Exchange Options Under Jump-Diffusion Dynamics

Margrabe provides a pricing formula for an exchange option where the distributions of both stock prices are log-normal with correlated Wiener components. Merton has provided a formula for the price of a European call option on a single stock where the stock price process contains a continuous Poisson jump component, in addition to a continuous log-normally distributed component. We use Merton’s analysis to extend Margrabe’s results to the case of exchange options where both stock price processes also contain compound Poisson jump components. A Radon-Nikod´ym derivative process that induces the change of measure from the market measure to an equivalent martingale measure is introduced. The choice of parameters in the Radon-Nikod´ym derivative allows us to price the option under different financial-economic scenarios. We also consider American style exchange options and provide a probabilistic intepretation of the early exercise premium.American options; exchange options; compound Poisson processes; equivalent martingale measure

A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models

The aim of this work is to develop a simulation approach to the yield curve evolution in the Heath, Jarrow and Morton [Econometrica 60 (1) (1992) 77] framework. The stochastic quantities considered as affecting the forward rate volatility function are the spot rate and the forward rate. A decomposition of the volatility function into a Hull and White [Rev. Financial Stud. 3 (1990) 573] volatility and a remainder allows us to develop an efficient Control Variate Method that makes use of the closed form solution of the Hull and White call option. This technique considerably speeds up the simulation algorithm to approximate call option values with Monte Carlo simulation. © 2003 Elsevier B.V. All rights reserved

Learning, information processing and order submission in limit order markets

© 2015 Elsevier B.V. By introducing a genetic algorithm learning with a classifier system into a limit order market, this paper provides a unified framework of microstructure and agent-based models of limit order markets that allows traders to determine their order submission endogenously according to market conditions. It examines how traders process and learn from market information and how the learning affects limit order markets. It is found that, measured by the average usage of different group of market information, trading rules under the learning become stationary in the long run. Also informed traders pay more attention to the last transaction sign while uninformed traders pay more attention to technical rules. Learning of uninformed traders improves market information efficiency, but not necessarily when informed traders learn. Opposite to the learning of informed traders, learning makes uninformed traders submit less aggressive limit orders and more market orders. Furthermore private values can have significant impact in the short run, but not in the long run. One implication is that the probability of informed trading (PIN) is positively related to the volatility and the bid-ask spread

A behavioural model of investor sentiment in limit order markets

© 2016 Informa UK Limited, trading as Taylor & Francis Group. By incorporating behavioural sentiment in a model of a limit order market, we show that behavioural sentiment not only helps to replicate most of the stylized facts in limit order markets simultaneously, but it also plays a unique role in explaining those stylized facts that cannot be explained by noise trading, such as fat tails in the return distribution, long memory in the trading volume, an increasing and non-linear relationship between trade imbalance and mid-price returns, as well as the diagonal effect, or event clustering, in order submission types. The results show that behavioural sentiment is an important driving force behind many of the well-documented stylized facts in limit order markets

Microwave intermodulation distortion of MgB2 thin films

The two tone intermodulation arising in MgB2 thin films deposited in-situ by planar magnetron sputtering on sapphire substrates is studied. Samples are characterised using an open-ended dielectric puck resonator operating at 8.8 GHz. The experimental results show that the third order products increase with the two-tone input power with a slope ranging between 1.5 and 2.3. The behaviour can be understood introducing a mechanism of vortex penetration in grain boundaries as the most plausible source of non linearities in these films. This assumption is confirmed by the analysis of the field dependence of the surface resistance, that show a linear behaviour at all temperatures under test.Comment: 13 pages, 3 figures; to be published in Appl. Phys. Let

Structural investigation of nucleophosmin interaction with the tumor suppressor Fbw7γ

Nucleophosmin (NPM1) is a multifunctional nucleolar protein implicated in ribogenesis, centrosome duplication, cell cycle control, regulation of DNA repair and apoptotic response to stress stimuli. The majority of these functions are played through the interactions with a variety of protein partners. NPM1 is frequently overexpressed in solid tumors of different histological origin. Furthermore NPM1 is the most frequently mutated protein in acute myeloid leukemia (AML) patients. Mutations map to the C-terminal domain and lead to the aberrant and stable localization of the protein in the cytoplasm of leukemic blasts. Among NPM1 protein partners, a pivotal role is played by the tumor suppressor Fbw7γ, an E3-ubiquitin ligase that degrades oncoproteins like c-MYC, cyclin E, Notch and c-jun. In AML with NPM1 mutations, Fbw7γ is degraded following its abnormal cytosolic delocalization by mutated NPM1. This mechanism also applies to other tumor suppressors and it has been suggested that it may play a key role in leukemogenesis. Here we analyse the interaction between NPM1 and Fbw7γ, by identifying the protein surfaces implicated in recognition and key aminoacids involved. Based on the results of computational methods, we propose a structural model for the interaction, which is substantiated by experimental findings on several site-directed mutants. We also extend the analysis to two other NPM1 partners (HIV Tat and CENP-W) and conclude that NPM1 uses the same molecular surface as a platform for recognizing different protein partners. We suggest that this region of NPM1 may be targeted for cancer treatment

Quantum phase slips in superconducting Nb nanowire networks deposited on self-assembled Si templates

Robust porous silicon substrates were employed for generating interconnected networks of superconducting ultrathin Nb nanowires. Scanning electron microscopy analysis was performed to investigate the morphology of the samples, which constitute of polycrystalline single wires with grain size of about 10 nm. The samples exhibit nonzero resistance over a broad temperature range below the critical temperature, fingerprint of phase slippage processes. The transport data are satisfactory reproduced by models describing both thermal and quantum fluctuations of the superconducting order parameter in thin homogeneous superconducting wires.Comment: accepted for publication on Applied Physics Letter

The Perioperative Nursing Workforce Program in NSW: How a professional perioperative nursing association meets one of its mandates Part 1

The need to review and change the way nursing care is delivered in perioperative settings is predicated on nursing workforce shortages, the changing, increasingly technologised and risk-prone OR practice milieu, and increasing demand for surgery. In responding to members' concerns about these issues, the NSW Operating Theatre Association Inc. (NSW OTA) in conjunction with and with sponsorship from the NSW Chief Nursing and Midwifery Officer, initiated and oversaw the development of a program, called the Perioperative Nursing Workforce Program (PNWP). The aims of this program are to make better use of human resources, to improve the way care is provided and thus improve patient outcomes; and to empower perioperative nurses so they are capable of independently improving their working environment. The program, which takes a practice development approach, program participants and some of their projects are presented in this paper. What is known about the topic The role of perioperative professional nursing associations is to write standards for practice and to assist in the professional development of their members. Practice development is hypothesised to assist clinical nurses to 'see' their work contexts afresh and to implement changes to improve patient care by focusing on patient-centredness and the use of credible evidence. What this article contributes It describes the contents and the implementation of a perioperative nursing workforce program, initiated by the NSW OTA and auspiced by the Chief Nursing and Midwifery Officer, NSW Health. The PNWP uses the tenets of practice development (PD) to achieve its aims and this is possibly the first use of PD in perioperative settings, and on a statewide basis