Evaluating Option Pricing Models

This study evaluates three different time units in option pricing: trading time, calendar time and continuous time using discrete approximations (CTDA). The CTDA-time model partitions the trading day into 30-minute intervals, where each interval is given a weight corresponding to the historical volatility in the respective interval. Furthermore, the non-trading volatility, both overnight and weekend volatility, is included in the first interval of the trading day in the CTDA model. The three models are tested on market prices. The results indicate that the trading-time model gives the best fit to market prices in line with the results of previous studies, but contrary to expectations under non-arbitrage option pricing. Under non-arbitrage pricing, the option premium should reflect the cost of hedging the expected volatility during the option’s remaining life. The study concludes that the historical patterns in volatility are not fully accounted for by the market, rather the market prices options closer to trading time.

Intraday and Weekend Volatility Patterns- Implications for Option Pricing

This study examines the intraday and weekend volatility on the German DAX. The intraday volatility is partitioned into smaller intervals and compared to a whole day’s volatility. The estimated intraday variance is U-shaped and the weekend variance is estimated to 19 % of a normal trading day. The patterns in the intraday and weekend volatility are used to develop an extension to the Black and Scholes formula to form a new time basis. Calendar or trading days are commonly used for measuring time in option pricing. The Continuous Time using Discrete Approximations model (CTDA) developed in this study uses a measure of time with smaller intervals, approaching continuous time. The model presented accounts for the lapse of time during trading only. Arbitrage pricing suggests that the option price equals the expected cost of hedging volatility during the option’s remaining life. In this model, time is allowed to lapse as volatility occurs on an intraday basis. The measure of time is modified in CTDA to correct for the non-constant volatility and to account for the patterns in volatility.

Climatic adaptation of Norway spruce (Picea abies (L.) Karsten) in Finland based on male flowering phenology.

Anthesis was studied at the canopy level in 10 Norway spruce stands from 9 localities in Finland from 1963 to 1974. Distributions of pollen catches were compared to the normal Gaussian distribution. The basis for the timing studies was the 50 per cent point of the anthesis-fitted normal distribution. Development up to this point was given in calendar days, in degree days (>5 °C) and in period units. The count of each parameter began on March 19 (included). Male flowering in Norway spruce stands was found to have more annual variation in quantity than in Scots pine stands studied earlier. Anthesis in spruce in northern Finland occurred at a later date than in the south. The heat sums needed for anthesis varied latitudinally less in spruce than in pine. The variation of pollen catches in spruce increased towards north-west as in the case of Scots pine. In the unprocessed data, calendar days were found to be the most accurate forecast of anthesis in Norway spruce both for a single year and for the majority of cases of stand averages over several years. Locally, the period unit could be a more accurate parameter for the stand average. However, on a calendar day basis, when annual deviations between expected and measured heat sums were converted to days, period units were narrowly superior to days. The geographical correlations respect to timing of flowering, calculated against distances measured along simulated post-glacial migration routes, were stronger than purely latitudinal correlations. Effects of the reinvasion of Norway spruce into Finland are thus still visible in spruce populations just as they were in Scots pine populations. The proportion of the average annual heat sum needed for spruce anthesis grew rapidly north of a latitude of ca. 63° and the heat sum needed for anthesis decreased only slighty towards the timberline. In light of flowering phenology, it seems probable that the northwesterly third of Finnish Norway spruce populations are incompletely adapted to the prevailing cold climate. A moderate warming of the climate would therefore be beneficial for Norway spruce. This accords roughly with the adaptive situation in Scots pine.

Differences in the climatic adaptation of silver birch (Betula pendula) and downy birch (B. pubescens) in Finland based on male flowering phenology.

