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

Making the least active pay: a simulation of rewards and penalties under Demand Side Participation programs

The orthodox approach for incentivising Demand Side Participation (DSP) programs is that utility losses from capital, installation and planning costs should be recovered under financial incentive mechanisms which aim to ensure that utilities have the right incentives to implement DSP activities. The recent national smart metering roll-out in the UK implies that this approach needs to be reassessed since utilities will recover the capital costs associated with DSP technology through bills. This paper introduces a reward and penalty mechanism focusing on residential users. DSP planning costs are recovered through payments from those consumers who do not react to peak signals. Those consumers who do react are rewarded by paying lower bills. Because real-time incentives to residential consumers tend to fail due to the negligible amounts associated with net gains (and losses) or individual users, in the proposed mechanism the regulator determines benchmarks which are matched against responses to signals and caps the level of rewards/penalties to avoid market distortions. The paper presents an overview of existing financial incentive mechanisms for DSP; introduces the reward/penalty mechanism aimed at fostering DSP under the hypothesis of smart metering roll-out; considers the costs faced by utilities for DSP programs; assesses linear rate effects and value changes; introduces compensatory weights for those consumers who have physical or financial impediments; and shows findings based on simulation runs on three discrete levels of elasticity.

The effect of the molecular weight on the electro-optic properties of methacrylate-based side-chain liquid crystal polymers

A series of methacrylate-based side-chain liquid crystal polymers has been prepared with a range of molecular weights. For the high molecular weight polymers a smectic phase is observed with a very narrow nematic range; however, for low molecular weight polymers only the nematic phase is observed. A marked reduction in the glass transition temperature, TSN and TNI is observed with a reduction in the molecular weight. The orientational order parameters for these polymers in the liquid crystal phase have been determined using infra-red dichroism. It is found that the higher the molecular weight of the polymer, the greater is the threshold voltage of the electro-optic response and the lower the order parameter. The increase in the threshold voltage with increasing molecular weight may be related to the intrinsic curvature elasticity and hence to the coupling between the mesogenic units and the polymer backbone.

A wide-angle X-ray study of the development of molecular orientation in crosslinked natural rubber

Molecular orientation parameters have been measured for the non-crystalline component of crosslinked natural rubber samples deformed in uniaxial tension as a function of the extension ratio and of temperature. The orientation parapeters 〈P2(cosα)〉 and 〈P4(cosα)〉 were obtained by an analysis of the anisotropy of the wide-angle X-ray scattering functions. For the measurements made at high temperatures the level of crystallinity detected was negligible and the orientation-strain behaviour could be compared directly with the predictions of molecular models of rubber elasticity. The molecular orientation behaviour with strain was found to be at variance with the estimates of the affine model particularly at low and moderate strains. Extension of the crosslinked rubber at room temperature led to strain-crystallization and measurements of both the molecular orientation of the non-crystalline chains and the degree of crystallinity during extension and relaxation enabled the role of the crystallites in the deformation process to be considered in detail. The intrinsic birefringence of the non-crystalline component was estimated, through the use of the 〈P2(cosα)〉 values obtained from X-ray scattering measurements, to be 0.20±0.02.

Food marketing technology and contingency market valuation

Marketing activities are introduced into a rational expectations model of the food marketing system. The model is used to evaluate effects of alternative marketing technologies on the distribution of the benefits of contingency markets in agriculture. Benefits depend on two parameters: the cost share of farm inputs and the elasticity of substitution between farm and nonfarm inputs in food marketing. Over a broad spectrum of technologies, consumers are likely to be the net beneficiaries and farmers the net losers from the provision of contingency markets

A multiple error-correction model of housing supply

This paper considers supply dynamics in the context of the Irish residential market. The analysis, in a multiple error-correction framework, reveals that although developers did respond to disequilibrium in supply, the rate of adjustment was relatively slow. In contrast, however, disequilibrium in demand did not impact upon supply, suggesting that inelastic supply conditions could explain the prolonged nature of the boom in the Irish market. Increased elasticity in the later stages of the boom may have been a contributory factor in the extent of the house price falls observed in recent years.

Multivalency in healable supramolecular polymers: the effect of supramolecular cross-link density on the mechanical properties and healing of noncovalent polymer networks

Polymers with the ability to heal themselves could provide access to materials with extended lifetimes in a wide range of applications such as surface coatings, automotive components and aerospace composites. Here we describe the synthesis and characterisation of two novel, stimuli-responsive, supramolecular polymer blends based on π-electron-rich pyrenyl residues and π-electron-deficient, chain-folding aromatic diimides that interact through complementary π–π stacking interactions. Different degrees of supramolecular “cross-linking” were achieved by use of divalent or trivalent poly(ethylene glycol)-based polymers featuring pyrenyl end-groups, blended with a known diimide–ether copolymer. The mechanical properties of the resulting polymer blends revealed that higher degrees of supramolecular “cross-link density” yield materials with enhanced mechanical properties, such as increased tensile modulus, modulus of toughness, elasticity and yield point. After a number of break/heal cycles, these materials were found to retain the characteristics of the pristine polymer blend, and this new approach thus offers a simple route to mechanically robust yet healable materials.

