Pricing cryptocurrency options

Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and price discontinuity. We propose a pricing mechanism based on a stochastic volatility with a correlated jump (SVCJ) model and compare it to a flexible co-jump model by \cite{bandi2016price}. The estimation results of both models confirm the impact of jumps and co-jumps on options obtained via simulation and an analysis of the implied volatility curve. We show that a sizeable proportion of price jumps are significantly and contemporaneously anti-correlated with jumps in volatility. Our study comprises pioneering research on pricing BTC options. We show how the proposed pricing mechanism underlines the importance of jumps in cryptocurrency markets

Helium bubble nucleation in Laser Powder Bed Fusion processed 304L stainless steel

The interest in application of Additive Manufacturing (AM) to nuclear industry stems not only from the benefits of design freedom and shortened lead time, but also from the possibility of enhancing the performance through microstructure control. One of the most important requirements for in-core structural material in nuclear power plants is helium resistance. The Laser Powder Bed Fusion (LPBF) processed 304L stainless steel possesses strong defect sinks such as high densities of dislocation-surrounded sub-grains and dispersed nano-inclusions. In this work the LPBF processed 304L in as-built and solution-annealed conditions along with a conventionally rolled counterpart were implanted with 350\ua0keV He+\ua0ion at 300\ua0\ub0C to 0.24 dpa (displacement per atom). Transmission Electron Microscopy (TEM) observations indicate significantly higher helium resistance of the as-built LPBF 304L compared to the other two samples. The sink strengths in the three samples are calculated based on the measurements of the microstructural features using simplified equations for the correlation between microstructural characteristics and helium tolerance. Based on the calculation, the cellular sub-grains and the dispersed nano-inclusions are the primary and secondary contributors to the helium resistance of LPBF 304L steel

IL-8 Enhances Therapeutic Effects of BMSCs on Bone Regeneration via CXCR2-Mediated PI3k/Akt Signaling Pathway

Background/Aims: Tissue engineering bone transplantation with bone marrow mesenchymal stem cells (BMSCs) is an effective technology to treat massive bone loss, while molecular regulation of the bone regeneration processes remains poorly understood. Here, we aimed to assess the role of interleukin-8 (IL-8) in the recruitment of host cells by seeded BMSCs and in the bone regeneration. Methods: A transwell assay was performed to examine the role of IL-8/CXCR1/CXCR2/PI3k/Akt on the migration potential of hBMSCs. The in vitro chondrogenic differentiation of hBMSCs was assessed by examination of 2 chondrogenic markers, Sox9 and type 2 collagen (COL2). mBMSCs were used in tissue engineered bone (TEB) with/without IL-8 implanted into bone defect area with CXCR2 or Akt inhibitors. Density and Masson staining of the regenerated bone were assessed. The chondrogenesis was assessed by expression levels of associated proteins, Sox9 and COL2, by RT-qPCR and by immunohistochemistry. Results: IL-8 may trigger in vitro migration of hBMSCs via CXCR2-mediated PI3k/Akt signaling pathway. IL-8 enhances osteogenesis in the TEB-implanted bone defect in mice. IL-8 induces chondrogenic differentiation of hBMSCs via CXCR2-mediated PI3k/Akt signaling pathway in vitro and in vivo. Conclusions: IL-8 enhances therapeutic effects of MSCs on bone regeneration via CXCR2-mediated PI3k/Akt signaling pathway

A nonparametric GARCH model of crude oil price return volatility

The use of parametric GARCH models to characterise crude oil price volatility is widely observed in the empirical literature. In this paper, we consider an alternative approach involving nonparametric method to model and forecast oil price return volatility. Focusing on two crude oil markets, Brent and West Texas Intermediate (WTI), we show that the out-of-sample volatility forecast of the nonparametric GARCH model yields superior performance relative to an extensive class of parametric GARCH models. These results are supported by the use of robust loss functions and the Hansen\u27s (2005) superior predictive ability test. The improvement in forecasting accuracy of oil price return volatility based on the nonparametric GARCH model suggests that this method offers an attractive and viable alternative to the commonly used parametric GARCH models

Modelling and forecasting short-term interest rate volatility: A semiparametric approach

This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the conditional variance. Moreover, the semiparametric approach yields robust volatility estimates even if the short rate drift function and the underlying innovation distribution are misspecified. Empirical investigation with the U.S. three-month Treasury bill rates suggests that the semiparametric procedure produces superior in-sample and out-of-sample forecast of short rate changes volatility compared with the widely used single-factor diffusion models. This forecast improvement has implications for pricing interest rate derivatives

