Currency Derivatives under a Minimal Market Model with Random Scaling

This paper uses an alternative, parsimonious stochastic volatility model to describe the dynamics of a currency market for the pricing and hedging of derivatives. Time transformed squared Bessel processes are the basic driving factors of the minimal market model. The time transformation is characterized by a random scaling, which provides for realistic exchange rate dynamics. The pricing of standard European options is studied. In particular, it is shown that the model produces implied volatility surfaces that are typically observed in real markets.currency derivatives; stochastic volatility; random scaling; minimal market model

Global sensitivity analysis of an end-to-end marine ecosystem model of the North Sea : factors affecting the biomass of fish and benthos

Comprehensive analysis of parameter and driver sensitivity is key to establishing the credibility of models of complex systems. This is especially so for models of natural systems where experimental manipulation of the real-world to provide controlled validation data is not possible. Models of marine ecosystems fall into this category, but despite the interest in these models for evaluating the effects of climate change and fishing on nutrient fluxes and the abundances of flora and fauna, none have yet been subjected to global sensitivity analysis. Here we present results of both local ‘one-at-a-time’ (OAT), and variance based global sensitivity analyses (GSA) of the fish and fishery aspects of StrathE2E, an end-to-end (nutrients to birds and mammals) ecosystem model of the North Sea. The sensitivity of the model was examined with respect to internal biological parameters, and external drivers related to climate and human activity. The OAT Morris method was first used to screen for factors most influential on model outputs. The Sobol GSA method was then used to calculate quantitative sensitivity indices. The results indicated that the fish and shellfish components of the model (demersal and pelagic fish, filter/deposit and scavenge/carnivore feeding benthos) were influenced by different sets of factors. Harvesting rates were directly influential on demersal and pelagic fish biomasses. Suspension/deposit feeding benthos were directly sensitive to changes in temperature, while the temperature acted indirectly on pelagic fish through the connectivity between model components of the food web. Biomass conversion efficiency was the most important factor for scavenge/carnivorous feeding benthos. The results indicate the primacy of fishing as the most important process affecting total fish biomass, together with varying responses to environmental factors which may be relevant in the context of climate change. The non-linear responses and parameter interactions identified by the analysis also highlight the necessity to use global rather than local methods for the sensitivity analysis of ecosystem models

Parallel RAM from Cyclic Circuits

Known simulations of random access machines (RAMs) or parallel RAMs (PRAMs) by Boolean circuits incur significant polynomial blowup, due to the need to repeatedly simulate accesses to a large main memory. Consider two modifications to Boolean circuits: (1) remove the restriction that circuit graphs are acyclic and (2) enhance AND gates such that they output zero eagerly. If an AND gate has a zero input, it 'short circuits' and outputs zero without waiting for its second input. We call this the cyclic circuit model. Note, circuits in this model remain combinational, as they do not allow wire values to change over time. We simulate a bounded-word-size PRAM via a cyclic circuit, and the blowup from the simulation is only polylogarithmic. Consider a PRAM program $P$ that on a length $n$ input uses an arbitrary number of processors to manipulate words of size $\Theta(\log n)$ bits and then halts within $W(n)$ work. We construct a size-$O(W(n)\cdot \log^4 n)$ cyclic circuit that simulates $P$. Suppose that on a particular input, $P$ halts in time $T$; our circuit computes the same output within $T \cdot O(\log^3 n)$ gate delay. This implies theoretical feasibility of powerful parallel machines. Cyclic circuits can be implemented in hardware, and our circuit achieves performance within polylog factors of PRAM. Our simulated PRAM synchronizes processors by simply leveraging logical dependencies between wires