Male flowering was studied at the canopy level in 10 silver birch (Betula pendula Roth) stands from 8 localities and in 14 downy birch (B. pubescens Ehrh.) stands from 10 localities in Finland from 1963 to 1973. Distributions of cumulative pollen catches were compared to the normal Gaussian distribution. The basis for the timing of flowering was the 50 per cent point of the anthesis-fitted normal distribution. To eliminate effects of background pollen, only the central, normally distributed part of the cumulative distribution was used. Development up to the median point of the distribution was measured and tested in calendar days, in degree days (> 5 °C) and in period units. The count of each parameter began on and included March 19. Male flowering in silver birch occurred from late April to late June depending on latitude, and flowering in downy birch took place from early May to early July. The heat sums needed for male flowering varied in downy birch stands latitudinally but there was practically no latitudinal variation in heat sums needed for silver birch flowering. The amount of male flowering in stands of both birch species were found to have a large annual variation but without any clear periodicity. The between years pollen catch variation in stands of either birch species did not show any significant latitudinal correlation in contrast to Norway spruce stands. The period unit heat sum gave the most accurate forecast of the timing of flowering for 60 per cent of the silver birch stands and for 78.6 per cent of the for downy birch stands. Calendar days, however, gave the best forecast for silver birch in 25 per cent of the cases, while degree days gave the best forecast for downy birch in 21.4 per cent of the cases. Silver birch seems to have a local inclination for a more fixed flowering date compared to downy birch, which could mean a considerable photoperiodic influence on flowering time of silver birch. Silver birch and downy birch had different geographical correlations. Frequent hybridization of birch species occurs more often in northern Finland in than in more southern latitudes. The different timing in flowering caused increasing scatter in flowering times in the north, especially in the case of downy birch. The chance of simultaneous flowering of silver birch and downy birch so increased northwards due to a more variable climate and also higher altitudinal variations. Compared with conifers, the reproduction cycles of both birch species were found to be well protected from damage by frost.

Aperiodic Variability in the Cane-Zebiak Model: A Diagnostic Study

The finite predictability of the coupled ocean-atmosphere system is determined by its aperiodic variability. To gain insight regarding the predictability of such a system, a series of diagnostic studies has been carried out to investigate the role of convergence feedback in producing the aperiodic behavior of the standard version of the Cane-Zebiak model. In this model, an increase in sea surface temperature (SST) increases atmospheric heating by enhancing local evaporation (SST anomaly feedback) and low-level convergence (convergence feedback). The convergence feedback is a nonlinear function of the background mean convergence field. For the set of standard parameters used in the model, it is shown that the convergence feedback contributes importantly to the aperiodic behaviour of the model. As the strength of the convergence feedback is increased from zero to its standard value, the model variability goes from a periodic regime to an aperiodic regime through a broadening of the frequency spectrum around the basic periodicity of about 4 years. Examination of the forcing associated with the convergence feedback reveals that it is intermittent, with relatively large amplitude only during 2 or 3 months in the early part of the calendar year. This seasonality in the efficiency of the convergence feedback is related to the strong seasonality of the mean convergence over the eastern Pacific. It is shown that if the mean convergence field is fixed at its March value, aperiodic behavior is produced even in the absence of annual cycles in the other mean fields. On the, other hand, if the mean convergence field is fixed at its September value, the coupled model evolution remains close to periodic, even in the presence of the annual cycle in the other fields. The role of convergence feedback on the aperiodic variability of the model for other parameter regimes is also examined. It is shown that a range exists in the strength of the SST anomaly feedback for which the model variability is aperiodic even without the convergence feedback. It appears that in the absence of convergence feedback, enhancement of the strength of the air-sea coupling in the model through other physical processes also results in aperiodicity in the model.

Producción de primicia en invernadero de híbridos de espárrago verde (Asparagus officinalis var. Altilis) en su cuarto año productivo

