Seasonality and the valuation of commodity options

Price movements in many commodity markets exhibit significant seasonal patterns. However, given an observed futures price, a deterministic seasonal component at the price level is not relevant for the pricing of commodity options. In contrast, this is not true for the seasonal pattern observed in the volatility of the commodity price. Analyzing an extensive sample of soybean, corn, heating oil and natural gas options, we find that seasonality in volatility is an important aspect to consider when valuing these contracts. The inclusion of an appropriate seasonality adjustment significantly reduces pricing errors in these markets and yields more improvement in valuation accuracy than increasing the number of stochastic factors.

Commodity price dynamics and derivatives valuation: a review

This paper reviews extant research on commodity price dynamics and commodity derivatives pricing models. In the first half, we provide an overview of stylized facts of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half, we review existing derivatives pricing models and discuss how the peculiarities of commodity markets have been integrated in these models. We conclude the paper with a brief outlook on important research questions that need to be addressed in the future.

A Consumer Surplus Estimate of Peace & Love festival in Borlänge : A Travel Cost Approach

This thesis uses zonal travel cost method (ZTCM) to estimate consumer surplus of Peace & Love festival in Borlänge, Sweden. The study defines counties as zones of origin of the visitors. Visiting rates from each zone are estimated based on survey data. The study is novel due to the fact that mostly TCM has been applied in the environmental and recreational sector, not for short term events, like P&L festival. The analysis shows that travel cost has a significantly negative effect on visiting rate as expected. Even though income has previously shown to be significant in similar studies, it turns out to be insignificant in this study. A point estimate for the total consumer surplus of P&L festival is 35.6 million Swedish kronor. However, this point estimate is associated with high uncertainty since a 95 % confidence interval for it is (17.9, 53.2). It is also important to note that the estimated value only represents one part of the total economic value, the other values of the festival's totaleconomic value have not been estimated in this thesis.

Investigação óptica de pontos quânticos de InAs confinados em poços quânticos de In0,15Ga0,85As

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Canine visceral leishmaniasis due to Leishmania (L.) infantum chagasi in Amazonian Brazil: comparison of the parasite density from the skin, lymph node and visceral tissues between symptomatic and asymptomatic, seropositive dogs

A leishmaniose visceral canina (LVC) é reconhecida pelas características clínicas da doença e é altamente letal. A infecção, entretanto, pode ser totalmente assintomática em alguns cães soropositivos, o que tem levantado questão polêmica sobre a possibilidade desses animais, serem ou não uma fonte importante da infecção para o flebotomíneo, Lutzomyia longipalpis, o principal vetor da leishmaniose visceral americana (LVA). Neste estudo foram examinados 51 cães com LVC aguda, provenientes de área endêmica de LVA no Estado do Pará, Brasil, e a carga parasitária, formas amastigotas de, na pele, linfonodo poplíteo e vísceras (fígado e baço) foi comparada com a de nove cães assintomáticos soropositivos (IFAT-IgG). Fragmentos de biópsia desses tecidos obtidos post-mortem foram processados para análise através de imunohistoquímica, usando um anticorpo policlonal contra Leishmania sp. Os testes do Qui-quadrado (X²) e Mann Whitney foram usados para avaliar as médias da densidade de macrófagos infectados (p < 0,05). Os resultados mostraram que não houve diferença (p > 0,05) na densidade de macrófagos infectados da pele (10,7/mm² x 15,5/mm²) e do linfonodo (6,3/mm² x 8,3/mm²) entre cães assintomáticos e sintomáticos. Entretanto, a densidade de macrófagos infectados da víscera de cães sintomáticos (5,3/mm²) foi maior (p < 0,05) que a de cães assintomáticos (1,4/mm²). Estes resultados sugerem, fortemente, que cães naturalmente infectados por L. (L.) i. chagasi, assintomáticos ou sintomáticos, podem servir como fonte de infecção, principalmente, considerando-se que a densidade de macrófagos infectados da pele (10,7/mm² x 15,5/mm²), local onde o flebotomíneo vetor Lu. longipalpis realiza a hematofagia, foi maior (p < 0,05) que as do linfonodo (6,3/mm² x 8.3/mm²) e vísceras (1,4/mm2x 5,3/mm2).

Measuring Success One Student At A Time

This presentation describes Murray State University's proactive efforts to enhance African¬-American students' preparation, recruitment/retention and graduation. Strategies utilized to create and maintain a positive/hospitable campus environment will be delineated. It is our campus-wide responsibility to "nurture" each student with personalized contact and carefully selected services to engender degree persistence.

