Modelling the implied volatility of options on long gilt futures

This paper investigates the properties of implied volatility series calculated from options on Treasury bond futures, traded on LIFFE. We demonstrate that the use of near-maturity at the money options to calculate implied volatilities causes less mis-pricing and is therefore superior to, a weighted average measure encompassing all relevant options. We demonstrate that, whilst a set of macroeconomic variables has some predictive power for implied volatilities, we are not able to earn excess returns by trading on the basis of these predictions once we allow for typical investor transactions costs.

Determining the contribution of volcanic ash and boundary layer aerosol in backscatter lidar returns: a three‐component atmosphere approach

A solution of the lidar equation is discussed, that permits combining backscatter and depolarization measurements to quantitatively distinguish two different aerosol types with different depolarization properties. The method has been successfully applied to simultaneous observations of volcanic ash and boundary layer aerosol obtained in Exeter, United Kingdom, on 16 and 18 April 2010, permitting the contribution of the two aerosols to be quantified separately. First a subset of the atmospheric profiles is used where the two aerosol types belong to clearly distinguished layers, for the purpose of characterizing the ash in terms of lidar ratio and depolarization. These quantities are then used in a three‐component atmosphere solution scheme of the lidar equation applied to the full data set, in order to compute the optical properties of both aerosol types separately. On 16 April a thin ash layer, 100–400 m deep, is observed (average and maximum estimated ash optical depth: 0.11 and 0.2); it descends from ∼2800 to ∼1400 m altitude over a 6‐hour period. On 18 April a double ash layer, ∼400 m deep, is observed just above the morning boundary layer (average and maximum estimated ash optical depth: 0.19 and 0.27). In the afternoon the ash is entrained into the boundary layer, and the latter reaches a depth of ∼1800 m (average and maximum estimated ash optical depth: 0.1 and 0.15). An additional ash layer, with a very small optical depth, was observed on 18 April at an altitude of 3500–4000 m. By converting the lidar optical measurements using estimates of volcanic ash specific extinction, derived from other works, the observations seem to suggest approximate peak ash concentrations of ∼1500 and ∼1000 mg/m3,respectively, on the two observations dates.

A novel study of the polymerisation process involved in the formation of the network component of polymer-stabilised liquid crystals within electro-optic cells using high performance liquid chromatography

Polymer-stabilised liquid crystals are systems in which a small amount of monomer is dissolved within a liquid crystalline host, and then polymerised in situ to produce a network. The progress of the polymerisation, performed within electro-optic cells, was studied by establishing an analytical method novel to these systems. Samples were prepared by photopolymerisation of the monomer under well-defined reaction conditions; subsequent immersion in acetone caused the host and any unreacted monomer to dissolve. High performance liquid chromatography was used to separate and detect the various solutes in the resulting solutions, enabling the amount of unreacted monomer for a given set of conditions to be quantified. Longer irradiations cause a decrease in the proportion of unreacted monomer since more network is formed, while a more uniform LC director alignment (achieved by decreasing the sample thickness) or a higher level of order (achieved by decreasing the polymerisation temperature) promotes faster reactions.

Eliminating the small-angle component of the scattering calculated for models

A straightforward procedure (assuming spherical symmetry) is described, which enables the unwanted small-angle component of the scattering for a finite model to be calculated. The method may be applied to models of any shape or size. It is illustrated by means of a single polymer chain.

Experimental separation of the coherent component of X-ray scattering prior to RDF analysis of non-crystalline polymers

An experimental method is described which enables the inelastically scattered X-ray component to be removed from diffractometer data prior to radial density function analysis. At each scattering angle an energy spectrum is generated from a Si(Li) detector combined with a multi-channel analyser from which the coherently scattered component is separated. The data obtained from organic polymers has an improved signal/noise ratio at high values of scattering angle, and a commensurate enhancement of resolution of the RDF at low r is demonstrated for the case of PMMA (ICI `Perspex'). The method obviates the need for the complicated correction for multiple scattering.

