Price risk management in the copper market using commodity derivatives and options strategies

Metals price risk management is a key issue related to financial risk in metal markets because of uncertainty of commodity price fluctuation, exchange rate, interest rate changes and huge price risk either to metals’ producers or consumers. Thus, it has been taken into account by all participants in metal markets including metals’ producers, consumers, merchants, banks, investment funds, speculators, traders and so on. Managing price risk provides stable income for both metals’ producers and consumers, so it increases the chance that a firm will invest in attractive projects. The purpose of this research is to evaluate risk management strategies in the copper market. The main tools and strategies of price risk management are hedging and other derivatives such as futures contracts, swaps and options contracts. Hedging is a transaction designed to reduce or eliminate price risk. Derivatives are financial instruments, whose returns are derived from other financial instruments and they are commonly used for managing financial risks. Although derivatives have been around in some form for centuries, their growth has accelerated rapidly during the last 20 years. Nowadays, they are widely used by financial institutions, corporations, professional investors, and individuals. This project is focused on the over-the-counter (OTC) market and its products such as exotic options, particularly Asian options. The first part of the project is a description of basic derivatives and risk management strategies. In addition, this part discusses basic concepts of spot and futures (forward) markets, benefits and costs of risk management and risks and rewards of positions in the derivative markets. The second part considers valuations of commodity derivatives. In this part, the options pricing model DerivaGem is applied to Asian call and put options on London Metal Exchange (LME) copper because it is important to understand how Asian options are valued and to compare theoretical values of the options with their market observed values. Predicting future trends of copper prices is important and would be essential to manage market price risk successfully. Therefore, the third part is a discussion about econometric commodity models. Based on this literature review, the fourth part of the project reports the construction and testing of an econometric model designed to forecast the monthly average price of copper on the LME. More specifically, this part aims at showing how LME copper prices can be explained by means of a simultaneous equation structural model (two-stage least squares regression) connecting supply and demand variables. A simultaneous econometric model for the copper industry is built: {█(Q_t^D=e^((-5.0485))∙P_((t-1))^((-0.1868) )∙〖GDP〗_t^((1.7151) )∙e^((0.0158)∙〖IP〗_t ) @Q_t^S=e^((-3.0785))∙P_((t-1))^((0.5960))∙T_t^((0.1408))∙P_(OIL(t))^((-0.1559))∙〖USDI〗_t^((1.2432))∙〖LIBOR〗_((t-6))^((-0.0561))@Q_t^D=Q_t^S )┤ P_((t-1))^CU=e^((-2.5165))∙〖GDP〗_t^((2.1910))∙e^((0.0202)∙〖IP〗_t )∙T_t^((-0.1799))∙P_(OIL(t))^((0.1991))∙〖USDI〗_t^((-1.5881))∙〖LIBOR〗_((t-6))^((0.0717) Where, Q_t^D and Q_t^Sare world demand for and supply of copper at time t respectively. P(t-1) is the lagged price of copper, which is the focus of the analysis in this part. GDPt is world gross domestic product at time t, which represents aggregate economic activity. In addition, industrial production should be considered here, so the global industrial production growth that is noted as IPt is included in the model. Tt is the time variable, which is a useful proxy for technological change. A proxy variable for the cost of energy in producing copper is the price of oil at time t, which is noted as POIL(t ) . USDIt is the U.S. dollar index variable at time t, which is an important variable for explaining the copper supply and copper prices. At last, LIBOR(t-6) is the 6-month lagged 1-year London Inter bank offering rate of interest. Although, the model can be applicable for different base metals' industries, the omitted exogenous variables such as the price of substitute or a combined variable related to the price of substitutes have not been considered in this study. Based on this econometric model and using a Monte-Carlo simulation analysis, the probabilities that the monthly average copper prices in 2006 and 2007 will be greater than specific strike price of an option are defined. The final part evaluates risk management strategies including options strategies, metal swaps and simple options in relation to the simulation results. The basic options strategies such as bull spreads, bear spreads and butterfly spreads, which are created by using both call and put options in 2006 and 2007 are evaluated. Consequently, each risk management strategy in 2006 and 2007 is analyzed based on the day of data and the price prediction model. As a result, applications stemming from this project include valuing Asian options, developing a copper price prediction model, forecasting and planning, and decision making for price risk management in the copper market.

