Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

Effects of a 6-Week Jump Training Program Combined with Two Lifting Programs

We evaluated the effects of a 6-week jump training program on 12 college basketball players using strength training programs. The Leg Press (LP) group participated in a strength program using the leg press, and the Power Clean group (PC) used the power clean exercise instead of the leg press. Both groups participated in a 6-week jump training program. Pre-program measurements recorded jump scores for one-foot take off and two-foot take offs. The LP group had an average pre-program vertical of 72.60 and 88.05 cm for the 2-foot and 1-foot take-off for an increase of about 1.7 cm. The PC group had an average post-program vertical of 76.2 cm for the 2-foot take-off for an increase of 3.6 cm, and 90.81 cm for the 1-foot take-off for an increase of about 2.75 cm. The comparison of average increases between the LP and PC groups was not significant for either the 2-foot or 1-foot take off.

Formation of a metallic contact: jump to contact revisited

The transition from tunneling to metallic contact between two surfaces does not always involve a jump, but can be smooth. We have observed that the configuration and material composition of the electrodes before contact largely determine the presence or absence of a jump. Moreover, when jumps are found preferential values of conductance have been identified. Through a combination of experiments, molecular dynamics, and first-principles transport calculations these conductance values are identified with atomic contacts of either monomers, dimers, or double-bond contacts.

Study of the interface Pt(111)/ [Emmim][NTf2] using laser-induced temperature jump experiments

The interface between a Pt(111) electrode and a room temperature ionic liquid, 1-ethyl-2,3-dimethylimidazolium bis(trifluoromethylsulfonyl)imide, was investigated with the laser-induced temperature jump method. In this technique, the temperature of the interface is suddenly increased by applying short laser pulses. The change of the electrode potential caused by the thermal perturbation is measured under coulostatic conditions during the subsequent temperature relaxation. This change is mainly related to the reorganization of the solvent components near the electrode surface. The sign of the potential transient depends on the potential of the experiment. At high potential values, positive transients indicate a higher density of anions than cations close the surface, contributing negatively to the potential of the electrode. Decreasing the applied potential to sufficiently low values, the transient becomes negative, meaning that the density of cations becomes then higher at the surface of the electrode. The potential dependence of the interfacial response shows a marked hysteresis depending on the direction in which the applied potential is changed.

Better use of resources is the means to growth, prosperity and welfare - but will the EU jump on the opportunity? EPC Commentary, 25 September 2014

As the new European Commission steps in and looks for ways to promote growth and competitiveness, its success will depend on what emphasis will be given to creating a more sustainable European economy. What will determine the EU’s competitiveness and comparative advantage on a global scene is how well we will respond to the ongoing economic and ecological crises – which are intertwined and reinforce each other. The big question is what emphasis will the new Commission and the EU as a whole give to promoting sustainable and greener growth, based on good management of natural resources and biodiversity, smarter use of resources and mitigating climate change?

Eurodéputé: «Seconde chance» ou «Tremplin» – Comparaisons des trajectoires politiques de candidats PSE et PPE aux élections européennes de 2014 en France et en Suède. = MEP: "Second Chance" or "Jump" - comparisons of PSE candidates and political trajectories EPP in European elections 2014 in France and Sweden. Bruges Political Research Paper No. 40, February 2015

Le mandat d’eurodéputé est conçu différemment dans chaque état membre. Cet article teste la validité des cultures politiques inclusive et exclusive, créées pour l’analyse des sélections des candidats français et suédois et leur conception du mandat européen. Leur sélection demeure un monopole partisan national où l’adhésion à un parti et la professionnalisation politique priment. La distinction apparait dans le degré d’ouverture de la sélection et la conception de la fonction d’eurodéputé et du Parlement européen. Les conclusions valident l’approche créée, montrant un déplacement du curseur le long des continuums formés par les cultures inclusive et exclusive. La France, «exclusive», reste centrée sur Paris et des élections ayant des conséquences sur le pouvoir exécutif. La Suède est plus inclusive tant dans les profils des candidats que dans les processus qui les intègrent aux listes et dans la façon de concevoir le rôle des MEP et du Parlement européen. Cet article se fonde sur un mémoire de Master: E. Cazenave, Eurodéputé: «Seconde chance» ou «Tremplin»? Comparaison des trajectoires politiques de candidats PPE et PSE aux élections européennes de 2014 en France et en Suède, Bruges, Collège d’Europe, 2014

Mike Lattany, UM track, 1980, high-jump

[1980 Central Collegiate Meet]