Resumen: La producción de espárragos en Argentina está caracterizada por una elevada estacionalidad concentrada en el periodo octubre-diciembre, por lo que el empleo de invernaderos brinda la posibilidad de ampliar el calendario de oferta, anticipando la entrada en producción. Con el objetivo de evaluar el rendimiento de primicia de diferentes híbridos de espárrago verde, se realizó un ensayo en invernadero con ocho híbridos, en UCA Buenos Aires, iniciado el 15/11/2006, mediante plantines de 100 días a 1m*0,3m. Se evaluaron los siguientes genotipos: Italo, Zeno, Eros, Ercole, H-668, Marte, y Giove, de origen italiano, y UC-157 de origen americano, como testigo por ser el tradicionalmente cultivado en Argentina. Se evaluaron 22 cosechas, con una frecuencia de día por medio, del 17/08/2011-25/10/2011. Se estudiaron diferencias en kg totales y comerciales (PFT y PFC), Nº turiones totales y comerciales/ha (NTT y NTC) y distribución de calibres (DC): Jumbo (J), Extra-Large (XL), Large (L), Medium (M), Small (S) y Asparagina (A). Se efectuó un análisis multifactor ANOVA LSD test (P>0.05). En promedio se obtuvieron: PFT: 17053; PFC: 7904 kg.ha-1; NTT: 670566 y NTC: 520938 turiones.ha-1. Se destacaron: en PFT: Italo: 29458a, Zeno: 23056b, Giove: 23034b y H-668: 18568bc; en PFC: Italo: 14850a, Giove: 9856b, Zeno: 9130bc y H-668: 8228bcd; en NTT: Italo: 842512a, H-668: 754512a, Giove: 715000b y Eros: 707498b; en NTC: Italo: 844998a, H-668: 667502b y Eros: 542498bc y en DC: en J: Italoa, Gioveb, Zenobc y UC-157bcd; en XL: Italoa, Zenoab y Gioveb; en L: Giovea, Italoa, Zenoab, H-668abc y UC-157abc; en M: Italoa, H-668ab y Erosab; en S: H-668a, Erosa e Italoab y en A: H-668a y Marteab. Por lo expuesto resulta alentadora la productividad de Italo, Giove, Zeno y H-668 para producción de espárrago verde de primicia en invernadero.

Tras las huellas armoniosas de una compañía lírica : La Rossi-D'Achiardi en Bogotá

Resumen: El presente trabajo es el resultado de una investigación llevada a cabo sobre la prensa publicada en Bogotá en 1874 durante la temporada de la compañía de ópera Rossi-d’Achiardi, presentando una descripción de qué eran las compañías itinerantes, en especial en Bogotá. Estudiando el caso específico de la Rossid’Achiardi, mostramos cómo se desarrollaba la vida cotidiana de aquellos italianos en Bogotá y tratamos de delinear un calendario de las representaciones ofrecidas. Analizamos también la recepción de la ópera, explicando cómo el ideal de progreso y civilización se encontraba relacionado con las representaciones líricas.

PICES Press, Vol. 15, No. 1, January 2007

PICES science – 2006 (pdf, 0.1 Mb) 2006 Wooster Award (pdf, 0.1 Mb) Thank you note from the Past-Chairman of PICES (pdf, 0.1 Mb) A comparison of regional mechanisms for fish production: Ecosystem perspectives (pdf, 0.3 Mb) 2006 CREAMS/PICES international workshop and summer school (pdf, 0.2 Mb) PICES Calendar (pdf, 0.2 Mb) 2006 Harmful Algal Bloom Section annual workshop (pdf, 0.1 Mb) 2006 PICES Workshop on “Modeling iron biogeochemistry and ocean ecosystems” (pdf, 0.1 Mb) Strolling through the NEMURO ecosystem model (pdf, 0.1 Mb) Climate and marine birds and mammals in the North Pacific (pdf, 0.2 Mb) Photo highlights of the PICES Fifteenth Annual Meeting (pdf, 3.5 Mb) Recent trends in waters of the subarctic NE Pacific: Cooler and fresher in summer of 2006 (pdf, 0.2 Mb) The state of the western North Pacific in the first half of 2006 (pdf, 0.3 Mb) Latest and upcoming PICES publications (pdf, 0.3 Mb) A seven-year effort of the PICES CCCC MODEL Task Team culminates in a dedicated issue of Ecological Modelling (pdf, 0.1 Mb) Japan joins PICES Marine Metadata Federation (pdf, 0.3 Mb) Argo: A 2006 status report (pdf, 0.3 Mb) New Chairmen in PICES (pdf, 0.2 Mb) PICES Interns (pdf, 0.2 Mb)

