325 resultados para option pricing VIX Laguerre expansion jump-diffusion


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Monte Carlo simulations were used to investigate the relationship between the morphological characteristics and the diffusion tensor (DT) of partially aligned networks of cylindrical fibres. The orientation distributions of the fibres in each network were approximately uniform within a cone of a given semi-angle (θ0). This semi-angle was used to control the degree of alignment of the fibres. The networks studied ranged from perfectly aligned (θ0 = 0) to completely disordered (θ0 = 90°). Our results are qualitatively consistent with previous numerical models in the overall behaviour of the DT. However, we report a non-linear relationship between the fractional anisotropy (FA) of the DT and collagen volume fraction, which is different to the findings from previous work. We discuss our results in the context of diffusion tensor imaging of articular cartilage. We also demonstrate how appropriate diffusion models have the potential to enable quantitative interpretation of the experimentally measured diffusion-tensor FA in terms of collagen fibre alignment distributions.

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Target date funds provide a simple, automated approach to retirement savings in defined contribution plans. The passing of the Pension Protection Act of 2006 has seen an increase in the popularity of these funds in the United States, becoming the default option for many plans. However, recent research findings have challenged the easy bake or ‘set-and-forget’ nature of target date funds. This study explores some of the critical design features of target date funds (which shifts an individual’s asset allocation from growth to defensive assets following a pre-set glidepath) against a simple balanced (or target risk) fund design. Using both time-weighted and dollar-weighted returns, our results suggest that there is more to achieving successful retirement outcomes than the investor simply selecting a proposed year of retirement. Our findings can perhaps be summarized by Einstein’s famous epithet, that in the murky world of retirement product design, everything should be made as simple as possible, but not simpler.

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The point at which the parties to a negotiation for the sale of land are legally bound can often be difficult to judge. This is particularly so where the parties have agreed a lawyer is to formalise the agreement between them. When the parties have not agreed all matters relating to the transaction, interesting questions arise as to what terms regulate the relationship. In Moffatt Property Development Group Pty Ltd v Hebron Park Pty Ltd [2009] QCA 60 the Queensland Court of Appeal considered first, whether there was a binding agreement to sell and secondly, how the relationship would be regulated in the absence of express agreement in relation to many of the terms.

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We investigate the physical origins of etching observed during Ti diffusion. The relationship between observed etch depth and water vapor content in the annealing environment is quantified. The dynamics of the etching process are also identified. It is discovered that water vapor content is essential for etching and that there is a characteristic delay before etching is observed. From these observations we can conclude that the process is electrochemical in nature with ionic defects diffusing into the Ti strip from the lithium niobate and these defects catalyzing the dissociation of water into reactive ions.

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This study addresses the research question: ‘What are the diffusion determinants for extreme weather-proofing technology in the Australian built environment?’ In order to effectively identify diffusion determinants, a synthesis of literature in both technical and management fields was conducted from a system-wide perspective. Review results where then interpreted through an innovation system framework, drawn from innovation systems literature, in order to map the current state of extreme weather-proofing technology diffusion in the Australian built environment industry. Drivers and obstacles to optimal diffusion are presented. Results show the important role to be played by Australian governments in facilitating improved weather proofing technology diffusion. This applies to governments in their various roles, but particularly as regulators, clients/owners and investors in research & development and education. In the role as regulators, findings suggest Australian governments should be encouraging the application of innovative finance options and positive end-user incentives to promote the uptake of weather proofing technology. Additionally, in their role as clients/owners, diffusion can be improved by adjusting building and infrastructure specifications to encourage designers and constructors to incorporate extreme weather proofing technology in new and redeveloped built assets. Finally, results suggest greater investment is required in research and development and improved knowledge sharing across the construction supply chain to further mitigate risks associated with greater incidences of extreme weather events.

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In order to establish the influence of the drying air characteristics on the drying performance and fluidization quality of bovine intestine for pet food, several drying tests have been carried out in a laboratory scale heat pump assisted fluid bed dryer. Bovine intestine samples were heat pump fluidized bed dried at atmospheric pressure and at temperatures below and above the materials freezing points, equipped with a continuous monitoring system. The investigation of the drying characteristics have been conducted in the temperature range −10 to 25 ◦C and the airflow in the range 1.5–2.5 m/s. Some experiments were conducted as single temperature drying experiments and others as two stage drying experiments employing two temperatures. An Arrhenius-type equation was used to interpret the influence of the drying air temperature on the effective diffusivity, calculated with the method of slopes in terms of energy activation, and this was found to be sensitive to the temperature. The effective diffusion coefficient of moisture transfer was determined by the Fickian method using uni-dimensional moisture movement in both moisture, removal by evaporation and combined sublimation and evaporation. Correlations expressing the effective moisture diffusivity and drying temperature are reported. Bovine particles were characterized according to the Geldart classification and the minimum fluidization velocity was calculated using the Ergun Equation and generalized equation for all drying conditions at the beginning and end of the trials. Walli’s model was used to categorize stability of the fluidization at the beginning and end of the dryingv for each trial. The determined Walli’s values were positive at the beginning and end of all trials indicating stable fluidization at the beginning and end for each drying condition.

