On the efficacy of Fourier series approximations for pricing European options

This paper investigates several competing procedures for computing the prices of vanilla European options, such as puts, calls and binaries, in which the underlying model has a characteristic function that is known in semi-closed form. The algorithms investigated here are the half-range Fourier cosine series, the half-range Fourier sine series and the full-range Fourier series. Their performance is assessed in simulation experiments in which an analytical solution is available and also for a simple affine model of stochastic volatility in which there is no closed-form solution. The results suggest that the half-range sine series approximation is the least effective of the three proposed algorithms. It is rather more difficult to distinguish between the performance of the halfrange cosine series and the full-range Fourier series. However there are two clear differences. First, when the interval over which the density is approximated is relatively large, the full-range Fourier series is at least as good as the half-range Fourier cosine series, and outperforms the latter in pricing out-of-the-money call options, in particular with maturities of three months or less. Second, the computational time required by the half-range Fourier cosine series is uniformly longer than that required by the full-range Fourier series for an interval of fixed length. Taken together,these two conclusions make a case for pricing options using a full-range range Fourier series as opposed to a half-range Fourier cosine series if a large number of options are to be priced in as short a time as possible.

A controlled trial comparing the efficacy of rice-based and hypotonic glucose oral rehydration solutions in infants and young children with gastroenteritis

A prospective randomized trial was conducted to compare the efficacy of a rice-based oral rehydration solution (ORS) with glucose ORS in infants and children under 5 years of age with acute diarrhoea and mild to moderate dehydration (<10%). One hundred children presenting to a large metropolitan teaching hospital were eligible for entry to the study and were randomized to receive rice ORS or glucose ORS. Outcome measures were stool output (SO), duration of illness (DD) and recovery time to introduction of other fluids (RTF) and diet (RTD). Significant differences were found for all outcome measures in favour of the rice ORS group. Mean SO was lower (160 vs 213 mt; P<0.02), mean DD was reduced (17.3 vs 24.3 h; P = 0.03) and median RTF was decreased (12.7 vs 18.1 h; P< 0.001) in the rice ORS group compared with the glucose ORS group. The median rime to introduction of diet and mean length of hospital stay showed similar significant reductions. Our study has shown rice ORS to be an acceptable alternative to glucose ORS in young children and have shown that it is significantly more effective in reducing the course of diarrhoeal illness and the time taken to return to normal drinking and eating habits.

Growth and electron effective mass measurements of strained Si and Si0.94Ge0.06 on relaxed Si0.62Ge0.38 buffers grown by rapid thermal chemical vapor deposition

Abstract: We report the growth and the electron cyclotron resonance measurements of n-type Si/Si0.62Ge0.38 and Si0.94Ge0.06/Si0.62Ge0.38 modulation-doped heterostructures grown by rapid thermal chemical vapor deposition. The strained Si and Si0.94Ge0.06 channels were grown on relaxed Si0.62Ge0.38 buffer layers, which consist of 0.6 mu m uniform Si0.62Ge0.38 layers and 0.5 mu m compositionally graded relaxed SiGe layers from 0 to 38% Ge. The buffer layers were annealed at 800 degrees C for 1 h to obtain complete relaxation. A 75 Angstrom Si(SiGe) channel with a 100 Angstrom spacer and a 300 Angstrom 2 X 10(19) cm(-3) n-type supply layer was grown on the top of the buffer layers. The cross-sectional transmission electron microscope reveals that the dense dislocation network is confined to the buffer layer, and relatively few dislocations terminate on the surface. The plan-view image indicates the threading dislocation density is about 4 X 10(6) cm(-2). The far-infrared measurements of electron cyclotron resonance were performed at 4 K with the magnetic field of 4-8 T. The effective masses determined from the slope of the center frequency of the absorption peak versus applied magnetic field plot are 0.203m(0) and 0.193m(0) for the two dimensional electron gases in the Si and Si0.94Ge0.06 channels, respectively. The Si effective mass is very close to that of a two dimensional electron gas in an Si MOSFET (0.198m(0)). The electron effective mass of Si0.94Ge0.06 is reported for the first time and is about 5% lower than that of pure Si.

