Evaluating the Predictability of the Volatility Smile Using Return Distributions

In this paper, we examine the predictability of observed volatility smiles in three major European index options markets, utilising the historical return distributions of the respective underlying assets. The analysis involves an application of the Black (1976) pricing model adjusted in accordance with the Jarrow-Rudd methodology as proposed in 1982. Thereby we adjust the expected future returns for the third and fourth central moments as these represent deviations from normality in the distributions of observed returns. Thus, they are considered one possible explanation to the existence of the smile. The obtained results indicate that the inclusion of the higher moments in the pricing model to some extent reduces the volatility smile, compared with the unadjusted Black-76 model. However, as the smile is partly a function of supply, demand, and liquidity, and as such intricate to model, this modification does not appear sufficient to fully capture the characteristics of the smile.

Stress induced phase transition in monomolecular perfluroalkylsilane film self assembled on aluminium surface

We control the stiffnesses of two dual double cantelevers placed in series to control penetration into a perflurooctyltrichlorosilane monolayer self assembled on aluminium and silicon substrates. The top cantilever which carries the probe is displaced with respect to the bottom cantilever which carries the substrate, the difference in displacement recorded using capacitors gives penetration. We further modulate the input displacement sinusoidally to deconvolute the viscoelastic properties of the monolayer. When the intervention is limited to the terminal end of the molecule there is a strong viscous response in consonance with the ability of the molecule to dissipate energy by the generation of gauche defects freely. When the intervention reaches the backbone, at a contact mean pressure of 0.2GPa the damping disappears abruptly and the molecule registers a steep rise in elastic modulus and relaxation time constant, with increasing contact pressure. We offer a physical explanation of the process and describe this change as due to a phase transition from a liquid like to a solid like state.

M.tuberculosis Pantothenate Kinase: Dual Substrate Specificity and Unusual Changes in Ligand Locations

Kinetic measurements of enzyme activity indicate that type I pantothenate kinase from Mycobacterium tuberculosis has dual substrate specificity for ATP and GTP, unlike the enzyme from Escherichia coli, which shows a higher specificity for ATP. A molecular explanation for the difference in the specificities of the two homologous enzymes is provided by the crystal structures of the complexes of the M. tuberculosis enzyme with (1) GMPPCP and pantothenate, (2) GDP and phosphopantothenate, (3) GDP, (4) GDP and pantothenate, (5) AMPPCP, and (6) GMPPCP, reported here, and the structures of the complexes of the two enzymes involving coenzyme A and different adenyl nucleotides reported earlier. The explanation is substantially based on two critical substitutions in the amino acid sequence and the local conformational change resulting from them. The structures also provide a rationale for the movement of ligands during the action of the mycobacterial enzyme. Dual specificity of the type exhibited by this enzyme is rare. The change in locations of ligands during action,observed in the case of the M. tuberculosis enzyme, is unusual, so is the striking difference between two homologous enzymes in the geometryof the binding site, locations of ligands, and specificity. Furthermore, the dual specificity of the mycobacterial enzyme appears to have been caused by a biological necessity. (C) 2010 Elsevier Ltd.All rights reserved.

Exotic dielectric behavior of polar liquids

We present a report of our analysis of wave vector dependence of the static dielectric function of a dipolar liquid obtained by a microscopic calculation. At low values of the wave vector (k), the longitudinal dielectric function ϵ(k) increases with k, in contradiction to some assumptions reported in the literature. As the value of k is increased, ϵ(k) diverges at a critical value kc which depends on the value of the long wavelength static dielectric constant (ϵ0) of the liquid. The dielectric function is negative for values of k greater than kc. At large values of k, the calculated ϵ(k) fails to attain the limiting value of unity. We attribute this result to the failure of the point dipole assumption made in the evaluation of the polarization correlation function required by the theory. The behavior of ϵ(k) for the dipolar liquid is compared with that of one component plasma for which reliable results can be obtained over the full range of wave vectors. For both systems, the stability conditions are fulfilled at all values of k. A plausible explanation of this rather exotic behavior of ϵ(k) is given.

