Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization

A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we introduce the Stationary Heston model where we replace the deterministic initial condition of the volatility by its invariant measure and show, based on calibrated parameters, that this model produce a steeper smile for short maturities than the Standard Heston model. We also present numerical solution based on Product Recursive Quantization for the evaluation of exotic options (Bermudan and Barrier options)

A Quadratic Gaussian Year-on-Year Inflation Model

We introduce a new approach to model the market smile for inflation-linked derivatives by defining the Quadratic Gaussian Year-on-Year inflation model—the QGY model. We directly define the model in terms of a year-on-year ratio of the inflation index on a discrete tenor structure, which, along with the nominal discount bond, is driven by a log-quadratic function of a multi-factor Gaussian Markov process. We find closed-form expressions for the drift of the inflation index and for inflation-linked swaps. We get a Black-Scholes-type pricing formula for year-on-year inflation caplets in semi-analytical form. The formula contains an integral of a multivariate Gaussian density over a quadratic domain. In a two-dimensional case, we show how this integral reduces to a one-dimensional integration along the boundary of a conic section. In the case where the year-on-year inflation ratio is driven by two factors, we specify a spherical parameterisation. This gives an intuitive control over the curvature and the skew of the year-on-year inflation smile and shows the maximum curvature and skew obtainable with a particular three-factor version of the QGY model. Within this three-factor model, we identify a parameterisation to control the autocorrelation structure of the inflation index. We calibrate the model to year-on-year inflation options on the UK’s Retail Prices Index (RPI) and the eurozone’s Harmonised Index of Consumer Prices Excluding Tobacco (HICPxT) and get a good fit to the smile of implied volatilities. We use the calibrated model to price HICPxT zero-coupon inflation options and RPI limited price indices (LPIs). Furthermore, we provide methods to interpolate the process for the inflation index and the year-on-year inflation ratio between dates on the tenor structure. Keywords: Year-on-year inflation modelling; multi-factor log-quadratic Gaussian model; stochastic-volatility parameterisation; inflation autocorrelation; year-on-year inflation calibration; LPI pricing

Investigating learning space for research workspaces in higher education in Malaysia

Purpose – The purpose of this paper is to investigate learning space for research workspaces in Higher Education Institutions (HEIs) in Malaysia based on the evaluations by experts and university research workers on a practical model for creating an effective research learning space. It examines expert analyses of the notion of a suitable research learning workspace and explores worker viewpoints on this issue.Method – Experts from business (n=2), education (n=2) and architectural (n=2) backgrounds were interviewed and a survey was conducted on research workers from selected universities in Malaysia (n=222). Findings – A research learning workspace model is proposed based on evaluations by workers and experts on what was needed in a research-based working space to make it more work-friendly and intellectually stimulating for researchers. Significance – This research attempts to understand research learning space problems in institutions of higher learning and proposes one possible model for future research learning workspace planning. It also contributes to the literature on research learning workspace and its management in developing countries, especially when Asia is positioning itself today as a competitive global educational hub

Genetics, Family Structure, and Economic Growth

Recent biomedical research shows that roughly three-quarters of cognitive abilities are attributable to genetics and family environment. This paper presents a theory of growth in which human capital is determined by inheritable factors and family size. The distribution of income is shown to affect the number of births, with greater inequality raising the fertility rates and reducing output growth in the transitional dynamics. If human or physical stocks are sufficiently low, the model shows that an economy can be caught in a fertility-caused poverty trap, while countries with more resources will converge to a balanced growth path where the average transmission of human capital from parents to childern determines the long-run rate of output growth.genetics; siblings; growth; fertility; human capital

Interspecific variation in the relationship between clutch size, laying date and intensity of urbanization in four species of hole-nesting birds

