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.

Hydroprocessing of waste cooking oil over a dispersed nano catalyst: Kinetics study and temperature effect

The kinetics of hydrodeoxygenation of waste cooking oil (WCO) is investigated with unsupported CoMoS catalysts. A kinetic model is established and a comprehensive analysis of each reaction pathway is carried out. The results show that hydrodecarbonylation/decarboxylation (HDC) routes are the predominant reaction pathways in the elimination of oxygen, with the rate constant three times as high as that of hydrodeoxygenation (HDO). However, the HDC activity of the CoMoS catalyst deactivates due to gradual loss of sulfur from the catalyst. HDO process is insensitive to the sulfur deficiency. The kinetic modeling shows that direct hydrodecarbonylation of fatty acids dominates the HDC routes and, in the HDO route, fatty acids are transferred to aldehydes/alcohols and then to C-18 hydrocarbons, a final product, and the reduction of acids is the rate limiting step. The HDO route via alcohols is dominant over aldehydes due to a significantly higher reaction rate constant. The difference of C-18/C-17 ratio in unsupported and supported catalysts show that a support with Lewis acid sites may play an important role in the selectivity for the hydrodeoxygenation pathways and promoting the final product quality

Naphthenic acid extraction and speciation from Doba crude oil using carbonate-based ionic liquids

A number of tetraalkylammonium methylcarbonate and hydrogencarbonate based ionic liquids are shown to be capable of reacting with the naphthenic acids contained in Doba crude oil via a neutralisation reaction. Spectral studies show that the ionic liquids neutralisation mechanism involves the formation of an ionic liquid-naphthenate complex, liberating methanol and carbon dioxide. Extraction of the neutralised complex into a separate methanol phase and subsequent regeneration using aqueous carbonic acid results in ∼70% of the ionic liquid being recovered for recycle. Isolation of the naphthenic acids shows that these make up to 0.85 wt% of the crude oil. Speciation of the naphthenic acids shows a mixture of monocyclic, through to tetracyclic structures with carbon numbers in the range C₁₂-C₄₀.

Oil and Dependency::The Case of Kazakhstan

Following the collapse of the Soviet Union in 1991, the newly independent oil-rich country of Kazakhstan has become a major recipient of foreign direct investment (FDI). Although international organisations such as the IMF and UNCTAD have claimed that FDI could be considered an engine in the transition from state socialism and as a powerful force for integration of this region into the global economy; this investment also poses significant risks to Kazakhstan. These risks fall into two broad categories: The first category can be broadly described as issues associated with the “resource curse” or the “Dutch Disease”. The term Dutch Disease describes a situation where booming demand in oil exporting countries, due to high oil revenues, leads to shift of an economy’s productive resources from the tradeable sector to the non-tradeable sector. The second category is associated with the over-dependency of oil exporting countries on a relatively small number of large multinational corporations (MNCs). This over-dependency can lead to a situation where licenses and concessions are granted at less favourable conditions than if they were auctioned in an efficient market. Examining the licensing policy of the Kazakhstani Energy and Mineral Resource Ministry, this paper notes that the latter issue of over-dependency has become less of a risk due to deliberate efforts to diversify investment relationships. Notwithstanding this situation there is some evidence that it remains difficult for oil exporting nations such as Kazakhstan to ensure that oil revenues are channelled into sustainable economic development.

A differential protein solubility approach for the depletion of highly abundant proteins in plasma using ammonium sulfate

Depletion of highly abundant proteins is an approved step in blood plasma analysis by mass spectrometry (MS). In this study, we explored a precipitation and differential protein solubility approach as a fractionation strategy for abundant protein removal from plasma. Total proteins from plasma were precipitated with 90% saturated ammonium sulfate, followed by differential solubilization in 55% and 35% saturated ammonium sulfate solutions. Using a four hour liquid chromatography (LC) gradient and an LTQ-Orbitrap XL mass spectrometer, a total of 167 and 224 proteins were identified from the 55% and 35% ammonium sulfate fractions, whereas 235 proteins were found in the remaining protein fractions with at least two unique peptides. SDS-PAGE and exclusive total spectrum counts from LC-MS/MS analyses clearly showed that majority of the abundant plasma proteins were solubilized in 55% and 35% ammonium sulfate solutions, indicating that the remaining protein fraction is of potential interest for identification of less abundant plasma proteins. Serum albumin, serotransferrin, alpha-1-antitrypsin and transthyretin were the abundant proteins that were highly enriched in 55% ammonium sulfate fractions. Immunoglobulins, complement system proteins, and apolipoproteins were among other abundant plasma proteins that were enriched in 35% ammonium sulfate fractions. In the remaining protein fractions a total of 40 unique proteins were identified of which, 32 proteins were identified with at least 10 exclusive spectrum counts. According to PeptideAtlas, 9 of these 32 proteins were estimated to be present at low μg ml(-1) (0.12-1.9 μg ml(-1)) concentrations in the plasma, and 17 at low ng ml(-1) (0.1-55 ng ml(-1)) range.

