Static replications with traffic light options

It is well known that sufficiently regular, one-dimensional payoff functions have an explicit static hedge by bonds, forward contracts, and options in a continuum of strikes. An easy and natural extension of the corresponding representation leads to static hedges based on the same instruments along with traffic light options, which have recently been introduced in the market. It is well known that the second strike derivative of non-discounted prices of vanilla options is related to the risk-neutral density of the underlying asset price in the corresponding absolutely continuous settings. Similar statements hold for traffic light options in sufficiently regular, bivariate settings.

Lake sediments as natural seismographs: A compiled record of Late Quaternary earthquakes in Central Switzerland and its implication for Alpine deformation

Central Switzerland lies tectonically in an intraplate area and recurrence rates of strong earthquakes exceed the time span covered by historic chronicles. However, many lakes are present in the area that act as natural seismographs: their continuous, datable and high-resolution sediment succession allows extension of the earthquake catalogue to pre-historic times. This study reviews and compiles available data sets and results from more than 10 years of lacustrine palaeoseismological research in lakes of northern and Central Switzerland. The concept of using lacustrine mass-movement event stratigraphy to identify palaeo-earthquakes is showcased by presenting new data and results from Lake Zurich. The Late Glacial to Holocene mass-movement units in this lake document a complex history of varying tectonic and environmental impacts. Results include sedimentary evidence of three major and three minor, simultaneously triggered basin-wide lateral slope failure events interpreted as the fingerprints of palaeoseismic activity. A refined earthquake catalogue, which includes results from previous lake studies, reveals a non-uniform temporal distribution of earthquakes in northern and Central Switzerland. A higher frequency of earthquakes in the Late Glacial and Late Holocene period documents two different phases of neotectonic activity; they are interpreted to be related to isostatic post-glacial rebound and relatively recent (re-)activation of seismogenic zones, respectively. Magnitudes and epicentre reconstructions for the largest identified earthquakes provide evidence for two possible earthquake sources: (i) a source area in the region of the Alpine or Sub-Alpine Front due to release of accumulated north-west/south-east compressional stress related to an active basal thrust beneath the Aar massif; and (ii) a source area beneath the Alpine foreland due to reactivation of deep-seated strike-slip faults. Such activity has been repeatedly observed instrumentally, for example, during the most recent magnitude 4.2 and 3.5 earthquakes of February 2012, near Zug. The combined lacustrine record from northern and Central Switzerland indicates that at least one of these potential sources has been capable of producing magnitude 6.2 to 6.7 events in the past.

Capacity Building in the Use of Geospatial Tools for Natural Resource Management in Tajikistan: Inception report

The sustainable management of natural resources is a key issue for sustainable development of a poor, mountainous country such as Tajikistan. In order to strengthen its agricultural and infrastructural development efforts and alleviate poverty in rural areas, spatial information and analysis are of crucial importance to improve priority setting and decision making efficiency. However, poor access to geospatial data and tools, and limited capacity in their use has greatly constrained the ability of governmental institutions to effectively assess, plan, and monitor natural resources management. The Centre for Development and Environment (CDE) has thus been mandated by the World Bank Group to provide adequate technical support to the Community Agriculture and Watershed Management Project (CAWMP). This support consists of a spatial database on soil degradation trends in 4 watersheds, capacity development in and awareness creation about geographic information technology and a spatial data exchange hub for natural resources management in Tajikistan. CDE’s support has started in July 2007 and will last until December 2007 with a possible extension in 2008.