Studies on elastic coupling parameters of fracture modes in orthotropic materials

The characterisation of cracks is usually done using the well known three basic fracture modes, namely opening, shearing and tearing modes. In isotropic materials these modes are uncoupled and provide a convenient way to define the fracture parameters. It is well known that these fracture modes are coupled in anisotropic materials. In the case of orthotropic materials also, coupling exists between the fracture modes, unless the crack plane coincides with one of the axes of orthotropy. The strength of coupling depends upon the orientation of the axes of orthotropy with respect to the crack plane and so the energy release rate components associated with each of the modes vary with crack orientation. The variation, of these energy release rate components with the crack orientation with respect to orthotropic axes, is analyzed in this paper. Results indicate that in addition to the orthotropic planes there exists other planes with reference to which fracture modes are uncoupled.

Synthesis of novel poly[(2,5-dimethoxy-p-phenylene)vinylene] precursors having two eliminatable groups: An approach for the control of conjugation length

Poly[(2,5-dimethoxy-p-phenylene)vinylene] (DMPPV) of varying conjugation length was synthesized by selective elimination of organic soluble precursor polymers that contained two eliminatable groups, namely, methoxy and acetate groups. These precursor copolymers were in turn synthesized by competitive nucleophilic substitution of the sulfonium polyelectrolyte precursor (generated by the standard Wessling route) using methanol and sodium acetate in acetic acid. The composition of the precursor copolymer, in terms of the relative amounts of methoxy and acetate groups, was controlled by varying the composition of the reaction mixture during nucleophilic substitution. Thermal elimination of these precursor copolymers at 250 degrees C, yielded partially conjugated polymers, whose color varied from light yellow to deep red. FT-IR studies confirmed that, while essentially all the acetate groups were eliminated, the methoxy groups were intact and caused the interruption in conjugation. Preliminary photoluminescence studies of the partially eliminated DMPPV samples showed a gradual shift in the emission maximum from 498 to 598 nm with increasing conjugation lengths, suggesting that the color of LED devices fabricated from such polymers can, in principle, be fine-tuned.

Telomere structure, replication and length maintenance

Telomeres are the termini of linear eukaryotic chromosomes consisting of tandem repeats of DNA and proteins that bind to these repeat sequences. Telomeres ensure the complete replication of chromosome ends, impart protection to ends from nucleolytic degradation, end-to-end fusion, and guide the localization of chromosomes within the nucleus. In addition, a combination of genetic, biochemical, and molecular biological approaches have implicated key roles for telomeres in diverse cellular processes such as regulation of gene expression, cell division, cell senescence, and cancer. This review focuses on recent advances in our understanding of the organization of telomeres, telomere replication, proteins that bind telomeric DNA, and the establishment of telomere length equilibrium.

Precipitation In Small Systems--II. Mean Field Equations More Effective Than Population Balance

Part I (Manjunath et al., 1994, Chem. Engng Sci. 49, 1451-1463) of this paper showed that the random particle numbers and size distributions in precipitation processes in very small drops obtained by stochastic simulation techniques deviate substantially from the predictions of conventional population balance. The foregoing problem is considered in this paper in terms of a mean field approximation obtained by applying a first-order closure to an unclosed set of mean field equations presented in Part I. The mean field approximation consists of two mutually coupled partial differential equations featuring (i) the probability distribution for residual supersaturation and (ii) the mean number density of particles for each size and supersaturation from which all average properties and fluctuations can be calculated. The mean field equations have been solved by finite difference methods for (i) crystallization and (ii) precipitation of a metal hydroxide both occurring in a single drop of specified initial supersaturation. The results for the average number of particles, average residual supersaturation, the average size distribution, and fluctuations about the average values have been compared with those obtained by stochastic simulation techniques and by population balance. This comparison shows that the mean field predictions are substantially superior to those of population balance as judged by the close proximity of results from the former to those from stochastic simulations. The agreement is excellent for broad initial supersaturations at short times but deteriorates progressively at larger times. For steep initial supersaturation distributions, predictions of the mean field theory are not satisfactory thus calling for higher-order approximations. The merit of the mean field approximation over stochastic simulation lies in its potential to reduce expensive computation times involved in simulation. More effective computational techniques could not only enhance this advantage of the mean field approximation but also make it possible to use higher-order approximations eliminating the constraints under which the stochastic dynamics of the process can be predicted accurately.

