Freight options: Price modelling and empirical analysis

This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are commonly traded in the freight derivatives market. By exploiting the computational efficiency of the proposed pricing scheme, we calibrate the jump diffusion model using market quotes of options on the trip-charter route average Baltic Capesize, Panamax and Supramax Indices. We show that the jump-extended setting yields important model improvements over the basic lognormal setting

Shipping Investor Sentiment and International Stock Return Predictability

Stock return predictability by investor sentiment has been subject to constant updating, but reaching a decisive conclusion seems rather challenging as academic research relies heavily on US data. We provide fresh evidence on stock return predictability in an international setting and show that shipping investor sentiment is a common leading indicator for financial markets. We establish out-of-sample predictability and demonstrate that investor sentiment is also economically significant in providing utility gains to a mean-variance investor. Finally, we find evidence that the predictive power of sentiment works best when negative forecasts are also taken into account

Analysis of Volatility and Correlation for CME Steel Products

Correlation and volatility between commodity prices is a very important factor to consider when designing risk management and investment strategies. The efficiency of hedging strategies for instance, depends on the existence of strong and stable correlation between spot and futures commodity prices; the absence of correlation on the other hand, or even sudden changes in the level of correlations may have detrimental implications not only for hedging and risk management but also in shaping the efficiency of a country’s energy, manufacturing and food policies. In general,co-movements between commodity markets may be attributed to common macroeconomic shocks on world markets, and the complementarity or substitutability in the production or consumption of related commodities. It is also an established fact that although the prices for related commodities are correlated, correlation changes over time and, in particular, correlation changes have become more erratic over the last five years. Recent research by Buyuksahin et. al (2010) and Silvennoinen and Thorp (2010) has found that returns correlation between commodities has increased substantially during the recent financial crisis. Tang and Xiong (2011) also highlight that the increase in the correlations between the returns of different commodity futures started long before the crisis and cannot be simply attributed to the onset of the crisis. In this report we attempt to identify whether the co-movement of HRC CRU, which is the underlying asset for the CME contract, and a basket of related steel commodities is strong enough

The East Midlands Knee Pain Multiple Randomised Controlled Trial Cohort Study: Cohort Establishment and Feasibility study protocol

Introduction: Knee pain and osteoarthritis (OA) are a common cause of disability. The UK National Institute of Health and Care Excellence (NICE) OA guidelines recommend education, exercise and weight-loss advice (if overweight) as core interventions before pharmacological adjuncts. However, implementation of these in primary care is often suboptimal. This study aims to develop a complex intervention with non-pharmacological and pharmacological components that can be delivered by nurses. The feasibility and acceptability of the intervention, and feasibility of undertaking a future cohort-randomised controlled trial (RCT) will be explored. Methods and analysis: In phase 1, we will develop a training programme for nurses and evaluate the fidelity and acceptability of the non-pharmacological element of the intervention. Fidelity checklists completed by the nurse will be compared to video-analysis of the treatment sessions. Patients and nurses will be interviewed to determine the acceptability of the intervention and explore challenges to intervention delivery. The non-pharmacological component will be modified based upon the findings. In phase 2, we will assess the feasibility of conducting a cohort RCT comprising of both the pharmacological and modified non-pharmacological components. We will compare three groups: group A will receive the non-pharmacological components delivered before pharmacological components; group B will receive pharmacological components followed by the non-pharmacological components; and group C (control arm) will continue to receive usual care. Study outcomes will be collected at 3 time points: baseline and weeks 13 and 26 after randomisation. Qualitative interviews will be conducted with a sample of participants from each of the two active intervention arms. Ethics and dissemination: This protocol was approved by the East Midlands-Derby Research Ethics Committee (18/EM/0288) and registered at clinicaltrials.gov (NCT03670706). The study will be reported in accordance with the CONSORT guidance and standards. The results will be submitted for publication in peer-reviewed academic journals

Arsenic as an Endocrine Disruptor: Arsenic Disrupts Retinoic Acid Receptor–and Thyroid Hormone Receptor–Mediated Gene Regulation and Thyroid Hormone–Mediated Amphibian Tail Metamorphosis

