An empirical model comparison for valuing crack spread options

In this paper, we investigate the pricing of crack spread options. Particular emphasis is placed on the question of whether univariate modeling of the crack spread or explicit modeling of the two underlyings is preferable. Therefore, we contrast a bivariate GARCH volatility model for cointegrated underlyings with the alternative of modeling the crack spread directly. Conducting an empirical analysis of crude oil/heating oil and crude oil/gasoline crack spread options traded on the New York Mercantile Exchange, the more simplistic univariate approach is found to be superior with respect to option pricing performance.

First-order turbulence closure for modelling complex canopy flows

Simple first-order closure remains an attractive way of formulating equations for complex canopy flows when the aim is to find analytic or simple numerical solutions to illustrate fundamental physical processes. Nevertheless, the limitations of such closures must be understood if the resulting models are to illuminate rather than mislead. We propose five conditions that first-order closures must satisfy then test two widely used closures against them. The first is the eddy diffusivity based on a mixing length. We discuss the origins of this approach, its use in simple canopy flows and extensions to more complex flows. We find that it satisfies most of the conditions and, because the reasons for its failures are well understood, it is a reliable methodology. The second is the velocity-squared closure that relates shear stress to the square of mean velocity. Again we discuss the origins of this closure and show that it is based on incorrect physical principles and fails to satisfy any of the five conditions in complex canopy flows; consequently its use can lead to actively misleading conclusions.

Neuropsychological Assessment of Current and Past Crack Cocaine Users

Background: Cognitive changes due to crack cocaine consumption remain unclear Methods: For clarification, 55 subjects were assigned to three groups: control group, crack cocaine current users, and ex-users. Participants were submitted to Mini-Mental State Examination (MMSE) and tasks evaluating executive functioning and verbal memory Mood state was also measured. Intergroup comparisons were carried out. Results: Control group performance on the MMSE was better than that of users and ex-users. Verbal memory performance for logical memory of users was impaired. Ex-users scored lower on DSST and Trail Making Test (Part B). Conclusion: Chronic crack cocaine use seems to disrupt general cognitive functioning (MMSE), verbal memory, and attentional resources, but findings suggest that some of these effects could be reversed by abstinence.