A simplified pricing model for volatility futures

We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox–Ingersoll–Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the actual futures price for almost all futures maturities. We show that although jumps are present in the data, the models with jumps do not typically outperform the others; in particular, we demonstrate the important benefits of the CEV feature in pricing futures contracts. We conclude by examining errors in the model relative to the VIX characteristics

Missing the logic of the text: Lord Butler’s report on intelligence on Iraqi weapons of mass destruction

This article focuses on the final report of Lord Butler’s review of British intelligence on weapons of mass destruction (WMD), specifically on its treatment of the accuracy of the use of intelligence on Iraqi WMD in a government dossier published in September 2002 ahead of the 2003 Iraq war. In the report, the demonstration of the accuracy of the “September Dossier” hinges on the insertion of tables that compare side-by-side quotations from this document and from intelligence assessments. The analysis of the textual and visual methods by which the report is written reveals how the logic of the comparative tables is missed in the Butler report: the logic of these tables requires that the comparison between quotations from the two documents should be performed at the level of their details but the Butler report performs its comparison only at a broad and general level.

A simplified, high-yield synthesis, and crystal structure of [tris{bis(2,4,6-triisopropylphenyl)tin}]

The species [{Sn(C2H2iPr3-2,4,6)2}3] has been obtained in a simple, essentially quantitative, synthesis from SnCl2 and ArLi in diethyl ether at low temperature. The crystal structure analysis confirms the trimeric nature of the molecular units but reveals some unusual features. The crystal contains the unusual feature of an asymmetric unit that consists of three units of [{SnAr2}3] in P21/c; the molecular unit is a scalene triangle, showing high consistency between the three molecules, in contrast to analogous trimeric species of silicon or germanium. The SnSn bonds are lengthened (average value 2.942 Å) owing to steric crowding.