Background: Chronic exposure to excess arsenic in drinking water has been strongly associated with increased risks of multiple cancers, diabetes, heart disease, and reproductive and developmental problems in humans. We previously demonstrated that As, a potent endocrine disruptor at low, environmentally relevant levels, alters steroid signaling at the level of receptor-mediated gene regulation for all five steroid receptors. Objectives: The goal of this study was to determine whether As can also disrupt gene regulation via the retinoic acid (RA) receptor (RAR) and/or the thyroid hormone (TH) receptor (TR) and whether these effects are similar to previously observed effects on steroid regulation. Methods and results: Human embryonic NT2 or rat pituitary GH3 cells were treated with 0.01–5 μM sodium arsenite for 24 hr, with or without RA or TH, respectively, to examine effects of As on receptor-mediated gene transcription. At low, noncytotoxic doses, As significantly altered RAR-dependent gene transcription of a transfected RAR response element–luciferase construct and the native RA-inducible cytochrome P450 CYP26A gene in NT2 cells. Likewise, low-dose As significantly altered expression of a transfected TR response element–luciferase construct and the endogenous TR-regulated type I deiodinase (DIO1) gene in a similar manner in GH3 cells. An amphibian ex vivo tail metamorphosis assay was used to examine whether endocrine disruption by low-dose As could have specific pathophysiologic consequences, because tail metamorphosis is tightly controlled by TH through TR. TH-dependent tail shrinkage was inhibited in a dose-dependent manner by 0.1– 4.0 μM As. Conclusions: As had similar effects on RAR- and TR-mediated gene regulation as those previously observed for the steroid receptors, suggesting a common mechanism or action. Arsenic also profoundly affected a TR-dependent developmental process in a model animal system at very low concentrations. Because RAR and TH are critical for both normal human development and adult function and their dysregulation is associated with many disease processes, disruption of these hormone receptor–dependent processes by As is also potentially relevant to human developmental problems and disease risk

Acceptability of a nurse-led non-pharmacological complex intervention for knee pain: Nurse and patient views and experiences

Objectives The overall purpose of this research programme is to develop and test the feasibility of a complex intervention for knee pain delivered by a nurse, and comprising both non-pharmacological and pharmacological interventions. In this first phase, we examined the acceptability of the non-pharmacological component of the intervention; issues faced in delivery, and resolved possible challenges to delivery. Methods Eighteen adults with chronic knee pain were recruited from the community. The intervention comprised holistic assessment, education, exercise, weight-loss advice (where appropriate) and advice on adjunctive treatments such as hot/cold treatments, footwear modification and walking aids. After nurse training, the intervention was delivered in four sessions spread over five weeks. Participants had one to one semi-structured interview at the end of the intervention. The nurse was interviewed after the last visit of the last participant. These were audio recorded and transcribed verbatim. Themes were identified by one author through framework analysis of the transcripts, and cross-checked by another. Results Most participants found the advice from the nurse easy to follow and were satisfied with the package, though some felt that too much information was provided too soon. The intervention changed their perception of managing knee pain, learning that it can be improved with self-management. However, participants thought that the most challenging part of the intervention was fitting the exercise regime into their daily routine. The nurse found discussion of goal setting to be challenging. Conclusion The nurse-led package of care is acceptable within a research setting. The results are promising and will be applied in a feasibility randomised-controlled trial

Chronic exposure to arsenic in the drinking water alters the expression of immune response genes in mouse lung

This paper is not subject to U.S. copyright. The definitive version was published in Environmental Health Perspectives 117 (2009): 1108-1115, doi:10.1289/ehp.0800199.Chronic exposure to drinking water arsenic is a significant worldwide environmental health concern. Exposure to As is associated with an increased risk of lung disease, which may make it a unique toxicant, because lung toxicity is usually associated with inhalation rather than ingestion. The goal of this study was to examine mRNA and protein expression changes in the lungs of mice exposed chronically to environmentally relevant concentrations of As in the food or drinking water, specifically examining the hypothesis that As may preferentially affect gene and protein expression related to immune function as part of its mechanism of toxicant action. C57BL/6J mice fed a casein-based AIN-76A defined diet were exposed to 10 or 100 ppb As in drinking water or food for 5–6 weeks. Whole genome transcriptome profiling of animal lungs revealed significant alterations in the expression of many genes with functions in cell adhesion and migration, channels, receptors, differentiation and proliferation, and, most strikingly, aspects of the innate immune response. Confirmation of mRNA and protein expression changes in key genes of this response revealed that genes for interleukin 1β, interleukin 1 receptor, a number of toll-like receptors, and several cytokines and cytokine receptors were significantly altered in the lungs of As-exposed mice. These findings indicate that chronic low-dose As exposure at the current U.S. drinking-water standard can elicit effects on the regulation of innate immunity, which may contribute to altered disease risk, particularly in lung.This work was supported by National Institute of Environmental Health Science grant P42 ES007373 [J.W.H., Superfund Basic Research Program (SBRP) project 2]. C.D.K., A.P.N., and J.A.G. were supported by graduate and postdoctoral fellowships from P42 ES007373 (SBRP, Training Core). C.D.K. was also supported by National Institutes of Health training grant predoctoral fellowship T32-DF007301. P.L.E. and D.J.W. were supported by Cystic Fibrosis Foundation Research grant HL081289