Hedging effectiveness of total returns swaps: application to the Japanese market

The development of the real estate swap market offers many opportunities for investors to adjust the exposure of their portfolios to real estate. A number of OTC transactions have been observed in markets around the world. In this paper we examine the Japanese commercial real estate market from the point of view of an investor holding a portfolio of properties seeking to reduce the portfolio exposure to the real estate market by swapping an index of real estate for LIBOR. This paper explores the practicalities of hedging portfolios comprising small numbers of individual properties against an appropriate index. We use the returns from 74 properties owned by Japanese Real Estate Investment Trusts over the period up to September 2007. The paper also discusses and applies the appropriate stochastic processes required to model real estate returns in this application and presents alternative ways of reporting hedging effectiveness. We find that the development of the derivative does provide the capacity for hedging market risk but that the effectiveness of the hedge varies considerably over time. We explore the factors that cause this variability.

Towards the total synthesis of mycaperoxide B: probing biosynthetic rationale

Studies towards the biomimetic synthesis of mycaperoxide B (1) are described. We have established the synthesis of four diastereoisomers of mycaperoxide B methyl ester (1a) by employing a Michael addition across an α,β-unsaturated ester precursor 2 as the key step. This result strongly suggestsstereocontrol in the addition of the hydroperoxide functionality to the E double bond and discloses the importance of choosing the correct geometry of the α,β-unsaturated double bond when attempting to synthesise mycaperoxide B. Four diastereoisomeric tetrahydrofurans derived from an intramolecular rearrangement of the 1,2-dioxolane enolate 12 were also isolated and characterised.

The determination of total nitrogen and total phosphorus concentrations in freshwaters from land use, stock headage and population data: testing of a model for use in conservation and water quality management

1. Nutrient concentrations (particularly N and P) determine the extent to which water bodies are or may become eutrophic. Direct determination of nutrient content on a wide scale is labour intensive but the main sources of N and P are well known. This paper describes and tests an export coefficient model for prediction of total N and total P from: (i) land use, stock headage and human population; (ii) the export rates of N and P from these sources; and (iii) the river discharge. Such a model might be used to forecast the effects of changes in land use in the future and to hindcast past water quality to establish comparative or baseline states for the monitoring of change. 2. The model has been calibrated against observed data for 1988 and validated against sets of observed data for a sequence of earlier years in ten British catchments varying from uplands through rolling, fertile lowlands to the flat topography of East Anglia. 3. The model predicted total N and total P concentrations with high precision (95% of the variance in observed data explained). It has been used in two forms: the first on a specific catchment basis; the second for a larger natural region which contains the catchment with the assumption that all catchments within that region will be similar. Both models gave similar results with little loss of precision in the latter case. This implies that it will be possible to describe the overall pattern of nutrient export in the UK with only a fraction of the effort needed to carry out the calculations for each individual water body. 4. Comparison between land use, stock headage, population numbers and nutrient export for the ten catchments in the pre-war year of 1931, and for 1970 and 1988 show that there has been a substantial loss of rough grazing to fertilized temporary and permanent grasslands, an increase in the hectarage devoted to arable, consistent increases in the stocking of cattle and sheep and a marked movement of humans to these rural catchments. 5. All of these trends have increased the flows of nutrients with more than a doubling of both total N and total P loads during the period. On average in these rural catchments, stock wastes have been the greatest contributors to both N and P exports, with cultivation the next most important source of N and people of P. Ratios of N to P were high in 1931 and remain little changed so that, in these catchments, phosphorus continues to be the nutrient most likely to control algal crops in standing waters supplied by the rivers studied.

A procedure for the simultaneous determination of total nitrogen and total phosphorus in freshwater samples using persulphate microwave digestion

In the absence of a suitable method for routine analysis of large numbers of natural river water samples for organic nitrogen and phosphorus fractions, a new simultaneous digestion technique was developed, based on a standard persulphate digestion procedure. This allows rapid analysis of river, lake and groundwater samples from a range of environments for total nitrogen and phosphorus. The method was evaluated using a range of organic nitrogen and phosphorus structures tested at low, mid and high range concentrations from 2 to 50 mg l-1 nitrogen and 0.2 to 10 mg l-1 phosphorus. Mean recoveries for nitrogen ranged from 94.5% (2 mg I-1) to 92.7% (50 mg I-1) and for phosphorus were 98.2% (0.2 mg l-1) to 100.2% (10 mg l-1). The method is precise in its ability m reproduce results from replicate digestions, and robust in its ability to handle a variety of natural water samples in the pH range 5-8.

Activated mast cells in proximity to colonic nerves correlate with abdominal pain in irritable bowel syndrome

BACKGROUND & AIMS: The mechanisms underlying abdominal pain perception in irritable bowel syndrome (IBS) are poorly understood. Intestinal mast cell infiltration may perturb nerve function leading to symptom perception. We assessed colonic mast cell infiltration, mediator release, and spatial interactions with mucosal innervation and their correlation with abdominal pain in IBS patients. METHODS: IBS patients were diagnosed according to Rome II criteria and abdominal pain quantified according to a validated questionnaire. Colonic mucosal mast cells were identified immunohistochemically and quantified with a computer-assisted counting method. Mast cell tryptase and histamine release were analyzed immunoenzymatically. Intestinal nerve to mast cell distance was assessed with electron microscopy. RESULTS: Thirty-four out of 44 IBS patients (77%) showed an increased area of mucosa occupied by mast cells as compared with controls (9.2% +/- 2.5% vs. 3.3 +/- 0.8%, respectively; P < 0.001). There was a 150% increase in the number of degranulating mast cells (4.76 +/- 3.18/field vs. 2.42 +/- 2.26/field, respectively; P = 0.026). Mucosal content of tryptase was increased in IBS and mast cells spontaneously released more tryptase (3.22 +/- 3.48 pmol/min/mg vs. 0.87 +/- 0.65 pmol/min/mg, respectively; P = 0.015) and histamine (339.7 +/- 59.0 ng/g vs. 169.3 +/- 130.6 ng/g, respectively; P = 0.015). Mast cells located within 5 microm of nerve fibers were 7.14 +/- 3.87/field vs. 2.27 +/- 1.63/field in IBS vs. controls (P < 0.001). Only mast cells in close proximity to nerves were significantly correlated with severity and frequency of abdominal pain/discomfort (P < 0.001 and P = 0.003, respectively). CONCLUSIONS: Colonic mast cell infiltration and mediator release in proximity to mucosal innervation may contribute to abdominal pain perception in IBS patients.

On the statistical modeling of persistence in total ozone anomalies

Geophysical time series sometimes exhibit serial correlations that are stronger than can be captured by the commonly used first‐order autoregressive model. In this study we demonstrate that a power law statistical model serves as a useful upper bound for the persistence of total ozone anomalies on monthly to interannual timescales. Such a model is usually characterized by the Hurst exponent. We show that the estimation of the Hurst exponent in time series of total ozone is sensitive to various choices made in the statistical analysis, especially whether and how the deterministic (including periodic) signals are filtered from the time series, and the frequency range over which the estimation is made. In particular, care must be taken to ensure that the estimate of the Hurst exponent accurately represents the low‐frequency limit of the spectrum, which is the part that is relevant to long‐term correlations and the uncertainty of estimated trends. Otherwise, spurious results can be obtained. Based on this analysis, and using an updated equivalent effective stratospheric chlorine (EESC) function, we predict that an increase in total ozone attributable to EESC should be detectable at the 95% confidence level by 2015 at the latest in southern midlatitudes, and by 2020–2025 at the latest over 30°–45°N, with the time to detection increasing rapidly with latitude north of this range.