Calibration of stochastic volatility models via second order approximation: the Heston model case

Using a suitable Hull and White type formula we develop a methodology to obtain asecond order approximation to the implied volatility for very short maturities. Using thisapproximation we accurately calibrate the full set of parameters of the Heston model. Oneof the reasons that makes our calibration for short maturities so accurate is that we alsotake into account the term-structure for large maturities. We may say that calibration isnot "memoryless", in the sense that the option's behavior far away from maturity doesinfluence calibration when the option gets close to expiration. Our results provide a wayto perform a quick calibration of a closed-form approximation to vanilla options that canthen be used to price exotic derivatives. The methodology is simple, accurate, fast, andit requires a minimal computational cost.

Renewal equations for option pricing

In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits.

Lämpötilamuutosten aiheuttamien volyymi- ja hintapiikkien suojaaminen yhteispohjoismaisilla sähkömarkkinoilla

Säätilan muutokset ovat Pohjoismaissa iso riski niin yrityksille, kotitalouksille, kuin sähkön myyjille/tuottajille. Säätilan muutoksia ja niistä seuraavia kulutus- ja hintavaihteluita vastaan voidaan suojautua oikeanlaisella riskienhallintapolitiikalla sekä oikeanlaisilla suojausinstrumenteilla. Tässä työssä perehdytään case-yritys Lappeenrannan Energian riskienhallintaan sekä erityisesti talvikauden aikana ilmeneviin lämpötilan muutoksien aiheuttamiin hinta- ja kulutuspiikkeihin. Työssä käydään läpi eri vaihtoehtoja, joilla suojausta ja riskienhallintaa voisi parantaa ja mitkä johdannaiset soveltuvat riskienhallinnan tueksi. Työssä havaitaan, että riskienhallinnan tukena on syytä käyttää johdannaisia mahdollisimman monipuolisesti, jolloin liiketoiminnan kassavirrat pysyvät tasapainossa ja nouseva kulutus- ja hintakäyrä voidaan ”valjastaa”. Pörssijohdannaiset eivät pelkästään ratkaise suojausongelmaa, sillä niiden suojausteho on rajallinen, eivätkä ne sovellu yksinään kyseisiltä riskeiltä suojautumiseen. Pörssijohdannaisten lisäksi on syytä käyttää räätälöityjä tuotteita, jotta suojauksesta saataisiin mahdollisimman kattava.

Credit Default Swaps (CDS) y Collateral Debt Obligation (CDO) derivados financieros responsables de la crisis sub-prime de 2008 en Estados Unidos y una guía para el desarrollo del mercado de derivados exóticos en Colombia

La crisis financiera hipotecaria de 2008 en la que se declaró en quiebra el banco de inversión Lehman Brothers, se desarrolló en un ambiente que contemplaba apalancamientos financieros excesivos y el uso de derivados financieros de crédito innovadores. Razón por la cual, a partir del estudio de caso de quiebra de este banco de inversión y el análisis de las causas y consecuencias del ambiente desregulatorio que surgió en Estados Unidos desde la década de los 30 hasta el 2000, se orienta la investigación a indagar sobre lo que sucede en términos regulatorios y empresariales en el mercado de valores colombiano y así lograr definir objetivos que permitan el crecimiento del mercado de derivados exóticos en Colombia bajo un marco de responsabilidad financiera y ética empresarial.

Action Of Essential Oils From Brazilian Native And Exotic Medicinal Species On Oral Biofilms.