Afghanistan connection : heroin production, distribution, and consumption

Heroin prices are a reflection of supply and demand, and similar to any other market, profits motivate participation. The intent of this research is to examine the change in Afghan opium production due to political conflict affecting Europe’s heroin market and government policies. If the Taliban remain in power, or a new Afghan government is formed, the changes will affect the heroin market in Europe to a certain degree. In the heroin market, the degree of change is dependent on many socioeconomic forces such as law enforcement, corruption, and proximity to Afghanistan. An econometric model that examines the degree of these socioeconomic effects has not been applied to the heroin trade in Afghanistan before. This research uses a two-stage least squares econometric model to reveal the supply and demand of heroin in 36 different countries from the Middle East to Western Europe in 2008. An application of the two-stage least squares model to the heroin market in Europe will attempt to predict the socioeconomic consequences of Afghanistan opium production.

Genetic association studies under the population stratification, family pedigree and application to genome-wide association studies

This dissertation has three separate parts: the first part deals with the general pedigree association testing incorporating continuous covariates; the second part deals with the association tests under population stratification using the conditional likelihood tests; the third part deals with the genome-wide association studies based on the real rheumatoid arthritis (RA) disease data sets from Genetic Analysis Workshop 16 (GAW16) problem 1. Many statistical tests are developed to test the linkage and association using either case-control status or phenotype covariates for family data structure, separately. Those univariate analyses might not use all the information coming from the family members in practical studies. On the other hand, the human complex disease do not have a clear inheritance pattern, there might exist the gene interactions or act independently. In part I, the new proposed approach MPDT is focused on how to use both the case control information as well as the phenotype covariates. This approach can be applied to detect multiple marker effects. Based on the two existing popular statistics in family studies for case-control and quantitative traits respectively, the new approach could be used in the simple family structure data set as well as general pedigree structure. The combined statistics are calculated using the two statistics; A permutation procedure is applied for assessing the p-value with adjustment from the Bonferroni for the multiple markers. We use simulation studies to evaluate the type I error rates and the powers of the proposed approach. Our results show that the combined test using both case-control information and phenotype covariates not only has the correct type I error rates but also is more powerful than the other existing methods. For multiple marker interactions, our proposed method is also very powerful. Selective genotyping is an economical strategy in detecting and mapping quantitative trait loci in the genetic dissection of complex disease. When the samples arise from different ethnic groups or an admixture population, all the existing selective genotyping methods may result in spurious association due to different ancestry distributions. The problem can be more serious when the sample size is large, a general requirement to obtain sufficient power to detect modest genetic effects for most complex traits. In part II, I describe a useful strategy in selective genotyping while population stratification is present. Our procedure used a principal component based approach to eliminate any effect of population stratification. The paper evaluates the performance of our procedure using both simulated data from an early study data sets and also the HapMap data sets in a variety of population admixture models generated from empirical data. There are one binary trait and two continuous traits in the rheumatoid arthritis dataset of Problem 1 in the Genetic Analysis Workshop 16 (GAW16): RA status, AntiCCP and IgM. To allow multiple traits, we suggest a set of SNP-level F statistics by the concept of multiple-correlation to measure the genetic association between multiple trait values and SNP-specific genotypic scores and obtain their null distributions. Hereby, we perform 6 genome-wide association analyses using the novel one- and two-stage approaches which are based on single, double and triple traits. Incorporating all these 6 analyses, we successfully validate the SNPs which have been identified to be responsible for rheumatoid arthritis in the literature and detect more disease susceptibility SNPs for follow-up studies in the future. Except for chromosome 13 and 18, each of the others is found to harbour susceptible genetic regions for rheumatoid arthritis or related diseases, i.e., lupus erythematosus. This topic is discussed in part III.