Marie Vaugoyeau [et al.]The increase in size of human populations in urban and agricultural areas has resulted in considerable habitat conversion globally. Such anthropogenic areas have specific environmental characteristics, which influence the physiology, life history, and population dynamics of plants and animals. For example, the date of bud burst is advanced in urban compared to nearby natural areas. In some birds, breeding success is determined by synchrony between timing of breeding and peak food abundance. Pertinently, caterpillars are an important food source for the nestlings of many bird species, and their abundance is influenced by environmental factors such as temperature and date of bud burst. Higher temperatures and advanced date of bud burst in urban areas could advance peak caterpillar abundance and thus affect breeding phenology of birds. In order to test whether laying date advance and clutch sizes decrease with the intensity of urbanization, we analyzed the timing of breeding and clutch size in relation to intensity of urbanization as a measure of human impact in 199 nest box plots across Europe, North Africa, and the Middle East (i.e., the Western Palearctic) for four species of hole-nesters: blue tits (Cyanistes caeruleus), great tits (Parus major), collared flycatchers (Ficedula albicollis), and pied flycatchers (Ficedula hypoleuca). Meanwhile, we estimated the intensity of urbanization as the density of buildings surrounding study plots measured on orthophotographs. For the four study species, the intensity of urbanization was not correlated with laying date. Clutch size in blue and great tits does not seem affected by the intensity of urbanization, while in collared and pied flycatchers it decreased with increasing intensity of urbanization. This is the first large-scale study showing a species-specific major correlation between intensity of urbanization and the ecology of breeding. The underlying mechanisms for the relationships between life history and urbanization remain to be determined. We propose that effects of food abundance or quality, temperature, noise, pollution, or disturbance by humans may on their own or in combination affect laying date and/or clutch size.E. Barba acknowledges funding of project CGL2013-48001-C2-1-P (Spanish Ministry of Science and Innovation).Peer Reviewe

Guest Editorial: Sustainable growth and development in the food and beverage sector

The main reason for writing this Editorial on the Special Issue 'Sustainable growth and development in the food and beverage sector” is to acknowledge the brilliant contribution of the researchers who have enriched the British Food Journal (BFJ) with their contributions. This Special Issue contributes to the literature on the advancement of technologies and their impact on individuals" behaviours, measures to be taken for environmental protection and green consumption, extends research in the field of sustainable supply chain management, consumer perceptions and reactions to food products and provides various tools to manage individuals" behaviours. Previous studies have already identified changes adapted to the environment. Consumers are becoming increasingly demanding and require their needs to be met as quickly as possible (Baker et al., 2020). The literature also demonstrates the growing interest of digitalization in institutions, even affecting customer consumption (Zhuang et al., 2021). Selby et al. (2021) claim that individuals with low levels of physical activity, poor diet and smoking tend to acquire higher risks on their adaptations. Another issue is the recent COVID-19 pandemic. This has resulted in numerous restrictions in daily life, including social isolation and lack of defined protocols (Jaworski, 2021). Individuals" lifestyles have been modified, and they have had to adapt in order not to spread the virus. According to Ammar et al. (2020), food consumption and eating patterns were characterised as more unhealthy during confinement

Single-cell characterization of dog allergen–specific T cells reveals TH2 heterogeneity in allergic individuals

BackgroundAllergen-specific type 2 CD4+ TH2 cells are critically involved in the pathogenesis of IgE-mediated allergic diseases. However, the heterogeneity of the TH2 response has only recently been appreciated.ObjectiveWe sought to characterize at the single-cell level the ex vivo phenotype, transcriptomic profile, and T-cell receptor (TCR) repertoire of circulating CD4+ T cells specific to the major dog allergens Can f 1, Can f 4, and Can f 5 in subjects with and without dog allergy.MethodsDog allergen–specific memory CD4+ T cells were detected ex vivo by flow cytometry using a CD154-based enrichment assay and single-cell sorted for targeted gene expression analysis and TCR sequencing.ResultsDog allergen–specific T-cell responses in allergic subjects were dominantly of TH2 type. TH2 cells could be phenotypically further divided into 3 subsets, which consisted of TH2-like (CCR6−CXCR3−CRTH2−), TH2 (CCR6−CXCR3−CRTH2+CD161−), and TH2A (CCR6−CXCR3−CRTH2+CD161+CD27−) cells. All these subsets were nonexistent within the allergen-specific T-cell repertoire of healthy subjects. Single-cell transcriptomic profiling confirmed the TH2-biased signature in allergen-specific T cells from allergic subjects and revealed a TH1/TH17 signature in nonallergic subjects. TCR repertoire analyses showed that dog allergen–specific T cells were diverse and allergic subjects demonstrated less clonality compared to nonallergic donors. Finally, TCR and transcriptomic analyses revealed a close relationship between TH2-like, TH2, and TH2A cells, with the last ones representing the most terminally differentiated and highly polarized subtype.ConclusionsOur study demonstrates heterogeneity within allergen-specific TH2 cells at the single-cell level. The results may be utilized for improving immune monitoring after allergen immunotherapy and for designing targeted immunomodulatory approaches.</p