Customer retention management in the recession

The purpose of this article is to explore customer retention strategies and tactics implemented by firms in recession. Our investigations show just how big a challenge many organizations face in their ability to manage customer retention effectively. While leading organizations have embedded real-time customer life cycle management, developed accurate early warning systems, price elasticity models and ‘deal calculators’, the organizations we spoke to have only gone as far as calculating the value at risk and building simple predictive models.

Physical properties of edible films based on cassava starch as affected by the plasticizer concentration

The aim of this work was to investigate the effect of glycerol contents on physical properties of cassava starch films. The films were prepared from film-forming solutions (FFS) with 2g cassava starch/100g water and 0, 15, 30 and 45g glycerol/100g starch, and were analysed to determine its mechanical properties by tensile tests, the glass-transition temperature (T-g) by differential scanning calorimetry (DSC) and the crystallinity by X-ray diffraction (XRD). The infrared spectra of the films were also recorded. The resistance values of the films decreased, while those of the elasticity increased with an increase in glycerol concentration due to the plasticizer effect of glycerol, which was also observed in DSC curves. The T-g of the films prepared decreased with the glycerol content. However, for samples with 30 and 45g glycerol/100g starch, two T-g curves were observed, probably due to a phase separation phenomenon. According to the XRD diffractograms, the films with 0 and 15gglycerol/100g starch presented an amorphous character, but some tendency to show crystalline peaks were observed for films with 30 and 45g glycerol/100g starch. The results obtained with Fourier transform infrared (FTIR) corroborated these observations. Copyright (C) 2007 John Wiley & Sons, Ltd.

Fibroelastic Components of the Vesicourethral Junction of Rats in the Aging Process

The vesicourethral junction comprising the vesical trigone, is relevant in setting and positioning of the urinary bladder, along with the vesical neck, fixed by lateral ligaments of the bladder and tendinous arch of the pelvis fascia. Namely, the puboprostatic ligament (men) and the pubovesical (women). The circular set elastic fibers in this junction are important and valuable in the elasticity and plasticity of the area, allowing quick expansion and withdrawal with the flow of urine, and associated to smooth muscle tissue and nerve control form an important collective to maintain urinary continence. The objective of the present study is to describe the elastic system in the vesicouretral junction in relation to aging and its involvement in the states of urinary continence and incontinence, as well as the study of the vesicouretral junction in various age groups while evaluating with electron transmission microscopy. To carry out the study, 12 Wistar rats were used, divided into groups: neonate (4 animals), adult group (4 animals) and aged group (4 animals). Electron transmission microscopy with use of tanic acid technique associated to glutaraldehyde fixation, satisfactorily showed the extreme structural differences between mature elaunin and oxytalan fibers present between intercelular spaces and bundles of collagen fibers. The phases of elastogenesis in neonate animals and degradation of the elastic system of older animals were also evaluated.

Numerical prediction of three-dimensional time-dependent viscoelastic extrudate swell using differential and algebraic models

This study investigates the numerical simulation of three-dimensional time-dependent viscoelastic free surface flows using the Upper-Convected Maxwell (UCM) constitutive equation and an algebraic explicit model. This investigation was carried out to develop a simplified approach that can be applied to the extrudate swell problem. The relevant physics of this flow phenomenon is discussed in the paper and an algebraic model to predict the extrudate swell problem is presented. It is based on an explicit algebraic representation of the non-Newtonian extra-stress through a kinematic tensor formed with the scaled dyadic product of the velocity field. The elasticity of the fluid is governed by a single transport equation for a scalar quantity which has dimension of strain rate. Mass and momentum conservations, and the constitutive equation (UCM and algebraic model) were solved by a three-dimensional time-dependent finite difference method. The free surface of the fluid was modeled using a marker-and-cell approach. The algebraic model was validated by comparing the numerical predictions with analytic solutions for pipe flow. In comparison with the classical UCM model, one advantage of this approach is that computational workload is substantially reduced: the UCM model employs six differential equations while the algebraic model uses only one. The results showed stable flows with very large extrudate growths beyond those usually obtained with standard differential viscoelastic models. (C) 2010 Elsevier Ltd. All rights reserved.