Effectiveness of diode laser trans-scleral cyclophotocoagulation in patients following silicone oil-induced ocular hypertension in Chinese eyes.

We evaluated the effectiveness of diode laser trans-scleral cyclophotocoagulation (TSCPC) on intraocular pressure (IOP) in nine patients having raised IOP following use of silicone oil (SO) for retinal detachment (RD) surgery in a retrospective observational case series. Diode laser TSCPC was applied at a power setting of 1.75 to 2.5 watts, for two sec with a maximum of 30 applications. The patients were followed up for 40 to 312 weeks. The mean pre-laser IOP was 32.06 mm Hg (SD 7.32). The mean post-laser IOP at one month, three months and six months was 17.89 mm Hg (SD 8.23), 21.89 mm Hg (SD 8.16) and 21.67 mm Hg (SD 7.55) respectively. The final IOP (at the last follow-up) was 19.56 mm Hg (SD 7.85) (P=0.021). Seven of them had undergone SO removal. In our observation, effectiveness of TSCPC in long-term control of SO-induced ocular hypertension was limited as compared to short-term control of IOP.

The challenge of MNCs and development: oil extraction, CSR, Nigeria and corruption

Globalisation has led to a shift in world order with the rise of the corporate non-state actor. This rise has led to an assumption that Multi-National Corporations (MNCs) must assume responsibilities beyond profit maximisation for shareholders. With the rise of the MNC as a corporate non-state actor there have been discussions around the role of business with regard to human rights.

This article looks at the case of oil extraction in Nigeria. Focussing on the historical dependency of Nigeria and the evolution of the state into a resource-dependent country, it looks at the limitations of existing human rights obligations as they relate to business. This article proposes that corporate social responsibility (CSR) policies of MNCs can act as a preliminary stage in the quest for wider human rights protections. It is in motivating MNCs to design and implement effective CSR policies in dependent states like Nigeria, that the challenge lies.

Long-term changes in oxygen depletion in a small temperate lake: effects of climate change and eutrophication

1. We analysed 41 years of data (1968–2008) from Blelham Tarn, U.K., to determine the consequences of eutrophication and climate warming on hypolimnetic dissolved oxygen (DO).
2. The establishment of thermal stratification was strongly related to the onset of DO depletion in the lower hypolimnion. As a result of a progressively earlier onset of stratification and later overturn, the duration of stratification increased by 38 ± 8 days over the 41 years.
3. The observed rate of volumetric hypolimnetic oxygen depletion (VHODobs) ranged from 0.131 to 0.252 g O2 m−3 per day and decreased significantly over the study period, despite the increase in the mean chlorophyll a (Chl a) concentration in the growing season. The vertical transport of DO represented from 0 to 30% of VHODobs, while adjustments for interannual differences in hypolimnetic temperature were less important, ranging from −11 to 9% of VHODobs.
4. The mean wind speed during May made the strongest significant contribution to the variation in VHODobs. VHODobs adjusted for the vertical transport of DO and hypolimnetic temperature differences, VHODadj, was significantly related to the upper mixed layer Chl a concentration during spring.
5. Hypolimnetic anoxia (HA) ranged from 27 to 168 days per year and increased significantly over time, which undoubtedly had negative ecological consequences for the lake.
6. In similar small temperate lakes, the negative effects of eutrophication on hypolimnetic DO are likely to be exacerbated by changes in lake thermal structure brought about by a warming climate, which may undermine management efforts to alleviate the effects of anthropogenic eutrophication.