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.

Destinations: 3 Large Cast Plays for Young People

This book is a collection of three large-cast plays written in response to a very specific problem. My work as a teacher of drama often required me to locate a script that would somehow miraculously work for a cast of unknown number and gender, and most likely uneven skills and enthusiasm, who I hadn’t even met yet. It’s a familiar dilemma for teachers and students of drama in education contexts, at whatever level you’re teaching. I’d first addressed this creative problem with scripts such as Gate 38 (2010). I had tried using scripts that already existed, but found they required such extensive editing to suit the parameters of cast and performance duration that I may as well have been writing them myself. Even in the setting of a closed studio, in altering these plays I felt I was bending the vision of the playwright, and certainly their narrative structure, out of shape. Everyone who’s attempted to stage a performance with a large cast of students in an educational setting knows it takes time to truly connect with a play, its social contexts, themes and characters. It also takes a lot of time to get on top of the practicalities of learning, rehearsing, directing and running a performance with young people. Often the curtain goes up on something unfinished and unstable. I was looking for ways to reduce the complexity of staging a script, while maintaining the potential of this process as a site of rich, enjoyable learning. Two of the plays (Duty Free and Please Be Seated) are comprised of multiple monologues, combined with music-driven ensemble sequences. The monologues enable individuals to develop and polish their own performances, work in small groups, and cut down on the laborious detail of directing naturalistic scenes based in character interaction. The third (Australian Drama) involves a lot of duologues, meaning that its rehearsal process can happily employ that mainstay of the drama classroom: small group work. There’s plenty of room to move in terms of gender-blind casting as well. Please be Seated is mainly young women. The scripts also contain ensemble-based interludes which are non-verbal, music driven, with a choreographic element. They have also springboarded further explorations in form. The ethical and aesthetic complexities of verbatim works; the interaction between music and theatre; and meta-concerns related to the performing of performance: ‘how can the act of acting ‘acted’. The narratives of all three of these plays are deliberately open, enabling the flexible casting and on-the hop editing that large-group, time-poor processes sometimes necessitate. Duty Free is about the overseas ‘adventures’ of young people. Please Be Seated is based in verbatim text about young people falling in and out of love. Australian Drama is about young people in a drama classroom trying to connect with each other and put their own shine on dull fragments of the theatrical canon. The plays were published as a collection in hardcopy and digital editions by Playlab Press in 2015. Please be Seated is a co-write with a large group. These co-author’s names are listed in the publication, and below in ‘additional information’.

Energy-based motion control of a slender hull unmanned underwater vehicle

This paper presents a motion control system for tracking of attitude and speed of an underactuated slender-hull unmanned underwater vehicle. The feedback control strategy is developed using the Port-Hamiltonian theory. By shaping of the target dynamics (desired dynamic response in closed loop) with particular attention to the target mass matrix, the influence of the unactuated dynamics on the controlled system is suppressed. This results in achievable dynamics independent of stable uncontrolled states. Throughout the design, the insight of the physical phenomena involved is used to propose the desired target dynamics. Integral action is added to the system for robustness and to reject steady disturbances. This is achieved via a change of coordinates that result in input-to-state stable (ISS) target dynamics. As a final step in the design, an anti-windup scheme is implemented to account for limited actuator capacity, namely saturation. The performance of the design is demonstrated through simulation with a high-fidelity model.

Smooth stabilisation of nonholonomic robots subject to disturbances

In this paper, we address the problem of stabilisation of robots subject to nonholonommic constraints and external disturbances using port-Hamiltonian theory and smooth time-invariant control laws. This should be contrasted with the commonly used switched or time-varying laws. We propose a control design that provides asymptotic stability of an manifold (also called relative equilibria)-due to the Brockett condition this is the only type of stabilisation possible using smooth time-invariant control laws. The equilibrium manifold can be shaped to certain extent to satisfy specific control objectives. The proposed control law also incorporates integral action, and thus the closed-loop system is robust to unknown constant disturbances. A key step in the proposed design is a change of coordinates not only in the momentum, but also in the position vector, which differs from coordinate transformations previously proposed in the literature for the control of nonholonomic systems. The theoretical properties of the control law are verified via numerical simulation based on a robotic ground vehicle model with differential traction wheels and non co-axial centre of mass and point of contact.

