On the efficacy of Fourier series approximations for pricing European options

This paper investigates several competing procedures for computing the prices of vanilla European options, such as puts, calls and binaries, in which the underlying model has a characteristic function that is known in semi-closed form. The algorithms investigated here are the half-range Fourier cosine series, the half-range Fourier sine series and the full-range Fourier series. Their performance is assessed in simulation experiments in which an analytical solution is available and also for a simple affine model of stochastic volatility in which there is no closed-form solution. The results suggest that the half-range sine series approximation is the least effective of the three proposed algorithms. It is rather more difficult to distinguish between the performance of the halfrange cosine series and the full-range Fourier series. However there are two clear differences. First, when the interval over which the density is approximated is relatively large, the full-range Fourier series is at least as good as the half-range Fourier cosine series, and outperforms the latter in pricing out-of-the-money call options, in particular with maturities of three months or less. Second, the computational time required by the half-range Fourier cosine series is uniformly longer than that required by the full-range Fourier series for an interval of fixed length. Taken together,these two conclusions make a case for pricing options using a full-range range Fourier series as opposed to a half-range Fourier cosine series if a large number of options are to be priced in as short a time as possible.

Place making facilitators of knowledge and innovation spaces: Insights from European best practices

Knowledge economy seeks its nourishment from diversity and dissemination of ideas and creativity of its talent base. This has led to the acknowledgement of place making as a major strategy to attract and retain the knowledge base into the emerging knowledge and innovation spaces. The study seeks to explore the adoption of place making in this context. Literature and practice provide information to understand the evolution of various spatial typologies and the specialised role of place making in such locations. This helps in determining the key facilitators of place making. The paper takes an interdisciplinary approach and develops an integrated conceptual framework considering dimensions and facilitators of place making. Through the lens of the framework, best practices across Europe—i.e., Cambridge Science Park (UK), 22@Barcelona (Spain), Arabianranta (Finland), Strijp-S (Netherlands), and Digital Hub (Ireland)—are scrutinised to highlight various approaches to place making. The findings provide insights and a discussion into the interplay of form, function, image and underlying processes in globally emerging spatial typologies of contemporary knowledge and innovation spaces.

The micropolitics of management in universities: Challenges and opportunities

In recent decades, there has been a strong call by writers in education for alternative forms of leadership and management that are human centred and that value social cohesion, fairness, and democratic practices. Referred to by names such as transformative leadership (Shields, 2013) and ethical leadership (Starratt, 1996), those promoting these types of leadership argue for the use of “power as a moral force for the common good” (Duignan, 2007, p.12). In this chapter, our interest lies with managers in universities and how they use power in ethical and unethical ways. We consider some macro forces (e.g., globalisation, neo-liberal policies) that have impacted universities, making it difficult for managers to promote socially just and equitable practices. In particular, we examine the influence of managerialism—the application of private sector practices to the public sector—where the role of manager is not to question current practices, but to conform to performance targets, and to ensure compliance (O’Brien & Down, 2002). To come to an understanding of what might constitute ethical practices, we refer to the field of micropolitics as a way to help illuminate current practice and point to more positive ways of working.

Of old and new. Messages conveyed by Australian Universities

On arriving at the University of Queensland, I walked from where the taxi dropped me off towards the Great Court. As I walked I could see the carvings in the sandstone on the façade of the building in front of me. The carvings depict images of land, flora, fauna, settlers, and us. In the corner of my right sight of vision, I could see Mayne Hall. My mind flicked back in what was an instant to a time 30 plus years ago. I remember putting on some of my best clothes when my family would travel form the suburb of Inala to the Alumni book fair held in the Hall. We needed to act ‘discrete’ and like we were ‘meant to be there’. Members of my family would work hard to save money to buy the books that had far more substance than the books at our local community or school library. This was my first interaction with the University of Queensland. On the first day of Courting Blakness, I walked towards and then into the Great Court. I began to explore and engage with the artworks and allow them to engage with me. I was conscious of being in the University of Queensland as I had been on all my past visits. I was conscious of the public and the private aspects of the artworks along with the public observance and surveillance of the viewers of the artworks. The contradictions and struggles that Aboriginal and Torres Strait Islander people experience are everywhere when moving in spaces and places, including universities. They contain prevailing social, political and economic values in the same way that other places do. The symbols of place and space within universities are never neutral, and they can work to either marginalise and oppress Aboriginal and Torres Strait Islander people, or demonstrate that they are included and engaged. The artworks in the Great Court were involved in this matrix of mixed messages and the weaves of time contained the borders of the Court and within the minds of those present.