STATISTICAL METHODS FOR RARE AND COMMON VARIANT ASSOCIATION STUDIES

Complex human diseases are a major challenge for biological research. The goal of my research is to develop effective methods for biostatistics in order to create more opportunities for the prevention and cure of human diseases. This dissertation proposes statistical technologies that have the ability of being adapted to sequencing data in family-based designs, and that account for joint effects as well as gene-gene and gene-environment interactions in the GWA studies. The framework includes statistical methods for rare and common variant association studies. Although next-generation DNA sequencing technologies have made rare variant association studies feasible, the development of powerful statistical methods for rare variant association studies is still underway. Chapter 2 demonstrates two adaptive weighting methods for rare variant association studies based on family data for quantitative traits. The results show that both proposed methods are robust to population stratification, robust to the direction and magnitude of the effects of causal variants, and more powerful than the methods using weights suggested by Madsen and Browning [2009]. In Chapter 3, I extended the previously proposed test for Testing the effect of an Optimally Weighted combination of variants (TOW) [Sha et al., 2012] for unrelated individuals to TOW &ndash F, TOW for Family &ndash based design. Simulation results show that TOW &ndash F can control for population stratification in wide range of population structures including spatially structured populations, is robust to the directions of effect of causal variants, and is relatively robust to percentage of neutral variants. In GWA studies, this dissertation consists of a two &ndash locus joint effect analysis and a two-stage approach accounting for gene &ndash gene and gene &ndash environment interaction. Chapter 4 proposes a novel two &ndash stage approach, which is promising to identify joint effects, especially for monotonic models. The proposed approach outperforms a single &ndash marker method and a regular two &ndash stage analysis based on the two &ndash locus genotypic test. In Chapter 5, I proposed a gene &ndash based two &ndash stage approach to identify gene &ndash gene and gene &ndash environment interactions in GWA studies which can include rare variants. The two &ndash stage approach is applied to the GAW 17 dataset to identify the interaction between KDR gene and smoking status.

ASTAXANTHIN PRODUCTION FROM HAEMATOCOCCUS PLUVIALIS UNDER VARIOUS LIGHT INTENSITIES AND CARBON DIOXIDE CONCENTRATIONS

The microalga Haematococcus pluvialis was cultivated in MES-volvox medium at various light intensities and CO2 concentrations. It was found that CO2 concentrations of 10 and 15%, in combination with high irradiance at initial pH =6.7, accelerate astaxanthin accumulation in H. pluvialis cells but obstruct cell growth. The purpose of this research study was to devise a one-stage process consisting of the simultaneous cultivation of H. pluvialis and astaxanthin production using high light intensity and high CO2 concentration. This could be achieved at 200 µE/m2s and 15% CO2 in growth medium at initial pH = 4.3. Compared to the traditional two-stage H. pluvialis cultivation system, this one-step process can save up to 8-9 days of astaxanthin production time. The astaxanthin content in H. pluvialis cells induced with high light intensity only or with a combination of high light intensity and high CO2 concentration had comparable astaxanthin content; 94 and 97 mg/g dry biomass, respectively. However, it was extremely low in nitrate-free medium at high irradiance alone or combined with high CO2 concentration, with an average value of 4 mg/g dry biomass. Cell density was 40% less in cultures under discontinuous illumination compared to continuous illumination. This process could serve as a microalgal CO2 mitigation system after further understanding of the CO2 fixation ability of H. pluvialis has been gained.

Separation of Cadmium from Zinc in the Purification Step of the Leaching Cycle

The purpose of this investigation is to determine the effect of the factors listed previously by conducting a series of tests that will indicate the ex­tent to which the purification is influenced by time, temperature, zinc oust size, zinc dust quantity, iron concentration, two stage precipitation, and aeration.

Displacement of a dental implant into the maxillary sinus: report of an unusual complication when performing staged sinus floor elevation procedures

Grafting of the maxillary sinus in both one- and two-stage protocols has become a highly predictable surgical technique for site development and for the placement of implants to support dentures. However, despite the predictability and high success rates reported for dental implants placed either simultaneously with or after a sinus floor elevation (SFE) procedure, complications have been reported. The aim of the following case report is to present an uncommon complication in a staged SFE procedure: the displacement of a dental implant into the maxillary sinus during insertion. As implant dentistry is becoming more and more popular among practitioners, and ever more demanding procedures for initial site development in jaws with bony deficiencies are being introduced into daily practice, the displacement of dental implants into the maxillary sinus during implant placement may become a more frequent complication. Management of this complication is presented, discussed, and evaluated in light of the current literature.