Die Reproduktion von Dinosauriern, speziell der Sauropoden, und deren Bedeutung für ihren Gigantismus

Es wurde ein Teil der life-history, die Reproduktion, von Dinosauriern, speziell der Sauropoden, den größten bekannten jemals auf der Erde existierenden Landtieren, untersucht, um unter anderem den Zusammenhang zwischen Gigantismus und Reproduktion zu erforschen. Hierzu wurde eine mögliche life-history für Sauropoden, auf Grundlage des heutigen Forschungsstands in der Biologie und der Paläontologie, anhand einer Literaturrecherche erstellt. Des Weiteren wurde ein Modell zur Reproduktion bei ausgestorbenen oviparen Amnioten, basierend auf bestehenden Zusammenhängen zwischen Körpergröße und verschiedenen masse-spezifischen Reproduktionsmerkmalen (Eigewicht, Gelegegewicht, jähr. Gelegegewicht) bei rezenten oviparen Amnioten, erarbeitet. Mit Hilfe dieses Modells und Informationen aus Fossilfunden wurde der Frage nachgegangen, wie diese Reproduktionsmerkmale bei Dinosauriern wahrscheinlich ausgesehen haben. Weiterhin erfolgte die Überprüfung der Hypothese, dass Dinosaurier, insbesondere Sauropoden, eine höhere Reproduktionskapazität hatten als gleich große landlebende Säugetiere, was ersteren im Vergleich zu letzteren ermöglicht haben soll so viel größer zu werden (Janis und Carrano 1992). rnDie Untersuchungen der Zusammenhänge zwischen Körpergewicht und den masse-spezifischen Reproduktionsmerkmalen ergaben, dass das Körpergewicht immer stark mit den untersuchten Reproduktionsmerkmalen korreliert war. Große Vögel und große Reptilien unterscheiden sich in ihrem relativen Eigewicht (Eigewicht/Körpergewicht). Vögel haben relativ größere Eier. Betrachtet man das relative Gelegegewicht oder das relative jährliche Gelegegewicht so wird der Unterschied kleiner bzw. ist zwischen manchen Reptilien- und Vogelgruppen nicht mehr vorhanden. Dinosaurier hatten relative Eigewichte, die zwischen denen von Reptilien und Vögel liegen. Basale Dinosaurier, wie Prosauropoden, waren in ihrer Reproduktion eher reptilien-ähnlich, während vogel-ähnliche Theropoden eine Reproduktion hatten, die sich besser durch ein Vogelmodel beschreiben lässt. Die Reproduktion anderer Dinosaurier, wie Sauropoden und Hadrosaurier, lässt sich nicht eindeutig durch eines der beiden Modelle beschreiben und/oder die Modelle variierten in Abhängigkeit des betrachteten Merkmals. Trotzdem war es möglich für alle untersuchten Dinosaurier eine Abschätzung zur Gelegegröße und der Anzahl der jährlich gelegten Eier zu machen. Diese Schätzungen ergaben, dass die vermutete hohe Reproduktionskapazität von mehreren hundert Eiern pro Jahr nur für extrem große Sauropoden (70 t) haltbar ist. rnMit Ausnahme der Nagetiere fand ich die Unterschiede in der Reproduktionskapazität von Vögeln und Säugetieren, die Janis und Carrano (1992) postulierten, sogar auf der Ebene von Ordnungen. Dinosauriergelege waren größer als die Würfe von gleichgroßen (extrapolierten) Säugetieren während die Gelegegröße von gleichgroßen (extrapolierten) Vögeln ähnlich der von Sauropoden war. Da das Aussterberisiko häufig mit niedriger Reproduktionskapazität korreliert ist, impliziert dies ein geringeres Aussterberisiko großer Dinosaurier im Vergleich zu großen Säugetieren. Populationen sehr großer Dinosaurier, wie der Sauropoden, konnten vermutlich daher, über evolutionäre Zeiträume betrachtet, sehr viel länger existieren als Populationen großer Säugetiere.rn

Planck stars: theory and phenomenology

General Relativity (GR) is one of the greatest scientific achievements of the 20th century along with quantum theory. Despite the elegance and the accordance with experimental tests, these two theories appear to be utterly incompatible at fundamental level. Black holes provide a perfect stage to point out these difficulties. Indeed, classical GR fails to describe Nature at small radii, because nothing prevents quantum mechanics from affecting the high curvature zone, and because classical GR becomes ill-defined at r = 0 anyway. Rovelli and Haggard have recently proposed a scenario where a negative quantum pressure at the Planck scales stops and reverts the gravitational collapse, leading to an effective “bounce” and explosion, thus resolving the central singularity. This scenario, called Black Hole Fireworks, has been proposed in a semiclassical framework. The purpose of this thesis is twofold: - Compute the bouncing time by means of a pure quantum computation based on Loop Quantum Gravity; - Extend the known theory to a more realistic scenario, in which the rotation is taken into account by means of the Newman-Janis Algorithm.

