Closed form approximations for spread options

This article expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new closed form approximation for the price of a European spread option and a corresponding approximation for each of its price, volatility and correlation hedge ratios. Our approach has many advantages over existing analytical approximations, which have limited validity and an indeterminacy that renders them of little practical use. The compound exchange option approximation for European spread options is then extended to American spread options on assets that pay dividends or incur costs. Simulations quantify the accuracy of our approach; we also present an empirical application to the American crack spread options that are traded on NYMEX. For illustration, we compare our results with those obtained using the approximation attributed to Kirk (1996, Correlation in energy markets. In: V. Kaminski (Ed.), Managing Energy Price Risk, pp. 71–78 (London: Risk Publications)), which is commonly used by traders.

Water vapour continuum absorption in near-infrared windows derived from laboratory measurements

In most near-infrared atmospheric windows, absorption of solar radiation is dominated by the water vapor self-continuum and yet there is a paucity of measurements in these windows. We report new laboratory measurements of the self-continuum absorption at temperatures between 293 and 472 K and pressures from 0.015 to 5 atm in four near-infrared windows between 1 and 4 m (10000-2500 cm-1); the measurements are made over a wider range of wavenumber, temperatures and pressures than any previous measurements. They show that the self-continuum in these windows is typically one order of magnitude stronger than given in representations of the continuum widely used in climate and weather prediction models. These results are also not consistent with current theories attributing the self continuum within windows to the far-wings of strong spectral lines in the nearby water vapor absorption bands; we suggest that they are more consistent with water dimers being the major contributor to the continuum. The calculated global-average clear-sky atmospheric absorption of solar radiation is increased by 0.75 W/m2 (which is about 1% of the total clear-sky absorption) by using these new measurements as compared to calculations with the MT_CKD-2.5 self-continuum model.

A comparison of reverse osmosis, nanofiltration and ultrafiltration as concentration processes for skim milk prior to drying

Skim milk was concentrated by reverse osmosis (RO), nanofiltration (NF) and ultrafiltration (UF) and the retentates were spray-dried. The resulting powders were reconstituted to 25% TS and sterilised to evaluate their heat stability. Reverse osmosis led to maximum retention of calcium, a fall in pH for its retentate and its reconstituted powder. All RO powders produced a weak gel on heating. Some calcium was lost during NF and a greater amount during UF. Their resulting reconstituted powders had a higher pH than those produced by RO. Powders produced by UF showed poor heat stability. Only one powder produced by NF showed good heat stability. This could be improved by addition of stabilisers at appropriate addition rates.

Stars in their eyes: what eye-tracking reveal about multimedia perceptual quality

Perceptual multimedia quality is of paramount importance to the continued take-up and proliferation of multimedia applications: users will not use and pay for applications if they are perceived to be of low quality. Whilst traditionally distributed multimedia quality has been characterised by Quality of Service (QoS) parameters, these neglect the user perspective of the issue of quality. In order to redress this shortcoming, we characterise the user multimedia perspective using the Quality of Perception (QoP) metric, which encompasses not only a user’s satisfaction with the quality of a multimedia presentation, but also his/her ability to analyse, synthesise and assimilate informational content of multimedia. In recognition of the fact that monitoring eye movements offers insights into visual perception, as well as the associated attention mechanisms and cognitive processes, this paper reports on the results of a study investigating the impact of differing multimedia presentation frame rates on user QoP and eye path data. Our results show that provision of higher frame rates, usually assumed to provide better multimedia presentation quality, do not significantly impact upon the median coordinate value of eye path data. Moreover, higher frame rates do not significantly increase level of participant information assimilation, although they do significantly improve overall user enjoyment and quality perception of the multimedia content being shown.

Building communities: reducing energy use in tenanted commercial property

Reducing energy use in tenanted commercial property requires a greater understanding of ‘buildings as communities’. Tenanted commercial properties represent: (1) the divergent communities that share specific buildings; and (2) the organizational communities represented by multi-site landlord and tenant companies. In any particular tenanted space the opportunity for environmental change is mediated (hindered or enabled) through the lease. This discussion draws on theoretical and practical understandings of (1) the socio-legal relationships of landlords, tenants and their advisors; (2) the real performance of engineering building services strategies to improve energy efficiency; (3) how organizational cultures affect the ability of the sector to engage with energy-efficiency strategies; and (4) the financial and economic basis of the relationship between owners and occupiers. The transformational complexity stems from: (1) the variety of commercial building stock; (2) the number of stakeholders (solicitors, investors, developers, agents, owners, tenants and facilities managers); (3) the fragmentation within the communities of practice; and (4) leasehold structures and language. An agenda is proposed for truly interdisciplinary research that brings together both the physical and the social sciences of energy use in buildings so that technological solutions are made effective by an understanding of the way that buildings are used and communities behave.

Topographic and thermal mapping of volcanic terrain using AVTIS ground-based 94-GHz dual-mode radar/radiometric imager

The All-Weather Volcano Topography Imaging Sensor remote sensing instrument is a custom-built millimeter-wave (MMW) sensor that has been developed as a practical field tool for remote sensing of volcanic terrain at active lava domes. The portable instrument combines active and passive MMW measurements to record topographic and thermal data in almost all weather conditions from ground-based survey points. We describe how the instrument is deployed in the field, the quality of the primary ranging and radiometric measurements, and the postprocessing techniques used to derive the geophysical products of the target terrain, surface temperature, and reflectivity. By comparison of changing topography, we estimate the volume change and the lava extrusion rate. Validation of the MMW radiometry is also presented by quantitative comparison with coincident infrared thermal imagery.