Design of a Competition Capable Hobby Rocket

A prototype design for a hobby rocket capable of competing in the UKSEDS national rocketry competition has been developed, validated and presented. In order to achieve maximum performance for the competition, performance was optimised in critical areas such as aerodynamic, structural and propulsive efficiency. Aerodynamic optimization of the rocket was essential as drag is directly linked to the energy exhausted by a body in motion through a fluid, which is proportional to velocity squared. An iterative computational fluid dynamics approach to the optimisation of the fuselage lead to a design that utilised turbulent flow over the body to reduced skin friction drag such that total drag was halved. This was validated with empirical data in a wind-tunnel. Structural optimisation was carried out using an empirically validated, Rankin-Gordon buckling equation, achieving the minimum body diameter. Nozzle efficiency is the one of the largest limiting factors on the overall propulsion system efficiency. Through research, it was determined that the most efficient rocket nozzle design is the aerospike configuration. Thus, a truncated aerospike was designed using a modified method of characteristics approach. This was done to ideally expand the exhaust of the ammonium perchlorate motor through the required Prandtl-Meyer expansion angle to achieve the requisite exhaust gas velocity. It is thus predicted that the designed rocket will outperform competitors and reach an altitude of approximately 1.4 km

Letter to the Editor: a response to Horne and Lucey (2017)

No abstract available

Is Laser Therapy an Effective Alternative Treatment for Onychomycosis in Patients where the Hepatotoxity of Oral Antifungals is of Concern?

OBJECTIVE: The objective of this selective EBM review is to determine whether or not, “Is laser therapy an effective alternative treatment for onychomycosis in patients where the hepatotoxicity of oral antifungals is of concern?” STUDY DESIGN: Review of three English language primary studies, published between 2010 and 2012. DATA SOURCES: Two randomized controlled trials (RCTs) and one prospective cohort study were found using Cochrane Systematic Reviews and PubMed. These studies analyzed the effectiveness of laser therapy in patients with onychomycosis. OUTCOMES MEASURED: Main outcomes measured were nail clearance and mycological assessment. Nail clearance was determined clinically using photographs taken at different intervals and mycological assessment was determined by microscopic exam. Adverse effects were tracked in all studies and patient satisfaction was considered in one study. The tools used to assess significance of outcomes measured were p-values, percentage of nail clearance, and negative mycological assessment. RESULTS: All three studies showed a significant nail clearance and fungal culture after laser therapy intervention. In the Ladsman et al study, it was shown using an 870 and 930-nm laser improved nail clearance by at least 3mm (p\u3c0.0073) and negative fungal cultures in 42% of the toes after one treatment and 75% on day 60 with an (ABI of 40%).1 In the Zhang et al study, the Long-Pulse 1064-nm laser showed no significant difference in treatment duration, but did show positive improvement in nail clearance and fungal cultures regardless the duration of treatment.2 In the Kimura et al prospective cohort study, it was shown using the Sub-Millisecond 1064-nm laser showed complete clearance in 51% and significant clearance in 81% of patients. Of the 51% with complete clearance, they also were 100% negative on fungal culture.3 CONCLUSSION: The results of one RCT and one cohort study which compared before and after treatment groups demonstrated that laser therapy may be an effective treatment for onychomycosis in patients that may not be able to take oral antifungals for reasons medically indicated. One RCT compared effectiveness of varied treatment durations and found no significant difference between the two groups

Characterisation of waxy gas-condensates by high temperature capillary gas chromatography and oxidative degradation