PICES Press, Vol. 14, No. 2, July 2006

The 2006 inter-sessional Science Board and Governing Council meeting: A note from the Chairman (pdf, 0.1 Mb) Future Integrative Science Program – Progress report (pdf, 0.2 Mb) Big-picture synthesis requires understanding the small and "in-between" stuff - A summary of the CCCC Synthesis Symposium (pdf, 0.4 Mb) PICES Calendar (pdf, 0.4 Mb) Integration of ecological indicators for the North Pacific with emphasis on the Bering Sea (pdf, 0.2 Mb) Time series of the Northeast Pacific: A symposium to mark the 50th anniversary of Line-P (pdf, 0.1 Mb) PICES hosts an ESSAS workshop in St. Petersberg, Russia (pdf, 0.2 Mb) Professor Mikhail N. Koshlyakov (pdf, 0.5 Mb) The state of the western North Pacific in the second half of 2005 (pdf, 0.8 Mb) Recent trends in waters of the subarctic NE Pacific (pdf, 0.2 Mb) Unusual invertebrates and fish observed in the Gulf of Alaska, 2004-2005 (pdf, 0.1 Mb) The Bering Sea: Current status and recent events (pdf, 0.2 Mb) The Year of the Euphausiid (pdf, 0.01 Mb) Michio J. Kishi awarded 2005 Uda Prize by the Japan Society of Fisheries Oceanography (pdf, 0.03 Mb)

PICES Press, Vol. 14, No. 1, January 2006

The state of PICES science - 2005 (pdf, 0.2 Mb) 2005 Wooster Award (pdf, 0.4 Mb) Korea and U.S. federate metadata collection (pdf, 0.3 Mb) PICES Interns (pdf, 0.3 Mb) Studies on long-term variation of ocean ecosystem / climate interactions based on the Odate collection (pdf, 0.2 Mb) Hokkaido University Fisheries & Oceanographic Database CD-ROM (pdf, 0.2 Mb) Workshop on sardine and anchovy fluctuations (pdf, 0.1 Mb) Photo highlights of PICES XIV (pdf, 0.4 Mb) Workshop on SEEDS-II (pdf, 0.2 Mb) NPAFC-PICES joint symposium "The status of Pacific salmon and their role in North Pacific marine ecosystems" (pdf, 0.2 Mb) PICES Calendar (pdf, 0.2 Mb) New Chairman of the PICES Fishery Science Committee (pdf, 0.1 Mb) The state of the western North Pacific in the first half of 2005 (pdf, 0.4 Mb) Latest and upcoming PICES publications (pdf, 0.4 Mb) Recent trends in waters of the subarctic NE Pacific (pdf, 0.2 Mb) The Bering Sea: Current status and recent events (pdf, 0.1 Mb) PICES and GLOBEC to sponsor workshop on sub-arctic seas (pdf, 0.1 Mb) Professor Mikhail N. Koshlyakov - 75 (pdf, 0.1 Mb) Obituary - Dr. Al Tyler (pdf, 0.1 Mb)

PICES Press, Vol. 13, No. 2, July 2005

PICES in transition: The 3rd inter-sessional Science Board and Governing Council meeting (pdf 0.3 MB) New and upcoming PICES publications (pdf 0.3 MB) PICES hosts GLOBEC Symposium on “Climate Variability and Sub-Arctic Marine Ecosystems” in Victoria (pdf 0.4 MB) First CREAMS/PICES Workshop on East Asian Seas Time-series (pdf 0.4 MB) PICES workshop discusses Oceanic Ecodynamics COmparison in the Subarctic Pacific (OECOS) - a project proposal (pdf 0.3 MB) The state of the western North Pacific in the second half of 2004 (pdf 0.4 MB) The Bering Sea: Current status and recent events (pdf 0.3 MB) Recent trends in waters of the subarctic NE Pacific (pdf 0.3 MB) CFAME workshop on “Developing a working plan for CCCC synthesis” (pdf 0.5 MB) What is winter? (pdf 0.5 MB) The first specimens of Humboldt squid in British Columbia (pdf 0.4 MB) Obituary - Dr. Daniel M. Ware (pdf 0.3 MB) PICES Calendar (pdf 0.3 MB)