Perylene-based profluorescent nitroxides for the rapid monitoring of polyester degradation upon weathering: An assessment

A profluorescent nitroxide possessing an isoindoline nitroxide moiety linked to a perylene fluorophore was developed to monitor radical mediated degradation of melamine-formaldehyde crosslinked polyester coil coatings in an industry standard accelerated weathering tester. Trapping of polyester-derived radicals (most likely C-radicals) that are generated during polymer degradation leads to fluorescent closed-shell alkoxy amines, which was used to obtain time-dependent degradation profiles to assess the relative stability of different polyesters towards weathering. The nitroxide probe couples excellent thermal stability and satisfactory photostability with high sensitivity and enables detection of free radical damage in polyesters under conditions that mimic exposure to the environment on a time scale of hours rather than months or years required by other testing methods. There are indications that the profluorescent nitroxide undergoes partial photo-degradation in the absence of polymer-derived radicals. Unexpectedly, it was also found that UV-induced fragmentation of the NO–C bond in closed-shell alkoxy amines leads to regeneration of the profluorescent nitroxide and the respective C-radical. The maximum fluorescence intensity that could be achieved with a given probe concentration is therefore not only determined by the amount of polyester radicals formed during accelerated weathering, but also by the light-driven side reactions of the profluorescent nitroxide and the corresponding alkoxy amine radical trapping products. Studies to determine the optimum probe concentration in the polymer matrix revealed that aggregation and re-absorption effects lowered the fluorescence intensity at higher concentrations of the profluorescent nitroxide, but too low probe concentrations, where these effects would be avoided, were not sufficient to trap the amount of polyester radicals formed upon weathering. The optimized experimental conditions were used to assess the impact of temperature and UV irradiance on polymer degradation during accelerated weathering.

Limitations of the manual supination resistance test

The aim of this study was to asses results obtained from a range of commonly performed lower extremity “open and closed” chain kinetic tests used for predicting foot function and correlate these test findings to data obtained from the Zebris WinFDM-T system®. When performed correctly these tests are thought to be indicators of lower extremity function. Podiatrists frequently perform examinations of joint and muscle structures to understand biomechanical function; however the relationship between these routine tests and forces generated during the gait cycle are not always well understood. This can introduce a degree of variability in clinical interpretation which creates conjecture regarding the value of these tests.

Transparency and ‘uncomfortable knowledge’ in child protection

Australia's child protection systems and the provision of out-of-home care, in particular, have been subject to sustained criticism for decades from dozens of official inquiries and reviews. It is now well established that many children in state care are treated significantly less well than required by relevant legal frameworks and community standards. Much attention and significant resources have been directed toward trying to ameliorate this ‘wicked problem’ and yet it continues. This article focuses on one reason the problems persists, namely the secrecy and closed cultures that characterize relevant organizations which reinforce strategies of denial that avoid acknowledging or dealing with ‘uncomfortable knowledge’. It is a situation many people in child protection systems confront. It is, for example, when we know abuse is taking place, or when they see or are ourselves party to corrupt or negligent practices. It is knowing that important ethical principles are being abrogated. We draw on recent official reports and inquiries noting the repeated calls for greater transparency and independent oversight. An argument is made for a default position of total transparency subject to caveats that protect privacy and any investigation underway. An account of what this can look like is offered.