Enhancement in corneal permeability of riboflavin using calcium sequestering compounds

Ethylenediaminetetraacetic acid, ethylenediamine-N,N′-disuccinic acid and ethylene glycol-bis(2-aminoethylether)-N,N,N′,N′-tetraacetic acid are polyaminocarboxylic acids that are able to sequester metal ions. Calcium is implicated in maintenance of intercellular matrix, zonula occludens (tight junctions) and zonula adherens of epithelium and endothelium cells. Corneal epithelium is impervious to many aqueous formulations due to it being lipophilic, whereby transcellular drug transit is resisted, whilst tight junctions restrict access via the paracellular route. Research has shown that integrity of tight junctions breaks down through loss of Ca2+ for endothelial and epithelial cells. This study investigates different Ca2+ sequestering compounds and their effect on corneal permeability of riboflavin at physiological pH. Riboflavin is a topically administered ocular drug applied during UV-induced corneal cross-linking for the treatment of keratoconus.

Mechanisms of motivation-cognition interaction: challenges and opportunities

There has been a recent rejuvenation of interest in studies of motivation-cognition interactions arising from many different areas of psychology and neuroscience. The current issue of Cognitive, Affective, and Behavioral Neuroscience provides a sampling of some of the latest research from a number of these different areas. In this introductory paper, we provide an overview of the current state of the field, in terms of key research developments and candidate neural mechanisms receiving focused investigation as potential sources of motivation-cognition interaction. However, our primary goal is conceptual: to highlight the distinct perspectives taken by different research areas in terms of how motivation is defined, the relevant dimensions and dissociations that are emphasized, and the theoretical questions being targeted. Together, these distinctions present both challenges and opportunities for efforts aiming towards a more unified and cross-disciplinary approach. We identify a set of pressing research questions calling out for this sort of cross-disciplinary approach, with the explicit goal of encouraging integrative and collaborative investigations directed towards them.

Reply to Christine Sylvester, “Terro rWars: Boston Iraq”: An examination of differences between counter-terrorism and war as seen through the Iraqi experience of occupation

This response examines what is overlooked in Sylvester’s analysis of similarities between the US police security response to the Boston marathon bombings (2013) and Kevin Powers’ fictionalized account of the US war operations in Al Tafar, Iraq (2004) and evaluates the consequences for our understanding of contemporary war. This is done by highlighting differences between the experience of residents in Boston and the (real) town of Tal Afar, key among them the insecurity, fear and calamity that result from the distinct political realities in these locations. The experience of war from the perspective of the victims adds an important dimension to the debate over the changing nature of war. At a time that is marked by an unprecedented level of technologization and visual mediation, it brings into focus the fragmentary and often one-sided evidence on which our knowledge of contemporary war is based. It reminds us to ask not only what we know about war, but how we know it.

Are professional macroeconomic forecasters able to do better than forecasting trends?

This paper investigates whether survey forecasters are able to make more accurate forecasts than simply supposing that the future values of the variable will move monotonically to the long-run expectation. We consider the forecasts individually, and the consensus forecasts. Consensus survey forecasts are able to do so to varying degrees depending on the variable, but this ability is largely limited to forecasts of the current quarter.

Wavelet based detection of changes in the composition of RLC networks

The current work discusses the compositional analysis of spectra that may be related to amorphous materials that lack discernible Lorentzian, Debye or Drude responses. We propose to model such response using a 3-dimensional random RLC network using a descriptor formulation which is converted into an input-output transfer function representation. A wavelet identification study of these networks is performed to infer the composition of the networks. It was concluded that wavelet filter banks enable a parsimonious representation of the dynamics in excited randomly connected RLC networks. Furthermore, chemometric classification using the proposed technique enables the discrimination of dielectric samples with different composition. The methodology is promising for the classification of amorphous dielectrics.

New opportunities for secure communication networks using shaped femtosecond laser pulses inducing filamentation processes in the atmosphere

The current study discusses new opportunities for secure ground to satellite communications using shaped femtosecond pulses that induce spatial hole burning in the atmosphere for efficient communications with data encoded within super-continua generated by femtosecond pulses. Refractive index variation across the different layers in the atmosphere may be modelled using assumptions that the upper strata of the atmosphere and troposphere behaving as layered composite amorphous dielectric networks composed of resistors and capacitors with different time constants across each layer. Input-output expressions of the dynamics of the networks in the frequency domain provide the transmission characteristics of the propagation medium. Femtosecond pulse shaping may be used to optimize the pulse phase-front and spectral composition across the different layers in the atmosphere. A generic procedure based on evolutionary algorithms to perform the pulse shaping is proposed. In contrast to alternative procedures that would require ab initio modelling and calculations of the propagation constant for the pulse through the atmosphere, the proposed approach is adaptive, compensating for refractive index variations along the column of air between the transmitter and receiver.