Essential oils (EO) obtained from twenty medicinal and aromatic plants were evaluated for their antimicrobial activity against the oral pathogens Candida albicans, Fusobacterium nucleatum, Porphyromonas gingivalis, Streptococcus sanguis and Streptococcus mitis. The antimicrobial activity of the EO was evaluates by microdilution method determining Minimal Inhibitory Concentration. Chemical analysis of the oils compounds was performed by Gas chromatography-mass spectrometry (CG-MS). The most active EO were also investigated as to their actions on the biolfilm formation. The most of the essential oils (EO) presented moderate to strong antimicrobial activity against the oral pathogens (MIC--Minimal Inhibitory Concentrations values between 0.007 and 1.00 mg/mL). The essential oil from Coriandrum sativum inhibited all oral species with MIC values from 0.007 to 0.250 mg/mL, and MBC/MFC (Minimal Bactericidal/Fungicidal Concentrations) from 0.015 to 0.500 mg/mL. On the other hand the essential oil of C. articulatus inhibited 63.96% of S. sanguis biofilm formation. Through Scanning Eletronic Microscopy (SEM) images no changes were observed in cell morphology, despite a decrease in biofilm formation and changes on biofilm structure. Chemical analysis by Gas Chromatography-Mass Spectrometry (GC-MS) of the C. sativum essential oil revealed major compounds derivatives from alcohols and aldehydes, while Cyperus articulatus and Aloysia gratissima (EOs) presented mono and sesquiterpenes. In conclusion, the crude oil from C. articulatus exhibited the best results of antimicrobial activity e ability to control biofilm formation. The chemical analysis showed the presence of terpenes and monoterpenes such as a-pinene, a-bulnesene and copaene. The reduction of biofilms formation was confirmed from SEM images. The results of this research shows a great potential from the plants studied as new antimicrobial sources.

Bioactive compounds and antioxidant capacity of exotic fruits and commercial frozen pulps from Brazil

The objective of this work was to characterize exotic fruits (cambuci, araca-boi, camu-camu, jaracatia, araca) and commercial frozen pulps (araca, cambuci, umbu, coquinho, pana, native passion fruit, cagaita) from Brazil in relation to their bioactive compounds contents and antioxidant capacity. Camu-camu (Myrciaria dubia) presented the highest vitamin C and total phenolics contents (397 and 1797 mg/100 g f.w., respectively) and the highest DPPH(center dot) scavenging capacity. Coquinho (Butia capitata) also showed a significant vitamin C content (43 mg/100 g f.w.). Among the commercial frozen pulps, cagaita presented the higher DPPH scavenging activity and inhibition of beta-carotene bleaching. A good correlation between total phenols and DPPH scavenging activity was found for fruits (r = 0.997) and commercial frozen pulps (r = 0.738). However, no correlation was found for total phenols and inhibition of beta-carotene bleaching. Quercetin and kaempferol derivatives were the main flavonoids present in all samples and cyanidin derivatives were detected only in camu-camu. Camu-camu and araca (Psidium guineensis) showed the highest total ellagic acid contents (48 and 63.5 mg/100 g f.w.). All commercial frozen pulps presented lower contents of bioactive compounds and antioxidant capacity than their respective fruits. According to our results, camu-camu and araca might be sources of bioactive compounds.

Antioxidant, anti-acetylcholinesterase and cytotoxic activities of ethanol extracts of peel, pulp and seeds of exotic Brazilian fruits Antioxidant, anti-acetylcholinesterase and cytotoxic activities in fruits

Ethanol extracts of powdered genipap (Genipa americana L), umbu (Spondia tuberosa A.) and siriguela (Spondia purpurea L) prepared from separate pulp, seeds and peel were investigated for their (i) antioxidant capacity, which was evaluated by various known methods; (ii) acetylcholinesterase (AChE) inhibitory activity; and (iii) cytotoxic effect on corneal epithelial cells of sheep. The highest values of total phenolic content were obtained with peel and seed extracts. Siriguela and umbu (seeds and peel) extracts displayed the highest antioxidant activities. Lipid peroxidation assays using mimetic biomembranes and mouse liver homogenates indicated that genipap pulp is a promising antioxidant. The investigation of phenols and organic acid contents revealed the presence of quercetin, citric and quinic acids, chlorogenic acid derivatives, among others, in several extracts, with the highest amount found in siriguela seeds. Genipap pulp and siriguela seed ethanol extracts presented an AChE inhibition zone similar to that of the positive control, carbachol. AChE inhibition assay with chlorogenic acid, one of the main constituents of siriguela seeds, revealed that this acid showed activity similar to that of the control physostigmine. These data suggest that these extracts are potentially important antioxidant supplements for the everyday human diet, pharmaceutical and cosmetic industries. (C) 2012 Elsevier Ltd. All rights reserved.

