Constructing volatility surfaces for managed funds

Includes bibliographical referencesIn this dissertation, a methodology is developed for constructing a volatility surface for a managed fund by extending the work of Bakshi et al. (2003) and Taylor (2014). The power utility assumption (with constant relative risk aversion for a specific maturity) and historical returns series data are used for the identified factors in influencing the return of the fund and the fund itself. The coefficient of relative risk aversion for a specific maturity and market is estimated from quoted option prices on a market index. This is used in combination with the identified factors and fund return series to estimate the risk-neutral skewness of the fund. An optimisation procedure is then used to determine the volatility smile of the fund for a specific maturity. Thereafter, the volatility surface of the fund is constructed by repeating each step for different maturities. Although this methodology produces sensible results, the optimisation routine used is sensitive to initial values and constraints

Simultaneous multiple-excitation multiphoton microscopy yields increased imaging sensitivity and specificity

<p>Abstract</p> <p>Background</p> <p>Multiphoton microscopy (MPM) offers many advantages over conventional wide-field and confocal laser scanning microscopy (CLSM) for imaging biological samples such as 3D resolution of excitation, reduced phototoxicity, and deeper tissue imaging. However, adapting MPM for critical multi-color measurements presents a challenge because of the largely overlapping two-photon absorption (TPA) peaks of common biological fluorophores. Currently, most multi-color MPM relies on the absorbance at one intermediate wavelength of multiple dyes, which introduces problems such as decreased and unequal excitation efficiency across the set of dyes.</p> <p>Results</p> <p>Here we describe an MPM system incorporating two, independently controlled sources of two-photon excitation whose wavelengths are adjusted to maximally excite one dye while minimally exciting the other. We report increased signal-to-noise ratios and decreased false positive emission bleed-through using this novel multiple-excitation MPM (ME-MPM) compared to conventional single-excitation MPM (SE-MPM) in a variety of multi-color imaging applications.</p> <p>Conclusions</p> <p>Similar to the tremendous gain in popularity of CLSM after the introduction of multi-color imaging, we anticipate that the ME-MPM system will further increase the popularity of MPM. In addition, ME-MPM provides an excellent tool to more rapidly design and optimize pairs of fluorescence probes for multi-color two-photon imaging, such as CFP/YFP or GFP/DsRed for CLSM.</p

Advocating for equity for Black girls: The formation of the Black Girls Equity Alliance

This report describes the development of the Black Girls Equity Alliance (BGEA). BGEA is comprised of individuals, community-based organizations, universities, and government entities that work with Black girls. We acknowledge that their lives and experiences are unique within existing societal constructs. Our mission is accomplished by informing providers, communities, and systems about best practices for supporting Black girls and advocating for policy changes that will improve their lives

The clustering of intermediate redshift quasars as measured by the Baryon Oscillation Spectroscopic Survey

We measure the quasar two-point correlation function over the redshift range 2.2<z<2.8 using data from the Baryon Oscillation Spectroscopic Survey. We use a homogeneous subset of the data consisting of 27,129 quasars with spectroscopic redshifts---by far the largest such sample used for clustering measurements at these redshifts to date. The sample covers 3,600 square degrees, corresponding to a comoving volume of 9.7(Gpc/h)^3 assuming a fiducial LambdaCDM cosmology, and it has a median absolute i-band magnitude of -26, k-corrected to z=2. After accounting for redshift errors we find that the redshift space correlation function is fit well by a power-law of slope -2 and amplitude s_0=(9.7\pm 0.5)Mpc/h over the range 3<s<25Mpc/h. The projected correlation function, which integrates out the effects of peculiar velocities and redshift errors, is fit well by a power-law of slope -1 and r_0=(8.4\pm 0.6)Mpc/h over the range 4<R<16Mpc/h. There is no evidence for strong luminosity or redshift dependence to the clustering amplitude, in part because of the limited dynamic range in our sample. Our results are consistent with, but more precise than, previous measurements at similar redshifts. Our measurement of the quasar clustering amplitude implies a bias factor of b~3.5 for our quasar sample. We compare the data to models to constrain the manner in which quasars occupy dark matter halos at z~2.4 and infer that such quasars inhabit halos with a characteristic mass of ~10^{12}Msun/h with a duty cycle for the quasar activity of 1 per cent.Comment: 20 pages, 18 figures. Minor modifications to match version accepted by journa