Path+Ways. Towards best practice bridging and Indigenous participation through regional dual-sector universities

Regional and remote Indigenous students are underrepresented in both higher education and vocational education and training. Enabling education courses are important in lifting participation rates and potentially in encouraging mobility between the sectors, yet there is a clear lack of evidence underpinning their development. This report provides an overview of the data collection and analysis activities undertaken via a research project funded by the National Centre for Student Equity in Higher Education. The project purpose was to explore current practices dealing with Indigenous enabling courses, particularly in the context of regional, dual-sector universities. In particular, the project examined how these programs vary by institution (and region) in terms of structure, mode and ethos of offering; and direct and indirect impacts of these initiatives on Indigenous student participation and attainment; with a view to designing a best practice framework and implementation statement. Through its focus on students accessing Indigenous and mainstream enabling education, the project focussed on range of equity groups including those of low socio-economic status (both school leaver and mature-age categories), regional and/or remote students, Indigenous students and students with disability.

Meta-analysis of genome-wide association for migraine in six population-based European cohorts

Migraine is a common neurological disorder with a genetically complex background. This paper describes a meta-analysis of genome-wide association (GWA) studies on migraine, performed by the Dutch-Icelandic migraine genetics (DICE) consortium, which brings together six population-based European migraine cohorts with a total sample size of 10,980 individuals (2446 cases and 8534 controls). A total of 32 SNPs showed marginal evidence for association at a P-value<10(-5). The best result was obtained for SNP rs9908234, which had a P-value of 8.00 x 10(-8). This top SNP is located in the nerve growth factor receptor (NGFR) gene. However, this SNP did not replicate in three cohorts from the Netherlands and Australia. Of the other 31 SNPs, 18 SNPs were tested in two replication cohorts, but none replicated. In addition, we explored previously identified candidate genes in the meta-analysis data set. This revealed a modest gene-based significant association between migraine and the metadherin (MTDH) gene, previously identified in the first clinic-based GWA study (GWAS) for migraine (Bonferroni-corrected gene-based P-value=0.026). This finding is consistent with the involvement of the glutamate pathway in migraine. Additional research is necessary to further confirm the involvement of glutamate.

A reanalysis of 409 European-Ancestry and African American schizophrenia pedigrees reveals significant linkage to 8p23.3 with evidence of locus heterogeneity

The detection and replication of schizophrenia risk loci can require substantial sample sizes, which has prompted various collaborative efforts for combining multiple samples. However, pooled samples may comprise sub-samples with substantial population genetic differences, including allele frequency differences. We investigated the impact of population differences via linkage reanalysis of Molecular Genetics of Schizophrenia 1 (MGS1) affected sibling-pair data, comprising two samples of distinct ancestral origin: European (EA: 263 pedigrees) and African-American (AA: 146 pedigrees). To exploit the linkage information contained within these distinct continental samples, we performed separate analyses of the individual samples, allowing for within-sample locus heterogeneity, and the pooled sample, allowing for both within-sample and between-sample heterogeneity. Significance levels, corrected for the multiple tests, were determined empirically. For all suggestive peaks, stronger linkage evidence was obtained in either the EA or AA sample than the combined sample, regardless of how heterogeneity was modeled for the latter. Notably, we report genomewide significant linkage of schizophrenia to 8p23.3 and evidence for a second, independent susceptibility locus, reaching suggestive linkage, 29 cM away on 8p21.3. We also detected suggestive linkage on chromosomes 5p13.3 and 7q36.2. Many regions showed pronounced differences in the extent of linkage between the EA and AA samples. This reanalysis highlights the potential impact of population differences upon linkage evidence in pooled data and demonstrates a useful approach for the analysis of samples drawn from distinct continental groups.