Dashboards in performance management: The foundations and research opportunities for their effective use

When designed effectively dashboards are expected to reduce information overload and improve performance management. Hence, interest in dashboards has increased recently,which is also evident from the proliferation of dashboard solution providers in the market. Despite dashboards popularity, little is known about the extent of their effectiveness in organizations. Dashboards draw from multiple disciplines but ultimately use visualization to communicate important information to stakeholders. Thus,a better understanding of visualization can improve the design and use of dashboards. This paper reviews the foundations and roles of dashboards in performance management and proposes a framework for future research, which can enhance dashboard design and perceived usefulness depending on the fit between the features of the dashboard and the characteristics of the users.

Improving SEA procedures within Italian regions: Towards a more effective evaluation of urban sustainability

Sustainable urban development, a major issue at global scale, will become more relevant according to population growth predictions in developed and developing countries. Societal and international recognition of sustainability concerns led to the development of specific tools and procedures, known as sustainability assessments/appraisals (SA). Their effectiveness however, considering that global quality life indicators have worsened since their introduction, has promoted a re-thinking of SA instruments. More precisely, Strategic Environmental Assessment (SEA), – a tool introduced in the European context to evaluate policies, plans, and programmes (PPPs), – is being reconsidered because of several features that seem to limit its effectiveness. Over time, SEA has evolved in response to external and internal factors dealing with technical, procedural, planning and governance systems thus involving a shift of paradigm from EIA-based SEAs (first generation protocols) towards more integrated approaches (second generation ones). Changes affecting SEA are formalised through legislation in each Member State, to guide institutions at regional and local level. Defining SEA effectiveness is quite difficult. Its’ capacity-building process appears quite far from its conclusion, even if any definitive version can be conceptualized. In this paper, we consider some European nations with different planning systems and SA traditions. After the identification of some analytical criteria, a multi-dimensional cluster analysis is developed on some case studies, to outline current weaknesses.

Improving SEA prodedures within Italian regions: Towards a more effective evaluation of urban sustainability

Sustainable urban development, a major issue at global scale, will become more relevant according to population growth predictions in developed and developing countries. Societal and international recognition of sustainability concerns led to the development of specific tools and procedures, known as sustainability assessments/appraisals (SA). Their effectiveness however, considering that global quality life indicators have worsened since their introduction, has promoted a re-thinking of SA instruments. More precisely, Strategic Environmental Assessment (SEA), – a tool introduced in the European context to evaluate policies, plans, and programmes (PPPs), – is being reconsidered because of several features that seem to limit its effectiveness. Over time, SEA has evolved in response to external and internal factors dealing with technical, procedural, planning and governance systems thus involving a shift of paradigm from EIA-based SEAs (first generation protocols) towards more integrated approaches (second generation ones). Changes affecting SEA are formalised through legislation in each Member State, to guide institutions at regional and local level. Defining SEA effectiveness is quite difficult. Its’ capacity-building process appears quite far from its conclusion, even if any definitive version can be conceptualized. In this paper, we consider some European nations with different planning systems and SA traditions. After the identification of some analytical criteria, a multi-dimensional cluster analysis is developed on some case studies, to outline current weaknesses.

Pt metal-CeO2 interaction: Direct observation of redox coupling between Pt-0/Pt2+/Pt4+ and Ce4+/Ce3+ states in Ce0.98Pt0.02O2-delta catalyst by a combined electrochemical and x-ray photoelectron spectroscopy study

