Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in the crude-oil market. We then develop a tractable model for pricing commodity derivatives in the presence of unspanned stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi-analytical prices of options on futures and futures curve dynamics in terms of a low-dimensional affine state vector. The model performs well when estimated on an extensive panel data set of crude-oil futures and options.

A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite-dimensional affine state vector. The model has a very good fit to an extensive panel data set of interest rates, swaptions and caps. In particular, the model matches the implied cap skews and the dynamics of implied volatilities. The model also performs well in forecasting interest rates and derivatives.

An Empirical Analysis of the Swaption Cube

We use a comprehensive database of inter-dealer quotes to conduct the first empirical analysis of the dynamics of the swaption cube. Using a model independent approach, we establish a set of stylized facts regarding the cross-sectional and time-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of these distributions. In particular, we find that volatility, volatility risk premia, skewness, and skewness risk premia are significantly related to the characteristics of agents’ belief distributions for the macroeconomy, with GDP beliefs the most important factor in the USD market, and inflation beliefs the most important factor in the EUR market. This is consistent with differences in monetary policy objectives in the two markets.

Pricing expropriation risk in natural resource contracts – A real options approach

We develop a model for pricing expropriation risk in natural resource projects, in particular an oil field. The government is viewed as holding an American-style option to expropriate the oil field, but facing the following three possible expropriation costs: A state-run company may produce oil less cost-efficiently than a private firm,the government may have to pay a compensation to the firm, and an expropriation may trigger lower investor confidence negatively affecting the overall economy. The dynamics of key variables – the spot price, futures prices and volatility – is described by a model proposed and estimated in Trolle and Schwartz (2007). For reasonable parameter values and under market conditions not too different from what has been seen in recent years, the value of the expropriation option can be substantia

Variance Risk Premia in Energy Commodities

This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for both energy commodities. However, it is difficult to explain the level and variation in energy variance risk premia with systematic or commodity specific factors. The return profile of a natural gas variance swap resembles that of a call option, while the return profile of a crude oil variance swap, if anything, resembles the return profile of a put option. The annualized Sharpe ratios from shorting energy variance are sizable; although not nearly as high as the annualized Sharpe ratio of shorting S&P 500 index variance, they are comparable to those of shorting interest rate volatility or variance on individual stocks

Adsorption of dodecanethiol on Cu(110): Structural ordering upon thiolate formation

Kühnle A, Vollmer S, Linderoth TR, Witte G, Wöll C, Besenbacher F. Adsorption of dodecanethiol on Cu(110): Structural ordering upon thiolate formation. Langmuir. 2002;18(14):5558-5565.The adsorption of dodecanethiol [CH3(CH2)(11)SH] films on Cu(110) by vapor deposition under ultrahigh vacuum conditions has been studied by means of thermal desorption spectroscopy, scanning tunneling microscopy, X-ray photoelectron spectroscopy (XPS), and low-energy electron diffraction with a special emphasis on the structural changes accompanying the transition from a physisorbed monolayer to a chemisorbed saturation structure. Adsorption at 110 K leads to the formation of an ordered physisorbed layer with flat-lying thiol molecules. Upon room-temperature deposition, initially an ordered pinstripe phase is formed which may be a molecular double layer. This layer transforms with time into a stable saturation structure of upright-tilted thiolates in a local c(2 x 2) arrangement that exhibits a long-range c(12 x 16) modulation, attributed to a Moire pattern. The XPS measurements show that the room-temperature saturation structure contains a fraction of sulfide species formed by partial decomposition and desorption of alkyl chains. At 400 K, the thiolate monolayer desorbs dissociatively, eventually resulting in a p(5 x 2) sulfur structure

A Global lake ecological observatory network (GLEON) for synthesising high-frequency sensor data for validation of deterministic ecological models