Packed bed bioreactor for the isolation and expansion of placental-derived Mesenchymal Stromal Cells

Large numbers of Mesenchymal stem/stromal cells (MSCs) are required for clinical relevant doses to treat a number of diseases. To economically manufacture these MSCs, an automated bioreactor system will be required. Herein we describe the development of a scalable closed-system, packed bed bioreactor suitable for large-scale MSCs expansion. The packed bed was formed from fused polystyrene pellets that were air plasma treated to endow them with a surface chemistry similar to traditional tissue culture plastic. The packed bed was encased within a gas permeable shell to decouple the medium nutrient supply and gas exchange. This enabled a significant reduction in medium flow rates, thus reducing shear and even facilitating single pass medium exchange. The system was optimised in a small-scale bioreactor format (160 cm2) with murine-derived green fluorescent protein-expressing MSCs, and then scaled-up to a 2800 cm2 format. We demonstrated that placental derived MSCs could be isolated directly within the bioreactor and subsequently expanded. Our results demonstrate that the closed system large-scale packed bed bioreactor is an effective and scalable tool for large-scale isolation and expansion of MSCs.

Legislation Concerning Reporting of Child Sexual Abuse and Child Trafficking in India: A Closer Look

The increasing rate of child sexual abuse and child trafficking has become a serious concern for national and international policy makers. Because these acts are criminal, result in serious harms to the child, and occur in closed scenarios where the situation is concealed, it is very important for people who become aware of the acts to report the incidents to the appropriate authority. Reporting of incidents could help provide justice to the victim and penalize the perpetrators. In addition, it would help us to understand the nature and magnitude of the problem. The objective of this chapter is first to review the Indian legislation concerning mandatory reporting of child abuse and neglect, and second to consider the potential for mandatory reporting of two categories of child maltreatment in particular in the Indian context: sexual abuse and child trafficking.

Queensland pharmacist immunisation pilot phase 1 pharmacist vaccination - Influenza final report

The results of the pilot demonstrated that a pharmacist delivered vaccinations services is feasible in community pharmacy and is safe and effective. The accessibility of the pharmacist across the influenza season provided the opportunity for more people to be vaccinated, particularly those who had never received an influenza vaccine before. Patient satisfaction was extremely high with nearly all patients happy to recommend the service and to return again next year. Factors critical to the success of the service were: 1. Appropriate facilities 2. Competent pharmacists 3. Practice and decision support tools 4. In-­‐store implementation support We demonstrated in the pilot that vaccination recipients preferred a private consultation area. As the level of privacy afforded to the patients increased (private room vs. booth), so did the numbers of patients vaccinated. We would therefore recommend that the minimum standard of a private consultation room or closed-­‐in booth, with adequate space for multiple chairs and a work / consultation table be considered for provision of any vaccination services. The booth or consultation room should be used exclusively for delivering patient services and should not contain other general office equipment, nor be used as storage for stock. The pilot also demonstrated that a pharmacist-­‐specific training program produced competent and confident vaccinators and that this program can be used to retrofit the profession with these skills. As vaccination is within the scope of pharmacist practice as defined by the Pharmacy Board of Australia, there is potential for the universities to train their undergraduates with this skill and provide a pharmacist vaccination workforce in the near future. It is therefore essential to explore appropriate changes to the legislation to facilitate pharmacists’ practice in this area. Given the level of pharmacology and medicines knowledge of pharmacists, combined with their new competency of providing vaccinations through administering injections, it is reasonable to explore additional vaccines that pharmacists could administer in the community setting. At the time of writing, QPIP has already expanded into Phase 2, to explore pharmacists vaccinating for whooping cough and measles. Looking at the international experience of pharmacist delivered vaccination, we would recommend considering expansion to other vaccinations in the future including travel vaccinations, HPV and selected vaccinations to those under the age of 18 years. Overall the results of the QPIP implementation have demonstrated that an appropriately trained pharmacist can deliver safely and effectively influenza vaccinations to adult patients in the community. The QPIP showed the value that the accessibility of pharmacists brings to public health outcomes through improved access to vaccinations and the ability to increase immunisation rates in the general population. Over time with the expansion of pharmacist vaccination services this will help to achieve more effective herd immunity for some of the many diseases which currently have suboptimal immunisation rates.