PICES Press, Vol. 13, No. 1, January 2005

The state of PICES science - 2004 (pdf 0.7 MB) 2004 Wooster Award (pdf 0.2 MB) Micronekton – What are they and why are they important? (pdf 0.5 MB) Upscaling for a better understanding of climate links to ecosystems (pdf 0.1 MB) PICES Interns (pdf 0.1 MB) Report of the APN workshop on “Climate interactions and marine ecosystems” (pdf 0.6 MB) Photo highlights of PICES XIII (pdf 0.3 MB) Recent trends in waters of the subarctic NE Pacific – summer 2004 (pdf 0.1 MB) The state of the western North Pacific in the first half of 2004 (pdf 0.3 MB) The Bering Sea: Current status and recent events (pdf 0.1 MB) Study Group on Fisheries Ecosystem Responses to Recent Regime Shifts completes its mandate for the provision of scientific advice (pdf 0.1 MB) PICES Calendar (pdf 0.1 MB) The new PICES Working Group on Ecosystem-based management (pdf 0.05 MB) CO2 data integration activity for the North Pacific (pdf 0.2 MB) Carbon cycle changes in the North Pacific (pdf 0.8 MB) New and upcoming PICES publications (pdf 0.8 MB)

PICES Press, Vol. 12, No. 2, July 2004

The future of PICES [pdf, 1.7 MB] Paris by day - Symposium on "Quantative ecosystem indicators in fisheries management" [pdf, 0.2 MB] The Bering Sea: Current status and recent events [pdf, 0.4 MB] The state of the western North Pacific in the second half of 2003 [pdf, 0.7 MB] The state of the eastern North Pacific entering spring 2004 [pdf, 0.4 MB] PICES-IFEP Workshop on "In-situ iron enrichment experiments in the eastern and western subarctic Pacific" [pdf, 1.4 MB] Canadian SOLAS/PICES-IFEP session on "Response of the upper ocean to meso-scale iron enrichment" [pdf, 0.3 MB] Fisheries and ecosystem responses to recent regime shifts [pdf, 0.8 MB] PICES Interns [pdf, 0.8 MB] Did a regime shift occur in 1998 around Japan?- Highlights from a symposium addressing this question [pdf, 0.8 MB] The Global Ocean Carbon Observing System - Connecting national programs and regional networks [pdf, 1.7 MB] The North Pacific Ecosystem Metadatabase [pdf, 1.2 MB] International GLOBEC Symposium on "Climate variability and Sub-Arctic marine ecosystems" [pdf, 0.2 MB] PICES Calendar [pdf, 0.2 MB] PICES/GLOBEC Symposium on "Climate variability and ecosystem impacts on the North pacific: A basin-scale synthesis" [pdf, 0.2 MB]

PICES Press, Vol. 12, No. 1, January 2004

The state of PICES science - 2003 (pdf 281 KB) 2003 Wooster Award (pdf 764 KB) The state of the eastern North Pacific through summer 2003 (pdf 448 KB) The Bering Sea: Current status and recent events (pdf 951 KB) The state of the western North Pacific in the first half of 2003 (pdf 684 KB) The status of oceanic zooplankton in the eastern North Pacific (pdf 390 KB) The precautionary approach to the PDO (pdf 976 KB) Photo highlights of PICES XII (pdf 2.79 MB) William G. Pearcy: Renaissance oceanographer (pdf 2.86 MB) KORDI/PICES/CoML Workshop on "Variability and status of the Yellow Sea and East China Sea ecosystems (pdf 785 KB) PICES/IOC Workshop on "Harmful algal blooms - Harmonization of data" (pdf 330 KB) From physics to predators: Monitoring North Pacific ecosystem dynamics (pdf 270 KB) Toward a coast-wide network of Northeast Pacific coastal-ocean monitoring programs - a brief workshop report (pdf 640) PICES publications (pdf 103 KB) PICES calendar (pdf 45 KB)