On the efficacy of Fourier series approximations for pricing European options

This paper investigates several competing procedures for computing the prices of vanilla European options, such as puts, calls and binaries, in which the underlying model has a characteristic function that is known in semi-closed form. The algorithms investigated here are the half-range Fourier cosine series, the half-range Fourier sine series and the full-range Fourier series. Their performance is assessed in simulation experiments in which an analytical solution is available and also for a simple affine model of stochastic volatility in which there is no closed-form solution. The results suggest that the half-range sine series approximation is the least effective of the three proposed algorithms. It is rather more difficult to distinguish between the performance of the halfrange cosine series and the full-range Fourier series. However there are two clear differences. First, when the interval over which the density is approximated is relatively large, the full-range Fourier series is at least as good as the half-range Fourier cosine series, and outperforms the latter in pricing out-of-the-money call options, in particular with maturities of three months or less. Second, the computational time required by the half-range Fourier cosine series is uniformly longer than that required by the full-range Fourier series for an interval of fixed length. Taken together,these two conclusions make a case for pricing options using a full-range range Fourier series as opposed to a half-range Fourier cosine series if a large number of options are to be priced in as short a time as possible.

Efficient use of correlation entropy for analysing time series data

The correlation dimension D 2 and correlation entropy K 2 are both important quantifiers in nonlinear time series analysis. However, use of D 2 has been more common compared to K 2 as a discriminating measure. One reason for this is that D 2 is a static measure and can be easily evaluated from a time series. However, in many cases, especially those involving coloured noise, K 2 is regarded as a more useful measure. Here we present an efficient algorithmic scheme to compute K 2 directly from a time series data and show that K 2 can be used as a more effective measure compared to D 2 for analysing practical time series involving coloured noise.

Standardised antibacterial Manuka honey in the management of persistent post-operative corneal oedema: A case series

Background Corneal oedema is a common post-operative problem that delays or prevents visual recovery from ocular surgery. Honey is a supersaturated solution of sugars with an acidic pH, high osmolarity and low water content. These characteristics inhibit the growth of micro-organisms, reduce oedema and promote epithelialisation. This clinical case series describes the use of a regulatory approved Leptospermum species honey ophthalmic product, in the management of post-operative corneal oedema and bullous keratopathy. Methods A retrospective review of 18 consecutive cases (30 eyes) with corneal oedema persisting beyond one month after single or multiple ocular surgical procedures (phacoemulsification cataract surgery and additional procedures) treated with Optimel Antibacterial Manuka Eye Drops twice to three times daily as an adjunctive therapy to conventional topical management with corticosteroid, aqueous suppressants, hypertonic sodium chloride five per cent, eyelid hygiene and artificial tears. Visual acuity and central corneal thickness were measured before and at the conclusion of Optimel treatment. Results A temporary reduction in corneal epithelial oedema lasting up to several hours was observed after the initial Optimel instillation and was associated with a reduction in central corneal thickness, resolution of epithelial microcysts, collapse of epithelial bullae, improved corneal clarity, improved visualisation of the intraocular structures and improved visual acuity. Additionally, with chronic use, reduction in punctate epitheliopathy, reduction in central corneal thickness and improvement in visual acuity were achieved. Temporary stinging after Optimel instillation was experienced. No adverse infectious or inflammatory events occurred during treatment with Optimel. Conclusions Optimel was a safe and effective adjunctive therapeutic strategy in the management of persistent post-operative corneal oedema and warrants further investigation in clinical trials.

Turbulent mixed convection in a shallow enclosure with a series of heat generating components

Turbulent mixed convection flow and heat transfer in a shallow enclosure with and without partitions and with a series of block-like heat generating components is studied numerically for a range of Reynolds and Grashof numbers with a time-dependent formulation. The flow and temperature distributions are taken to be two-dimensional. Regions with the same velocity and temperature distributions can be identified assuming repeated placement of the blocks and fluid entry and exit openings at regular distances, neglecting the end wall effects. One half of such module is chosen as the computational domain taking into account the symmetry about the vertical centreline. The mixed convection inlet velocity is treated as the sum of forced and natural convection components, with the individual components delineated based on pressure drop across the enclosure. The Reynolds number is based on forced convection velocity. Turbulence computations are performed using the standard k– model and the Launder–Sharma low-Reynolds number k– model. The results show that higher Reynolds numbers tend to create a recirculation region of increasing strength in the core region and that the effect of buoyancy becomes insignificant beyond a Reynolds number of typically 5×105. The Euler number in turbulent flows is higher by about 30 per cent than that in the laminar regime. The dimensionless inlet velocity in pure natural convection varies as Gr1/3. Results are also presented for a number of quantities of interest such as the flow and temperature distributions, Nusselt number, pressure drop and the maximum dimensionless temperature in the block, along with correlations.

