A Stochastic Volatility Model With Realized Measures for Option Pricing

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic specification of the model, and an effective MCMC algorithm for its richer variants. The empirical analysis shows the effectiveness of filtering and smoothing realized measures in inflating the latent volatility persistence—the crucial parameter in pricing Standard and Poor’s 500 Index options

An informational approach to the global optimization of expensive-to-evaluate functions

In many global optimization problems motivated by engineering applications, the number of function evaluations is severely limited by time or cost. To ensure that each evaluation contributes to the localization of good candidates for the role of global minimizer, a sequential choice of evaluation points is usually carried out. In particular, when Kriging is used to interpolate past evaluations, the uncertainty associated with the lack of information on the function can be expressed and used to compute a number of criteria accounting for the interest of an additional evaluation at any given point. This paper introduces minimizer entropy as a new Kriging-based criterion for the sequential choice of points at which the function should be evaluated. Based on \emph{stepwise uncertainty reduction}, it accounts for the informational gain on the minimizer expected from a new evaluation. The criterion is approximated using conditional simulations of the Gaussian process model behind Kriging, and then inserted into an algorithm similar in spirit to the \emph{Efficient Global Optimization} (EGO) algorithm. An empirical comparison is carried out between our criterion and \emph{expected improvement}, one of the reference criteria in the literature. Experimental results indicate major evaluation savings over EGO. Finally, the method, which we call IAGO (for Informational Approach to Global Optimization) is extended to robust optimization problems, where both the factors to be tuned and the function evaluations are corrupted by noise.Comment: Accepted for publication in the Journal of Global Optimization (This is the revised version, with additional details on computational problems, and some grammatical changes

Wind Forced Variability in Eddy Formation, Eddy Shedding, and the Separation of the East Australian Current

The East Australian Current (EAC), like many other subtropical western boundary currents, is believed to be penetrating further poleward in recent decades. Previous observational and model studies have used steady state dynamics to relate changes in the westerly winds to changes in the separation behavior of the EAC. As yet, little work has been undertaken on the impact of forcing variability on the EAC and Tasman Sea circulation. Here using an eddy‐permitting regional ocean model, we present a suite of simulations forced by the same time‐mean fields, but with different atmospheric and remote ocean variability. These eddy‐permitting results demonstrate the nonlinear response of the EAC to variable, nonstationary inhomogeneous forcing. These simulations show an EAC with high intrinsic variability and stochastic eddy shedding. We show that wind stress variability on time scales shorter than 56 days leads to increases in eddy shedding rates and southward eddy propagation, producing an increased transport and southward reach of the mean EAC extension. We adopt an energetics framework that shows the EAC extension changes to be coincident with an increase in offshore, upstream eddy variance (via increased barotropic instability) and increase in subsurface mean kinetic energy along the length of the EAC. The response of EAC separation to regional variable wind stress has important implications for both past and future climate change studies

Magnitude bias of microlensed sources towards the Large Magellanic Cloud

There are lines of evidence suggesting that some of the observed microlensing events in the direction of the Large Magellanic Cloud (LMC) are caused by ordinary star lenses as opposed to dark Machos in the Galactic halo. Efficient lensing by ordinary stars generally requires the presence of one or more additional concentrations of stars along the line of sight to the LMC disk. If such a population behind the LMC disk exists, then the source stars (for lensing by LMC disk objects) will be drawn preferentially from the background population and will show systematic differences from LMC field stars. One such difference is that the (lensed) source stars will be farther away than the average LMC field stars, and this should be reflected in their apparent baseline magnitudes. We focus on red clump stars: these should appear in the color-magnitude diagram at a few tenths of a magnitude fainter than the field red clump. Suggestively, one of the two near-clump confirmed events, MACHO-LMC-1, is a few tenths of magnitude fainter than the clump.Comment: To appear in ApJ Letters. Shortened to match the accepted version, 8 pages plus 1 ps figur

Tre1 GPCR initiates germ cell transepithelial migration by regulating Drosophila melanogaster E-cadherin