Computer modelling approach to study the modes of binding of alpha- and beta-anomers of D-galactose, D-fucose and D-glucose to L-arabinose-binding protein

The modes of binding of alpha- and beta-anomers of D-galactose, D-fucose and D-glucose to L-arabinose-binding protein (ABP) have been studied by energy minimization using the low resolution (2.4 A) X-ray data of the protein. These studies suggest that these sugars preferentially bind in the alpha-form to ABP, unlike L-arabinose where both alpha- and beta-anomers bind almost equally. The best modes of binding of alpha- and beta-anomers of D-galactose and D-fucose differ slightly in the nature of the possible hydrogen bonds with the protein. The residues Arg 151 and Asn 232 of ABP from bidentate hydrogen bonds with both L-arabinose and D-galactose, but not with D-fucose or D-glucose. However in the case of L-arabinose, Arg 151 forms hydrogen bonds with the hydroxyl group at the C-4 atom and the ring oxygen, whereas in case of D-galactose it forms bonds with the hydroxyl groups at the C-4 and C-6 atoms of the pyranose ring. The calculated conformational energies also predict that D-galactose is a better inhibitor than D-fucose and D-glucose, in agreement with kinetic studies. The weak inhibitor D-glucose binds preferentially to one domain of ABP leading to the formation of a weaker complex. Thus these studies provide information about the most probable binding modes of these sugars and also provide a theoretical explanation for the observed differences in their binding affinities.

Steric effects on the ultraviolet absorption of 1,2-enedioic and related systems

1,2-Enedioic systems, being sterically perturbed from planarity do not show the effect of the extended conjugation expected of a (formal) trienic entity. In the absence of a model which approximates to a uniplanar situation, the strategy of replacing an ester group in the enedioates by a cyano (for which less stringent steric demand may be presumed) and noting the correction concomitant to this replacement was adopted to arrive at a notional figure for the position of maximal absorption in the planar enedioates. From this the conclusion, subject to substantiation by molecular mechanical or quantum chemical calculations, was drawn that even the E-isomeric and comparatively less substituted enedioates are highly sterically perturbed. An alternative to an earlier explanation of the bathochromic shift of absorption maxima encountered in the 5-cyclic ene-ester and ene-nitrile, relative to the 6-cyclic analogues (observed also with the enedioates and cyanovinyl ester systems), seen later to have been based on unwarranted premises, has been advanced. A comment on the absorption characteristics of enedioic anhydrides has been appended.

Geometric quantum computation using fictitious spin-1/2 subspaces of strongly dipolar coupled nuclear spins

Geometric phases have been used in NMR to implement controlled phase shift gates for quantum-information processing, only in weakly coupled systems in which the individual spins can be identified as qubits. In this work, we implement controlled phase shift gates in strongly coupled systems by using nonadiabatic geometric phases, obtained by evolving the magnetization of fictitious spin-1/2 subspaces, over a closed loop on the Bloch sphere. The dynamical phase accumulated during the evolution of the subspaces is refocused by a spin echo pulse sequence and by setting the delay of transition selective pulses such that the evolution under the homonuclear coupling makes a complete 2 pi rotation. A detailed theoretical explanation of nonadiabatic geometric phases in NMR is given by using single transition operators. Controlled phase shift gates, two qubit Deutsch-Jozsa algorithm, and parity algorithm in a qubit-qutrit system have been implemented in various strongly dipolar coupled systems obtained by orienting the molecules in liquid crystal media.

Study on the Growth of Nb3Sn Superconductor in Cu(Sn)/Nb Diffusion Couple

Nb3Sn growth following the bronze technique, (i.e. by interdiffusion between Cu(Sn) alloy (bronze) and Nb) is one of the important methodologies to produce this superconductor. In this study, we have addressed the confusion over the growth rate of the Nb3Sn phase. Furthermore, a possible explanation for the corrugated layer in the multifilamentary structure is discussed. Kirkendall marker experiments were conducted to study the relative mobilities of the species, which also explained the reason for finding pores in the product phase layer. Based on the parabolic growth constant at different temperatures, the activation energy for the growth is determined. We have further explained the dramatic increase in the growth rate of the prod

