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.

Mobility and security: the perceived benefits of citizenship for resettled young people from refugee backgrounds

In recent decades, the meaning and value of formal state citizenship has shifted dramatically. In the same period, scholarship on citizenship has drawn attention to the proliferation of alternative forms of sub-, supra- and transnational citizenship, at times obscuring the ongoing importance of formal state citizenship. For refugees, however, formal state citizenship remains a critical and widely shared goal. Drawing on interviews with 51 young people from refugee backgrounds in Melbourne, Australia, this article explores the intersecting themes of mobility and security that were identified by participants as the most important benefits of acquiring formal state citizenship in the country of resettlement. In contrast to the insecurity of forced migration, formal state citizenship provides a privileged mobility that enables refugee-background youth to maintain and create transnational identities and attachments and to be protected while doing so, while also granting a secure status within the nation state and insurance against further displacement in an uncertain future. In offering these forms of mobility and security, formal state citizenship contributes to a sense of ontological security among refugee-background youth, providing an important foundation for building national and transnational futures.

Discovering urban citizenship in the surveillance society

Cities and urban spaces around the world are changing rapidly from their origins in the industrialising world to a post-industrial, hard wired landscape. A further embellishment is the advent of mobile media technologies supported by both existing and new communications and computing technology which claim to put the urban dweller at the heart of a new, informed and ‘liberated’ seat of participatory urban governance. This networked, sensor enabled society permits flows of information in a multitude of directions ostensibly empowering the citizenry through ‘smart’ installations such as ‘talking bus stops’ detailing services, delays, transport interconnections and even weather conditions along desired routes. However, while there is considerable potential for creative and transformative kinds of citizen participation, there is also the momentum for ‘function-creep’, whereby vast amounts of data are garnered in a broad application of urban surveillance. This kind of monitoring and capacity for surveillance connects with attempts by civic authorities to regulate, restrict, rebrand and reframe urban public spaces into governable and predictable arenas of consumption. This article considers questions around the possibilities for retaining and revitalising forms of urban citizenship, set in the context of Marshall’s original premise of civil, social and political citizenship(s) in the middle of the last century, following World War Two and the coming of the modern welfare state.

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.

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.