The jump component of S&P 500 volatility and the VIX index

Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts. Implied volatility has the potential to reflect information that a model-based forecast could not. This paper considers two issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes information on how historical jump activity contributed to the price volatility, followed by whether the VIX reflects any incremental information pertaining to future jump activity relative to model-based forecasts. It is found that the VIX index both subsumes information relating to past jump contributions to total volatility and reflects incremental information pertaining to future jump activity. This issue has not been examined previously and expands our understanding of how option markets form their volatility forecasts.

The effects of bioactive akermanite on physiochemical, drug-delivery and biological properties of poly (lactide-co-glycolide) beads

Poly(lactide-co-glycolide) (PLGA) beads have been widely studied as a potential drug/protein carrier. The main shortcomings of PLGA beads are that they lack bioactivity and controllable drug-delivery ability, and their acidic degradation by-products can lead to pH decrease in the vicinity of the implants. Akermanite (AK) (Ca(2) MgSi(2) O(7) ) is a novel bioactive ceramic which has shown excellent bioactivity and degradation in vivo. This study aimed to incorporate AK to PLGA beads to improve the physiochemical, drug-delivery, and biological properties of PLGA beads. The microstructure of beads was characterized by SEM. The effect of AK incorporating into PLGA beads on the mechanical strength, apatite-formation ability, the loading and release of BSA, and the proliferation, and differentiation of bone marrow stromal cells (BMSCs) was investigated. The results showed that the incorporation of AK into PLGA beads altered the anisotropic microporous structure into homogenous one and improved their compressive strength and apatite-formation ability in simulated body fluids (SBF). AK neutralized the acidic products from PLGA beads, leading to stable pH value of 7.4 in biological environment. AK led to a sustainable and controllable release of bovine serum albumin (BSA) in PLGA beads. The incorporation of AK into PLGA beads enhanced the proliferation and alkaline phosphatase activity of BMSCs. This study implies that the incorporation of AK into PLGA beads is a promising method to enhance their physiochemical and biological property. AK/PLGA composite beads are a potential bioactive drug-delivery system for bone tissue repair.

CaSiO3 microstructure modulating the in vitro and in vivo bioactivity of poly (lactide-co-glycolide) microspheres

Poly (lactide-co-glycolide) (PLGA) microspheres have been used for regenerative medicine due to their ability for drug delivery and generally good biocompatibility, but they lack adequate bioactivity for bone repair application. CaSiO3 (CS) has been proposed as a new class of material suitable for bone tissue repair due to its excellent bioactivity. In this study, we set out to incorporate CS into PLGA microspheres to investigate how the phase structure (amorphous and crystal) of CS influences the in vitro and in vivo bioactivity of the composite microspheres, with a view to the application for bone regeneration. X-ray diffraction (XRD), N2 adsorption-desorption analysis and scanning electron microscopy (SEM) were used to analyze the phase structure, surface area/pore volume, and microstructure of amorphous CS (aCS) and crystal CS (cCS), as well as their composite microspheres. The in vitro bioactivity of aCS and cCS – PLGA microspheres was evaluated by investigating their apatite-mineralization ability in simulated body fluids (SBF) and the viability of human bone mesenchymal stem cells (BMSCs). The in vivo bioactivity was investigated by measuring their de novo bone-formation ability. The results showed that the incorporation of both aCS and cCS enhanced the in vitro and in vivo bioactivity of PLGA microspheres. cCS/PLGA microspheres improved better in vitro BMSC viability and de novo bone-formation ability in vivo, compared to aCS/PLGA microspheres. Our study indicates that controlling the phase structure of CS is a promising method to modulate the bioactivity of polymer microsphere system for potential bone tissue regeneration.

Characterisation of multi wall carbon nanotube–polymer composites for strain sensing applications

