Volatility Smile Dynamics in Scenario Analysis

The objective of this paper is to suggest a method that accounts for the impact of the volatility smile dynamics when performing scenario analysis for a portfolio consisting of vanilla options. As the volatility smile is documented to change at least with the level of implied at-the-money volatility, a suitable model is here included in the calculation process of the simulated market scenarios. By constructing simple portfolios of index options and comparing the ex ante risk exposure measured using different pricing methods to realized market values, ex post, the improvements of the incorporation of the model are monitored. The analyzed examples in the study generate results that statistically support that the most accurate scenarios are those calculated using the model accounting for the dynamics of the smile. Thus, we show that the differences emanating from the volatility smile are apparent and should be accounted for and that the methodology presented herein is one suitable alternative for doing so.

Pricing Index Options with Stochastic Volatility

The objective of this paper is to investigate the pricing accuracy under stochastic volatility where the volatility follows a square root process. The theoretical prices are compared with market price data (the German DAX index options market) by using two different techniques of parameter estimation, the method of moments and implicit estimation by inversion. Standard Black & Scholes pricing is used as a benchmark. The results indicate that the stochastic volatility model with parameters estimated by inversion using the available prices on the preceding day, is the most accurate pricing method of the three in this study and can be considered satisfactory. However, as the same model with parameters estimated using a rolling window (the method of moments) proved to be inferior to the benchmark, the importance of stable and correct estimation of the parameters is evident.

Glowworm-inspired robot swarm for simultaneous taxis towards multiple radiation sources

This paper presents a glowworm metaphor based distributed algorithm that enables a collection of minimalist mobile robots to split into subgroups, exhibit simultaneous taxis-behavior towards, and rendezvous at multiple radiation sources such as nuclear/hazardous chemical spills and fire-origins in a fire calamity. The algorithm is based on a glowworm swarm optimization (GSO) technique that finds multiple optima of multimodal functions. The algorithm is in the same spirit as the ant-colony optimization (ACO) algorithms, but with several significant differences. The agents in the glowworm algorithm carry a luminescence quantity called luciferin along with them. Agents are thought of as glowworms that emit a light whose intensity is proportional to the associated luciferin. The key feature that is responsible for the working of the algorithm is the use of an adaptive local-decision domain, which we use effectively to detect the multiple source locations of interest. The glowworms have a finite sensor range which defines a hard limit on the local-decision domain used to compute their movements. Extensive simulations validate the feasibility of applying the glowworm algorithm to the problem of multiple source localization. We build four wheeled robots called glowworms to conduct our experiments. We use a preliminary experiment to demonstrate the basic behavioral primitives that enable each glowworm to exhibit taxis behavior towards source locations and later demonstrate a sound localization task using a set of four glowworms.

Simultaneous measurement of aerodynamic and heat transfer data for large angle blunt cones in hypersonic shock tunnel

Aerodynamic forces and fore-body convective surface heat transfer rates over a 60 degrees apex-angle blunt cone have been simultaneously measured at a nominal Mach number of 5.75 in the hypersonic shock tunnel HST2. An aluminum model incorporating a three-component accelerometer-based balance system for measuring the aerodynamic forces and an array of platinum thin-film gauges deposited on thermally insulating backing material flush mounted on the model surface is used for convective surface heat transfer measurement in the investigations. The measured value of the drag coefficient varies by about +/-6% from the theoretically estimated value based on the modified Newtonian theory, while the axi-symmetric Navier-Stokes computations overpredict the drag coefficient by about 9%. The normalized values of measured heat transfer rates at 0 degrees angle of attack are about 11% higher than the theoretically estimated values. The aerodynamic and the heat transfer data presented here are very valuable for the validation of CFD codes used for the numerical computation of How fields around hypersonic vehicles.

Simultaneous Measurement of Strain and Temperature using Type I and Pre-strained Fiber Bragg Gratings

Strain and temperature sensitivities of a type I Bragg grating inscribed in a germania doped silica fiber, fabricated under normal conditions and zero strain, are compared with that of a Bragg grating inscribed under pre-strained condition. The results obtained reveal that the strain and temperature sensitivities of the two gratings are different. Based on these results, we demonstrate a technique which enables discrimination of strain and temperature in a Fiber Bragg Grating (FBG) with a linear response. The present technique allows for an easy implementation of the sensor by providing a direct access to the grating region in the fiber and demands only a simple interrogation system.

