Evaluating Option Pricing Models

This study evaluates three different time units in option pricing: trading time, calendar time and continuous time using discrete approximations (CTDA). The CTDA-time model partitions the trading day into 30-minute intervals, where each interval is given a weight corresponding to the historical volatility in the respective interval. Furthermore, the non-trading volatility, both overnight and weekend volatility, is included in the first interval of the trading day in the CTDA model. The three models are tested on market prices. The results indicate that the trading-time model gives the best fit to market prices in line with the results of previous studies, but contrary to expectations under non-arbitrage option pricing. Under non-arbitrage pricing, the option premium should reflect the cost of hedging the expected volatility during the option’s remaining life. The study concludes that the historical patterns in volatility are not fully accounted for by the market, rather the market prices options closer to trading time.

Intraday and Weekend Volatility Patterns- Implications for Option Pricing

This study examines the intraday and weekend volatility on the German DAX. The intraday volatility is partitioned into smaller intervals and compared to a whole day’s volatility. The estimated intraday variance is U-shaped and the weekend variance is estimated to 19 % of a normal trading day. The patterns in the intraday and weekend volatility are used to develop an extension to the Black and Scholes formula to form a new time basis. Calendar or trading days are commonly used for measuring time in option pricing. The Continuous Time using Discrete Approximations model (CTDA) developed in this study uses a measure of time with smaller intervals, approaching continuous time. The model presented accounts for the lapse of time during trading only. Arbitrage pricing suggests that the option price equals the expected cost of hedging volatility during the option’s remaining life. In this model, time is allowed to lapse as volatility occurs on an intraday basis. The measure of time is modified in CTDA to correct for the non-constant volatility and to account for the patterns in volatility.

Role of different factors affecting interdiffusion in Cu(Ga) and Cu(Si) solid solutions

A detailed diffusion study was carried out on Cu(Ga) and Cu(Si) solid solutions in order to assess the role of different factors in the behaviour of the diffusing components. The faster diffusing species in the two systems, interdiffusion, intrinsic and impurity diffusion coefficients, are determined to facilitate the discussion. It was found that Cu was more mobile in the Cu-Si system, whereas Ga was the faster diffusing species in the Cu-Ga system. In both systems, the interdiffusion coefficients increased with increasing amount of solute (e.g. Si or Ga) in the matrix (Cu). Impurity diffusion coefficients for Si and Ga in Cu, found out by extrapolating interdiffusion coefficient data to zero composition of the solute, were both higher than the Cu tracer diffusion coefficient. These observed trends in diffusion behaviour could be rationalized by considering: (i) formation energies and concentration of vacancies, (ii) elastic moduli (indicating bond strengths) of the elements and (iii) the interaction parameters and the related thermodynamic factors. In summary, we have shown here that all the factors introduced in this paper should be considered simultaneously to understand interdiffusion in solid solutions. Otherwise, some of the aspects may look unusual or even impossible to explain.

External support and innovation performance of SMEs in Bangalore: Role of firm level factors

This paper probes the role of internal factors in SMEs in obtaining external support and achieving innovation performance in the context of auto component, electronics and machine tool industries of Bangalore in India. Using step-wise logistic regression analysis, the study found that only if SMEs have internal technical competence in terms of technically qualified entrepreneur, an exclusive design centre, and innovate more frequently, they will be able to obtain external support. Further using step-wise multiple regression the study concluded that SMEs which have come up to implement innovative ideas or exploit market opportunities and which have obtained external support with technically qualified entrepreneurs are able to exhibit better innovation performance.

Regulation of Off-Network Pricing in a Nonneutral Network

Representatives of several Internet service providers (ISPs) have expressed their wish to see a substantial change in the pricing policies of the Internet. In particular, they would like to see content providers (CPs) pay for use of the network, given the large amount of resources they use. This would be in clear violation of the ``network neutrality'' principle that had characterized the development of the wireline Internet. Our first goal in this article is to propose and study possible ways of implementing such payments and of regulating their amount. We introduce a model that includes the users' behavior, the utilities of the ISP and of the CPs, and, the monetary flow that involves the content users, the ISP and CP, and, in pUrticular, the CP's revenues from advertisements. We consider various game models and study the resulting equilibria; they are all combinations of a noncooperative game (in which the ISPs and CPs determine how much they will charge the users) with a ``cooperative'' one on how the CP and the ISP share the payments. We include in our model a possible asymmetric weighting parameter (that varies between zero to one). We also study equilibria that arise when one of the CPs colludes with the TSP. We also study two dynamic game models as well as the convergence of prices to the equilibrium values.

What Drives Venture Capital Fundraising in India: An Empirical Analysis of Systematic and Non-Systematic Factors

In this paper, we develop a consolidated Supply-Demand framework of the Venture Capital (VC) ecosystem for India. Further, we empirically analyze the supply side of this ecosystem to ascertain the influence of systematic (macro) and non-systematic (micro) factors on VC fundraising. At the macro level, our results indicate that relatively strong fundamentals of the Indian economy in the past decade as compared with the severe recessionary tendencies in the developed economies have been critical in determining the aggregate volume of VC fundraising. Among the micro factors, past performance and reputation of the individual fund managers have been instrumental in determining their fund raising potential.