Ridge augmentation and maxillary sinus grafting with a biphasic calcium phosphate: histologic and histomorphometric observations

OBJECTIVES: This retrospective study reports on histologic and histomorphometric observations performed on human biopsies harvested from sites augmented exclusively by biphasic calcium phosphate [BCP: hydroxyapatite (HA)/ tricalcium phosphate (TCP) 60/40] and healed for a minimum of 6 months. MATERIALS AND METHODS: Five patients benefited from three augmentation regimens (i.e.: one-stage lateral augmentation; two-stage lateral augmentation; and two-stage sinus grafting). In all patients, a degradable collagen membrane served as a cell-occlusive barrier. Core biopsies were obtained from lateral as from crestal aspects 6-10 months after augmentation surgeries. For histologic and histomorphometric evaluations, the non-decalcified tissue processing was performed. RESULTS: The histological examination of 11 biopsies showed graft particles frequently being bridged by the new bone, and a close contact between the graft particles and newly formed bone was seen in all samples. The mean percentages of newly formed bone, soft tissue compartment, and graft material were 38.8% (+/-5.89%), 41.75% (+/-6.08%), and 19.63% (+/-4.85%), respectively. Regarding bone-to-graft contact values, the percentage of bone coverage of graft particles for all biopsies ranged from 27.83% to 80.17%. The mean percentage of bone coverage was 55.39% (+/-13.03%). CONCLUSIONS: Data from the present study demonstrated osteoconductivity scores for the BCP material (HA/TCP 60/40) in patients resembling those previously shown for grafting materials of xenogenic and alloplastic origin.

A General Solution Framework for Component-Commonality Problems

Component commonality - the use of the same version of a component across multiple products - is being increasingly considered as a promising way to offer high external variety while retaining low internal variety in operations. However, increasing commonality has both positive and negative cost effects, so that optimization approaches are required to identify an optimal commonality level. As components influence to a greater or lesser extent nearly every process step along the supply chain, it is not surprising that a multitude of diverging commonality problems is being investigated in literature, each of which are developing a specific algorithm designed for the respective commonality problem being considered. The paper on hand aims at a general framework which is flexible and efficient enough to be applied to a wide range of commonality problems. Such a procedure based on a two-stage graph approach is presented and tested. Finally, flexibility of the procedure is shown by customizing the framework to account for different types of commonality problems.

Variability in the prevalence of adult ADHD in treatment seeking substance use disorder patients: results from an international multi-center study exploring DSM-IV and DSM-5 criteria

Background: Available studies vary in their estimated prevalence of attention deficit/hyperactivity disor-der (ADHD) in substance use disorder (SUD) patients, ranging from 2 to 83%. A better understanding ofthe possible reasons for this variability and the effect of the change from DSM-IV to DSM-5 is needed.Methods: A two stage international multi-center, cross-sectional study in 10 countries, among patientsform inpatient and outpatient addiction treatment centers for alcohol and/or drug use disorder patients. Atotal of 3558 treatment seeking SUD patients were screened for adult ADHD. A subsample of 1276 subjects,both screen positive and screen negative patients, participated in a structured diagnostic interview. 5AdultsResults: Prevalence of DSM-IV and DSM-5 adult ADHD varied for DSM-IV from 5.4% (CI 95%: 2.4–8.3) forHungary to 31.3% (CI 95%:25.2–37.5) for Norway and for DSM-5 from 7.6% (CI 95%: 4.1–11.1) for Hungary to32.6% (CI 95%: 26.4–38.8) for Norway. Using the same assessment procedures in all countries and centersresulted in substantial reduction of the variability in the prevalence of adult ADHD reported in previousstudies among SUD patients (2–83% → 5.4–31.3%). The remaining variability was partly explained byprimary substance of abuse and by country (Nordic versus non-Nordic countries). Prevalence estimatesfor DSM-5 were slightly higher than for DSM-IV.Conclusions: Given the generally high prevalence of adult ADHD, all treatment seeking SUD patientsshould be screened and, after a confirmed diagnosis, treated for ADHD since the literature indicates poorprognoses of SUD in treatment seeking SUD patients with ADHD.