Despite significant progress in identifying the guidance pathways that control cell migration, how a cell starts to move within an intact organism, acquires motility, and loses contact with its neighbors is poorly understood. We show that activation of the G protein–coupled receptor (GPCR) trapped in endoderm 1 (Tre1) directs the redistribution of the G protein Gβ as well as adherens junction proteins and Rho guanosine triphosphatase from the cell periphery to the lagging tail of germ cells at the onset of Drosophila melanogaster germ cell migration. Subsequently, Tre1 activity triggers germ cell dispersal and orients them toward the midgut for directed transepithelial migration. A transition toward invasive migration is also a prerequisite for metastasis formation, which often correlates with down-regulation of adhesion proteins. We show that uniform down-regulation of E-cadherin causes germ cell dispersal but is not sufficient for transepithelial migration in the absence of Tre1. Our findings therefore suggest a new mechanism for GPCR function that links cell polarity, modulation of cell adhesion, and invasion

The Laser of the ALICE Time Projection Chamber

The large TPC ($95 \mathrm{m}^3$) of the ALICE detector at the CERN LHC was commissioned in summer 2006. The first tracks were observed both from the cosmic ray muons and from the laser rays injected into the TPC. In this article the basic principles of operating the $266 \mathrm{nm}$ lasers are presented, showing the installation and adjustment of the optical system and describing the control system. To generate the laser tracks, a wide laser beam is split into several hundred narrow beams by fixed micro-mirrors at stable and known positions throughout the TPC. In the drift volume, these narrow beams generate straight tracks at many angles. Here we describe the generation of the first tracks and compare them with simulations.Comment: QM06 poster proceedings, 6 pages, 4 figure

Chemical Abundance Constraints on White Dwarfs as Halo Dark Matter

We examine the chemical abundance constraints on a population of white dwarfs in the Halo of our Galaxy. We are motivated by microlensing evidence for massive compact halo objects (Machos) in the Galactic Halo, but our work constrains white dwarfs in the Halo regardless of what the Machos are. We focus on the composition of the material that would be ejected as the white dwarfs are formed; abundance patterns in the ejecta strongly constrain white dwarf production scenarios. Using both analytical and numerical chemical evolution models, we confirm that very strong constraints come from Galactic Pop II and extragalactic carbon abundances. We also point out that depending on the stellar model, significant nitrogen is produced rather than carbon. The combined constraints from C and N give $\Omega_{WD} h < 2 \times 10^{-4}$ from comparison with the low C and N abundances in the Ly$\alpha$ forest. We note, however, that these results are subject to uncertainties regarding the nucleosynthesis of low-metallicity stars. We thus investigate additional constraints from D and $^4$He, finding that these light elements can be kept within observational limits only for \Omega_{WD} \la 0.003 and for a white dwarf progenitor initial mass function sharply peaked at low mass (2$M_\odot$). Finally, we consider a Galactic wind, which is required to remove the ejecta accompanying white dwarf production from the galaxy. We show that such a wind can be driven by Type Ia supernovae arising from the white dwarfs themselves, but these supernovae also lead to unacceptably large abundances of iron. We conclude that abundance constraints exclude white dwarfs as Machos. (abridged)Comment: Written in AASTeX, 26 pages plus 4 ps figure

Design and optimization of electrochemical microreactors for continuous electrosynthesis

The study focuses on the design and construction, as well as the theoretical and experimental optimization of electrochemical filter press microreactors for the electrosynthesis of molecules with a high added value. The main characteristics of these devices are firstly a high-specific electrochemical area to increase conversion and selectivity, and secondly the shape and size of themicrochannels designed for a uniform residence time distribution of the fluid. A heat exchanger is integrated into the microstructured electrode to rapidly remove (or supply) the heat required in exo- or endothermic reactions. The microreactors designed are used to perform-specific electrosynthesis reactions such as thermodynamically unfavorable reactions (continuous NADH regeneration), or reactions with high enthalpy changes

Sustainability and Workforce Development in Maine

Maine is facing challenges in terms of its work­force: education levels lag behind those in the other New England states; population growth is slow; and the economy is undergoing a change that has shifted from manufacturing to more knowledge-based jobs. Catherine Renault, Linda Silka and Jake Ward discuss these challenges, looking at what employers want in their employees and at the kinds of jobs the state is likely to see in the future. They point out that the Sustainability Solutions Initiative, with its emphasis on a boundary-crossing approach to educa­tion, is an example of a way to train today’s students to fill and create the jobs of the future

Non-Hausdorff Symmetries of C*-algebras

Symmetry groups or groupoids of C*-algebras associated to non-Hausdorff spaces are often non-Hausdorff as well. We describe such symmetries using crossed modules of groupoids. We define actions of crossed modules on C*-algebras and crossed products for such actions, and justify these definitions with some basic general results and examples.Comment: very minor changes. To appear in Math. An