Carbon nanotubes (CNTs) have excellent electrical, mechanical and electromechanical properties. When CNTs are incorporated into polymers, electrically conductive composites with high electrical conductivity at very low CNT content (often below 1% wt CNT) result. Due to the change in electrical properties under mechanical load, carbon nanotube/polymer composites have attracted significant research interest especially due to their potential for application in in-situ monitoring of stress distribution and active control of strain sensing in composite structures or as strain sensors. To sucessfully develop novel devices for such applications, some of the major challenges that need to be overcome include; in-depth understanding of structure-electrical conductivity relationships, response of the composites under changing environmental conditions and piezoresistivity of different types of carbon nanotube/polymer sensing devices. In this thesis, direct current (DC) and alternating current (AC) conductivity of CNT-epoxy composites was investigated. Details of microstructure obtained by scanning electron microscopy were used to link observed electrical properties with structure using equivalent circuit modeling. The role of polymer coatings on macro and micro level electrical conductivity was investigated using atomic force microscopy. Thermal analysis and Raman spectroscopy were used to evaluate the heat flow and deformation of carbon nanotubes embedded in the epoxy, respectively, and related to temperature induced resistivity changes. A comparative assessment of piezoresistivity was conducted using randomly mixed carbon nanotube/epoxy composites, and new concept epoxy- and polyurethane-coated carbon nanotube films. The results indicate that equivalent circuit modelling is a reliable technique for estimating values of the resistance and capacitive components in linear, low aspect ratio-epoxy composites. Using this approach, the dominant role of tunneling resistance in determining the electrical conductivity was confirmed, a result further verified using conductive-atomic force microscopy analysis. Randomly mixed CNT-epoxy composites were found to be highly sensitive to mechanical strain and temperature variation compared to polymer-coated CNT films. In the vicinity of the glass transition temperature, the CNT-epoxy composites exhibited pronounced resistivity peaks. Thermal and Raman spectroscopy analyses indicated that this phenomenon can be attributed to physical aging of the epoxy matrix phase and structural rearrangement of the conductive network induced by matrix expansion. The resistivity of polymercoated CNT composites was mainly dominated by the intrinsic resistivity of CNTs and the CNT junctions, and their linear, weakly temperature sensitive response can be described by a modified Luttinger liquid model. Piezoresistivity of the polymer coated sensors was dominated by break up of the conducting carbon nanotube network and the consequent degradation of nanotube-nanotube contacts while that of the randomly mixed CNT-epoxy composites was determined by tunnelling resistance between neighbouring CNTs. This thesis has demonstrated that it is possible to use microstructure information to develop equivalent circuit models that are capable of representing the electrical conductivity of CNT/epoxy composites accurately. New designs of carbon nanotube based sensing devices, utilising carbon nanotube films as the key functional element, can be used to overcome the high temperature sensitivity of randomly mixed CNT/polymer composites without compromising on desired high strain sensitivity. This concept can be extended to develop large area intelligent CNT based coatings and targeted weak-point specific strain sensors for use in structural health monitoring.

Partial melt processing and electrical properties of Bi-Sr-Ca-Cu-o superconducting thick films on (100) MgO substrates

Superconducting thick films of Bi2Sr2CaCu2Oy (Bi-2212) on single-crystalline (100) MgO substrates have been prepared using a doctor-blade technique and a partial-melt process. It is found that the phase composition and the amount of Ag addition to the paste affect the structure and superconducting properties of the partially melted thick films. The optimum heat treatment schedule for obtaining high Jc has been determined for each paste. The heat treatment ensures attainment of high purity for the crystalline Bi-2212 phase and high orientation of Bi-2212 crystals, in which the c-axis is perpendicular to the substrate. The highest Tc, obtained by resistivity measurement, is 92.2 K. The best value for Jct (transport) of these thick films, measured at 77 K in self-field, is 8 × 10 3 Acm -2.

Dermal fibroblast infiltration of poly(ε-caprolactone) scaffolds fabricated by melt electrospinning in a direct writing mode

Melt electrospinning in a direct writing mode is a recent additive manufacturing approach to fabricate porous scaffolds for tissue engineering applications. In this study, we describe porous and cell-invasive poly (ε-caprolactone) scaffolds fabricated by combining melt electrospinning and a programmable x–y stage. Fibers were 7.5 ± 1.6 µm in diameter and separated by interfiber distances ranging from 8 to 133 µm, with an average of 46 ± 22 µm. Micro-computed tomography revealed that the resulting scaffolds had a highly porous (87%), three-dimensional structure. Due to the high porosity and interconnectivity of the scaffolds, a top-seeding method was adequate to achieve fibroblast penetration, with cells present throughout and underneath the scaffold. This was confirmed histologically, whereby a 3D fibroblast-scaffold construct with full cellular penetration was produced after 14 days in vitro. Immunohistochemistry was used to confirm the presence and even distribution of the key dermal extracellular matrix proteins, collagen type I and fibronectin. These results show that melt electrospinning in a direct writing mode can produce cell invasive scaffolds, using simple top-seeding approaches.

Blocking layer optimisation of poly(3-hexylthiopene)based solid state dye sensitized solar cells

The optimisation study of the fabrication of a compact TiO2 blocking layer (via Spray Pyrolysis Deposition) for poly (3-hexylthiopene) (P3HT) for Solid State Dye Sensitized Solar Cells (SDSCs) is reported. We used a novel spray TiO2 precursor solution composition obtained by adding acetylacetone to a conventional formulation (Diisopropoxytitanium bis (acetylacetonate) in ethanol). By Scanning Electron Microscopy a TiO2 layer with compact morphology and thickness of around 100 nmis shown. Through a Tafel plot analysis an enhancement of the device diode-like behaviour induced by the acetylacetone blocking layer respect to the conventional one is observed. Significantly, the device fabricatedwith the acetylacetone blocking layer shows an overall increment of the cell performance with respect to the cellwith the conventional one (DJsc/Jsc = +13.8%, DFF/FF = +39.7%, DPCE/PCE = +55.6%). A conversion efficiency optimumis found for 15 successive spray cycles where the diode-like behaviour of the acetylacetone blocking layer is more effective. Over three batches of cells (fabricated with P3HT and dye D35) an average conversion efficiency value of 3.9% (under a class A sun simulator with 1 sun A.M. 1.5 illumination conditions) was measured. From the best cell we fabricated a conversion efficiency value of 4.5% was extracted. This represents a significant increment with respect to previously reported values for P3HT/dye D35 based SDSCs.