Closed form approximations for spread options

This article expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new closed form approximation for the price of a European spread option and a corresponding approximation for each of its price, volatility and correlation hedge ratios. Our approach has many advantages over existing analytical approximations, which have limited validity and an indeterminacy that renders them of little practical use. The compound exchange option approximation for European spread options is then extended to American spread options on assets that pay dividends or incur costs. Simulations quantify the accuracy of our approach; we also present an empirical application to the American crack spread options that are traded on NYMEX. For illustration, we compare our results with those obtained using the approximation attributed to Kirk (1996, Correlation in energy markets. In: V. Kaminski (Ed.), Managing Energy Price Risk, pp. 71–78 (London: Risk Publications)), which is commonly used by traders.

An empirical model comparison for valuing crack spread options

In this paper, we investigate the pricing of crack spread options. Particular emphasis is placed on the question of whether univariate modeling of the crack spread or explicit modeling of the two underlyings is preferable. Therefore, we contrast a bivariate GARCH volatility model for cointegrated underlyings with the alternative of modeling the crack spread directly. Conducting an empirical analysis of crude oil/heating oil and crude oil/gasoline crack spread options traded on the New York Mercantile Exchange, the more simplistic univariate approach is found to be superior with respect to option pricing performance.

On the goodness of fit of Kirk's formula for spread option prices

In this paper we investigate the goodness of fit of the Kirk's approximation formula for spread option prices in the correlated lognormal framework. Towards this end, we use the Malliavin calculus techniques to find an expression for the short-time implied volatility skew of options with random strikes. In particular, we obtain that this skew is very pronounced in the case of spread options with extremely high correlations, which cannot be reproduced by a constant volatility approximation as in the Kirk's formula. This fact agrees with the empirical evidence. Numerical examples are given.

On the closed-form approximation of short-time random strike options

In this paper we propose a general technique to develop first and second order closed-form approximation formulas for short-time options withrandom strikes. Our method is based on Malliavin calculus techniques andallows us to obtain simple closed-form approximation formulas dependingon the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches ontwo-assets and three-assets spread options as Kirk's formula or the decomposition mehod presented in Alòs, Eydeland and Laurence (2011).

A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével = Modelling of the carbon dioxide emissions of a power plant, using real options

A szerző egy, a szennyezőanyag-kibocsátás európai kereskedelmi rendszerében megfelelésre kötelezett gázturbinás erőmű szén-dioxid-kibocsátását modellezi négy termékre (völgy- és csúcsidőszaki áramár, gázár, kibocsátási kvóta) vonatkozó reálopciós modell segítségével. A profitmaximalizáló erőmű csak abban az esetben termel és szennyez, ha a megtermelt áramon realizálható fedezete pozitív. A jövőbeli időszak összesített szén-dioxid-kibocsátása megfeleltethető európai típusú bináris különbözetopciók összegének. A modell keretein belül a szén-dioxid-kibocsátás várható értékét és sűrűségfüggvényét becsülhetjük, az utóbbi segítségével a szén-dioxid-kibocsátási pozíció kockáztatott értékét határozhatjuk meg, amely az erőmű számára előírt megfelelési kötelezettség teljesítésének adott konfidenciaszint melletti költségét jelenti. A sztochasztikus modellben az alaptermékek geometriai Ornstein-Uhlenbeck-folyamatot követnek. Ezt illesztette a szerző a német energiatőzsdéről származó publikus piaci adatokra. A szimulációs modellre támaszkodva megvizsgálta, hogy a különböző technológiai és piaci tényezők ceteris paribus megváltozása milyen hatással van a megfelelés költségére, a kockáztatott értékére. ______ The carbon-dioxide emissions of an EU Emissions Trading System participant, gas-fuelled power generator are modelled by using real options for four underlying instruments (peak and off-peak electricity, gas, emission quota). This profit-maximizing power plant operates and emits pollution only if its profit (spread) on energy produced is positive. The future emissions can be estimated by a sum of European binary-spread options. Based on the real-option model, the expected value of emissions and its probability-density function can be deducted. Also calculable is the Value at Risk of emission quota position, which gives the cost of compliance at a given confidence level. To model the prices of the four underlying instruments, the geometric Ornstein-Uhlenbeck process is supposed and matched to public available price data from EEX. Based on the simulation model, the effects of various technological and market factors are analysed for the emissions level and the cost of compliance.

