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.

The Physical Strenuousness of Work is Slightly Associated with an Upward Trend in the Body Mass Index

This paper explores the relationship between the physical strenuousness of work and the body mass index in Finland, using individual microdata over the period 1972-2002. The data contain self-reported information about the physical strenuousness of a respondent’s current occupation. Our estimates show that the changes in the physical strenuousness of work can explain around 8% at most of the definite increase in BMI observed over the period. The main reason for this appears to be that the quantitative magnitude of the effect of the physical strenuousness of work on BMI is rather moderate. Hence, according to the point estimates, BMI is only around 1.5% lower when one’s current occupation is physically very demanding and involves lifting and carrying heavy objects compared with sedentary job (reference group of the estimations), other things being equal. Accordingly, the changes in eating habits and the amount of physical activity during leisure time must be the most important contributors to the upward trend in BMI in industrialised countries, but not the changes in the labour market structure.

External Bias Dependent Direct To Indirect Band Gap Transition in Graphene Nanoribbon

In this work, using self-consistent tight-binding calculations. for the first time, we show that a direct to indirect band gap transition is possible in an armchair graphene nanoribbon by the application of an external bias along the width of the ribbon, opening up the possibility of new device applications. With the help of the Dirac equation, we qualitatively explain this band gap transition using the asymmetry in the spatial distribution of the perturbation potential produced inside the nanoribbon by the external bias. This is followed by the verification of the band gap trends with a numerical technique using Magnus expansion of matrix exponentials. Finally, we show that the carrier effective masses possess tunable sharp characters in the vicinity of the band gap transition points.

Development of twist in an emerging magnetic flux tube by poloidal field accretion

Aims. Following an earlier proposal for the origin of twist in the magnetic fields of solar active regions, we model the penetration of a wrapped up background poloidal field into a toroidal magnetic flux tube rising through the solar convective zone.Methods. The rise of the straight, cylindrical flux tube is followed by numerically solving the induction equation in a comoving Lagrangian frame, while an external poloidal magnetic field is assumed to be radially advected onto the tube with a speed corresponding to the rise velocity.Results. One prediction of our model is the existence of a ring of reverse current helicity on the periphery of active regions. On the other hand, the amplitude of the resulting twist depends sensitively on the assumed structure ( diffuse vs. concentrated/intermittent) of the active region magnetic field right before its emergence, and on the assumed vertical profile of the poloidal field. Nevertheless, in the model with the most plausible choice of assumptions a mean twist comparable to the observations results.Conclusions. Our results indicate that the contribution of this mechanism to the twist can be quite significant, and under favourable circumstances it can potentially account for most of the current helicity observed in active regions.

The intramolecular external heavy atom effect in bromo-, benzo-, and naphthonorbornenes

A theoretical analysis of the external heavy atom effect of a halogen atom on the radiative rate constant of phosphorescence is examined as a function of position of a bromine atom or atoms relative to a naphthalene or a benzene chromophore for a series of mono- and dibromo-, naphtho-, and benzonorbornenes. The theoretical results are then compared to experimentaldata and lead to the conclusion that the enhancement of the phosphorescence process takes place through the second-ordermixing of the triplet states of the chromophore with the singlet charge transfer states arising primarily from an electron transferfrom the orbitals of the heavy atom perturber to the unfilled x* orbitals of the chromophore.

Witten index of supersymmetric chiral theories

The Witten index can be defined in many supersymmetric theories by formulating them in the space-time R×S3. If the index is nonzero for any value of the radius of S3, it can be shown that the theory does not break supersymmetry in Minkowski space. This approach rules out supersymmetry breaking in a large class of models, chiral and otherwise. The index arguments are consistent with previous instanton calculations which indicate supersymmetry breaking in certain theories.

Approximation of Internal Refractive Index Variation Improves Image Guided Diffuse Optical Tomography of Breast

Effective usage of image guidance by incorporating the refractive index (RI) variation in computational modeling of light propagation in tissue is investigated to assess its impact on optical-property estimation. With the aid of realistic patient breast three-dimensional models, the variation in RI for different regions of tissue under investigation is shown to influence the estimation of optical properties in image-guided diffuse optical tomography (IG-DOT) using numerical simulations. It is also shown that by assuming identical RI for all regions of tissue would lead to erroneous estimation of optical properties. The a priori knowledge of the RI for the segmented regions of tissue in IG-DOT, which is difficult to obtain for the in vivo cases, leads to more accurate estimates of optical properties. Even inclusion of approximated RI values, obtained from the literature, for the regions of tissue resulted in better estimates of optical properties, with values comparable to that of having the correct knowledge of RI for different regions of tissue.

High-precision diode-laser-based temperature measurement for air refractive index compensation

We present a laser-based system to measure the refractive index of air over a long path length. In optical distance measurements it is essential to know the refractive index of air with high accuracy. Commonly, the refractive index of air is calculated from the properties of the ambient air using either Ciddor or Edlén equations, where the dominant uncertainty component is in most cases the air temperature. The method developed in this work utilises direct absorption spectroscopy of oxygen to measure the average temperature of air and of water vapor to measure relative humidity. The method allows measurement of temperature and humidity over the same beam path as in optical distance measurement, providing spatially well matching data. Indoor and outdoor measurements demonstrate the effectiveness of the method. In particular, we demonstrate an effective compensation of the refractive index of air in an interferometric length measurement at a time-variant and spatially non-homogenous temperature over a long time period. Further, we were able to demonstrate 7 mK RMS noise over a 67 m path length using 120 s sample time. To our knowledge, this is the best temperature precision reported for a spectroscopic temperature measurement.

A reexamination of the permeability index of clays

The permeability index Ck, similar to the compression index, is the slope of the void ratio – coefficient of permeability relationship. Literature shows that, in general, for sensitive clays it can be related to initial void ratio by Ck = 0.5e0. The possibility of obtaining such a relationship for Cochin marine clays in terms of liquid limit void ratio is indicated in this paper. Analysis of permeability behaviour of Cochin marine clays and the test results available in published literature using generalized state parameter approach show that, in principle, these forms of equations for the permeability index are tenable, even though they were obtained based on experimental observation alone.