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.

Structural characterization of a new crystal form of the four-way Holliday junction formed by the DNA sequence d(CCGGTACCGG)2: sequence versus lattice?

DNA-strand exchange is a vital step in the recombination process, of which a key intermediate is the four-way DNA Holliday junction formed transiently in most living organisms. Here, the single-crystal structure at a resolution of 2.35 Å of such a DNA junction formed by d(CCGGTACCGG)2, which has crystallized in a more highly symmetrical packing mode to that previously observed for the same sequence, is presented. In this case, the structure is isomorphous to the mismatch sequence d(CCGGGACCGG)2, which reveals the roles of both lattice and DNA sequence in determining the junction geometry. The helices cross at the larger angle of 43.0° (the previously observed angle for this sequence was 41.4°) as a right-handed X. No metal cations were observed; the crystals were grown in the presence of only group I counter-cations.

Do Integrated Arable Farming Systems provide a more sustainable form of agricultural production: the UK case

Integrated Arable Farming Systems (IAFS) projects utilise a range of novel and different farming techniques, often associated with optimising or reducing the use of inputs. Here, data is presented from the LINK-IFS project which suggests that, although input levels are being reduced, the overall profitability of the system can be maintained. The effect of thus reduction in inputs, however, in terms of impact on key environmental indicators is unclear.

Evaluation of drug physical form during granulation, tabletting and storage

An active pharmaceutical ingredient (API) was found to dissociate from the highly crystalline hydrochloride form to the amorphous free base form, with consequent alterations to tablet properties. Here, a wet granulation manufacturing process has been investigated using in situ Fourier transform (FT)-Raman spectroscopic analyses of granules and tablets prepared with different granulating fluids and under different manufacturing conditions. Dosage form stability under a range of storage stresses was also investigated. Despite the spectral similarities between the two drug forms, low levels of API dissociation could be quantified in the tablets; the technique allowed discrimination of around 4% of the API content as the amorphous free base (i.e. less than 1% of the tablet compression weight). API dissociation was shown to be promoted by extended exposure to moisture. Aqueous granulating fluids and manufacturing delays between granulation and drying stages and storage of the tablets in open conditions at 40◦C/75% relative humidity (RH) led to dissociation. In contrast, non-aqueous granulating fluids, with no delay in processing and storage of the tablets in either sealed containers or at lower temperature/humidity prevented detectable dissociation. It is concluded that appropriate manufacturing process and storage conditions for the finished product involved minimising exposure to moisture of the API. Analysis of the drug using FT-Raman spectroscopy allowed rapid optimisation of the process whilst offering quantitative molecular information concerning the dissociation of the drug salt to the amorphous free base form.

Models, moulds and mass production: the mechanics of stylistic influence form the Mediterranean to Bactria

Classical Greek and Roman influence on the material culture of Central Asia and northwestern India is often considered in the abstract. This article attempts to examine the mechanisms of craft production and movement of artisans and objects which made such influence possible, through four case studies: (1) Mould-made ceramics in Hellenistic eastern Bactria; (2) Plaster casts used in the production of metalware from Begram; (3) Terracotta figurines and the moulds used to produce them, from various archaeological sites; and (4) Mass production of identical gold adornments in the nomadic tombs from Tillya Tepe. The implications of such techniques for our understanding of the development of Gandhāran art are also discussed.

Demand response — a different form of distributed storage?

Reduced flexibility of low carbon generation could pose new challenges for future energy systems. Both demand response and distributed storage may have a role to play in supporting future system balancing. This paper reviews how these technically different, but functionally similar approaches compare and compete with one another. Household survey data is used to test the effectiveness of price signals to deliver demand responses for appliances with a high degree of agency. The underlying unit of storage for different demand response options is discussed, with particular focus on the ability to enhance demand side flexibility in the residential sector. We conclude that a broad range of options, with different modes of storage, may need to be considered, if residential demand flexibility is to be maximised.

An ‘ideal’ form of decaying two-dimensional turbulence

In decaying two-dimensional Navier-Stokes turbulence, Batchelor's similarity hypothesis fails due to the existence of coherent vortices. However, it is shown that decaying two-dimensional turbulence governed by the Harney-Hasegawa-Mima (CHM) equation ∂/∂t (V^2 φ-λ^2 φ)+J(φ,∇^2 φ)=D where D is a damping, is described well by Batchelor's similarity hypothesis for wave numbers k ≪ λ (the so-called AM regime). It is argued that CHM turbulence in the AM regime is a more `ideal' form of two-dimensional turbulence than is Navier-Stokes turbulence itself.