Is the gamma risk of options insurable?

In this article we analyze the risk associated with hedging written call options. We introduce a way to isolate the gamma risk from other risk types and present its loss distribution, which has heavy tails. Moving to an insurance point of view, we define a loss ratio that we find to be well behaved with a slightly negative correlation to traditional lines of insurance business, offering diversification opportunities. The tails of the loss distribution are shown to be much fatter than those of the underlying stock returns. We also show that badly estimated volatility, in the Black-Scholes model, leads to considerably biased values for the replicating portfolio. Operational risk is defined as caused by imperfect delta hedging and is found to be limited in today's markets where the autocorrelation of stock returns is small.Option; Insurance; Risk

Anderson Localization Triggered by Spin Disorder—With an Application to Eu x Ca1− x B6

The phenomenon of Anderson localization is studied for a class of one-particle Schrödinger operators with random Zeeman interactions. These operators arise as follows: Static spins are placed randomly on the sites of a simple cubic lattice according to a site percolation process with density x and coupled to one another ferromagnetically. Scattering of an electron in a conduction band at these spins is described by a random Zeeman interaction term that originates from indirect exchange. It is shown rigorously that, for positive values of x below the percolation threshold, the spectrum of the one-electron Schrödinger operator near the band edges is dense pure-point, and the corresponding eigenfunctions are exponentially localized. Localization near the band edges persists in a weak external magnetic field, H, but disappears gradually, as H is increased. Our results lead us to predict the phenomenon of colossal (negative) magnetoresistance and the existence of a Mott transition, as H and/or x are increased. Our analysis is motivated directly by experimental results concerning the magnetic alloy Eu x Ca1−x B

Metabolites and dead-end products from the microbial oxidation of quaternary ammonium alcohols

Methyl-triethanol-ammonium originates from the hydrolysis of the parent esterquat surfactant, which is used as softener in fabric care. The initial steps of the catabolism were investigated in cell-free extracts of the bacterial strain MM 1 able to grow with methyl-triethanol-ammonium as sole source of carbon, energy and nitrogen. The initial degradation of methyl-triethanol-ammonium is an enzymatically catalyzed reaction, located in the particulate fraction of strain MM 1. The oxygen dependent reaction occurred also in presence of phenazine methosulfate as an alternative electron acceptor. As soon as one ethanol group of methyl-triethanol-ammonium was oxidized to the aldehyde, cyclic hemiacetals were formed by intramolecular cyclization. The third ethanol group of methyl-triethanol-ammonium was oxidized to the aldehyde and the carboxylic acid sequentially. The structurally related compounds dimethyl-diethanol-ammonium and choline were oxidized as well, whereas (±)-2,3-dihydroxypropyl-trimethyl-ammonium was not converted at all. The structures of the metabolites were established by 1D and 2D 1H, 13C and 14N NMR spectroscopy and by capillary electrophoresis mass spectrometr

The structural history of the Mont Blanc massif with regard to models for its recent exhumation

The tectonic evolution of the Mont Blanc range with regard to its cooling and exhumation history has been discussed and debated over many years and is still controversial. Recently, several low-temperature thermochronology studies have determined the cooling history of the massif in considerable detail and various tectonic models proposed to explain the young and fast exhumation signal established from these studies. Here we present detailed field data from the wider Mont Blanc area and assess possible exhumation processes in terms of these field constraints. Our observations indicate that none of the major faults or shear zones around the Mont Blanc massif (i.e. Mont Blanc shear zone, Mont Blanc back-thrust, Penninic thrust) was active in Late Neogene times and that young exhumation is therefore not controlled by movements along these structures. We demonstrate that the position of Mont Blanc in the bend of the western Alps plays an important role in its tectonic history and that simple 2D models are insufficient to explain its evolution. Interference between NW-SE compression and orogen-parallel extension along the Rhône-Simplon fault system resulted in a complex regional structural pattern, with strike-slip movements on both sides of the Mont Blanc massif. Young brittle faults are predominantly strike slip without significant vertical offset. The young (<2Ma) rapid exhumation of Mont Blanc is more broadly distributed and cannot be directly linked to discrete faults bounding the massif. The mechanisms driving this recent accelerated exhumation must similarly be of broader scal

Color-dependent changes in humans during a verbal fluency task under colored light exposure assessed by SPA-fNIRS.

Light evokes robust visual and nonvisual physiological and psychological effects in humans, such as emotional and behavioral responses, as well as changes in cognitive brain activity and performance. The aim of this study was to investigate how colored light exposure (CLE) and a verbal fluency task (VFT) interact and affect cerebral hemodynamics, oxygenation, and systemic physiology as determined by systemic physiology augmented functional near-infrared spectroscopy (SPA-fNIRS). 32 healthy adults (17 female, 15 male, age: 25.5 ± 4.3 years) were exposed to blue and red light for 9 min while performing a VFT. Before and after the CLE, subjects were in darkness. We found that this long-term CLE-VFT paradigm elicited distinct changes in the prefrontal cortex and in most systemic physiological parameters. The subjects' performance depended significantly on the type of VFT and the sex of the subject. Compared to red light, blue evoked stronger responses in cerebral hemodynamics and oxygenation in the visual cortex. Color-dependent changes were evident in the recovery phase of several systemic physiological parameters. This study showed that the CLE has effects that endure at least 15 min after cessation of the CLE. This underlines the importance of considering the persistent influence of colored light on brain function, cognition, and systemic physiology in everyday life