New methods for detecting antibiotic resistant bacteria and preventing their spread

Methicillin resistant Staphylococcus aureus (MRSA) bacteria have emerged in the early 1980's in numerous health care institutions around the world. The main transmission mechanism within hospitals and healthcare facilities is through the hands of health care workers. Resistant to several antibiotics, the MRSA is one of the most feared pathogens in the hospital setting since it is very difficult to eradicate with the standard treatments. There are still a limited number of anti-MRSA antibiotics but the first cases of resistance to these compounds have already been reported and their frequency is likely to increase in the coming years. Every year, the MRSA infections result in major human and financial costs, due to the high associated mortality and expenses related to the required care. Measures towards a faster detection of resistant bacteria and establishment of appropriate antibiotic treatment parameters are fundamental. Also as part as infection prevention, diminution of bacteria present on the commonly touched surfaces could also limit the spread and selection of antibiotic resistant bacteria. During my thesis, projects were developed around MRSA and antibiotic resistance investigation using innovative technologies. The thesis was subdivided in three main parts with the use of atomic force microscopy AFM for antibiotic resistance detection in part 1, the importance of the bacterial inoculum size in the selection of antibiotic resistance in part 2 and the testing of antimicrobial surfaces creating by sputtering copper onto polyester in part 3. In part 1 the AFM was used two different ways, first for the measurement of stiffness (elasticity) of bacteria and second as a nanosensor for antibiotic susceptibility testing. The stiffness of MRSA with different susceptibility profiles to vancomycin was investigated using the stiffness tomography mode of the AFM and results have demonstrated and increased stiffness in the vancomycin resistant strains that also paralleled with increased thickness of the bacterial cell wall. Parts of the AFM were also used to build a new antibiotic susceptibility-testing device. This nano sensor was able to measure vibrations emitted from living bacteria that ceased definitively upon antibiotic exposure to which they were susceptible but restarted after antibiotic removal to which they were resistant, allowing in a matter of minute the assessment of antibiotic susceptibility determination. In part 2 the inoculum effect (IE) of vancomycin, daptomycin and linezolid and its importance in antibiotic resistance selection was investigated with MRSA during a 15 days of cycling experiment. Results indicated that a high bacterial inoculum and a prolonged antibiotic exposure were two key factors in the in vitro antibiotic resistance selection in MRSA and should be taken into consideration when choosing the drug treatment. Finally in part 3 bactericidal textile surfaces were investigated against MRSA. Polyesters coated after 160 seconds of copper sputtering have demonstrated a high bactericidal activity reducing the bacterial load of at least 3 logio after one hour of contact. -- Au cours des dernières décennies, des bactéries multirésistantes aux antibiotiques (BMR) ont émergé dans les hôpitaux du monde entier. Depuis lors, le nombre de BMR et la prévalence des infections liées aux soins (IAS) continuent de croître et sont associés à une augmentation des taux de morbidité et de mortalité ainsi qu'à des coûts élevés. De plus, le nombre de résistance à différentes classes d'antibiotiques a également augmenté parmi les BMR, limitant ainsi les options thérapeutiques disponibles lorsqu'elles ont liées a des infections. Des mesures visant une détection plus rapide des bactéries résistantes ainsi que l'établissement des paramètres de traitement antibiotiques adéquats sont primordiales lors d'infections déjà présentes. Dans une optique de prévention, la diminution des bactéries présentes sur les surfaces communément touchées pourrait aussi freiner la dissémination et l'évolution des bactéries résistantes. Durant ma thèse, différents projets incluant des nouvelles technologies et évoluant autour de la résistance antibiotique ont été traités. Des nouvelles technologies telles que le microscope à force atomique (AFM) et la pulvérisation cathodique de cuivre (PCC) ont été utilisées, et le Staphylococcus aureus résistant à la méticilline (SARM) a été la principale BMR étudiée. Deux grandes lignes de recherche ont été développées; la première visant à détecter la résistance antibiotique plus rapidement avec l'AFM et la seconde visant à prévenir la dissémination des BMR avec des surfaces crées grâce à la PCC. L'AFM a tout d'abord été utilisé en tant que microscope à sonde locale afin d'investiguer la résistance à la vancomycine chez les SARMs. Les résultats ont démontré que la rigidité de la paroi augmentait avec la résistance à la vancomycine et que celle-ci corrélait aussi avec une augmentation de l'épaisseur des parois, vérifiée grâce à la microscopie électronique. Des parties d'un AFM ont été ensuite utilisées afin de créer un nouveau dispositif de test de sensibilité aux antibiotiques, un nanocapteur. Ce nanocapteur mesure des vibrations produites par les bactéries vivantes. Après l'ajout d'antibiotique, les vibrations cessent définitivement chez les bactéries sensibles à l'antibiotique. En revanche pour les bactéries résistantes, les vibrations reprennent après le retrait de l'antibiotique dans le milieu permettant ainsi, en l'espace de minutes de détecter la sensibilité de la bactérie à un antibiotique. La PCC a été utilisée afin de créer des surfaces bactéricides pour la prévention de la viabilité des BMR sur des surfaces inertes. Des polyesters finement recouverts de cuivre (Cu), connu pour ses propriétés bactéricides, ont été produits et testés contre des SARMs. Une méthode de détection de viabilité des bactéries sur ces surfaces a été mise au point, et les polyesters obtenus après 160 secondes de pulvérisation au Cu ont démontré une excellente activité bactéricide, diminuant la charge bactérienne d'au moins 3 logio après une heure de contact. En conclusion, l'utilisation de nouvelles technologies nous a permis d'évoluer vers de méthodes de détection de la résistance antibiotique plus rapides ainsi que vers le développement d'un nouveau type de surface bactéricide, dans le but d'améliorer le diagnostic et la gestion des BMR.