Alveolar inflammation in cystic fibrosis

In infected lungs of the cystic fibrosis (CF) patients, opportunistic pathogens and mutated cystic fibrosis transmembrane conductance regulator protein (CFTR) contribute to chronic airway inflammation that is characterized by neutrophil/macrophage infiltration, cytokine release and ceramide accumulation. We sought to investigate CF lung inflammation in the alveoli.

Detection of Mycoplasma mycoides subsp. mycoides SC in bronchoalveolar lavage fluids of cows based on a TaqMan real-time PCR discriminating wild type strains from an lppQ(-) mutant vaccine strain used for DIVA-strategies

Contagious bovine pleuropneumonia (CBPP) is the most serious cattle disease in Africa, caused by Mycoplasma mycoides subsp. mycoides small-colony type (SC). CBPP control strategies currently rely on vaccination with a vaccine based on live attenuated strains of the organism. Recently, an lppQ(-) mutant of the existing vaccine strain T1/44 has been developed (Janis et al., 2008). This T1lppQ(-) mutant strain is devoid of lipoprotein LppQ, a potential virulence attribute of M. mycoides subsp. mycoides SC. It is designated as a potential live DIVA (Differentiating Infected from Vaccinated Animals) vaccine strain allowing both serological and etiological differentiation. The present paper reports on the validation of a control strategy for CBPP in cattle, whereby a TaqMan real-time PCR based on the lppQ gene has been developed for the direct detection of M. mycoides subsp. mycoides SC in ex vivo bronchoalveolar lavage fluids of cows and for the discrimination of wild type strains from the lppQ(-) mutant vaccine strain.

Youth at Risk: Part 1, 2012 Massachusetts Family Impact Seminar

The youth of Massachusetts are of primary concern to legislators and citizens. This briefing report features three essays by experts – Lisa Jones, Ramon Borges-Mendez, and Janis Wolak – who focus on three aspects of youth wellbeing: youth victimization and other indicators of psychological health, youth unemployment, and online sexual predators of youth. Although youth well-being is of primary concern, the worrisome stories about crimes against children that regularly fill the media have unfortunately obscured some more positive news from statistical reports on these same issues. Child victimizations of various types – i.e., child sexual abuse, witnessing domestic violence, child physical abuse, sexual assaults of teenagers, physical assaults and robberies of teenagers, and homicides of teenagers – have been declining nationwide and in Massachusetts since the early 1990s, in some cases declining dramatically.

Airway remodelling in children with cystic fibrosis

BACKGROUND: The relationship between airway structural changes and inflammation is unclear in early cystic fibrosis (CF) lung disease. A study was undertaken to determine changes in airway remodelling in children with CF compared with appropriate disease and healthy controls. METHODS: Bronchoalveolar lavage and endobronchial biopsy were performed in a cross-sectional study of 43 children with CF (aged 0.3-16.8 years), 7 children with primary ciliary dyskinesia (PCD), 26 with chronic respiratory symptoms (CRS) investigated for recurrent infection and/or cough and 7 control children with no lower airway symptoms. Inflammatory cells, cytokines, proteases and matrix constituents were measured in bronchoalveolar lavage fluid (BALF). Reticular basement membrane (RBM) thickness was measured on biopsy specimens using light microscopy. RESULTS: Increased concentrations of elastin, glycosaminoglycans and collagen were found in BALF from children with CF compared with the CRS group and controls, each correlating positively with age, neutrophil count and proteases (elastase activity and matrix metalloproteinase-9 (MMP-9) concentration). There were significant negative correlations between certain of these and pulmonary function (forced expiratory volume in 1 s) in the CF group (elastin: r = -0.45, p<0.05; MMP-9:TIMP-1 ratio: r = -0.47, p<0.05). Median RBM thickness was greater in the CF group than in the controls (5.9 microm vs 4.0 microm, p<0.01) and correlated positively with levels of transforming growth factor-beta(1) (TGF-beta(1); r = 0.53, p = 0.01), although not with other inflammatory markers or pulmonary function. CONCLUSIONS: This study provides evidence for two forms of airway remodelling in children with CF: (1) matrix breakdown, related to inflammation, proteolysis and impaired pulmonary function, and (2) RBM thickening, related to TGF-beta(1) concentration but independent of other markers of inflammation.