Japanese Video Game Localization : A Case Study of Sony's Sairen Series

This thesis is a comparative case study in Japanese video game localization for the video games Sairen, Sairen 2 and Sairen Nyûtoransurêshon, and English-language localized versions of the same games as published in Scandinavia and Australia/New Zealand. All games are developed by Sony Computer Entertainment Inc. and published exclusively for Playstation2 and Playstation3 consoles. The fictional world of the Sairen games draws much influence from Japanese history, as well as from popular and contemporary culture, and in doing so caters mainly to a Japanese audience. For localization, i.e. the adaptation of a product to make it accessible to users outside the original market it was intended for in the first place, this is a challenging issue. Video games are media of entertainment, and therefore localization practice must preserve the games’ effects on the players’ emotions. Further, video games are digital products that are comprised of a multitude of distinct elements, some of which are part of the game world, while others regulate the connection between the player as part of the real world and the game as digital medium. As a result, video game localization is also a practice that has to cope with the technical restrictions that are inherent to the medium. The main theory used throughout the thesis is Anthony Pym’s framework for localization studies that considers the user of the localized product as a defining part of the localization process. This concept presupposes that localization is an adaptation that is performed to make a product better suited for use during a specific reception situation. Pym also addresses the factor that certain products may resist distribution into certain reception situations because of their content, and that certain aspects of localization aim to reduce this resistance through significant alterations of the original product. While Pym developed his ideas with mainly regular software in mind, they can also be adapted well to study video games from a localization angle. Since modern video games are highly complex entities that often switch between interactive and non-interactive modes, Pym’s ideas are adapted throughout the thesis to suit the particular elements being studied. Instances analyzed in this thesis include menu screens, video clips, in-game action and websites. The main research questions focus on how the games’ rules influence localization, and how the games’ fictional domain influences localization. Because there are so many peculiarities inherent to the medium of the video game, other theories are introduced as well to complement the research at hand. These include Lawrence Venuti’s discussions of foreiginizing and domesticating translation methods for literary translation, and Jesper Juul’s definition of games. Additionally, knowledge gathered from interviews with video game localization professionals in Japan during September and October 2009 is also utilized for this study. Apart from answering the aforementioned research questions, one of this thesis’ aims is to enrich the still rather small field of game localization studies, and the study of Japanese video games in particular, one of Japan’s most successful cultural exports.

Optimal designs for evaluating a series of treatments

Several articles in this journal have studied optimal designs for testing a series of treatments to identify promising ones for further study. These designs formulate testing as an ongoing process until a promising treatment is identified. This formulation is considered to be more realistic but substantially increases the computational complexity. In this article, we show that these new designs, which control the error rates for a series of treatments, can be reformulated as conventional designs that control the error rates for each individual treatment. This reformulation leads to a more meaningful interpretation of the error rates and hence easier specification of the error rates in practice. The reformulation also allows us to use conventional designs from published tables or standard computer programs to design trials for a series of treatments. We illustrate these using a study in soft tissue sarcoma.

Extrapolation and series acceleration procedures: Hard spheres and discs as illustrations

Three new procedures - in the context of estimation of virial coefficients and summation of the partial virial series for hard discs and hard spheres - are proposed. They are based on the parametrised Euler transformation, a novel resummation, identity and the ε-convergence methods respectively. A comparison with other estimates (molecular dynamics, graph theory and empirical methods) reveals satisfactory agreement.

Book Review: "Tony Kanellos (editor), Out of the Past: views of the Adelaide Botanic Gardens - a Series of Edwardian Era Postcards"

The extended title for this splendid visual feast is a catalogue to accompany the exhibition Postcards from the Edge of the City at the Santos Museum ofE conomic Botany, 9 December 2014 to 26 April 2015. As a catalogue this book contains the from and back sides of 300 postcards published between 1900 and 1917...

Parameterizing Unconditional Skewness in Models for Financial Time Series

In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate unconditional skewness. We consider modeling the unconditional mean and variance using models that respond nonlinearly or asymmetrically to shocks. We investigate the implications of these models on the third-moment structure of the marginal distribution as well as conditions under which the unconditional distribution exhibits skewness and nonzero third-order autocovariance structure. In this respect, an asymmetric or nonlinear specification of the conditional mean is found to be of greater importance than the properties of the conditional variance. Several examples are discussed and, whenever possible, explicit analytical expressions provided for all third-order moments and cross-moments. Finally, we introduce a new tool, the shock impact curve, for investigating the impact of shocks on the conditional mean squared error of return series.

Application of Maclaurin Series in Structural Analysis

In the simple theory of flexure of beams, the slope, bending moment, shearing force, load and other quantities are functions of a derivative of y with respect to x. It is shown that the elastic curve of a transversely loaded beam can be represented by the Maclaurin series. Substitution of the values of the derivatives gives a direct solution of beam problems. In this paper the method is applied to derive the Theorem or three moments and slope deflection equations. The method is extended to the solution of a rigid portal frame. Finally the method is applied to deduce results on which the moment distribution method of analyzing rigid frames is based.

