Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

A methodological evaluation and predictive in silico investigation into the multi-functionality of arginine in directly compressed tablets

The acceleration of solid dosage form product development can be facilitated by the inclusion of excipients that exhibit poly-/multi-functionality with reduction of the time invested in multiple excipient optimisations. Because active pharmaceutical ingredients (APIs) and tablet excipients present diverse densification behaviours upon compaction, the involvement of these different powders during compaction makes the compaction process very complicated. The aim of this study was to assess the macrometric characteristics and distribution of surface charges of two powders: indomethacin (IND) and arginine (ARG); and evaluate their impact on the densification properties of the two powders. Response surface modelling (RSM) was employed to predict the effect of two independent variables; Compression pressure (F) and ARG percentage (R) in binary mixtures on the properties of resultant tablets. The study looked at three responses namely; porosity (P), tensile strength (S) and disintegration time (T). Micrometric studies showed that IND had a higher charge density (net charge to mass ratio) when compared to ARG; nonetheless, ARG demonstrated good compaction properties with high plasticity (Y=28.01MPa). Therefore, ARG as filler to IND tablets was associated with better mechanical properties of the tablets (tablet tensile strength (σ) increased from 0.2±0.05N/mm2 to 2.85±0.36N/mm2 upon adding ARG at molar ratio of 8:1 to IND). Moreover, tablets' disintegration time was shortened to reach few seconds in some of the formulations. RSM revealed tablet porosity to be affected by both compression pressure and ARG ratio for IND/ARG physical mixtures (PMs). Conversely, the tensile strength (σ) and disintegration time (T) for the PMs were influenced by the compression pressure, ARG ratio and their interactive term (FR); and a strong correlation was observed between the experimental results and the predicted data for tablet porosity. This work provides clear evidence of the multi-functionality of ARG as filler, binder and disintegrant for directly compressed tablets.