Pt ions-CeO2 interaction in Ce1-xPtxO2-delta (x=0.02) has been studied for the first time by electrochemical method combined with x-ray diffraction and x-ray photoelectron spectroscopy. Working electrodes made of CeO2 and Ce0.98Pt0.02O2-delta mixed with 30% carbon are treated electrochemically between 0.0-1.2 V in potentiostatic (chronoamperometry) and potentiodynamic (cyclic voltametry) mode with reference to saturated calomel electrode. Reversible oxidation of Pt-0 to Pt2+ and Pt4+ state due to the applied positive potential is coupled to simultaneous reversible reduction of Ce4+ to Ce3+ state. CeO2 reduces to CeO2-y (y=0.35) after applying 1.2 V, which is not reversible; Ce0.98Pt0.02O2-delta reaches a steady state with Pt2+:Pt4+ in the ratio of 0.60:0.40 and Ce4+:Ce3+ in the ratio of 0.55:0.45 giving a composition Ce0.98Pt0.02O1.74 at 1.2 V, which is reversible. Composition of Pt ion substituted compound is reversible between Ce0.98Pt0.02O1.95 to Ce0.98Pt0.02O1.74 within the potential range of 0.0-1.2 V. Thus, Ce0.98Pt0.02O2-delta forms a stable electrode for oxidation of H2O to O-2 unlike CeO2. A linear relation between oxidation of Pt2+ to Pt4+ with simultaneous reduction in Ce4+ to Ce3+ is observed demonstrating Pt-CeO2 metal support interaction is due to reversible Pt-0/Pt2+/Pt4+ interaction with Ce4+/Ce3+ redox couple.

Impressive Gelation in Organic Solvents by Synthetic, Low Molecular Mass, Self-Organizing Urethane Amides of L-Phenylalanine

Synthetic routes leading to 12 L-phenylalanine based mono- and bipolar derivatives (1-12) and an in-depth study of their structure-property relationship with respect to gelation have been presented. These include monopolar systems such as N-[(benzyloxy)carbonyl]-L-phenylalanine-N-alkylamides and the corresponding bipolar derivatives with flexible and rigid spacers such as with 1,12-diaminododecane and 4,4'-diaminodiphenylmethane, respectively. The two ends of the latter have been functionalized with N-[(benzyloxy)carbonyl]-L-phenylalanine units via amide connection. Another bipolar molecule was synthesized in which the middle portion of the hydrocarbon segment contained polymerizable diacetylene unit. To ascertain the role of the presence of urethane linkages in the gelator molecule protected L-phenylalanine derivatives were also synthesized in which the (benzyloxy)carbonyl group has been replaced with (tert-butyloxy)carbonyl, acetyl, and benzoyl groups, respectively. Upon completion of the synthesis and adequate characterization of the newly described molecules, we examined the aggregation and gelation properties of each of them in a number of solvents and their mixtures. Optical microscopy and electron microscopy further characterized the systems that formed gels. Few representative systems, which showed excellent gelation behavior was, further examined by FT-IR, calorimetric, and powder X-ray diffraction studies. To explain the possible reasons for gelation, the results of molecular modeling and energy-minimization studies were also included. Taken together these results demonstrate the importance of the presence of (benzyloxy)carbonyl unit, urethane and secondary amide linkages, chiral purities of the headgroup and the length of the alkyl chain of the hydrophobic segment as critical determinants toward effective gelation.

Effect of curve crossing on absorption and resonance Raman spectra: analytical treatment for delta-function coupling in parabolic potentials

We propose an exactly solvable model for the two-state curve-crossing problem. Our model assumes the coupling to be a delta function. It is used to calculate the effect of curve crossing on the electronic absorption spectrum and the resonance Raman excitation profile.

Phase transitions and gravity

Einstein's gravitational field is non-minimally coupled to a self-interacting scalar field in the presence of radiation. Such a theory can give rise to a phase transition associated with a change of sign of the gravitational “constant”. In our approach, the criterion for stability is formulated in terms of an effective potential, the phase-transition takes place due to temperature dependence of the scalar self-interaction coupling constant.

Dependence of metal Auger intensity ratios on the effective charge on metal atoms

Metal Auger line intensity ratios were shown by Rao and others to be directly related to the occupancy of valence states. It is now shown that these intensity ratios are more generally related to the effective charge on the metal atom. The Auger intensity ratios are also directly proportional to valence band intensities of metals. Correlations of the intensity ratios with Auger parameters have also been examined.