Volatility persistence and time-varying betas in the UK real estate market

This paper investigates the degree of return volatility persistence and the time-varying behaviour of systematic risk (beta) for 31 market segments in the UK real estate market. The findings suggest that different property types exhibit differences in volatility persistence and time variability. There is also evidence that the volatility persistence of each market segment and its systematic risk are significantly positively related. Thus, the systematic risks of different property types tend to move in different directions during periods of increased market volatility. Finally, the market segments with systematic risks less than one tend to show negative time variability, while market segments with systematic risk greater than one generally show positive time variability, indicating a positive relationship between the volatility of the market and the systematic risk of individual market segments. Consequently safer and riskier market segments are affected differently by increases in market volatility.

Constrained principal component analysis reveals functionally connected load-dependent networks involved in multiple stages of working memory

Constrained principal component analysis (CPCA) with a finite impulse response (FIR) basis set was used to reveal functionally connected networks and their temporal progression over a multistage verbal working memory trial in which memory load was varied. Four components were extracted, and all showed statistically significant sensitivity to the memory load manipulation. Additionally, two of the four components sustained this peak activity, both for approximately 3 s (Components 1 and 4). The functional networks that showed sustained activity were characterized by increased activations in the dorsal anterior cingulate cortex, right dorsolateral prefrontal cortex, and left supramarginal gyrus, and decreased activations in the primary auditory cortex and "default network" regions. The functional networks that did not show sustained activity were instead dominated by increased activation in occipital cortex, dorsal anterior cingulate cortex, sensori-motor cortical regions, and superior parietal cortex. The response shapes suggest that although all four components appear to be invoked at encoding, the two sustained-peak components are likely to be additionally involved in the delay period. Our investigation provides a unique view of the contributions made by a network of brain regions over the course of a multiple-stage working memory trial.

Effects of oxidised low density lipoprotein on dendritic cells: a possible immunoregulatory component of the atherogenic micro-environment?

Objective: The objective of this study was to explore the relationship between low density lipoprotein (LDL) and dendritic cell (DC) activation, based upon the hypothesis that reactive oxygen species (ROS)-mediated modification of proteins that may be present in local DC microenvironments could be important as mediators of this activation. Although LDL are known to be oxidised in vivo, and taken up by macrophages during atherogenesis; their effect on DC has not been explored previously. Methods: Human DCs were prepared from peripheral blood monocytes using GM-CSF and IL-4. Plasma LDLs were isolated by sequential gradient centrifugation, oxidised in CuSO4, and oxidation arrested to yield mild, moderate and highly oxidised LDL forms. DCs exposed to these LDLs were investigated using combined phenotypic, functional (autologous T cell activation), morphological and viability assays. Results: Highly-oxidised LDL increased DC HLA-DR, CD40 and CD86 expression, corroborated by increased DC-induced T cell proliferation. Both native and oxidised LDL induced prominent DC clustering. However, high concentrations of highly-oxidised LDL inhibited DC function, due to increased DC apoptosis. Conclusions: This study supports the hypothesis that oxidised LDL are capable of triggering the transition from sentinel to messenger DC. Furthermore, the DC clustering–activation–apoptosis sequence in the presence of different LDL forms is consistent with a regulatory DC role in immunopathogenesis of atheroma. A sequence of initial accumulation of DC, increasing LDL oxidation, and DC-induced T cell activation, may explain why local breach of tolerance can occur. Above a threshold level, however, supervening DC apoptosis limits this, contributing instead to the central plaque core.

Genetic variability in partitioning to the yield component of cacao (Theobroma cacao L.)

Biomass partitioning of cacao (Theobroma cacao L.) was studied in seven clones and five hybrids in a replicated experiment in Bahia, Brazil. Over an eighteen month period, a seven- fold difference in dry bean yield was demonstrated between genotypes, ranging from the equivalent of 200 to 1389 kg.ha-1. During the same interval, the increase in trunk cross-sectional area ranged from 11.1 cm2 for clone EEG-29 to 27.6 cm2 for hybrid PA-150 * MA-15. Yield efficiency increment (the ratio of cumulative yield to the increase in trunk circumference), which indicated partitioning between the vegetative and reproductive components, ranged from 0.008 kg.cm-2 for clone CP-82 to 0.08 kg.cm-2 for clone EEG-29. An examination of biomass partitioning within the pod of the seven clones revealed that the beans accounted for between 32.0% (CP-82) and 44.5% (ICS-9) of the pod biomass. The study demonstrated the potential for yield improvement in cacao by selectively breeding for more efficient partitioning to the yield component.