Evolution of three-dimensional character across the Lan+1NinO3n+1 homologous series with increase in n1

Electrical and magnetic properties of La3Ni2O7 and La4Ni3O10 have been investigated in comparison with those of La2NiO4, LaNiO3, and LaSrNiO4. The results suggest an increasing 3-dimensional character across the homologous series Lan+1NinO3n+1 with increase in n. Accordingly, the electrical resistivity decreases in the order La3Ni2O7, La4Ni3O10, and LaNiO3 and this trend is suggested to be related to the percolation threshold. Magnetic properties of these oxides also show some interesting trends across the series.

Methodological and Empirical Advances in the Quantitative Analysis of Spontaneous Responses in Psychophysiological Time Series

The aim of the present study was to advance the methodology and use of time series analysis to quantify dynamic structures in psychophysiological processes and thereby to produce information on spontaneously coupled physiological responses and their behavioral and experiential correlates. Series of analyses using both simulated and empirical cardiac (IBI), electrodermal (EDA), and facial electromyographic (EMG) data indicated that, despite potential autocorrelated structures, smoothing increased the reliability of detecting response coupling from an interindividual distribution of intraindividual measures and that especially the measures of covariance produced accurate information on the extent of coupled responses. This methodology was applied to analyze spontaneously coupled IBI, EDA, and facial EMG responses and vagal activity in their relation to emotional experience and personality characteristics in a group of middle-aged men (n = 37) during the administration of the Rorschach testing protocol. The results revealed new characteristics in the relationship between phasic end-organ synchronization and vagal activity, on the one hand, and individual differences in emotional adjustment to novel situations on the other. Specifically, it appeared that the vagal system is intimately related to emotional and social responsivity. It was also found that the lack of spontaneously synchronized responses is related to decreased energetic arousal (e.g., depression, mood). These findings indicate that the present process analysis approach has many advantages for use in both experimental and applied research, and that it is a useful new paradigm in psychophysiological research. Keywords: Autonomic Nervous System; Emotion; Facial Electromyography; Individual Differences; Spontaneous Responses; Time Series Analysis; Vagal System

Estimating crop area using seasonal time series of enhanced vegetation index from MODIS satellite imagery

Cereal grain is one of the main export commodities of Australian agriculture. Over the past decade, crop yield forecasts for wheat and sorghum have shown appreciable utility for industry planning at shire, state, and national scales. There is now an increasing drive from industry for more accurate and cost-effective crop production forecasts. In order to generate production estimates, accurate crop area estimates are needed by the end of the cropping season. Multivariate methods for analysing remotely sensed Enhanced Vegetation Index (EVI) from 16-day Moderate Resolution Imaging Spectroradiometer (MODIS) satellite imagery within the cropping period (i.e. April-November) were investigated to estimate crop area for wheat, barley, chickpea, and total winter cropped area for a case study region in NE Australia. Each pixel classification method was trained on ground truth data collected from the study region. Three approaches to pixel classification were examined: (i) cluster analysis of trajectories of EVI values from consecutive multi-date imagery during the crop growth period; (ii) harmonic analysis of the time series (HANTS) of the EVI values; and (iii) principal component analysis (PCA) of the time series of EVI values. Images classified using these three approaches were compared with each other, and with a classification based on the single MODIS image taken at peak EVI. Imagery for the 2003 and 2004 seasons was used to assess the ability of the methods to determine wheat, barley, chickpea, and total cropped area estimates. The accuracy at pixel scale was determined by the percent correct classification metric by contrasting all pixel scale samples with independent pixel observations. At a shire level, aggregated total crop area estimates were compared with surveyed estimates. All multi-temporal methods showed significant overall capability to estimate total winter crop area. There was high accuracy at pixel scale (>98% correct classification) for identifying overall winter cropping. However, discrimination among crops was less accurate. Although the use of single-date EVI data produced high accuracy for estimates of wheat area at shire scale, the result contradicted the poor pixel-scale accuracy associated with this approach, due to fortuitous compensating errors. Further studies are needed to extrapolate the multi-temporal approaches to other geographical areas and to improve the lead time for deriving cropped-area estimates before harvest.

Anticipating Chinese Tourists Arrivals in Australia: A Time Series Analysis

Given the growing importance of the Chinese tourist market to Australia, an understanding of Chinese tourists' arrival patterns is essential to accurate forecasting of future arrivals. Drawing on 25 years of records (1991-2015), this study developed a time-series model of monthly arrivals of Chinese tourists in Australia. The model reflects the exponentially increasing trend and strong seasonality of arrivals. Excellent results from validation of the model's forecasts endorsed this time-series model's potential in the policy prescription and management practice of Australian tourism industries.