Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?

© 2017 Elsevier B.V. Does modelling stochastic interest rates, beyond stochastic volatility, improve pricing performance on long-dated commodity derivatives? To answer this question, we consider futures price models for commodity derivatives that allow for stochastic volatility and stochastic interest rates and a correlation structure between the underlying variables. We examine the empirical pricing performance of these models on pricing long-dated crude oil derivatives. Estimating the model parameters from historical crude oil futures prices and option prices, we find that stochastic interest rate models improve pricing performance on long-dated crude oil derivatives, when the interest rate volatility is relatively high. Furthermore, increasing the model dimensionality does not tend to improve the pricing performance on long-dated crude oil option prices, but it matters for long-dated futures prices. We also find empirical evidence for a negative correlation between crude oil futures prices and interest rates that contributes to improving fit to long-dated crude oil option prices

Can stellar mass black holes be quark stars?

We investigate the possibility that stellar mass black holes, with masses in the range of $3.8M_{\odot}$ and $6M_{\odot}$, respectively, could be in fact quark stars in the Color-Flavor-Locked (CFL) phase. Depending on the value of the gap parameter, rapidly rotating CFL quark stars can achieve much higher masses than standard neutron stars, thus making them possible stellar mass black hole candidates. Moreover, quark stars have a very low luminosity and a completely absorbing surface - the infalling matter on the surface of the quark star is converted into quark matter. A possibility of distinguishing CFL quark stars from stellar mass black holes could be through the study of thin accretion disks around rapidly rotating quark stars and Kerr type black holes, respectively. Furthermore, we show that the radiation properties of accretion disks around black holes and CFL quark stars are also very similar. However, strange stars exhibit a low luminosity, but high temperature bremsstrahlung spectrum, which, in combination with the emission properties of the accretion disk, may be the key signature to differentiate massive strange stars from black hole.Comment: 27 pages, 5 figures, accepted for publication in MNRA

Flavor SU(3) symmetry and QCD factorization in B→PPB \to PP and PVPV decays

Using flavor SU(3) symmetry, we perform a model-independent analysis of charmless $\bar B_{u,d} (\bar B_s) \to PP, ~PV$ decays. All the relevant topological diagrams, including the presumably subleading diagrams, such as the QCD- and EW-penguin exchange diagrams and flavor-singlet weak annihilation ones, are introduced. Indeed, the QCD-penguin exchange diagram turns out to be important in understanding the data for penguin-dominated decay modes. In this work we make efforts to bridge the (model-independent but less quantitative) topological diagram or flavor SU(3) approach and the (quantitative but somewhat model-dependent) QCD factorization (QCDF) approach in these decays, by explicitly showing how to translate each flavor SU(3) amplitude into the corresponding terms in the QCDF framework. After estimating each flavor SU(3) amplitude numerically using QCDF, we discuss various physical consequences, including SU(3) breaking effects and some useful SU(3) relations among decay amplitudes of $\bar B_s \to PV$ and $\bar B_d \to PV$.Comment: 47 pages, 3 figures, 28 table

Developing an EEG-based on-line closed-loop lapse detection and mitigation system

© 2014 Wang, Huang, Wei, Huang, Ko, Lin, Cheng and Jung. In America, 60% of adults reported that they have driven a motor vehicle while feeling drowsy, and at least 15-20% of fatal car accidents are fatigue-related. This study translates previous laboratory-oriented neurophysiological research to design, develop, and test an On-line Closed-loop Lapse Detection and Mitigation (OCLDM) System featuring a mobile wireless dry-sensor EEG headgear and a cell-phone based real-time EEG processing platform. Eleven subjects participated in an event-related lane-keeping task, in which they were instructed to manipulate a randomly deviated, fixed-speed cruising car on a 4-lane highway. This was simulated in a 1st person view with an 8-screen and 8-projector immersive virtual-reality environment. When the subjects experienced lapses or failed to respond to events during the experiment, auditory warning was delivered to rectify the performance decrements. However, the arousing auditory signals were not always effective. The EEG spectra exhibited statistically significant differences between effective and ineffective arousing signals, suggesting that EEG spectra could be used as a countermeasure of the efficacy of arousing signals. In this on-line pilot study, the proposed OCLDM System was able to continuously detect EEG signatures of fatigue, deliver arousing warning to subjects suffering momentary cognitive lapses, and assess the efficacy of the warning in near real-time to rectify cognitive lapses. The on-line testing results of the OCLDM System validated the efficacy of the arousing signals in improving subjects' response times to the subsequent lane-departure events. This study may lead to a practical on-line lapse detection and mitigation system in real-world environments

Residential Assessment Instrument 2.0 in care planning for residents in nursing homes

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Carcinoma of stomach detected by routine transabdominal ultrasound

Assessment of the stomach is not commonly included in routine scanning protocol of upper abdominal ultrasound (USG). However, assessment of the stomach in patients presenting with epigastric pain can yield invaluable results. This paper presents, as an illustration, a case of carcinoma of stomach detected by transabdominal ultrasound. The diagnosis is confirmed by subsequent CT, upper endoscopy and operation

Effects of national culture on human failures in container shipping : the moderating role of confucian dynamism

Author name used in this manuscript: Kee-hung LaiAuthor name used in this manuscript: Y.H. Venus LunAuthor name used in this manuscript: T.C.E. Cheng2012-2013 > Academic research: refereed > Publication in refereed journalAccepted ManuscriptPublishe

Weak and Strong Lensing Statistics

After a brief introduction to gravitational lensing theory, a rough overview of the types of gravitational lensing statistics that have been performed so far will be given. I shall then concentrate on recent results of galaxy-galaxy lensing, which indicate that galactic halos extend much further than can be probed via rotation of stars and gas.Comment: 10 pages, 2 figures, talk given at the ISSI-Workshop "Matter in the Universe", 19-23 March 2001 Bern (Switzerland

Forward-backward Asymmetry and Branching Ratio of B \rar K_1 \ell^+ \ell^- Transition in Supersymmetric Models

The mass eigen states $K_1(1270)$ and $K_1(1400)$ are mixture of the strange members of two axial-vector SU(3) octet, $^3P_1(K_1^A)$ and $^1P_1(K_1^B)$. Taking into account this mixture, the forward-backward asymmetry and branching ratio of B \rar K_1(1270,1400) \ell^+ \ell^- transitions are studied in the framework of different supersymmetric models. It is found that the results have considerable deviation from the standard model predictions. Any measurement of these physical observables and their comparison with the results obtained in this paper can give useful information about the nature of interactions beyond the standard model.Comment: 14 pages, 4 figure