Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

We derive a unified model which gives closed form solutions for caps and floors written on interest rates as well as puts and calls written on zero-coupon bonds. The crucial assumption is that forward rates with a compounding period that matches the contract, which we want to price, is log-normally distributed. Moreover, this assumption is shown to be consistent with the Heath-Jarrow-Morton model for a specific choice of volatility.Log-normal, nominal-compounding rates, Heath-Jarrow- Morton model

Statistical Mechanics Characterization of Neuronal Mosaics

The spatial distribution of neuronal cells is an important requirement for achieving proper neuronal function in several parts of the nervous system of most animals. For instance, specific distribution of photoreceptors and related neuronal cells, particularly the ganglion cells, in mammal's retina is required in order to properly sample the projected scene. This work presents how two concepts from the areas of statistical mechanics and complex systems, namely the \emph{lacunarity} and the \emph{multiscale entropy} (i.e. the entropy calculated over progressively diffused representations of the cell mosaic), have allowed effective characterization of the spatial distribution of retinal cells.Comment: 3 pages, 1 figure, The following article has been submitted to Applied Physics Letters. If it is published, it will be found online at http://apl.aip.org

Metabolic engineering of astaxanthin biosynthesis in maize endosperm and characterization of a prototype high oil hybrid

Maize was genetically engineered for the biosynthesis of the high value carotenoid astaxanthin in the kernel endosperm. Introduction of a β-carotene hydroxylase and a β-carotene ketolase into a white maize genetic background extended the carotenoid pathway to astaxanthin. Simultaneously, phytoene synthase, the controlling enzyme of carotenogenesis, was over-expressed for enhanced carotenoid production and lycopene ε-cyclase was knocked-down to direct more precursors into the β-branch of the extended ketocarotenoid pathway which ends with astaxanthin. This astaxanthin-accumulating transgenic line was crossed into a high oil- maize genotype in order to increase the storage capacity for lipophilic astaxanthin. The high oil astaxanthin hybrid was compared to its astaxanthin producing parent. We report an in depth metabolomic and proteomic analysis which revealed major up- or down- regulation of genes involved in primary metabolism. Specifically, amino acid biosynthesis and the citric acid cycle which compete with the synthesis or utilization of pyruvate and glyceraldehyde 3-phosphate, the precursors for carotenogenesis, were down-regulated. Nevertheless, principal component analysis demonstrated that this compositional change is within the range of the two wild type parents used to generate the high oil producing astaxanthin hybrid

Effects of Pre- Exercise Massage on Muscle Soreness

Muscle soreness is common after intense exercise and alternative therapies are always being investigated. Some have indicated possible benefits of massage therapy but this needs to be explored further. Purpose: To determine if a pre-workout massage will help reduce muscle soreness. Methods: Twenty participants (age=30.3±6.3 yrs, ht.=167.6±11.4 cm, wt.=82.5±15.5 kg) were provided five minutes of massage on the right anterior leg and five minutes of massage on the right posterior leg. After completion of the massage, participants performed two sets of squats to a chair, first with an 8lb weight (males) or a 5 lb weight (females) to a metronome that was set to 60 beats per minute. All participants were then instructed to fill out a pain scale over a 24-hour and 48-hour period. Repeated measures ANOVA was used to determine differences in soreness with alpha set at .05. Results: There was no interaction between legs among time points, F(3, 17) = 2.52, p = .092. There was however, a main effect the massaged leg when time was combined, with a lower soreness rating in the massaged leg (5.0±2.4 units) compared to the non-massaged leg (5.8±2.1 units), p = .024. Conclusion: There is potential of reduced soreness after strenuous exercise if massage is obtained prior to activity. Future research should also look at the interactive effect of performance when receiving massage before exercise with intent on reducing soreness

Forecasting Daily Variability of the S and P 100 Stock Index using Historical, Realised and Implied Volatility Measurements

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of squared high frequency returns within a day). First we consider unobserved components and long memory models for realised volatility which is regarded as an accurate estimator of volatility. The predictive abilities of realised volatility models are compared with those of stochastic volatility models and generalised autoregressive conditional heteroskedasticity models for daily return series. These historical volatility models are extended to include realised and implied volatility measures as explanatory variables for volatility. The main focus is on forecasting the daily variability of the Standard and Poor's 100 stock index series for which trading data (tick by tick) of almost seven years is analysed. The forecast assessment is based on the hypothesis of whether a forecast model is outperformed by alternative models. In particular, we will use superior predictive ability tests to investigate the relative forecast performances of some models. Since volatilities are not observed, realised volatility is taken as a proxy for actual volatility and is used for computing the forecast error. A stationary bootstrap procedure is required for computing the test statistic and its $p$-value. The empirical results show convincingly that realised volatility models produce far more accurate volatility forecasts compared to models based on daily returns. Long memory models seem to provide the most accurate forecasts