Simultaneous effect of lead and cadmium on granulosa cells: A cellular model for ovarian toxicity

Lead (Pb) and cadmium (Cd) are known reproductive toxicants, which accumulate in granulosa cells of the ovary. Female Charles foster rats were treated with sodium acetate (control), lead acetate and cadmium acetate either alone or in combination at a dose 0.05 mg/kg body weight intra-peritoneally for 15 days daily. Animals were killed at proestrous stage and granulosa cells were isolated from the ovaries. Binding of I-125-luteinizing hormone (I-125-LH), I-125-follicle stimulating hormone (I-125-FSH) and 17 beta-hydroxysteroid dehydrogenase activity were measured. As these receptors are localized on the surface of the cell membrane, we also estimated the membrane parameters of these cells. Our results demonstrated that both lead and cadmium caused a significant reduction in gonadotropin binding, which altered steroidogenic enzyme activity of granulosa cells. These changes exhibited a positive correlation with membrane changes of the granulosa cells.

Simultaneous display of image and spectrum in the same plane: a generalized analysis

A generalized analysis, using the Vander Lugt operational notation, of the building block optical system comprising a single holographic optical element (HOE) for achieving simultaneous display of the spectrum and the image of an object in a single plane, has been carried out. The salient features of this analysis are: (1) it allows comprehensive characterization of the HOE, (2) it provides insights into the many possible configurations for the system, and (3) it explains the existing results in a consistent manner.

Simultaneous Utilization of Glucose and Sucrose by Thermophilic Fungi

The utilization of mixtures of glucose and sucrose at nonlimiting concentrations was studied in batch cultures of two common thermophilic fungi, Thermomyces lanuginosus and Penicilium duponti. The sucrose-utilizing enzymes (sucrose permease and invertase) in both fungi were inducible. Both sugars were used concurrently,regardless of their relative proportion in the mixture. At the optimal growth temperature (50C), T.lanuginosus utilized sucrose earlier than it did glucose, but at a suboptimal growth temperature (30°C) the two sugars were utilized at nearly comparable rates. The coutilization of the two sugars was most likely possible because (i) invertase was insensitive to catabolite repression by glucose, (ii) the activity and affinity of the glucose transport system were lowered when sucrose was included in the growth medium, and (iii) the activity of the glucose uptake system was also subject to repression by high concentrations of glucose itself. The concurrent utilization of the available carbon sources by thermophilic fungi might be an adaptive strategy for opportunistic growth in nature under conditions of low nutrient availability and thermal fluctuations in the environment.

Studies on simultaneous nhibition of trypsin and chymotrypsin by horsegram Bowman-Birk inhibitor

Bowman-Birk inhibitors (BBI) isolated from plant seeds are small proteins active against trypsin and/or chymotrypsin. These inhibitors have been extensively studied in terms of their structure, interactions, function and evolution. Examination of the known three-dimensional structures of BBIs revealed similarities and subtle differences.The hydrophobic core, deduced from surface accessibility and hydrophobicity plots, corresponding to the two tandem structural domains of the double headed BBI are related by an almost exact two-fold, in contrast to the reactive site loops which depart appreciably from the two-fold symmetry. Also, the orientations of inhibitory loops in soybean and peanut inhibitors were different with respect to the rigid core. Based on the structure of Adzuki bean BBI-trypsin complex, models of trypsin and chymotryspin bound to the monomeric soybean BBI (SBI) were constructed. There were minor short contacts between the two enzymes bound to the inhibitor suggesting near independence of binding. Binding studies revealed that the inhibition of one enzyme in the presence of the other is associated with a minor negative cooperativity. In order to assess the functional significance of the reported oligomeric forms of BBI, binding of proteases to the crystallographic and non-crystallographic dimers as found in the crystal structure of peanut inhibitor were examined. It was found that all the active sites in these oligomers cannot simultaneously participate in inhibition.