Price risk management in the copper market using commodity derivatives and options strategies

Metals price risk management is a key issue related to financial risk in metal markets because of uncertainty of commodity price fluctuation, exchange rate, interest rate changes and huge price risk either to metals’ producers or consumers. Thus, it has been taken into account by all participants in metal markets including metals’ producers, consumers, merchants, banks, investment funds, speculators, traders and so on. Managing price risk provides stable income for both metals’ producers and consumers, so it increases the chance that a firm will invest in attractive projects. The purpose of this research is to evaluate risk management strategies in the copper market. The main tools and strategies of price risk management are hedging and other derivatives such as futures contracts, swaps and options contracts. Hedging is a transaction designed to reduce or eliminate price risk. Derivatives are financial instruments, whose returns are derived from other financial instruments and they are commonly used for managing financial risks. Although derivatives have been around in some form for centuries, their growth has accelerated rapidly during the last 20 years. Nowadays, they are widely used by financial institutions, corporations, professional investors, and individuals. This project is focused on the over-the-counter (OTC) market and its products such as exotic options, particularly Asian options. The first part of the project is a description of basic derivatives and risk management strategies. In addition, this part discusses basic concepts of spot and futures (forward) markets, benefits and costs of risk management and risks and rewards of positions in the derivative markets. The second part considers valuations of commodity derivatives. In this part, the options pricing model DerivaGem is applied to Asian call and put options on London Metal Exchange (LME) copper because it is important to understand how Asian options are valued and to compare theoretical values of the options with their market observed values. Predicting future trends of copper prices is important and would be essential to manage market price risk successfully. Therefore, the third part is a discussion about econometric commodity models. Based on this literature review, the fourth part of the project reports the construction and testing of an econometric model designed to forecast the monthly average price of copper on the LME. More specifically, this part aims at showing how LME copper prices can be explained by means of a simultaneous equation structural model (two-stage least squares regression) connecting supply and demand variables. A simultaneous econometric model for the copper industry is built: {█(Q_t^D=e^((-5.0485))∙P_((t-1))^((-0.1868) )∙〖GDP〗_t^((1.7151) )∙e^((0.0158)∙〖IP〗_t ) @Q_t^S=e^((-3.0785))∙P_((t-1))^((0.5960))∙T_t^((0.1408))∙P_(OIL(t))^((-0.1559))∙〖USDI〗_t^((1.2432))∙〖LIBOR〗_((t-6))^((-0.0561))@Q_t^D=Q_t^S )┤ P_((t-1))^CU=e^((-2.5165))∙〖GDP〗_t^((2.1910))∙e^((0.0202)∙〖IP〗_t )∙T_t^((-0.1799))∙P_(OIL(t))^((0.1991))∙〖USDI〗_t^((-1.5881))∙〖LIBOR〗_((t-6))^((0.0717) Where, Q_t^D and Q_t^Sare world demand for and supply of copper at time t respectively. P(t-1) is the lagged price of copper, which is the focus of the analysis in this part. GDPt is world gross domestic product at time t, which represents aggregate economic activity. In addition, industrial production should be considered here, so the global industrial production growth that is noted as IPt is included in the model. Tt is the time variable, which is a useful proxy for technological change. A proxy variable for the cost of energy in producing copper is the price of oil at time t, which is noted as POIL(t ) . USDIt is the U.S. dollar index variable at time t, which is an important variable for explaining the copper supply and copper prices. At last, LIBOR(t-6) is the 6-month lagged 1-year London Inter bank offering rate of interest. Although, the model can be applicable for different base metals' industries, the omitted exogenous variables such as the price of substitute or a combined variable related to the price of substitutes have not been considered in this study. Based on this econometric model and using a Monte-Carlo simulation analysis, the probabilities that the monthly average copper prices in 2006 and 2007 will be greater than specific strike price of an option are defined. The final part evaluates risk management strategies including options strategies, metal swaps and simple options in relation to the simulation results. The basic options strategies such as bull spreads, bear spreads and butterfly spreads, which are created by using both call and put options in 2006 and 2007 are evaluated. Consequently, each risk management strategy in 2006 and 2007 is analyzed based on the day of data and the price prediction model. As a result, applications stemming from this project include valuing Asian options, developing a copper price prediction model, forecasting and planning, and decision making for price risk management in the copper market.

