Incentives for Conservation Easements: The Charitable Deduction or a Better Way

Halperin talks about tax-policy concerns relating to the charitable deduction for conservation easement donations. The conflict of interest between charity and other owners raises a concern that the charitable deduction would not reflect the ultimate charitable benefit. The deduction for conservation easements is the principal exception to this rule despite the significant potential for abuse and the distinct possibility that the public benefit may be less than anticipated

On the Extension Behavior of Helicogenic Polypeptides

The force laws governing the extension behavior of homopolypeptides are obtained from a phenomenological free energy capable of describing the helix-coil transition. Just above the melting temperature of the free chains, T*, the plot of force, f, vs. end-to-end distance, R, exhibits two plateaus associated with coexistence of helical and coil domains. The lower plateau is due to tension induced onset of helix-coil transition. The higher plateau corresponds to the melting of the helices by overextension. Just below T* the f-R plot exhibits only the upper plateau. The f-R plots, the helical fraction, the number of domains and their polydispersity are calculated for two models: In one the helical domains are viewed as rigid rods while in the second they are treated as worm like chains.Comment: 18 pages, 10 figures, to be published in Macromolecule

Forecasting Metals Returns A Bayesian Decision Theoretic Approach

Turning points in commodity returns are important for decisions of policy makers, commodity producers and consumers reliant on medium term outcomes. However, forecasting of turning points has been a neglected feature of forecasting, especially in commodity markets. I forecast turning points in metals price returns using Bayesian Decision Theory. The method produces a probabilistic statement about our belief of a turning point occurring in the next period which, combined with a decision rule based on a loss function generates optimal turning point forecasts. This method produces positive results in forecasting turning points in metals returns, with the simple linear models investigated producing more accurate turning point forecasts than naive models across a number of different evaluation methods for the general case and for the specific example of a producing firm.

USLV: Unspanned Stochastic Local Volatility Model

We propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Our model extends the linearity-generating unspanned volatility term structure model by Carr et al. (2011) by adding a local volatility layer to it. We outline efficient numerical schemes for pricing derivatives in this framework for a particular four-factor specification (two "curve" factors plus two "volatility" factors). We show that the dynamics of such a system can be approximated by a Markov chain on a two-dimensional space (Z_t,Y_t), where coordinates Z_t and Y_t are given by direct (Kroneker) products of values of pairs of curve and volatility factors, respectively. The resulting Markov chain dynamics on such partly "folded" state space enables fast pricing by the standard backward induction. Using a nonparametric specification of the Markov chain generator, one can accurately match arbitrary sets of vanilla option quotes with different strikes and maturities. Furthermore, we consider an alternative formulation of the model in terms of an implied time change process. The latter is specified nonparametrically, again enabling accurate calibration to arbitrary sets of vanilla option quotes.Comment: Sections 3.2 and 3.3 are re-written, 3 figures adde