Precision of quasi-optical null-balanced bridge techniques for transmission and reflection coefficient measurements

The precision of quasioptical null-balanced bridge instruments for transmission and reflection coefficient measurements at millimeter and submillimeter wavelengths is analyzed. A Jones matrix analysis is used to describe the amount of power reaching the detector as a function of grid angle orientation, sample transmittance/reflectance and phase delay. An analysis is performed of the errors involved in determining the complex transmission and reflection coefficient after taking into account the quantization error in the grid angle and micrometer readings, the transmission or reflection coefficient of the sample, the noise equivalent power of the detector, the source power and the post-detection bandwidth. For a system fitted with a rotating grid with resolution of 0.017 rad and a micrometer quantization error of 1 μm, a 1 mW source, and a detector with a noise equivalent power 5×10−9 W Hz−1/2, the maximum errors at an amplitude transmission or reflection coefficient of 0.5 are below ±0.025.

American option valuation: implied calibration of GARCH pricing models

This study analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach makes an implied calibration of the pricing model feasible. By empirically analyzing the pricing performance of American index and equity options, we illustrate the superiority of the proposed approach.

Analytic approximations for multi-asset option pricing

We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multi- or single-asset options. The underlying asset prices are assumed to follow lognormal processes, although our results can be extended to certain other price processes for the underlying. For some multi-asset options a strong condition holds, whereby each compound exchange option is equivalent to a standard single-asset option under a modified measure, and in such cases an almost exact analytic price exists. More generally, approximate analytic prices for multi-asset options are derived using a weak lognormality condition, where the approximation stems from making constant volatility assumptions on the price processes that drive the prices of the subordinate basket options. The analytic formulae for multi-asset option prices, and their Greeks, are defined in a recursive framework. For instance, the option delta is defined in terms of the delta relative to subordinate multi-asset options, and the deltas of these subordinate options with respect to the underlying assets. Simulations test the accuracy of our approximations, given some assumed values for the asset volatilities and correlations. Finally, a calibration algorithm is proposed and illustrated.

Real option pricing in mixed-use development projects

The application of real options theory to commercial real estate has developed rapidly during the last 15 Years. In particular, several pricing models have been applied to value real options embedded in development projects. In this study we use a case study of a mixed use development scheme and identify the major implied and explicit real options available to the developer. We offer the perspective of a real market application by exploring different binomial models and the associated methods of estimating the crucial parameter of volatility. We include simple binomial lattices, quadranomial lattices and demonstrate the sensitivity of the results to the choice of inputs and method.

Inhibition of synaptic transmission and G protein modulation by synthetic CaV2.2 Ca2+ channel peptides

Abstract: Modulation of presynaptic voltage-dependent Ca+ channels is a major means of controlling neurotransmitter release. The CaV 2.2 Ca2+ channel subunit contains several inhibitory interaction sites for Gβγ subunits, including the amino terminal (NT) and I–II loop. The NT and I–II loop have also been proposed to undergo a G protein-gated inhibitory interaction, whilst the NT itself has also been proposed to suppress CaV 2 channel activity. Here, we investigate the effects of an amino terminal (CaV 2.2[45–55]) ‘NT peptide’ and a I–II loop alpha interaction domain (CaV 2.2[377–393]) ‘AID peptide’ on synaptic transmission, Ca2+ channel activity and G protein modulation in superior cervical ganglion neurones (SCGNs). Presynaptic injection of NT or AID peptide into SCGN synapses inhibited synaptic transmission and also attenuated noradrenaline-induced G protein modulation. In isolated SCGNs, NT and AID peptides reduced whole-cell Ca2+ current amplitude, modified voltage dependence of Ca2+ channel activation and attenuated noradrenaline-induced G protein modulation. Co-application of NT and AID peptide negated inhibitory actions. Together, these data favour direct peptide interaction with presynaptic Ca2+ channels, with effects on current amplitude and gating representing likely mechanisms responsible for inhibition of synaptic transmission. Mutations to residues reported as determinants of Ca2+ channel function within the NT peptide negated inhibitory effects on synaptic transmission, Ca2+ current amplitude and gating and G protein modulation. A mutation within the proposed QXXER motif for G protein modulation did not abolish inhibitory effects of the AID peptide. This study suggests that the CaV 2.2 amino terminal and I–II loop contribute molecular determinants for Ca2+ channel function; the data favour a direct interaction of peptides with Ca2+ channels to inhibit synaptic transmission and attenuate G protein modulation. Non-technical summary: Nerve cells (neurones) in the body communicate with each other by releasing chemicals (neurotransmitters) which act on proteins called receptors. An important group of receptors (called G protein coupled receptors, GPCRs) regulate the release of neurotransmitters by an action on the ion channels that let calcium into the cell. Here, we show for the first time that small peptides based on specific regions of calcium ion channels involved in GPCR signalling can themselves inhibit nerve cell communication. We show that these peptides act directly on calcium channels to make them more difficult to open and thus reduce calcium influx into native neurones. These peptides also reduce GPCR-mediated signalling. This work is important in increasing our knowledge about modulation of the calcium ion channel protein; such knowledge may help in the development of drugs to prevent signalling in pathways such as those involved in pain perception.

Pricing the options inherent in leased commercial property: a UK case study

This paper sets out the findings of a group of research and development projects carried out at the Department of Real Estate & Planning at the University of Reading and at Oxford Property Systems over the period 1999 – 2003. The projects have several aims: these are to identify the fundamental drivers of the pricing of different lease terms in the UK property sector; to identify current and best market practice and uncover the main variations in lease terms; to identify key issues in pricing lease terms; and to develop a model for the pricing of rent under a variety of lease variations. From the landlord’s perspective, the main factors driving the required ‘compensation’ for a lease term amendment include expected rental volatility, expected probability of tenant vacation, and the expected costs of tenant vacation. These data are used in conjunction with simulation technology to reflect the options inherent in certain lease types to explore the required rent adjustment. The resulting cash flows have interesting qualities which illustrate the potential importance of option pricing in a non-complex and practical way.