High molecular weight (HMW) hydrocarbons (defined herein as C35+ compounds) are difficult to characterise by conventional analytical methods. Very few studies have reported precise and reproducible quantification of such compounds in fossil fuels. Nonetheless, such components have important effects on the physical and biological fate of fossil fuels in the geosphere. For example, the phase behaviour of waxy gas condensates is significantly affected by the varying proportions of HMW compounds. Similarly HMW compounds are amongst the most resistant petroleum components to biodegradation. The current study reports the development of reproducible quantitative high temperature capillary gas chromatography (HTCGC) methods for studying both these aspects of the chemistry of HMW hydrocarbons. In addition those hydrocarbons which remain unresolved when analysed by gas chromatography (so called unresolved complex mixtures UCMs) are also studied. UCMs may account for a large portion of the hydrocarbons in many fossil fuels yet very little is known about their composition. Knowledge of these compounds may be important in enhancing the prediction of phase behaviour. Oxidative degradation and GC-MS is used to elucidate the types of structures present within the UCM. The concentrations of C3S4h. ydrocarbons in two unusually waxy gas condensates from high temperature wells in the North Sea were determined by HTCGC. The whole C, 5+ fraction comprised about 20% of the total hydrocarbons and consisted of compounds with carbon numbers extending up to and beyond Coo. By paying particular attention to sample dissolution and injection, good reproducibility and precision were obtained. For example, for authentic n-C, to n-C60 alkanes a relative standard deviation of under 5% for manual injection, linear response factors (1.01 Cm to 0.99 C6), and a linear calibration for 5 ng to 25 ng on-column were found. Limits of detection are reported for the first time for HMW n-alkanes. The limits were found to be as low as 0.8 ng for Cto to 1.87 ng for C60. Tristearin is proposed as a suitable HTCGC internal standard for quantification since the FID response factor (1.1) was close to that of the HMW n-alkanes and response was linear. Importantly, when co-injected with the two waxy North Sea condensates, tristearin was adequately separated from the closest eluting alkanes, n-C59 and n-C60 under normal operating conditions. Qualitative characterisation of the HMW compounds in the waxy gas condensates and in synthetic wax blends (polywax 1000) using HTCGC-EI MS and HTCGC-CI MS produced molecular ions or pseudo molecular ions for n-alkanes up to n- C6o. The spectra of some HMW compounds contained fragment ions characteristic of branched compounds but detailed characterisation was very limited. This study has also shown, for the first time, the significance of the unresolved complex mixture in gas condensatesU. CM hydrocarbonsa ccountedf or over 20% of the total hydrocarbons in a waxy North sea condensateT. he condensatew as first distilled and the distillate UCMs isolated. Thesew ere found to be between 64 to 97 % unresolved after molecular sieving (5A) and urea adduction. The UCMs were oxidised using CrO3/AcOHw hich produced5 -12% C02, and 55-83% dichloromethane-solublep roducts. Thus 65-94% of the original UCMs were accounted for as oxidation products. The remainder were thought to be water soluble acids which could not be determined in the presence of the AcOH reagent. Of the recovered oxidised products, 27- 81 % were resolved and these comprised mainly n-monocarboxylic acids (19-48 %). The average chain length was found to be C12 indicating the average length of alkyl groups. Branched acids, ketones, ketoacids, ndicarboxylic acids, branched dicarboxylic acids, lactones, isoprenoid acids, alkylcyclohexane carboxylic acids and toluic acids accounted for the majority of the remaining resolved products. The distillate UCMs all showed variations in amountso f productsb ut not in composition. Retro-structurala nalysis suggestedth at the UCM in the gasc ondensatew as mainly aliphatic and branched.T he numbero f isomerso f simple brancheda lkaneso ver the UCM molecular weight range (determined by cryoscopy) was calculated to be over 15000. Overall, oxidation provided structural information for about half of the UCM. HTCGC was also used to measure the biodegradability of HMW alkanes in a waxy Indonesian oil. Traditional alkane isolation techniques (TLC and CC) discriminated against HMW compounds above C40 whereas adsorption onto alumina in a warm cyclohexane slurry provided an aliphatic fraction still rich in HMW compounds and suitable as a biodegradation substrate. A waxy Indonesian oil was subjected to 136 day biodegradation by Pseudomonas fluorescens. Extraction efficiencies of over 90 % (RSD <5 %) were obtained for n-alkanes up to C6o using continuous liquid-liquid extraction. Over 80 % of the oil aliphatic fraction was degraded within 14 days. After 136 days only 14% of the original aliphatic fraction remained, yet surprisingly no decreases in the concentrations of compounds above C45 were observed. However, the use of a rapid screening biodegradation method proved conclusively that Pseudomonasfluorescens was capable of utilising n-alkanes up to C60 once the bacteria had acclimated to the HMW alkanes. This is the first report of bacterial utilisation of an n-alkane as large as C.

