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.

Porcine bone marrow stromal cell differentiation on heparin-adsorbed poly (e-caprolactone)-tricalcium phosphate-collagen scaffolds

We evaluate the potential of heparin as a substrate component for the fabrication of bone tissue engineering constructs using poly(e- caprolactone)–tricalcium phosphate–collagen type I (PCL–TCP–Col) three-dimensional (3-D) scaffolds. First we explored the ability of porcine bone marrow precursor cells (MPCs) to differentiate down both the adipogenic and osteogenic pathways within 2-D culture systems, with positive results confirmed by Oil-Red-O and Alizarin Red staining, respectively. Secondly, we examined the influence of heparin on the interaction and behaviour of MPCs when seeded onto PCL–TCP–Col 3-D scaffolds, followed by their induction into the osteogenic lineage. Our 3-D findings suggest that cell metabolism and proliferation increased between days 1 and 14, with deposition of extracellular matrix also observed up to 28 days. However, no noticeable difference could be detected in the extent of osteogenesis for PCL–TCP–Col scaffolds groups with the addition of heparin compared to identical control scaffolds without the addition of heparin.

Evaluation of piezoelectric PVDF polymers for use in space environments. II. Effects of atomic oxygen and vacuum UV exposure

The effects of atomic oxygen (AO) and vacuum UV radiation simulating low Earth orbit conditions on two commercially available piezoelectric polymer films, poly(vinylidene fluoride) (PVDF) and poly(vinylidene fluoride-trifluoroethylene) P(VDF-TrFE), have been studied. Surface erosion and pattern development are significant for both polymers. Erosion yields were determined as 2.8 � 10�24 cm3/atom for PVDF and 2.5 � 10�24 cm3/atom for P(VDF-TrFE). The piezoelectric properties of the residual material of both polymers were largely unchanged after exposure, although a slight shift in the Curie transition of the P(VDF-TrFE) was observed. A lightly cross-linked network was formed in the copolymer presumably because of penetrating vacuum ultraviolet (VUV) radiation, while the homopolymer remained uncross-linked. These differences were attributed to varying degrees of crystallinity and potentially greater absorption, and hence damage, of VUV radiation in P(VDFTrFE) compared with PVDF.

Evaluation of piezoelectric poly(vinylidene fluoride) polymers for use in space environments. I. Temperature limitations

Smart materials, such as thin-film piezoelectric polymers, are interesting for potential applications on Gossamer spacecraft. This investigation aims to predict the performance and long-term stability of the piezoelectric properties of poly(vinylidene fluoride) (PVDF) and its copolymers under conditions simulating the low-Earthorbit environment. To examine the effects of temperature on the piezoelectric properties of PVDF, poly(vinylidenefluoride-co-trifluoroethylene), and poly(vinylidenefluoride-cohexafluoropropylene), the d33 piezoelectric coefficients were measured up to 160 8C, and the electric displacement/electric field (D–E) hysteresis loops were measured from �80 to þ110 8C. The room-temperature d33 coefficient of PVDF homopolymer films, annealed at 50, 80, and 125 8C, dropped rapidly within a few days of thermal exposure and then remained unchanged. In contrast, the TrFE copolymer exhibited greater thermal stability than the homopolymer, with d33 remaining almost unchanged up to 125 8C. The HFP copolymer exhibited poor retention of d33 at temperatures above 80 8C. In situ D–E loop measurements from �80 to þ110 8C showed that the remanent polarization of the TrFE copolymer was more stable than that of the PVDF homopolymer. D–E hysteresis loop and d33 results were also compared with the deflection of the PVDF homopolymer and TrFE copolymer bimorphs tested over a wide temperature range.