The Impact of FDI on International Portfolio Investments

Some empirical research has argued that part of the reason for the observed "home bias" is that investors are able to indirectly achieve internationally diversified portfolios via domestically listed multinational firms. Another branch of this research attributes the "home bias" and country allocations to more deeply rooted informational causes. Using a four-year annual panel of Finnish international portfolios and Foreign Direct Investments in twenty-five countries, I provide evidence consistent with an information asymmetry explanation

Uniparental DNA markers and forensic genetics in Finland

Over the years, a wide range of methods to verify identity have been developed. Molecular markers have been used for identification since the 1920s, commencing with blood types and culminating with the advent of DNA techniques in the 1980s. Identification is required by authorities in many occasions, e.g. in disputed paternity cases, identification of deceased, or crime investigation. To clarify maternal and paternal lineages, uniparental DNA markers in mtDNA and Y-chromosome can be utilized. These markers have several advantages: male specific Y-chromosome can be used to identify a male from a mixture of male and female cells, e.g. in rape cases. MtDNA is durable and has a high copy number, allowing analyses even from old or degraded samples. However, both markers are lineage-specific, not individualizing, and susceptible to genetic drift. Prior to the application of any DNA marker in forensic casework, it is of utmost importance to investigate its qualities and peculiarities in the target population. Earlier studies on the Finnish population have shown reduced variation in the Y-chromosome, but in mtDNA results have been ambiguous. The obtained results confirmed the low diversity in Y-chromosome in Finland. Detailed population analysis revealed large regional differences, and extremely reduced diversity especially in East Finland. Analysis of the qualities affecting Y-chromosomal short tandem repeat (Y-STR) variation and mutation frequencies, and search of new polymorphic markers resulted a set of Y-STRs with especially high diversity in Finland. Contrary to Y-chromosome, neither reduced diversity nor regional differences were found in mtDNA within Finland. In fact, mtDNA diversity was found similar to other European populations. The revealed peculiarities in the uniparental markers are a legacy of the Finnish population history. The obtained results challenge the traditional explanation which emphasizes relatively recent founder effects creating the observed east-west patterns. Uniparentally inherited markers, both mtDNA and Y-chromosome, are applicable for identification purposes in Finland. By adjusting the analysed Y marker set to meet the characteristics of Finnish population, Y-chromosomal diversity increases and the regional differentiation decreases, resulting increase in discrimination power and thus usefulness of Y-chromosomal analysis in forensic casework.

Many Faces of Mao Zedong

The main aim of this work was to explore the use of Mao Zedong s (毛泽东, 1893—1976) visual image in contemporary Chinese art during the years 1976—2006. Chairman Mao is the most visually reproduced person in the People's Republic of China (PRC), and the presence of his image is still unquestionable at many levels. Although several scholars have provided insightful observations on this topic, research focusing on Mao's visual image has been neglected. Employing the interdisciplinary approach of visual studies and using image as the main concept, this research combines different theoretical frameworks, deriving from art history, image studies and social sciences, for each chapter in order to explain the origins, intentions and major strategies of the contemporary Chinese artists. The focus of this research was to elucidate how Mao's visual image, deriving from the Maoist era, is re-created and negotiated in contemporary Chinese art works. The material reproductions - the visual images in contemporary art - are created to be juxtaposed with the immaterial mental images of Mao that were created during the Maoist era through the original visual images of Mao. This complex interaction between visual and mental images is further exemplified by art works that do not include Mao's visual image, but still imply his mental image. The methods used derive from both sinology and art history. The research is based on extensive fieldwork in China, which was crucial for gathering new information and materials from this vigorous art scene. The topic is approached through a Chinese cultural, political and historical perspective that is necessary for a further understanding of how the original visual images of Mao obtained their omnipotent status and what kind of iconography was created. Close structural analysis, taking into account the format, style, techniques, composition, colors, materials and space used in the art works, is employed to demonstrate the great variety of visual images created. The analysis is further placed in a continuous dialogue both with the contemporary art works of Mao and with the original visual images of Mao from the past. In this study it is shown that contemporary Chinese art relating to Chairman Mao is a more versatile and multilayered phenomenon than is generally assumed. Although some of the art works seem to fit into the definition of superficial art, the study demonstrates that this reading of the art works is not adequate. The author argues that employing Mao's visual images in contemporary Chinese art is based on three main strategies used by artists: to create a visual dialogue with a traumatizing past, to employ transcontextual parody, and to explore the importance of Tian'anmen through site-dependent art. These strategies are not exclusionary, but instead interdependent and many art works employ more than one of them. In addition, these three main strategies include versatile methods used by artists that make the use of Mao's visual images even more multifaceted.