Detection and relocation of earthquakes in the sparsely instrumented Mackenzie Mountains region, Yukon and Northwest Territories, Canada

2020 Spring.Includes bibliographical references.The Mackenzie Mountains are an actively uplifting and seismogenic arcuate thrust belt lying within the Northwest Territories and Yukon, Canada. Seismic activity in the region is poorly constrained due to a historically sparse seismograph distribution. In this study, new data are analyzed from the 40-station, ~875 km-long Mackenzie Mountains temporary network (Baker et al., 2020) crossing the Cordillera-Craton region adjacent to and within the Mackenzie Mountains, in conjunction with Transportable Array and other sparsely distributed arrays in the region. Data from approximately August 2016 – August 2018 are processed and compared to the sparse-network earthquake catalog records maintained by the USGS and Natural Resources Canada. Using algorithms developed by Kushnir et al. (1990), Rawles and Thurber (2015), and Roecker et al. (2006), signals are identified and subsequently associated across the network to note potential events, estimate phase onsets, and resolve hypocenter locations. This study improves the regional earthquake catalog by detecting smaller-magnitude earthquakes and lowering the regional magnitude of completeness from Mc = 2.5 to 1.9. Within the Mackenzie Mountains and immediately surrounding areas we find 524 new events and additionally recommend an updated location for 185 previously cataloged events. Our b-value computation for the updated catalog (0.916 ± 0.08) likely indicates a relatively high level of regional differential stress. We identify the spatial distribution of earthquakes in the Mackenzie Mountains as diffuse, and offer far-field stress transfer as a mechanism for producing widespread reverse faulting observed in the region. Further, we associate regional seismicity with tectonic activity in the context of known faults and orogenic provinces such as the Richardson Mountains

Reproductive Allocation and Survival in Grasshoppers: Effects of Resource Availability, Grasshopper Density, and Parasitism

A major challenge in ecology is to understand intraspecific variation in life histories. Variation in resource availability can lead to differences in reproductive allocation and life histories. Grasshoppers are a good organism for the study of variation in life histories, since they exhibit life history plasticity in response to biotic and environmental factors. An optimality model for grasshoppers was developed that predicts optimal total allocation to reproduction and optimal effort-per-offspring as functions of resource availability and mortality. Relative allocation to reproduction is predicted to increase with resource availability, while relative allocation to survival declines. A resource-based trade-off between egg size and number does not exist, as optimal egg size is predicted to be independent of resource intake. I examined if changes in reproductive allocation and survival of Melanoplus sanguinipes (Fabricus) under a range of resource availabilities fit the predictions of the model. The patterns of reproductive allocation and survival in the field were in qualitative agreement with the predictions. I examined the importance of density, resources, and parasitism on the life history patterns of grasshoppers. I conducted an experiment to examine if differences in reproductive allocation of M. sanguinipes are primarily explained by exploitative competition. Per capita resource availability explained a significant amount of the variation in reproduction , as expected with exploitative competition. M. sanguinpes grasshoppers appeared to trade off resource allocation to reproduction for that of allocation to survival, because per capita resource availability did not affect survival. Careful examinations of changes in life history characteristics in response to parasitism are lacking, despite the fact that parasites often influence resource availability for the host. I investigated the effects of a grasshopper ectoparasitic mite on grasshopper reproduction and survival. Mites had small effects on grasshopper survival. As predicted, both species had reduced initial and total reproduction, and completed development of a lower percentage of ovarioles initiated when parasitized. These experiments act to expand our knowledge of life history theory and further our understanding of grasshopper life history variation and population fluctuations