Futures basis, inventory and commodity price volatility: an empirical analysis

We employ a large dataset of physical inventory data on 21 different commodities for the period 1993–2011 to empirically analyze the behavior of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between inventory and the shape of the forward curve. Low (high) inventory is associated with forward curves in backwardation (contango), as the theory of storage predicts. Second, we show that price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect is more pronounced in backwardated markets. Our findings are robust with respect to alternative inventory measures and over the recent commodity price boom.

Role of the two-component regulator CpxAR in the virulence of Salmonella entetica serotype typhimurium

The CpxAR (Cpx) two-component regulator controls the expression of genes in response to a variety of environmental cues. The Cpx regulator has been implicated in the virulence of several gram-negative pathogens, although a role for Cpx in vivo has not been demonstrated directly. Here we investigate whether positive or negative control of gene expression by Cpx is important for the pathogenesis of Salmonella enterica serotype Typhimurium. The Cpx signal pathway in serotype Typhimurium was disrupted by insertional inactivation of the cpxA and cpxR genes. We also constitutively activated the Cpx pathway by making an internal in-frame deletion in cpxA (a cpxA* mutation). Activation of the Cpx pathway inhibited induction of the envelope stress response pathway controlled by the alternative sigma factor sigma(E) (encoded by rpoE). Conversely, the Cpx pathway was highly up-regulated (>40-fold) in a serotype Typhimurium rpoE mutant. The cpxA* mutation, but not the cpxA or the cpxR mutation, significantly reduced the capacity of serotype Typhimurium to adhere to and invade eucaryotic cells, although intracellular replication was not affected. The cpxA and cpxA* mutations significantly impaired the ability of serotype Typhimurium to grow in vivo in mice. To our knowledge, this is the first demonstration that the Cpx system is important for a bacterial pathogen in vivo.

Incorporation of a physically based melt pond scheme into the sea ice component of a climate model

The extent and thickness of the Arctic sea ice cover has decreased dramatically in the past few decades with minima in sea ice extent in September 2005 and 2007. These minima have not been predicted in the IPCC AR4 report, suggesting that the sea ice component of climate models should more realistically represent the processes controlling the sea ice mass balance. One of the processes poorly represented in sea ice models is the formation and evolution of melt ponds. Melt ponds accumulate on the surface of sea ice from snow and sea ice melt and their presence reduces the albedo of the ice cover, leading to further melt. Toward the end of the melt season, melt ponds cover up to 50% of the sea ice surface. We have developed a melt pond evolution theory. Here, we have incorporated this melt pond theory into the Los Alamos CICE sea ice model, which has required us to include the refreezing of melt ponds. We present results showing that the presence, or otherwise, of a representation of melt ponds has a significant effect on the predicted sea ice thickness and extent. We also present a sensitivity study to uncertainty in the sea ice permeability, number of thickness categories in the model representation, meltwater redistribution scheme, and pond albedo. We conclude with a recommendation that our melt pond scheme is included in sea ice models, and the number of thickness categories should be increased and concentrated at lower thicknesses.

One-pot three component reaction involving cyclohexyl isocyanide for the synthesis of furo[3,4-b]chromenes

On stirring an equimolar mixture of 4-oxo-4H-chromene-3-carbaldehyde, ninhydrin and cyclohexyl isocyanide in CH(2)Cl(2)-MeOH (7: 1) at room temperature produces 3-cyclohexylimino-1-(2-hydroxy-1,3-dioxo-2,3-dihydro-1H-inden-2-yl)-1,3-dihydro-9H-furo[3,4-b]chromen-9-one which on hydrolysis produces 1-(2-hydroxy-1,3-dioxo-2,3-dihydro-1H-inden-2-yl)-1H-furo[3,4-b]chromene-3,9-dione. The structure of the latter compound was confirmed by single crystal X-ray diffraction