers of 76 galaxies with FIR luminosities between 10^{9} and 10^{12} L(o) obtained with Herschel-SPIRE and with ground-based facilities, along with the J=7-6, J=4-3, J=2-1 12CO and J=2-1 13CO line fluxes. We investigate whether these lines can be used to characterize the molecular ISM of the parent galaxies in simple ways and how the molecular gas properties define the model results. In most starburst galaxies, the [CI]/13CO flux ratio is much higher than in Galactic star-forming regions, and it is correlated to the total FIR luminosity. The [CI](1-0)/CO(4-3), the [CI](2-1) (2-1)/CO(7-6), and the [CI] (2-1)/(1-0) flux ratios are also correlated, and trace the excitation of the molecular gas. In the most luminous infrared galaxies (LIRGs), the ISM is fully dominated by dense and moderately warm gas clouds that appear to have low [C]/[CO] and [13CO]/[12CO] abundances. In less luminous galaxies, emission from gas clouds at lower densities becomes progressively more important, and a multiple-phase analysis is required to determine consistent physical characteristics. Neither the CO nor the [CI] velocity-integrated line fluxes are good predictors of H2 column densities in individual galaxies, and X(CI) conversion factors are not superior to X(CO) factors. The methods and diagnostic diagrams outlined in this paper also provide a new and relatively straightforward means of deriving the physical characteristics of molecular gas in high-redshift galaxies up to z=5, which are otherwise hard to determine

The excitation of near-infrared H2 emission in NGC 253

Because of its large angular size and proximity to the Milky Way, NGC 253, an archetypal starburst galaxy, provides an excellent laboratory to study the intricacies of this intense episode of star formation. We aim to characterize the excitation mechanisms driving the emission in NGC 253. Specifically we aim to distinguish between shock excitation and UV excitation as the dominant driving mechanism, using Br\gamma, H_2 and [FeII] as diagnostic emission line tracers. Using SINFONI observations, we create linemaps of Br\gamma, [FeII]_{1.64}, and all detected H_2 transitions. By using symmetry arguments of the gas and stellar gas velocity field, we find a kinematic center in agreement with previous determinations. The ratio of the 2-1 S(1) to 1-0 S(1) H_2 transitions can be used as a diagnostic to discriminate between shock and fluorescent excitation. Using the 1-0 S(1)/2-1 S(1) line ratio as well as several other H_2 line ratios and the morphological comparison between H_2 and Br\gamma and [FeII], we find that excitation from UV photons is the dominant excitation mechanisms throughout NGC 253. We employ a diagnostic energy level diagram to quantitatively differentiate between mechanisms. We compare the observed energy level diagrams to PDR and shock models and find that in most regions and over the galaxy as a whole, fluorescent excitation is the dominant mechanism exciting the H_2 gas. We also place an upper limit of the percentage of shock excited H_2 at 29%. We find that UV radiation is the dominant excitation mechanism for the H_2 emission. The H_2 emission does not correlate well with Br\gamma but closely traces the PAH emission, showing that not only is H_2 fluorescently excited, but it is predominately excited by slightly lower mass stars than O stars which excite Br\gamma, such as B stars

Research on processes for utilization of lunar resources quarterly report, 16 jul. - 15 oct. 1964

Lunar resource utilization - silicate reduction unit and carbon monoxide reduction reacto

A survey of the television viewing habits of students in Somerville High School, Somerville, Massachusetts

Thesis (Ed.M.)--Boston UniversityVast amounts of published and unpublished materials concerning the implications of television in the field of education are available. A glimpse into the literature indicates a great deal of controversy over the uses, purposes, advantages, and disadvantages of television and its role in the lives of school children. The purposes of this survey are to find out the television viewing habits of a group of high school students, and the impact of television on some of the educational activities of these students. [TRUNCATED