Polypeptide models of collagen. II. Solution properties of (Pro-Gly-Phe)n

The conformation of (Pro-Gly-Phe)n in trifluoroethanol was investigated using CD, nmr and ir techniques. After making appropriate correction for the contribution of the phenylalanine chromophore to the observed CD spectra of the polytripeptide at several temperatures, it is found that (Pro-Gly-Phe)n can exist in a partially triple-helical conformation in this solvent a t low temperatures. The nmr and ir data support this conclusion. In conjunction with recent theoretical sutdies, our data offer an explanation for the preferential occurrence of the Phe residue in position 2 of the tripeptide sequence Gly-R2-R3, in collagen.

Monikasvoinen TAVA-partisiippi : Tutkimus suomen TAVA-partisiipin käyttökonteksteista ja verbiliittojen kieliopillistumisesta

The multifaceted passive present participle in Finnish This study investigates the uses of the passive present participle in Finnish. The participle occurs in a variety of syntactic environments and exhibits a rich polysemy. Former descriptions have treated it as a mainly modal element, but it has several non-modal uses as well. The present study provides an overview of its uses and meanings, with the main focus on the factors which trigger the modal reading. In addition, the study contains two case studies on modal periphrastic constructions consisting of the verb 'to be' and the present passive participle, the Obligation construction, e.g., on men-tä-vä [is go-pass-ptc], and the Possiblity construction, e.g., on pelaste-tta-v-i-ssa [is save-pass-ptc-pl-ine]. The study is based on empirical data of 9000 sentences obtained from i) large collections of transcribed material from Finnish dialects, ii) a corpus of modern Finnish newspaper texts, iii) corpora of Old Finnish texts. Both in colloquial and standard Finnish the reading of the participle is highly dependent of the context and determined by such factors as the overall syntactic environment and other co-occurring elements. One of the main findings here is that the Finnish passive present participle is not modal per se. The contextual modal reading arises whenever the state of affairs is conceptualized from the viewpoint of the implied subject of the participle, and the meaning of possibility or obligation depends mostly on whether the situation is pleasant or undesirable. In sections examining the grammaticalization of the Possibility and Obligation constructions, the perspective is diachronic. Both constructions have derived from copula constructions with the passive present participle as a predicate (adjective or adverb). These sections show how a linguistic change can be investigated on the basis of the patterns of usage in the empirical data. The Possibility construction is currently going through a restructuration to a passive verbal complex. The source of this construction is reflected in its present-day use by the fact that it heavily biased towards a small set of verbs. The Obligation construction has grammaticalized to a construction comparable to a compound tense. Patterns of use of the construction show that grammaticalization originates in specific syntactic constructions with an implication of practical necessity. Furthermore, it is shown that the Obligation construction has grammaticalized in different directions in standard and colloquial Finnish. Differing from the study on most typical phenomena investigated in the literature on grammaticalization of modality, the present study opens new perspectives and methods for discussion on these questions.

Structural studies of analgesics and their interactions. XII. Structure and interactions of anti-inflammatory fenamates. A concerted crystallographic and theoretical conformational study