Adaptive Sleep-Wake Control using Reinforcement Learning in Sensor Networks

The aim in this paper is to allocate the `sleep time' of the individual sensors in an intrusion detection application so that the energy consumption from the sensors is reduced, while keeping the tracking error to a minimum. We propose two novel reinforcement learning (RL) based algorithms that attempt to minimize a certain long-run average cost objective. Both our algorithms incorporate feature-based representations to handle the curse of dimensionality associated with the underlying partially-observable Markov decision process (POMDP). Further, the feature selection scheme used in our algorithms intelligently manages the energy cost and tracking cost factors, which in turn assists the search for the optimal sleeping policy. We also extend these algorithms to a setting where the intruder's mobility model is not known by incorporating a stochastic iterative scheme for estimating the mobility model. The simulation results on a synthetic 2-d network setting are encouraging.

Utilization of agro-industrial wastes as fish feedstuffs in Nigeria

Fish feeding accounts for a substantial amount in the variable expenditure of a fish farming enterprises. There is a need to examine closely the potentials and advantages of locally available agro-industrial by-products, as possible substitutes for the conventional feedstuffs which are dwindling in supply, and escalating in their cost. A wide range of by products from plant, animal and industrial processes have been studied and posses nutrient composition which can be exploited as dietary ingredients for warm water species as the Tilapia and Clarias sp. Such useful by-products include poultry feathers, rice bran, soybean hulls and cocoa husks which are discarded as wastes. However, some processing treatments might be required to alleviate the toxic effects of possible anti-nutritional factors in the by-products, for the achievement of optimum benefit

Factors affecting leaf morphology: a case study of Ranunculus natans C. A. Mey. (Ranunculaceae) in the arid zone of northwest China

In order to examine the role of environmental factors affecting foliar morphology, we performed a case study of leaf morphological variation of Ranunculus natans found in the arid zone of northwest China. We found that foliar phenotypic variation differed significantly between populations. We described substantial positive correlations between altitude and leaf area (LA) as well as leaf perimeter (LP), and also between longitude and number of teeth, along with dissection index (DI). The pH, conductivity, and salinity of the environment caused a significant decrease in both LA and LP. Ranked in terms of their impacts on leaf morphology, the six selected factors were: altitude > pH > conductivity > salinity > longitude > latitude. We found that foliar morphological variations are functional responses to water-quantity factors (e.g., altitude and longitude at regional scales) and water-availability relation factors (e.g., pH, conductivity, and salinity at local scales), rather than to temperature-relation factors (latitude). Therefore, altitude and longitude, along with pH, conductivity, and salinity, are the main factors that significantly influence foliar morphology in the arid zone of China. We found that main factors played major roles in plant phenotypic plasticity in a complex ecosystem, although different combinations and interactions of environmental and geographical factors in each local environment may obscure the general trends in trait changes along environmental gradients.

Comparison of Q-factors between TE and TM modes in 3-D microsquares by FDTD simulation

Mode characteristics of three-dimensional (3-D) microsquare resonators are investigated by finite-difference time-domain (FDTD) simulation for the transverse electric (TE)-like and the transverse magnetic (TM)-like modes. For a pillar microsquare with a side length of 2 pin in air, we have Q-factors about 5 X. 103 for TM-like modes at the wavelength of 1550 run, which are one order larger than those of TE-like modes, as vertical refractive index distribution is 3.17/3.4/3.17 and the cororresponding center layer thickness is 0.2 mu m. The mode field patterns show that TM-like modes have much weaker vertical radiation coupling loss than TE-like modes. TM-like modes can have high Q-factors in a microsquare with weak vertical field confinement.

Giant and zero electron g factors of dilute nitride semiconductor nanowires

The electronic structures and electron g factors of InSb1-sNs and GaAs1-sNs nanowires and bulk material under the magnetic and electric fields are investigated by using the ten-band k.p model. The nitrogen doping has direct and indirect effects on the g factors. A giant g factor with absolute value larger than 900 is found in InSb1-sNs bulk material. A transverse electric field can increase the g factors, which has obviously asymmetric effects on the g factors in different directions. An electric field tunable zero g factor is found in GaAs1-sNs nanowires. (C) 2007 American Institute of Physics.

Large g factors of higher-lying excitons detected with reflectance difference spectroscopy in GaAs-based quantum wells

Exciton g factors in GaAs-based quantum wells (QWs) were evaluated by reflectance difference spectroscopy (RDS) under a weak magnetic field. The well-width dependence of the n=1 heavy-hole exciton (1H1E) g factor agrees well with the reported results, demonstrating RDS as a sensitive tool for detection of g factor. By comparison, the n=1 light-hole exciton g factor increases with the well width, and shows a larger value than that of 1H1E. In a 20-nm-wide Al0.02Ga0.98As/AlAs multiple QW sample, the g factors of up to ten excitons are obtained, and the higher-lying exciton g factors are found to be one order larger than that of the 1H1E exciton.