Piezoelectric vinylidene-fluoride based polymers for use in space environments

The effects of simulated low earth orbit conditions on vinylidene-fluoride based thin-film piezoelectrics for use in lightweight, large surface area spacecraft such as telescope mirrors and antennae is presented. The environmental factors considered as having the greatest potential to cause damage are temperature, atomic oxygen and vacuum UV radiation. Using the piezoelectric strain coefficients and bimorph deflection measurements the piezoelectric performance over the temperature range -100 to +150°C was studied. The effects of simultaneous AO/VUV exposure were also examined and films characterized by their piezoelectric, surface, and thermal properties. Two fluorinated piezoelectric polymers, poly(vinylidene fluoride) and poly(vinylidene fluoride-co-trifluoroethylene), were adversely affected at elevated temperatures due to depoling caused by randomization of the dipole orientation, while AO/VUV contributed little to depoling but did cause significant surface erosion and, in the case of P(VDF-TrFE), bulk crosslinking. These results highlight the importance of materials selection for use in space environments.

An ESR study of irradiated poly(tetrafluoroethylene-co-perfluoropropyl vinyl ether) (PFA)

Poly(tetrafluoroethylene-co-perfluoropropyl vinyl ether) (PFA) with 2 mol% perfluoropropyl vinyl ether (PPVE) was exposed to γ-irradiation in vacuum at both 77 K and room temperature and the ESR spectra recorded. Both the main chain, CF2–C.F–CF2, and end chain, CF2C.F2 radicals were identified at both temperatures and their thermal stabilities measured. No radicals unique to the radiolytic cleavage at the PPVE units were observed at room temperature, either due to the low concentration of the comonomer or β-scission to form a chain end radical and a non-radical species. G-values for radical formation at room temperature and 77 K were found to be 0.93 and 0.16, respectively.

Fabrication using a rapid prototyping system and in vitro characterization of PEG-PCL-PLA scaffolds for tissue engineering

n the field of tissue engineering new polymers are needed to fabricate scaffolds with specific properties depending on the targeted tissue. This work aimed at designing and developing a 3D scaffold with variable mechanical strength, fully interconnected porous network, controllable hydrophilicity and degradability. For this, a desktop-robot-based melt-extrusion rapid prototyping technique was applied to a novel tri-block co-polymer, namely poly(ethylene glycol)-block-poly(epsi-caprolactone)-block-poly(DL-lactide), PEG-PCL-P(DL)LA. This co-polymer was melted by electrical heating and directly extruded out using computer-controlled rapid prototyping by means of compressed purified air to build porous scaffolds. Various lay-down patterns (0/30/60/90/120/150°, 0/45/90/135°, 0/60/120° and 0/90°) were produced by using appropriate positioning of the robotic control system. Scanning electron microscopy and micro-computed tomography were used to show that 3D scaffold architectures were honeycomb-like with completely interconnected and controlled channel characteristics. Compression tests were performed and the data obtained agreed well with the typical behavior of a porous material undergoing deformation. Preliminary cell response to the as-fabricated scaffolds has been studied with primary human fibroblasts. The results demonstrated the suitability of the process and the cell biocompatibility of the polymer, two important properties among the many required for effective clinical use and efficient tissue-engineering scaffolding.

Mathematically defined tissue engineering scaffold architectures prepared by stereolithography

The technologies employed for the preparation of conventional tissue engineering scaffolds restrict the materials choice and the extent to which the architecture can be designed. Here we show the versatility of stereolithography with respect to materials and freedom of design. Porous scaffolds are designed with computer software and built with either a poly(d,l-lactide)-based resin or a poly(d,l-lactide-co-ε-caprolactone)-based resin. Characterisation of the scaffolds by micro-computed tomography shows excellent reproduction of the designs. The mechanical properties are evaluated in compression, and show good agreement with finite element predictions. The mechanical properties of scaffolds can be controlled by the combination of material and scaffold pore architecture. The presented technology and materials enable an accurate preparation of tissue engineering scaffolds with a large freedom of design, and properties ranging from rigid and strong to highly flexible and elastic.

Photo-crosslinking of functionalised lactide oligomers for the fabrication of osteochondral tissue engineering scaffolds

In the fabrication of osteochondral tissue engineering scaffolds, the two distinct tissues impose different requirements on the architecture. Stereo-lithography is a rapid prototyping method that can be utilised to make 3D constructs with high spatial control by radical photopolymerization. In this study, biodegradable resins are developed that can be applied in stereo-lithography. Photo-crosslinked poly(lactide) networks with varying physical properties were synthesised, and by photo polymerizing in the presence of leachable particles porous scaffolds could be prepared as well.