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We present a mini-review of the development and contemporary applications of diffusion-sensitive nuclear magnetic resonance (NMR) techniques in biomedical sciences. Molecular diffusion is a fundamental physical phenomenon present in all biological systems. Due to the connection between experimentally measured diffusion metrics and the microscopic environment sensed by the diffusing molecules, diffusion measurements can be used for characterisation of molecular size, molecular binding and association, and the morphology of biological tissues. The emergence of magnetic resonance was instrumental to the development of biomedical applications of diffusion. We discuss the fundamental physical principles of diffusion NMR spectroscopy and diffusion MR imaging. The emphasis is placed on conceptual understanding, historical evolution and practical applications rather than complex technical details. Mathematical description of diffusion is presented to the extent that it is required for the basic understanding of the concepts. We present a wide range of spectroscopic and imaging applications of diffusion magnetic resonance, including colloidal drug delivery vehicles; protein association; characterisation of cell morphology; neural fibre tractography; cardiac imaging; and the imaging of load-bearing connective tissues. This paper is intended as an accessible introduction into the exciting and growing field of diffusion magnetic resonance.

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Background The expansion of cell colonies is driven by a delicate balance of several mechanisms including cell motility, cell-to-cell adhesion and cell proliferation. New approaches that can be used to independently identify and quantify the role of each mechanism will help us understand how each mechanism contributes to the expansion process. Standard mathematical modelling approaches to describe such cell colony expansion typically neglect cell-to-cell adhesion, despite the fact that cell-to-cell adhesion is thought to play an important role. Results We use a combined experimental and mathematical modelling approach to determine the cell diffusivity, D, cell-to-cell adhesion strength, q, and cell proliferation rate, ?, in an expanding colony of MM127 melanoma cells. Using a circular barrier assay, we extract several types of experimental data and use a mathematical model to independently estimate D, q and ?. In our first set of experiments, we suppress cell proliferation and analyse three different types of data to estimate D and q. We find that standard types of data, such as the area enclosed by the leading edge of the expanding colony and more detailed cell density profiles throughout the expanding colony, does not provide sufficient information to uniquely identify D and q. We find that additional data relating to the degree of cell-to-cell clustering is required to provide independent estimates of q, and in turn D. In our second set of experiments, where proliferation is not suppressed, we use data describing temporal changes in cell density to determine the cell proliferation rate. In summary, we find that our experiments are best described using the range D = 161 - 243 ?m2 hour-1, q = 0.3 - 0.5 (low to moderate strength) and ? = 0.0305 - 0.0398 hour-1, and with these parameters we can accurately predict the temporal variations in the spatial extent and cell density profile throughout the expanding melanoma cell colony. Conclusions Our systematic approach to identify the cell diffusivity, cell-to-cell adhesion strength and cell proliferation rate highlights the importance of integrating multiple types of data to accurately quantify the factors influencing the spatial expansion of melanoma cell colonies.

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The movement of molecules inside living cells is a fundamental feature of biological processes. The ability to both observe and analyse the details of molecular diffusion in vivo at the single-molecule and single-cell level can add significant insight into understanding molecular architectures of diffus- ing molecules and the nanoscale environment in which the molecules diffuse. The tool of choice for monitoring dynamic molecular localization in live cells is fluorescence microscopy, especially so combining total internal reflection fluorescence with the use of fluorescent protein (FP) reporters in offering exceptional imaging contrast for dynamic processes in the cell mem- brane under relatively physiological conditions compared with competing single-molecule techniques. There exist several different complex modes of diffusion, and discriminating these from each other is challenging at the mol- ecular level owing to underlying stochastic behaviour. Analysis is traditionally performed using mean square displacements of tracked particles; however, this generally requires more data points than is typical for single FP tracks owing to photophysical instability. Presented here is a novel approach allowing robust Bayesian ranking of diffusion processes to dis-criminate multiple complex modes probabilistically. It is a computational approach that biologists can use to understand single-molecule features in live cells.