When using small samples to evaluate hydrocarbon reservoirs, proceed with caution

Small-angle neutron scattering (SANS) and ultra-small angle neutron scattering (USANS) with contrast matching techniques (Melnichenko and others, 2012) were used to investigate size distribution and gas accessibility in pores in an approximately 10.6 cm long Mississippian Barnett Shale butt core from the Fort Worth Basin, Texas, USA. SANS and USANS measurements record scattering from all pores, both open and closed, in the size range 10nm - ~10 μ. The techniques can also be used to determine the material that contains pores and the number of pores as a function of size. By injecting deuterated methane gas (CD4) at contrast matching pressure it is possible to distinguish which pores are accessible, or open, to fluids and which ones are not.

A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: Application to robust clustering

We propose a family of multivariate heavy-tailed distributions that allow variable marginal amounts of tailweight. The originality comes from introducing multidimensional instead of univariate scale variables for the mixture of scaled Gaussian family of distributions. In contrast to most existing approaches, the derived distributions can account for a variety of shapes and have a simple tractable form with a closed-form probability density function whatever the dimension. We examine a number of properties of these distributions and illustrate them in the particular case of Pearson type VII and t tails. For these latter cases, we provide maximum likelihood estimation of the parameters and illustrate their modelling flexibility on simulated and real data clustering examples.

Flow field and traverse times for fan forced injection of fumigant via circular or annular inlet into stored grain

Fan forced injection of phosphine gas fumigant into stored grain is a common method to treat infestation by insects. For low injection velocities the transport of fumigant can be modelled as Darcy flow in a porous medium where the gas pressure satisfies Laplace's equation. Using this approach, a closed form series solution is derived for the pressure, velocity and streamlines in a cylindrically stored grain bed with either a circular or annular inlet, from which traverse times are numerically computed. A leading order closed form expression for the traverse time is also obtained and found to be reasonable for inlet configurations close to the central axis of the grain storage. Results are interpreted for the case of a representative 6m high farm wheat store, where the time to advect the phosphine to almost the entire grain bed is found to be approximately one hour.

Output feedback control of networked systems with a stochastic communication protocol

This paper addresses an output feedback control problem for a class of networked control systems (NCSs) with a stochastic communication protocol. Under the scenario that only one sensor is allowed to obtain the communication access at each transmission instant, a stochastic communication protocol is first defined, where the communication access is modelled by a discrete-time Markov chain with partly unknown transition probabilities. Secondly, by use of a network-based output feedback control strategy and a time-delay division method, the closed-loop system is modeled as a stochastic system with multi time-varying delays, where the inherent characteristic of the network delay is well considered to improve the control performance. Then, based on the above constructed stochastic model, two sufficient conditions are derived for ensuring the mean-square stability and stabilization of the system under consideration. Finally, two examples are given to show the effectiveness of the proposed method.

Indoor air quality and energy management through real–time sensing in commercial buildings

Rapid growth in the global population requires expansion of building stock, which in turn calls for increased energy demand. This demand varies in time and also between different buildings, yet, conventional methods are only able to provide mean energy levels per zone and are unable to capture this inhomogeneity, which is important to conserve energy. An additional challenge is that some of the attempts to conserve energy, through for example lowering of ventilation rates, have been shown to exacerbate another problem, which is unacceptable indoor air quality (IAQ). The rise of sensing technology over the past decade has shown potential to address both these issues simultaneously by providing high–resolution tempo–spatial data to systematically analyse the energy demand and its consumption as well as the impacts of measures taken to control energy consumption on IAQ. However, challenges remain in the development of affordable services for data analysis, deployment of large–scale real–time sensing network and responding through Building Energy Management Systems. This article presents the fundamental drivers behind the rise of sensing technology for the management of energy and IAQ in urban built environments, highlights major challenges for their large–scale deployment and identifies the research gaps that should be closed by future investigations.