Electrostatic Interactions Are Not Sufficient to Account for Chitosan Bioactivity

Recent studies involving chitosan interacting with phospholipid monolayers that mimic cell membranes have brought molecular-level evidence for some of the physiological actions of chitosan, as in removing a protein from the membrane. This interaction has been proven to be primarily of electrostatic origin because of the positive charge OF chitosan in low pH solutions, but indirect evidence has also appeared of the presence of hydrophobic interactions. In this study, we provide definitive proof that model membranes are not affected merely by the charges in the amine groups of chitosan. Such a proof was obtained by comparing surface pressure and surface potential isotherms of dipalmitoyl phosphatidyl choline (DPPC) and dipalmitoyl phosphatidyl glycerol (DPPG) monolayers incorporating either chitosan or poly(allylamine hydrochloride) (PAH). As the latter is also positively charged and With the same charged Functional group as chitosan, similar effects should be observed in case the electrical charge was the only relevant parameter. Instead, we observed a large expansion in the surface pressure isotherms upon interaction with chitosan, whereas PAH had much smaller effects. Of particular relevance for biological implications, chitosan considerably reduced the monolayer elasticity, whereas PAH had almost no effect. it is clear therefore that chitosan action depends strongly either on its functional uncharged groups and/or on its specific conformation in solution.

The interaction of an antiparasitic peptide active against African Sleeping Sickness with cell membrane models

Zwitterionic peptides with trypanocidal activity are promising lead compounds for the treatment of African Sleeping Sickness, and have motivated research into the design of compounds capable of disrupting the protozoan membrane. In this study, we use the Langmuir monolayer technique to investigate the surface properties of an antiparasitic peptide, namely S-(2,4-dinitrophenyl)glutathione di-2-propyl ester, and its interaction with a model membrane comprising a phospholipid monolayer. The drug formed stable Langmuir monolayers. whose main feature was a phase transition accompanied by a negative surface elasticity. This was attributed to aggregation upon compression due to intermolecular bond associations of the molecules, inferred from surface pressure and surface potential isotherms. Brewster angle microscopy (BAM) images, infrared spectroscopy and dynamic elasticity measurements. When co-spread with dipalmitoyl phosphatidyl choline (DPPC). the drug affected both the surface pressure and the monolayer morphology, even at high surface pressures and with low amounts of the drug. The results were interpreted by assuming a repulsive, cooperative interaction between the drug and DPPC molecules. Such repulsive interaction and the large changes in fluidity arising from drug aggregation may be related to the disruption of the membrane, which is key for the parasite killing property. (C) 2009 Elsevier B.V. All rights reserved.

Interaction of polysaccharide-protein complex from Agaricus blazei with Langmuir and Langmuir-Blodgett films of phospholipids

The use of natural substances in health applications may be hampered by the difficulties in establishing the mechanisms of action, especially at molecular-level. The protein-polysaccharide complex extracted from the mushroom Agaricus blazei Murill, referred to as CAb, has been considered for treating various diseases with probable interaction with cell membranes. In this study, we investigate the interaction between CAb and a cell membrane model represented by a Langmuir monolayer of dimyristoyl phosphatidic acid (DMPA). CAb affects the structural properties of DMPA monolayers causing expansion and increasing compressibility. In addition, interaction with DMPA polar heads led to neutralization of the electrical double layer, yielding a zero surface potential at large areas per molecule. CAb remained at the interface even at high surface pressures, which allowed transfer of Langmuir-Blodgett (LB) films onto solid supports with the CAb-DMPA mixture. The mass transferred, according to quartz crystal microbalance (QCM) measurements, increased linearly with the number of deposited layers. With UV-vis absorption, fluorescence and FTIR spectroscopies, we confirmed that the LB films contain polysaccharides, proteins and DMPA. Therefore, the CAb biological action must be attributed not only to polysaccharides but also to proteins in the complex. (C) 2008 Elsevier Inc. All rights reserved.

Interaction of horseradish peroxidase with Langmuir monolayers of phospholipids

The method employed to incorporate guest molecules onto phospholipid Langmuir monolayers plays an important role in the interaction between the monolayer and the guest molecules. In this paper, we show that for the interaction between horseradish peroxidase (HRP) and a monolayer of dipalmitoylphosphatidylglycerol (DPPG) does depend on the method of HRP incorporation. The surface pressure isotherms of the mixed DPPG/HRP monolayers, for instance, were less expanded when the two materials were co-spread than in the case where HRP was injected into the subphase. Therefore, the method for incorporation affected not only the penetration of HRP but also the changes in molecular packing caused to the DPPG monolayer. With experiments with the monolayer on a pendant drop, we observed that the incorporation of HRP affects the dynamic elasticity of the DPPG monolayer, on a way that varies with the surface pressure. At low pressures, HRP causes the monolayer to be more rigid, while the converse is true for surface pressures above 8 mN/m. Taken all the results together, we conclude that HRP is more efficiently incorporated if injected into the subphase on which a DPPG monolayer had been spread and that the interaction between HRP and DPPG is maintained even at high surface pressures. This is promising for the possible transfer of mixed films onto solid substrates and for applications in biosensors and drug delivery systems. (c) 2008 Elsevier B.V. All rights reserved.