An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets

The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis (FDA) approach, provides a framework to produce and interpret functional objects that characterise the underlying dynamics of oil future options. We use the FDA framework to examine implied volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007–2013 period, which includes the global financial crisis and the Arab Spring, strong evidence is found of converse jump dynamics during periods of demand and supply side weakness. This is used as a basis for an FDA-derived Merton (1976) jump diffusion optimised delta hedging strategy, which exhibits superior portfolio management results over traditional methods.

Zein-Based Nanoparticles Improve the Oral Bioavailability of Resveratrol and Its Anti-inflammatory Effects in a Mouse Model of Endotoxic Shock

Resveratrol offers pleiotropic health benefits including a reported ability to inhibit lipopolysaccharide (LPS)-induced cytokine production. The aim of this work was to prepare, characterize and evaluate a resveratrol nanoparticulate formulation based on zein. For this purpose, the oral bioavailability of the encapsulated polyphenol as well as its anti-inflammatory effects in a mouse model of endotoxic shock was studied. The resveratrol-loaded nanoparticles displayed a mean size of 307±3 nm, with a negative zeta potential (-51.1±1.55 mV), and a polyphenol loading of 80.2±3.26 μg/mg. In vitro, the release of resveratrol from the nanoparticles was found to be pH independent and adjusted well to the Peppas-Sahlin kinetic model, suggesting a mechanism based on the combination of diffusion and erosion of the nanoparticle matrix. Pharmacokinetic studies demonstrated that zein-based nanoparticles provided high and prolonged plasma levels of the polyphenol for at least 48 h. The oral bioavailability of resveratrol when administered in these nanoparticles increased up to 50% (19.2-fold higher than for the control solution of the polyphenol). Furthermore, nanoparticles administered daily for 7 days at 15 mg/kg, were able to diminish the endotoxic symptoms induced in mice by the intraperitoneal administration of LPS (i.e., hypothermia, piloerection and stillness). In addition, serum TNF-α levels were slightly lower (approximately 15%) than those observed in the control.

Philosophy and Political Engagement: Reflection in the Public Sphere

Do philosophers have a responsibility to their society that is distinct from their responsibility to it as citizens? This edited volume explores both what type of contribution philosophy can make and what type of reasoning is appropriate when addressing public matters now. These questions are posed by leading international scholars working in the fields of moral and political philosophy. Each contribution also investigates the central issue of how to combine critical, rational analysis with a commitment to politically relevant public engagement. The contributions to this volume analyse issues raised in practical ethics, including abortion, embryology, and assisted suicide. They consider the role of ethical commitment in the philosophical analysis of contemporary political issues, and engage with matters of public policy such as poverty, the arts, meaningful work, as well as the evidence base for policy. They also examine the normative legitimacy of power, including the use of violence.

US Dollar Carry Trades in the Era of 'Cheap Money'

In this paper, we employ a unique dataset of actual US dollar (USD) forward positions against a number of currencies taken by so-called Commodity Trading Advisors (CTAs). We investigate to what extent these positions exhibit a pattern of USD carry trading or other patterns of currency trading over the recent period of the ultra-loose US monetary policy. Our analysis indeed shows that USD positions against emerging market currencies are characterised by a pattern of carry trading. That is, the USD, as the lower yielding currency, is associated with short positions. The payoff distributions of these positions, moreover, are found to have positive Sharpe ratios, negative skewness and high kurtosis. On the other hand, we find that USD positions against other advanced country currencies have a pattern completely opposite to carry trading which is in line with uncovered interest parity trading; that is, the lower (higher) yielding currency is associated with long (short) positions.