Skunk River Review 2010-11, vol 23

Welcome to the 2010-2011 edition of The Skunk River Review! As the new editor of this publication, I was excited to see the number of submissions and the overwhelming enthusiasm of the students. This year\u27s publication includes work from Composition I, Composition II, Literature, and College Resources courses. Whereas The Skunk River Review is academic work that begins in the classroom, it also reflects student\u27s interests. The essays are not edited for MLA format or general errors because the publication is used as a teaching tool in many classrooms.https://openspace.dmacc.edu/skunkriver/1002/thumbnail.jp

Inequalities in vaccination coverage for young females whose parents are informal caregivers

The effects of caregiver strain and stress on preventive health service utilization among adult family members are well-established, but the effects of informal caregiving on children of caregivers are unknown. We aimed to assess whether inequalities in vaccination coverage (specifically human papillomavirus [HPV] and influenza) exist for females aged 9 to 17 years whose parents are informal caregivers (i.e., care providers for family members or others who are not functionally independent) compared with females whose parents are not informal caregivers. Data from the 2009 Behavioral Risk Factor Surveillance System were analyzed using Poisson regression with robust variance to estimate overall and subgroup-specific HPV and influenza vaccination prevalence ratios (PRs) and corresponding 95% confidence limits (CL) comparing females whose parents were informal caregivers with females whose parents were not informal caregivers. Our unweighted study populations comprised 1645 and 1279 females aged 9 to 17 years for the HPV and influenza vaccination analyses, respectively. Overall, both HPV and influenza vaccination coverage were lower among females whose parents were informal caregivers (HPV: PR = 0.72, 95% CL: 0.53, 0.97; Influenza: PR = 0.89, 95% CL: 0.66, 1.2). Our results suggest consistently lower HPV and influenza vaccination coverage for young females whose parents are informal caregivers. Our study provides new evidence about the potential implications of caregiving on the utilization of preventive health services among children of caregivers

Sensitivity of incipient particle motion to fluid flow penetration depth within a packed bed

A discrete element method is applied to a three-dimensional analysis related to sediment entrainment on a micro-scale. Sediment entrainment is the process by which a fluid medium accelerates particles from rest and advects them upward until they are either transported as bedload or suspended by the flow. Modelling of the entrainment process is a critically important aspect for studies of erosion, pollutant resuspension and transport, and formation of bedforms in environmental flows. Previous discrete element method studies of sediment entrainment have assumed the flow within the particle bed to be negligible and have only allowed for the motion of the topmost particles. At the same time, micro-scale experimental studies indicate that there is a small slip of the fluid flow at the top of the bed, indicating the presence of non-vanishing fluid velocity within the topmost bed layers. The current study demonstrates that the onset of particle incipient motion, which immediately precedes particle entrainment, is highly sensitive to this small fluid flow within the topmost bed layers. Using an exponential decay profile for the inner-bed fluid flow, the discrete element method calculations are repeated with different fluid penetration depths within the bed for several small particle Reynolds numbers. For cases with slip velocity corresponding to that observed in previous experiments with natural sediment, the predicted particle velocity is found to be a few percent of the fluid velocity at the top of the viscous wall layer, which is a reasonable range of velocities for observation of incipient particle motion. This method for prescribing the fluid flow within the particle bed allows for the current discrete element method to be extended in future studies to the analysis of sediment entrainment under the influence of events such as turbulent bursting. Additionally, predictions for the slip velocities and fluid flow profile within the bed suggest the need for further experimental studies to provide the data necessary for additional improvement of the discrete element method models. © 2009 The Authors. Journal compilation © 2009 International Association of Sedimentologists

9th Annual Seminar on Legal Issues for Financial Institutions

Outline of speakers\u27 presentations from the 9th Annual Seminar on Legal Issues for Financial Institutions held by UK/CLE on March 10-11, 1989