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Purpose The purpose of this paper is to determine whether greenhouse gas (GHG) tradeable instruments will be classified as financial products within the scope of the World Trade Organization (WTO) law and to explore the implications of this finding. Design/methodology/approach This purpose is achieved through examination of the units of the Australian Carbon Pricing Mechanism (CPM), namely eligible emissions units. These units are analysed through the lens of the definition of financial products provided in the General Agreement for Trade in Services (the GATS). Findings This paper finds that eligible emissions units will be classified as financial instruments, and therefore the provisions that govern their trade will be regulated by the GATS. Considering this, this paper explores the limitations that are introduced by the Australian legislation on the trade of eligible emissions units. Research limitations/implications This paper is limited in its analysis to the Australian CPM. In order to draw conclusions on the issues raised by this analysis it is necessary to consider the WTO requirements against an operating emissions trading scheme. The Australian CPM presents a contemporary model of an appropriate scheme. Originality/value The findings in this paper are crucial in a GHG constrained society. This is because emissions trading schemes are becoming popular measures for pricing GHG emissions, and for this reason the units that are traded and surrendered for emissions liabilities must be classified appropriately on a global scale. Failing to do this could result in differential treatment that may be contrary to the intentions of important global agreements, such as the WTO covered agreements.

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The numerical solution in one space dimension of advection--reaction--diffusion systems with nonlinear source terms may invoke a high computational cost when the presently available methods are used. Numerous examples of finite volume schemes with high order spatial discretisations together with various techniques for the approximation of the advection term can be found in the literature. Almost all such techniques result in a nonlinear system of equations as a consequence of the finite volume discretisation especially when there are nonlinear source terms in the associated partial differential equation models. This work introduces a new technique that avoids having such nonlinear systems of equations generated by the spatial discretisation process when nonlinear source terms in the model equations can be expanded in positive powers of the dependent function of interest. The basis of this method is a new linearisation technique for the temporal integration of the nonlinear source terms as a supplementation of a more typical finite volume method. The resulting linear system of equations is shown to be both accurate and significantly faster than methods that necessitate the use of solvers for nonlinear system of equations.

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In “Arm’s Length Pricing and Multinational Banks: An Old Fashioned Approach in a Modern World”, Kerrie Sadiq, describes the high level of integration of multinational financial institutions and argues that treating each element within a given operation as a separate entity for transfer pricing purposes is not economically or legally realistic. She proposes instead formulary apportionment as a device for managing this complexity.

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Articular cartilage has a limited intrinsic repair capacity, and thus defects are more likely to further degrade rather than undergo spontaneous self-repair. Whilst a number of surgical techniques have been developed to repair cartilage defects, their efficacy is generally poor and total joint replacement remains the gold standard, albeit last resort, treatment option. Cell-based therapies hold the greatest promise, as they appear uniquely capable of generating de novo cartilage tissue. Two approved therapies (ACI and MACI) are based on the premise that the transplantation of ex vivo expanded autologous chondrocyte populations, harvested from a non-load bearing region of the same joint, could be utilized to effectively regenerate cartilage tissue in the primary defect site. These therapeutic strategies are partially limited by our inability to harvest and expand adequate numbers of autologous chondrocytes that retain the appropriate phenotype. By contrast, the harvest and expansion of large numbers of mesenchymal stem/stromal cells (MSC) derived from tissues such as bone marrow and adipose is comparatively straightforward and has become routine in laboratories worldwide. Additionally, our understanding of the biochemical and biophysical signals required to drive the chondrogenic differentiation of MSC is rapidly increasing. It is conceivable that in the near future MSC expansion and differentiation technologies will offer a means to generate sufficient cell numbers, of an appropriate phenotype, for use in cartilage defect repair. In this chapter we review the relative potential of MSC and their likely contribution to cartilage regeneration.

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A long query provides more useful hints for searching relevant documents, but it is likely to introduce noise which affects retrieval performance. In order to smooth such adverse effect, it is important to reduce noisy terms, introduce and boost additional relevant terms. This paper presents a comprehensive framework, called Aspect Hidden Markov Model (AHMM), which integrates query reduction and expansion, for retrieval with long queries. It optimizes the probability distribution of query terms by utilizing intra-query term dependencies as well as the relationships between query terms and words observed in relevance feedback documents. Empirical evaluation on three large-scale TREC collections demonstrates that our approach, which is automatic, achieves salient improvements over various strong baselines, and also reaches a comparable performance to a state of the art method based on user’s interactive query term reduction and expansion.

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The notion of sovereignty is central to any international tax issue. While a nation is free to design its tax laws as it sees fit and raise revenue in accordance with the needs of its citizens, it is not possible to undertake such a task in isolation. Tax interactions between sovereign states cannot be avoided. Ultimately, the interactions mean that a nation must decide whether or engage in both collaboration and co ordination with other nations and supranational bodies alike or maintain a unilateral stance in relation to its tax policy. This article considers a modern conceptualisation of sovereignty to argue that a move towards a more unified approach to addressing international base erosion and profit sharing may be the ultimate exercise of national fiscal sovereignty.