Worldwide prevalence of anaemia, WHO Vitamin and Mineral Nutrition Information System, 1993-2005

Abstract Objective To provide current global and regional estimates of anaemia prevalence and number of persons affected in the total population and by population subgroup. Setting and design We used anaemia prevalence data from the WHO Vitamin and Mineral Nutrition Information System for 1993-2005 to generate anaemia prevalence estimates for countries with data representative at the national level or at the first administrative level that is below the national level. For countries without eligible data, we employed regression-based estimates, which used the UN Human Development Index (HDI) and other health indicators. We combined country estimates, weighted by their population, to estimate anaemia prevalence at the global level, by UN Regions and by category of human development. Results Survey data covered 48·8 % of the global population, 76·1 % of preschool-aged children, 69·0 % of pregnant women and 73·5 % of non-pregnant women. The estimated global anaemia prevalence is 24·8 % (95 % CI 22·9, 26·7 %), affecting 1·62 billion people (95 % CI 1·50, 1·74 billion). Estimated anaemia prevalence is 47·4 % (95 % CI 45·7, 49·1 %) in preschool-aged children, 41·8 % (95 % CI 39·9, 43·8 %) in pregnant women and 30·2 % (95 % CI 28·7, 31·6 %) in non-pregnant women. In numbers, 293 million (95 % CI 282, 303 million) preschool-aged children, 56 million (95 % CI 54, 59 million) pregnant women and 468 million (95 % CI 446, 491 million) non-pregnant women are affected. Conclusion Anaemia affects one-quarter of the world's population and is concentrated in preschool-aged children and women, making it a global public health problem. Data on relative contributions of causal factors are lacking, however, which makes it difficult to effectively address the proble

Draft Genome Sequences of Enterococcus mundtii Strains Isolated from Beef Slaughterhouses in Kenya

We present here draft genome sequences of Enterococcus mundtii strains K7-EM, P2-EM, C11-EM, and H18-EM, which were isolated from slaughterhouse equipment, carcasses, and personnel of small- and medium-sized beef slaughterhouses in Kenya

Amides are excellent mimics of phosphate internucleoside linkages and are well tolerated in short interfering RNAs

RNA interference (RNAi) has become an important tool in functional genomics and has an intriguing therapeutic potential. However, the current design of short interfering RNAs (siRNAs) is not optimal for in vivo applications. Non-ionic phosphate backbone modifications may have the potential to improve the properties of siRNAs, but are little explored in RNAi technologies. Using X-ray crystallography and RNAi activity assays, the present study demonstrates that 3\u27-CH2-CO-NH-5\u27 amides are excellent replacements for phosphodiester internucleoside linkages in RNA. The crystal structure shows that amide-modified RNA forms a typical A-form duplex. The amide carbonyl group points into the major groove and assumes an orientation that is similar to the P-OP2 bond in the phosphate linkage. Amide linkages are well hydrated by tandem waters linking the carbonyl group and adjacent phosphate oxygens. Amides are tolerated at internal positions of both the guide and passenger strand of siRNAs and may increase the silencing activity when placed near the 5\u27-end of the passenger strand. As a result, an siRNA containing eight amide linkages is more active than the unmodified control. The results suggest that RNAi may tolerate even more extensive amide modification, which may be useful for optimization of siRNAs for in vivo applications

Is the gamma risk of options insurable?

In this article we analyze the risk associated with hedging written call options. We introduce a way to isolate the gamma risk from other risk types and present its loss distribution, which has heavy tails. Moving to an insurance point of view, we define a loss ratio that we find to be well behaved with a slightly negative correlation to traditional lines of insurance business, offering diversification opportunities. The tails of the loss distribution are shown to be much fatter than those of the underlying stock returns. We also show that badly estimated volatility, in the Black-Scholes model, leads to considerably biased values for the replicating portfolio. Operational risk is defined as caused by imperfect delta hedging and is found to be limited in today's markets where the autocorrelation of stock returns is small

Induced pluripotent stem cells (iPSC) created from skin fibroblasts of patients with Prader-Willi syndrome (PWS) retain the molecular signature of PWS

AbstractPrader-Willi syndrome (PWS) is a syndromic obesity caused by loss of paternal gene expression in an imprinted interval on 15q11.2-q13. Induced pluripotent stem cells were generated from skin cells of three large deletion PWS patients and one unique microdeletion PWS patient. We found that genes within the PWS region, including SNRPN and NDN, showed persistence of DNA methylation after iPSC reprogramming and differentiation to neurons. Genes within the PWS minimum critical deletion region remain silenced in both PWS large deletion and microdeletion iPSC following reprogramming. PWS iPSC and their relevant differentiated cell types could provide in vitro models of PWS