Anti-HBV constituents from Euphorbia fischeriana

Objective: To investigate the anti-HBV constituents in the roots of Euphorbia fischeriana. Method: The compounds were isolated by various chromatographic methods and identified by spectroscopic analysis. Some compounds were tested for the anti-HBV activity. Result: Eleven compounds were isolated and identified as tirucalla-5, 24-dien-3-ol (1), 24-methyltirucalla-5, 24-dien-3-ol (2), euphol (3), butyrospermol (4), 24-methylenecycloartenol (5), cycloartenol (6), jolkinolid E (7), helioscopinolide A (8), isoscopoletion (9), dephnoretin (10), and 3, 3′-di-O-methylellagic acid 4′-O-β-D- xylopyranoside (11). Conclusion: Compounds 1, 2 and 10 were isolated from the genus Euphorbia for the first time. Compounds 3, 4 and 11 were isolated from this species for the first time. Compounds 1, 8, 9 and 11 showed weak anti-HBsAg and anti-HBeAg activity, while compound 10 showed weak anti-HBsAg activity

EMPIRICAL TEST OF MARKET EFFICIENCY OF OMX OPTIONS

This thesis examines the market efficiency of the Swedish index option (OMX) market. The empirical tests are carried out on an ex-ante basis using the index future contracts to hedge the index options. Two efficiency tests have been performed, explicitly lower boundary and put call parity conditions test and dynamic hedging strategy. The first test shows that the discovered deviations from the lower boundary conditions and put call parity condition do not generate abnormal returns, particularly after all transaction costs have been accounted for. The second test, delta neutral dynamic hedging strategy, is simulated by comparing option market prices with the Black Scholes prices calculated using two volatility estimators, namely historical volatility (HSD) and weighted implied standard deviation (WISD). The strategy evidences that no systematic abnormal returns can be found in the OMX option market, therefore supporting the hypothesis of no arbitrage opportunity and market efficiency

Study on soil corrosion principles of the Q235 steel ground net in Weinan Shaanxi

In order to on-line detect the ground grid corrosion, the relationship between the corrosion rate of Q235 steel and electrical resistance was studied by an accelerated corrosion in the soil where a 750 kV high-voltage transformer substation was established. The corrosion products and morphology were characterized by SEM (scanning electron microscopy) and XRD (X-ray diffraction). The results show that the rusty layer by the accelerated corrosion has the same structure as that by natural corrosion, and the corrosion products consisted mainly of γ-Fe₂O₃ and Fe₃O₄. One-year monitoring was conducted and the relationship of the corrosion rate (V) and the resistivity (R) was established. The error between the nature corrosion rate and the calculated corrosion rate is less than 3%.В операційному режимі виконано пришвидшені корозійні випробування сітки електричного заземлення зі сталі Q235 у ґрунті трансформаторної підстанції. Залежність глибини корозії від електричного опору сітки вивчали на спеціальній установці. Особливості корозії металу та склад її продуктів досліджували за допомогою сканівної електронної мікроскопії та методу рентгенодифракції. Встановлено, що продукти корозії сталі Q235 відповідають природі іржі, утвореної під час тривалої експлуатації сіткової конструкції. На основі річних спостережень запропоновано формулу для визначення швидкості корозії сталі за цих умов.В операционном режиме проведены ускоренные коррозионные испытания сетки электрического заземления из стали Q235 в почве трансформаторной подстанции. Зависимость глубины коррозии от электрического сопротивления сетки изучали на специальной установке. Особенности коррозии металла и состав ее продуктов исследовали с помощью сканирующей электронной микроскопии и метода рентгенодифракции. Установлено, что продукты коррозии стали Q235 отвечают природе ржавчины, образованной во время длительной эксплуатации сеточной конструкции. На основе годовых наблюдений предложено формула для определения скорости коррозии стали при данных условиях

Long- and Short-Run Components of Factor Betas : Implications for Equity Pricing

We propose a bivariate component GARCH-MIDAS model to estimate the long- and short-run components of the variances and covariances. The advantage of our model to the existing DCC-based models is that it uses the same form for both the variances and covariances and that it estimates these moments simultaneously. We apply this model to obtain long- and short-run factor betas for industry test portfolios, where the risk factors are the market, SMB, and HML portfolios. We use these betas in cross-sectional analysis of the risk premia. Among other things, we find that the risk premium related to the short-run market beta is significantly positive, irrespective of the choice of test portfolio. Further, the risk premia for the short-run betas of all the risk factors are significant outside recessions

Dirac state in the FeB2 monolayer with graphene-like boron sheet

By introducing the commonly utilized Fe atoms into two-dimensional (2D) honeycomb boron network, we theoretically designed a new Dirac material of FeB2 monolayer with a Fermi velocity in the same order of graphene. The electron transfer from Fe atoms to B networks not only effectively stabilizes the FeB2 networks, but also leads to the strong interaction between the Fe and B atoms. The Dirac state in FeB2 system primarily arises from the Fe-d orbitals and hybridized orbital from Fe-d and B-p states. The newly predicted FeB2 monolayer has excellent dynamic and thermal stabilities, and is also the global minimum of 2D FeB2 system, implying its experimental feasibility. Our results are beneficial to further uncovering the mechanism of the Dirac cones and providing a feasible strategy for Dirac materials design