Additive logistic processes in option pricing

In option pricing, it is customary to first specify a stochastic underlying model and then extract valuation equations from it. However, it is possible to reverse this paradigm: starting from an arbitrage-free option valuation formula, one could derive a family of risk-neutral probabilities and a corresponding risk-neutral underlying asset process. In this paper, we start from two simple arbitrage-free valuation equations, inspired by the log-sum-exponential function and an ℓp vector norm. Such expressions lead respectively to logistic and Dagum (or “log-skew-logistic”) risk-neutral distributions for the underlying security price. We proceed to exhibit supporting martingale processes of additive type for underlying securities having as time marginals two such distributions. By construction, these processes produce closed-form valuation equations which are even simpler than those of the Bachelier and Samuelson–Black–Scholes models. Additive logistic processes provide parsimonious and simple option pricing models capturing various important stylised facts at the minimum price of a single market observable input

TRS-measurements as a nondestructive method assessing stage of maturity and ripening in plum (Prunus domestica L.)

n plum fruit with dark red or blue blush colour covering the whole fruit, the change in ground colour from green to yellow during maturation and ripening is masked. Hence, the maturity stage is difficult to judge. Time-resolved reflectance spectroscopy (TRS) has been used as a nondestructive method to assess changes in important internal quality factors in ‘Jubileum’ plums (Prunus domestica L.). Absorption coefficients (µa) and scattering coefficients (µs) were measured at both 670 and 758 nm during 5 days of storage. The changes in soluble solids content, titratable acidity and firmness were as expected. No change in soluble solids content was observed, while the plums became less acid and softer during storage. The TRS-measurements of plums indicated that TRS could give interesting information on internal quality factors in plums as the absorption at 670 nm was closely related to firmness, TA and TSS at the time of picking. Absorption at 758 nm was more closely related to the quality parameters after storage. The study did not indicate that scattering could be used in assessing maturity stage in plum

The response of the male freshwater goby to natural and synthetic male courtship sound playback following exposure to different female sexual sitimuli.

Among teleosts, field and laboratory experiments have shown the playback of male courtship sounds often elicits competitive courtship and sound emission in the territorial male. However, the importance of female stimulation for the male response to the sound is poorly understood. In this study, playback experiments with the freshwater goby, Padogobius martensii, examined the response of resident males (i.e. males individually housed within laboratory tanks for at least 5 days) to natural and synthetic male courtship sounds after exposure to chemical or visual stimuli from a ripe female. All playback tests consisted of one experimental (sound playback) and two control treatments, all of equal duration. Three experiments were conducted on a first group of 12 males using natural courtship sounds. Experiment 1 consisted of playing back the sound to a male that had not exposed to female stimulation for at least 24 hr. The same male was exposed to the “female pheromone” by dropping a few cm3 of female holding water into the male’s tank, just prior to playback (Experiment 2), or to the view of a live ripe female in a close-by tank, during playback (Experiment 3). The sound playback failed to elicit positive responses by males not exposed to female stimuli (Experiment 1), and did not increase courtship activity of the male in visual contact with the female (Experiment 3). However, it increased swimming activity and facilitated courtship and sound production in the male after an increase in sexual arousal by prior chemical stimulation (Experiment 2). In Experiment 4, the synthetic version of the courtship sound and one deprived of pulse-rate modulation and harmonic content (pure tone) were played back to 10 resident males following prior chemical stimulation. The synthetic courtship sound, but not the pure tone, was effective in eliciting positive responses by the sexually aroused male. Functional implications of the responses to the courtship sound for the territorial male are discussed. The results are relevant to the understanding of the role of sound communication and interception among gobies and to develop playback experiments in the field

Feeding behaviour of larval European sea bass (Dicentrarchus labrax L.) in relation to temperature and prey density

The feeding behaviour of larval European sea bass (Dicentrarchus labrax, L.) was analysed in relation to temperature and prey density under controlled laboratory conditions with the aim to assess the ability of larval fish to change the feeding tactic as a response to environmental changes. Larvae were acclimated for 20 days at three different temperatures (19, 22 and 26°C), and their feeding behaviour was then video-recorded in experimental trials, at two prey densities, consisting of swarms of 400/l and 1440/l Artemia nauplii. Results showed that there was a significant effect of the interaction between temperature and prey density on the proportion of swimming activity that was reduced at the high temperature-high prey density combination. This suggested a switching in the larval feeding behaviour from an active to an ambush tactic, when the temperature reached 26°C and the prey density was 1440 /l Artemia nauplii. These results are consistent with the current literature on fish larval behaviour in showing that the foraging tactic can be modulated by the interaction of different abiotic and biotic factors characterising the rearing environment

Monitoring of Cell Layer Integrity with a Current-Driven Organic Electrochemical Transistor

The integrity of CaCo-2 cell barriers is investigated by organic electrochemical transistors (OECTs) in a current-driven configuration. Ion transport through cellular barriers via the paracellular pathway is modulated by tight junctions between adjacent cells. Rupturing its integrity by H2O2 is monitored by the change of the output voltage in the transfer characteristics. It is demonstrated that by operating the OECT in a current-driven configuration, the sensitive and temporal resolution for monitoring the cell barrier integrity is strongly enhanced as compared to the OECT transient response measurement. As a result, current-driven OECTs are useful tools to assess dynamic and critical changes in tight junctions, relevant for clinical applications as drug targeting and screening

Non-Thermal Emission from AGN Coronae

Accretion disk coronae are believed to account for X-ray emission in Active Galactic Nuclei (AGNs). In this paper the observed emission is assumed to be due to a population of relativistic, non-thermal electrons (e.g. produced in a flare) injected at the top of an accretion disk magnetic loop. While electrons stream along magnetic field lines their energy distribution evolves in time essentially because of inverse Compton and synchrotron losses. The corresponding time dependent emission due, in the X-ray energy range, to the inverse Compton mechanism, has been computed. Since the typical decay time of a flare is shorter than the integration time for data acquisition in the X-ray domain, the resulting spectrum is derived as the temporal mean of the real, time-dependent, emission, as originated by a series of consecutive and identical flares. The model outcome is compared to both the broad band BeppoSAX X-ray data of the bright Seyfert 1 NGC 5548, and to a few general X-ray spectral properties of Seyfert 1s as a class. The good agreement between model and observations suggests that the presently proposed non-thermal, non-stationary model could be a plausible explanation of AGN X-ray emission, as an alternative to thermal coronae models.Comment: 15 pages, 4 postscript figure

From Beam to Chassis: How to Increase NVH Performances with an Optimized Moment of Inertia Distribution

Car weight reduction is becoming more and more important for every kind of vehicle: minor mass implies, in fact, minor consumption, makes easier to fulfill homologation rules and assures a better handling behavior. Despite that, several vehicle missions have always been solved by adding more mass, e.g. NVH. In this paper, a methodology to optimize the stiffness distribution is proposed in order to obtain better vibrational performances without increasing the mass. At first, the problem has been solved for a simple beam using finite element and optimization algorithms. At a second stage, the optimal moment of inertia distribution found has been applied to a chassis thanks to a topometry optimization. Finally, the improvement in NVH performances has been verified comparing the inertances of the optimized model with those of the non-optimized one