Proceedings of the Seventh Annual Biochemical Engineering Symposium

This is the seventh in a series of symposia devoted to talks by students on their biochemical engineering research. The first four meetings were held alternately at Kansas State University and the University of Nebraska–Lincoln, with participants from those two schools. The next two took place at Kansas State and then in conjunction with the 8lst American Institute of Chemical Engineers National Meeting in Kansas City, with attendees from Kansas State and Iowa State Universities. This meeting, at Iowa State, was the first to include participation from the University of Missouri–Columbia. Contents"Properties of Soluble and In:anoblized Dextransucrase," Hossein Kaboli and Yah Eric Chen, Iowa State University "Growth of Lipid-Producing Organisms on Formic and Acetic Acid-Containing Waste Waters," Lin-Chang Chiang, University of Missouri–Columbia "Design of an Automated Alkaline Copper Reducing Sugar Assay," Alfred R. Fratzke and James R. Frederick, Iowa State University "Determination of Oxygen Transfer Coefficients in Hydrocarbon Fermentations Using a Material Balance Method," Sarafin N. Sanchez and J. R. Gutierrez, Kansas State University "Oxygen Transfer Characteristics in One Stage and Two Stage Air-Lift Towers," Mark E. Orazem, Kansas State University "A Comparison of Biological Digestibility Tests for Cellulose," Dou-Houng Hwang, University of Missouri–Columbia "Mechanism of Enzymatic Hydrolysis of Cellulose," L. T. Fan, Yong-Hyun Lee, and Liang-Shih Fan, Kansas State University "Purification of Xylan-Hydrolyzing Enzymes," James R. Frederick, Alfred R. Fratzke, and Mary M. Frederick, Iowa State University "Cellulase Production from Bagasse and Pith," A. Ferrer, Y. Alroy, and I. Brito, Kansas State University

The cement prosthesis-like spacer: an intermediate halt on the road to healing.

BACKGROUND Periprosthetic infections remain a devastating problem in the field of joint arthroplasty. In the following study, the results of a two-stage treatment protocol for chronic periprosthetic infections using an intraoperatively molded cement prosthesis-like spacer (CPLS) are presented. METHODS Seventy-five patients with chronically infected knee prosthesis received a two-stage revision procedure with the newly developed CPLS between June 2006 and June 2011. Based on the microorganism involved, patients were grouped into either easy to treat (ETT) or difficult to treat (DTT) and treated accordingly. Range of motion (ROM) and the knee society score (KSS) were utilized for functional assessment. RESULTS Mean duration of the CPLS implant in the DTT group was 3.6 months (range 3-5 months) and in the ETT group 1.3 months (range 0.7-2.5 months). Reinfection rates of the final prosthesis were 9.6% in the ETT and 8.3% in the DTT group with no significant difference between both groups regarding ROM or KSS (P = 0.87, 0.64, resp.). CONCLUSION The results show that ETT patients do not necessitate the same treatment protocol as DTT patients to achieve the same goal, emphasizing the need to differentiate between therapeutic regimes. We also highlight the feasibility of CLPS in two-stage protocols.

The International ADHD in Substance Use Disorders Prevalence (IASP) study: background, methods and study population

Attention deficit/hyperactivity disorder (ADHD) is an increasingly recognized comorbid condition in subjects with substance use disorders (SUDs). This paper describes the methods and study population of the International ADHD in Substance Use Disorders Prevalence (IASP) study. Objectives of the IASP are to determine the prevalence of ADHD in adult treatment seeking patients with SUD in different countries and SUD populations, determine the reliability and validity of the Adult ADHD Self-report Scale V 1.1 (ASRS) as ADHD screening instrument in SUD populations, investigate the comorbidity profile of SUD patients with and without ADHD, compare risk factors and protective factors in SUD patients with and without a comorbid diagnosis of ADHD, and increase our knowledge about the relationship between ADHD and the onset and course of SUD. In this cross-sectional, multi-centre two stage study, subjects were screened for ADHD with the ASRS, diagnosed with the Conner's Adult ADHD Diagnostic Interview for DSM-IV (CAADID), and evaluated for SUD, major depression, bipolar disorder, anti social personality disorder and borderline personality disorder. Three thousand five hundred and fifty-eight subjects from 10 countries were included. Of these 40.9% screened positive for ADHD. This is the largest international study on this population evaluating ADHD and comorbid disorders.