A Global Lake Ecological Observatory Network (GLEON; www.gleon.org) has formed to provide a coordinated response to the need for scientific understanding of lake processes, utilising technological advances available from autonomous sensors. The organisation embraces a grassroots approach to engage researchers from varying disciplines, sites spanning geographic and ecological gradients, and novel sensor and cyberinfrastructure to synthesise high-frequency lake data at scales ranging from local to global. The high-frequency data provide a platform to rigorously validate processbased ecological models because model simulation time steps are better aligned with sensor measurements than with lower-frequency, manual samples. Two case studies from Trout Bog, Wisconsin, USA, and Lake Rotoehu, North Island, New Zealand, are presented to demonstrate that in the past, ecological model outputs (e.g., temperature, chlorophyll) have been relatively poorly validated based on a limited number of directly comparable measurements, both in time and space. The case studies demonstrate some of the difficulties of mapping sensor measurements directly to model state variable outputs as well as the opportunities to use deviations between sensor measurements and model simulations to better inform process understanding. Well-validated ecological models provide a mechanism to extrapolate high-frequency sensor data in space and time, thereby potentially creating a fully 3-dimensional simulation of key variables of interest

The association between seafood intake and fecundability: Analysis from two prospective studies

Background: Seafood is an important source of omega\u20103 fatty acids, which have been associated with improved oocyte quality and embryo morphology in some studies. However, seafood is also a source of persistent organic pollutants and heavy metals, which may adversely affect fecundity. Previous studies of seafood intake and fecundity have generated inconsistent results. Methods: In two prospective cohort studies of 7836 female pregnancy planners from Denmark (Snart Foraeldre, n = 2709) and North America (PRESTO, n = 5127), we evaluated the association of dietary intake of total seafood and marine\u2010sourced long\u2010chain omega\u20103 fatty acids (eicosapentaenoic acid, docosahexaenoic acid, and docosapentaenoic acid) with fecundability. Participants completed a baseline questionnaire on sociodemographics, behavioral factors, anthropometrics, and medical history, and a food frequency questionnaire. Pregnancy status was updated bimonthly for up to 12 months or until reported conception. We estimated fecundability ratios (FRs) and 95% confidence intervals (CIs) using proportional probabilities regression models, adjusted for energy intake and other potential confounders. We restricted analyses to women with 646 menstrual cycles of attempt time at enrollment. Results: Intake of total seafood or marine\u2010sourced long\u2010chain omega\u20103 fatty acids was not appreciably associated with fecundability in either cohort ( 65200 vs. <50 g/week total seafood: FR = 0.94, 95% CI: 0.79\u20131.10 in Snart Foraeldre; FR = 1.00, 95% CI: 0.90\u20131.13 in PRESTO; marine fatty acids: 6590th vs. <25th percentile: FR = 1.00, 95% CI: 0.85\u20131.18 in Snart Foraeldre; FR = 0.97, 95% CI: 0.86\u20131.09 in PRESTO). In PRESTO, where we collected additional data on seafood preparation, we observed an inverse association between fecundability and fried shellfish ( 6510 g/week vs. none: FR = 0.77, 95% CI: 0.61\u20130.98), but not unfried shellfish ( 6520 g/week vs. none: FR = 0.98, 95% CI: 0.89\u20131.07); in Snart Foraeldre, there was no association with total shellfish intake. Conclusions: We found little association between seafood intake and fecundability overall, but greater intake of fried shellfish was associated with reduced fecundability among North American participants

Data on the use of dietary supplements in Danish patients with type 1 and type 2 diabetes

The data in this article describe the use of dietary supplements in Danish patients with type 1 diabetes (T1D) and type 2 diabetes (T2D). The data were collected from a web-based dietary survey on dietary habits in 774 patients with T1D (n = 426) and T2D (n = 348). The data demonstrate that 99% of the patients with diabetes use dietary supplements with no gender differences. In comparison, only 64% in the general population use dietary supplements [2].A higher proportion of people in the general population use multivitamin/mineral supplementation as compared to patients with diabetes (48% vs. 34–37%) and a higher proportion of women than men with diabetes use multivitamin/mineral supplementation (T1D: 43% women vs. 26% men and T2D: 45% women vs. 34% men). More patients with diabetes than the general population use supplements such as calcium together with vitamin D, vitamin D, vitamin B, vitamin C, vitamin E, magnesium, calcium, Q10, ginger, garlic, and other herbal supplements