A theoretical conformational analysis of fenamates, which are N-arylated derivatives of anthranilic acid or 2-aminonicotinic acid with different substituents on the aryl (phenyl) group, is reported. The analysis of these analgesics, which are believed to act through the inhibition of prostaglandin biosynthesis, was carried out using semi-empirical potential functions. The results and available crystallographic observations have been critically examined in terms of their relevance to drug action. Crystallographic studies of these drugs and their complexes have revealed that the fenamate molecules share a striking invariant feature, namely, the sixmembered ring bearing the carboxyl group is coplanar with the carboxyl group and the bridging imino group,the coplanarity being stabilized by resonance interactions and an internal hydrogen bond between the imino and carboxyl groups. The results of the theoretical analysis provide a conformational rationale for the observed invariant coplanarity. The second sixmembered ring, which provides hydrophobicity in a substantial part of the molecule, has limited conformational flexibility in meclofenamic, mefenamic and flufenamic acids. Comparison of the conformational energy maps of these acids shows that they could all assume the same conformation when bound to the relevant enzyme. The present study provides a structural explanation for the difference in the activity of niflumic acid, which can assume a conformation in which the whole molecule is nearly planar. The main role of the carboxyl group appears to be to provide a site for intermolecular interactions in addition to helping in stabilizing the invariant coplanar feature and providing hydrophilicity at one end of the molecule. The fenamates thus provide a good example of conformation- dependent molecular asymmetry.

From Habits to Social Structures : Pragmatism and Contemporary Social Theory

Pragmatism has sometimes been taken as a catchphrase for epistemological stances in which anything goes. However, other authors argue that the real novelty and contribution of this tradition has to do with its view of action as the context in which all things human take place. Thus, it is action rather than, for example, discourses that should be our starting point in social theory. The introductory section of the book situates pragmatism (especially the ideas of G. H. Mead and John Dewey) within the field and tradition of social theory. This introductory also contextualizes the main core of the book which consists of four chapters. Two of these chapters have been published as articles in scientific journals and one in an edited book. All of them discuss the core problem of social theory: how is action related to social structures (and vice versa)? The argument is that habitual action is the explanation for the emergence of social structures from our action. Action produces structures and social reproduction takes place when action is habitualized; that is, when we develop social dispositions to act in a certain manner in familiar environments. This also means that even though the physical environment is the same for all of us, our habits structure it into different kinds of action possibilities. Each chapter highlights these general insights from different angles. Practice theory has gained momentum in recent years and it has many commonalities with pragmatism because both highlight the situated and corporeal character of human activity. One famous proponent of practice theory is Margaret Archer who has argued that the pragmatism of G. H. Mead leads to an oversocialized conception of selfhood. Mead does indeed present a socialized view of selfhood but this is a meta-sociological argument rather than a substantial sociological claim. Accordingly, one can argue that in this general sense intersubjectivity precedes subjectivity and not the other way around. Such a view does not indicate that our social relation would necessarily "colonize" individual action because there is a place for internal conversations (in Archer s terminology); it is especially in those phases of action where it meets obstacles due to the changes of the environment. The second issue discussed has the background assumption that social structures can fruitfully be conceptualized as institutions. A general classification of different institution theories is presented and it is argued that there is a need for a habitual theory of institutions due to the problems associated with these other theories. So-called habitual institutionalism accounts for institutions in terms of established and prevalent social dispositions that structure our social interactions. The germs of this institution theory can be found in the work of Thorstein Veblen. Since Veblen s times, these ideas have been discussed for example, by the economist Geoffrey M. Hodgson. His ideas on the evolution of institutions are presented but a critical stance is taken towards his tendency of defining institutions with the help of rules because rules are not always present in institutions. Accordingly, habitual action is the most basic but by no means the only aspect of institutional reproduction. The third chapter deals with theme of action and structures in the context of Pierre Bourdieu s thought. Bourdieu s term habitus refers to a system of dispositions which structure social fields. It is argued that habits come close to the concept of habitus in the sense that the latter consists of particular kinds of habits; those that are related to the reproduction of socioeconomic positions. Habits are thus constituents of a general theory of societal reproduction whereas habitus is a systematic combination of socioeconomic habits. The fourth theme relates to issues of social change and development. The capabilities approach has been associated with the name of Amartya Sen, for example, and it underscores problems inhering in economistic ways of evaluating social development. However, Sen s argument has some theoretical problems. For example, his theory cannot adequately confront the problem of relativism. In addition, Sen s discussion lacks also a theory of the role of the public. With the help of arguments derived from pragmatism, one gets an action-based, socially constituted view of freedom in which the role of the public is essential. In general, it is argued that a socially constituted view of agency does not necessarily to lead to pessimistic conclusions about the freedom of action.