Design, Synthesis And Biological Evaluation Of Hybrid Bioisoster Derivatives Of N-acylhydrazone And Furoxan Groups With Potential And Selective Anti-trypanosoma Cruzi Activity.

Hybrid bioisoster derivatives from N-acylhydrazones and furoxan groups were designed with the objective of obtaining at least a dual mechanism of action: cruzain inhibition and nitric oxide (NO) releasing activity. Fifteen designed compounds were synthesized varying the substitution in N-acylhydrazone and in furoxan group as well. They had its anti-Trypanosoma cruzi activity in amastigotes forms, NO releasing potential and inhibitory cruzain activity evaluated. The two most active compounds (6, 14) both in the parasite amastigotes and in the enzyme contain the nitro group in para position of the aromatic ring. The permeability screening in Caco-2 cell and cytotoxicity assay in human cells were performed for those most active compounds and both showed to be less cytotoxic than the reference drug, benznidazole. Compound 6 was the most promising, since besides activity it showed good permeability and selectivity index, higher than the reference drug. Thereby the compound 6 was considered as a possible candidate for additional studies.

Synthesis And Antiproliferative Activity Of 8-hydroxyquinoline Derivatives Containing A 1,2,3-triazole Moiety.

Twelve novel 8-hydroxyquinoline derivatives were synthesized with good yields by performing copper-catalyzed Huisgen 1,3-dipolar cycloaddition (click reaction) between an 8-O-alkylated-quinoline containing a terminal alkyne and various aromatic or protected sugar azides. These compounds were evaluated in vitro for their antiproliferative activity on various cancer cell types. Protected sugar derivative 16 was the most active compound in the series, exhibiting potent antiproliferative activity and high selectivity toward ovarian cancer cells (OVCAR-03, GI50 < 0.25 μg mL(-1)); this derivative was more active than the reference drug doxorubicin (OVCAR-03, GI50 = 0.43 μg mL(-1)). In structure-activity relationship (SAR) studies, the physico-chemical parameters of the compounds were evaluated and docking calculations were performed for the α-glucosidase active site to predict the possible mechanism of action of this series of compounds.

Design And Synthesis Of N-acylated Aza-goniothalamin Derivatives And Evaluation Of Their In Vitro And In Vivo Antitumor Activity.

Herein we describe the synthesis of a focused library of compounds based on the structure of goniothalamin (1) and the evaluation of the potential antitumor activity of the compounds. N-Acylation of aza-goniothalamin (2) restored the in vitro antiproliferative activity of this family of compounds. 1-(E)-But-2-enoyl-6-styryl-5,6-dihydropyridin-2(1H)-one (18) displayed enhanced antiproliferative activity. Both goniothalamin (1) and derivative 18 led to reactive oxygen species generation in PC-3 cells, which was probably a signal for caspase-dependent apoptosis. Treatment with derivative 18 promoted Annexin V/7-aminoactinomycin D double staining, which indicated apoptosis, and also led to G2 /M cell-cycle arrest. In vivo studies in Ehrlich ascitic and solid tumor models confirmed the antitumor activity of goniothalamin (1), without signs of toxicity. However, derivative 18 exhibited an unexpectedly lower in vivo antitumor activity, despite the treatments being administered at the same site of inoculation. Contrary to its in vitro profile, aza-goniothalamin (2) inhibited Ehrlich tumor growth, both on the ascitic and solid forms. Our findings highlight the importance of in vivo studies in the search for new candidates for cancer treatment.

Esi(+)-ms And Gc-ms Study Of The Hydrolysis Of N-azobenzyl Derivatives Of Chitosan.