E2F1 AND TUMOR SUPPRESSION: THE ROLE OF p21, miRNAS, AND THE DNA DAMAGE RESPONSE

E2F1 is a multi-faceted protein that has roles in a number of important cellular processes including cell cycle regulation, apoptosis, proliferation, and the DNA damage response (DDR). Moreover, E2F1 has opposing roles in tumor development, acting as either a tumor suppressor or an oncogene depending on the context. In human cancer, E2F1 is often deregulated through aberrations in the Rb-p16INK4a-cyclin D1 pathway. In these studies we examined three mechanisms by which E2F1 might mediate its tumor suppressive properties: p21-induced senescence, miRNAs, and the DNA damage response. We found that E2F1 acts as a tumor suppressor in response to ras activation through a non-apoptotic mechanism requiring ARF and p53, but not p21. However, p21-loss inhibited two-stage chemical carcinogenesis in FVB mice. In response to E2F1 overexpression, we found that 22 miRNAs are differentially regulated in mouse epidermis, including let-7a, let-7c, and miR-301. Additionally, regulation of miR-301 involves binding of E2F1 to its promoter. Finally, our data indicate a role for E2F1 at sites of DNA damage requiring E2F1’s phosphorylation at serine 31 which may involve DNA repair. Further, this role in the DDR may affect tumor aggressiveness and multiplicity. In all, we have explored three mechanisms for E2F1-induced tumor suppression and identified E2F1’s role in the DNA damage response as a likely contributor to this phenomenon.

UNDERSTANDING NANOG'S ROLE IN CANCER BIOLOGY

Understanding Nanog’s Role in Cancer Biology Mark Daniel Badeaux Supervisory Professor Dean Tang, PhD The cancer stem cell model holds that tumor heterogeneity and population-level immortality are driven by a subset of cells within the tumor, termed cancer stem cells. Like embryonic or somatic stem cells, cancer stem cells are believed to possess self-renewal capacity and the ability to give rise to a multitude of varieties of daughter cell. Because of cancer’s implied connections to authentic stem cells, we screened a variety of prostate cancer cell lines and primary tumors in order to determine if any notable ‘stemness’ genes were expressed in malignant growths. We found a promising lead in Nanog, a central figure in maintaining embryonic stem cell pluripotency, and through a variety of experiments in which we diminished Nanog expression, found that it may play a significant role in prostate cancer development. We then created a transgenic mouse model in which we targeted Nanog expression to keratin 14-expressing in order to assess its potential contribution to tumorigenesis. We found a variety of developmental abnormalities and altered differentiation patterns in our model , but much to our chagrin we observed neither spontaneous tumor formation nor premalignant changes in these mice, but instead surprisingly found that high levels of Nanog expression inhibited tumor formation in a two-stage skin carcinogenesis model. We also noted a depletion of skin stem cell populations, which underlies the wound-healing defect our mice harbor as well. Gene expression analysis shows a reduction in c-Jun and Bmp5, two genes whose loss inhibits skin tumor development and reduces stem cell counts respectively. As we further explored Nanog’s activity in prostate cancer, it became apparent that the protein oftentimes was not expressed. Emboldened by the competing endogenous RNA (ceRNA) hypothesis, we identified the Nanog 3’UTR as a regulator of the tumor suppressive microRNA 128a (miR-128a), which includes known oncogenes such as Bmi1 among its authentic targets. Future work will necessarily involve discerning instances in which Nanog mRNA is the biologically relevant molecule, as well as identifying additional mRNA species which may serve solely as a molecular sink for miR-128a.