Moving European research on work and ageing forward: Overview and agenda

This paper summarizes the state of affairs of European research on ageing and work. After a close inspection of the age construct, an overview is presented of research in four areas: the relationship between age and HR-policies, early retirement, age and performance/employability, age and health/well-being. The overview results in a research agenda on work and ageing and in recommendations for practice.

The status of entrepreneurship education in Australian universities

Purpose The purpose of this paper is to provide an analytical overview of the current state of entrepreneurship education (EE) in Australia; placing emphasis on programs, curricula and entrepreneurship ecosystems. Design/methodology/approach The authors performed a contextual review of the literature by delineating entrepreneurship education programs, the entrepreneurial ecosystem and EE learning and teaching. The review was enhanced by a systematic collection of data from higher education institutions web sites, depicting the prevailing situation of entrepreneurship programs, courses, subjects and their ecosystems. Findings A number of interesting findings emerged from this study. From a curricular perspective, Australian universities offer 584 subjects related to entrepreneurship. This includes dominance at undergraduate level, representing 24 minors/majors and specializations in entrepreneurship. In total, 135 entrepreneurship ecosystems were identified. Research limitations/implications This paper presents findings from university web sites and as such requires introspection to validate individual university offerings. Practical implications The study provides the status of EE in Australia, and may guide academic and policy decision makers to further develop entrepreneurship initiatives. Originality/value This paper provides the first analytical overview of EE in Australia and paves the way for further evaluation.

Connecting for innovation: Four universities collaboratively preparing pre-service teachers to teach in rural and remote Western Australia

In 2010 a group of teacher educators from four universities, experienced in rural and remote education, formed the Tertiary Educators Rural, Regional and Remote Network (TERRR Network). The collaborative goal was to improve the quality of graduates taking appointments beyond the metropolitan areas of Western Australia. The TERRR Network developed a research project to improve the capacity of universities to prepare teachers for employment in rural and remote locations. A range of outcomes emerged from the project, including: 1) the development of seven rural and remote-oriented curricula modules linked to the Australian Professional Standards for Teachers; 2) a cross-institutional field experience, and; 3) the development of a community of practice involving the Department of Education, universities and schools to address the logistical implications of placing pre-service students in rural and remote locations. This paper reports on the five phases of the project design, with a focus on learning in the field and concludes with reflections on the collaborative process used by the four universities in order to ensure that research evidence informs future policy and program development.

Phylogenetic analysis of human Chlamydia pneumoniae strains reveals a distinct Australian indigenous clade that predates European exploration of the continent

Background The obligate intracellular bacterium Chlamydia pneumoniae is a common respiratory pathogen, which has been found in a range of hosts including humans, marsupials and amphibians. Whole genome comparisons of human C. pneumoniae have previously highlighted a highly conserved nucleotide sequence, with minor but key polymorphisms and additional coding capacity when human and animal strains are compared. Results In this study, we sequenced three Australian human C. pneumoniae strains, two of which were isolated from patients in remote indigenous communities, and compared them to all available C. pneumoniae genomes. Our study demonstrated a phylogenetically distinct human C. pneumoniae clade containing the two indigenous Australian strains, with estimates that the most recent common ancestor of these strains predates the arrival of European settlers to Australia. We describe several polymorphisms characteristic to these strains, some of which are similar in sequence to animal C. pneumoniae strains, as well as evidence to suggest that several recombination events have shaped these distinct strains. Conclusions Our study reveals a greater sequence diversity amongst both human and animal C. pneumoniae strains, and suggests that a wider range of strains may be circulating in the human population than current sampling indicates.

Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications

The interdependence of Greece and other European stock markets and the subsequent portfolio implications are examined in wavelet and variational mode decomposition domain. In applying the decomposition techniques, we analyze the structural properties of data and distinguish between short and long term dynamics of stock market returns. First, the GARCH-type models are fitted to obtain the standardized residuals. Next, different copula functions are evaluated, and based on the conventional information criteria and time varying parameter, Joe-Clayton copula is chosen to model the tail dependence between the stock markets. The short-run lower tail dependence time paths show a sudden increase in comovement during the global financial crises. The results of the long-run dependence suggest that European stock markets have higher interdependence with Greece stock market. Individual country’s Value at Risk (VaR) separates the countries into two distinct groups. Finally, the two-asset portfolio VaR measures provide potential markets for Greece stock market investment diversification.