New N-p-chloro-, N-p-bromo-, and N-p-nitrophenylazobenzylchitosan derivatives, as well as the corresponding azophenyl and azophenyl-p-sulfonic acids, were synthesized by coupling N-benzylvchitosan with aryl diazonium salts. The synthesized molecules were analyzed by UV-Vis, FT-IR, 1H-NMR and 15N-NMR spectroscopy. The capacity of copper chelation by these materials was studied by AAS. Chitosan and the derivatives were subjected to hydrolysis and the products were analyzed by ESI(+)-MS and GC-MS, confirming the formation of N-benzyl chitosan. Furthermore, the MS results indicate that a nucleophilic aromatic substitution (SnAr) reaction occurs under hydrolysis conditions, yielding chloroaniline from N-p-bromo-, and N-p-nitrophenylazo-benzylchitosan as well as bromoaniline from N-p-chloro-, and N-p-nitrophenylazobenzyl-chitosan.

Contrasting Effects Of Land Use Intensity And Exotic Host Plants On The Specialization Of Interactions In Plant-herbivore Networks.

Human land use tends to decrease the diversity of native plant species and facilitate the invasion and establishment of exotic ones. Such changes in land use and plant community composition usually have negative impacts on the assemblages of native herbivorous insects. Highly specialized herbivores are expected to be especially sensitive to land use intensification and the presence of exotic plant species because they are neither capable of consuming alternative plant species of the native flora nor exotic plant species. Therefore, higher levels of land use intensity might reduce the proportion of highly specialized herbivores, which ultimately would lead to changes in the specialization of interactions in plant-herbivore networks. This study investigates the community-wide effects of land use intensity on the degree of specialization of 72 plant-herbivore networks, including effects mediated by the increase in the proportion of exotic plant species. Contrary to our expectation, the net effect of land use intensity on network specialization was positive. However, this positive effect of land use intensity was partially canceled by an opposite effect of the proportion of exotic plant species on network specialization. When we analyzed networks composed exclusively of endophagous herbivores separately from those composed exclusively of exophagous herbivores, we found that only endophages showed a consistent change in network specialization at higher land use levels. Altogether, these results indicate that land use intensity is an important ecological driver of network specialization, by way of reducing the local host range of herbivore guilds with highly specialized feeding habits. However, because the effect of land use intensity is offset by an opposite effect owing to the proportion of exotic host species, the net effect of land use in a given herbivore assemblage will likely depend on the extent of the replacement of native host species with exotic ones.

Anthocyanin And Other Phenolic Compounds In Ceylon Gooseberry (dovyalis Hebecarpa) Fruits.

Ceylon gooseberry is a deep-purple exotic berry that is being produced in Brazil with great market potential. This work aimed to determine major phenolic compounds in this specie by HPLC-PDA-ESI/MS. Samples were collected in two different seasons. Pulp and skin were analyzed separately. Non-acylated rutinoside derivatives of delphinidin (∼60-63%) and cyanidin (∼17-21%) were major anthocyanins tentatively identified. All anthocyanins had higher concentration in skin than in pulp (64-82 and 646-534mg of cyaniding-3-glucoside equivalents/100g skin and pulp, respectively). Moreover, anthocyanin profile changed between sampling dates (p<0.05). Mainly for delphinidin-3-rutinoside which could be a result of season variation. In this specie, non-anthocyanin polyphenols represent less than 35% of total extracted polyphenols. The tentative identification proposed a flavonol and three ellagitannins as major compounds of the non-anthocyanin phenolics fraction. Finally, anthocyanin is the major phenolic class in this fruit and its composition and content are significantly affected by season.

Antioxidant and antimicrobial properties of 2-(4,5-dihydro-1H-pyrazol-1-yl)-pyrimidine and 1-carboxamidino-1H-pyrazole derivatives

Five previously synthesized 4-trifluoromethyl-2-(5-aryl-3-styryl-1H-pyrazol-1yl)-pyrimidines and six 5-aryl-3-styryl-1-carboxamidino-1H-pyrazole derivatives were screened for their antioxidant proprieties. The antioxidant activities were evaluated by using the DPPH and the HRP/luminol/H2O2 chemiluminescence assay systems and for their antimicrobial activity (MIC). The results were good for those series in some concentration in comparison with the standards.