Pricing the option adjust spread of Brazilian Eurobonds

This paper presents results of a pricing system to compute the option adjusted spread ("DAS") of Eurobonds issued by Brazilian firms. The system computes the "DAS" over US treasury rates taktng imo account the embedded options present on these bonds. These options can be calls ("callable bond"), puts ("putable bond") or combinations ("callable and putable bond"). The pricing model takes into account the evolution of the term structure along time, is compatible with the observable market term structure and is able to compute risk measures such as duration and convexity, and pricing and hedging of options on these bonds. Examples show the ejJects of the embedded options on the spread and risk measures as well as the ejJects on the spread due to variations on the volatility parameters ofthe short rate.

Macroeconomic policies in times of crisis: options and perspectives

Includes bibliography

Public health risks of enterobacterial isolates producing extended-spectrum β-lactamases or AmpC β-lactamases in food and food-producing animals: an EU perspective of epidemiology, analytical methods, risk factors, and control options

The blaESBL and blaAmpC genes in Enterobacteriaceae are spread by plasmid-mediated integrons, insertion sequences, and transposons, some of which are homologous in bacteria from food animals, foods, and humans. These genes have been frequently identified in Escherichia coli and Salmonella from food animals, the most common being blaCTX-M-1, blaCTX-M-14, and blaCMY-2. Identification of risk factors for their occurrence in food animals is complex. In addition to generic antimicrobial use, cephalosporin usage is an important risk factor for selection and spread of these genes. Extensive international trade of animals is a further risk factor. There are no data on the effectiveness of individual control options in reducing public health risks. A highly effective option would be to stop or restrict cephalosporin usage in food animals. Decreasing total antimicrobial use is also of high priority. Implementation of measures to limit strain dissemination (increasing farm biosecurity, controls in animal trade, and other general postharvest controls) are also important.

Status of kariba weed (Salvinia molesta) infestation, its impacts and control options on Uganda’s water systems

Kariba weed (Salvinia molesta) is an invasive alien waterweed that was first recorded in Uganda in sheltered bays of Lake Kyoga in June 2013. This waterweed has become a common feature on Lake Kyoga and its associated rivers, streams and swamps, and has spread to other lakes notably Kwania and Albert in addition to Lake Kimira in Bugiri district.

Number of options in a movement sequence affects learners' behavior in a self-controlled practice condition

Self controlling practice implies a process of decision making which suggests that the options in a self controlled practice condition could affect learners The number of task components with no fixed position in a movement sequence may affect the (Nay learners self control their practice A 200 cm coincident timing track with 90 light emitting diodes (LEDs)-the first and the last LEDs being the warning and the target lights respectively was set so that the apparent speed of the light along the track was 1 33 m/sec Participants were required to touch six sensors sequentially the last one coincidently with the lighting of the tar get light (timing task) Group 1 (n=55) had only one constraint and were instructed to touch the sensors in any order except for the last sensor which had to be the one positioned close to the target light Group 2 (n=53) had three constraints the first two and the last sensor to be touched Both groups practiced the task until timing error was less than 30 msec on three consecutive trials There were no statistically significant differences between groups in the number of trials needed to reach the performance criterion but (a) participants in Group 2 created fewer sequences corn pared to Group 1 and (b) were more likely to use the same sequence throughout the learning process The number of options for a movement sequence affected the way learners self-controlled their practice but had no effect on the amount of practice to reach criterion performance.

Who should wear mask against airborne infections? Altering the contact network for controlling the spread of contagious diseases

There are several ways of controlling the propagation of a contagious disease. For instance, to reduce the spreading of an airborne infection, individuals can be encouraged to remain in their homes and/or to wear face masks outside their domiciles. However, when a limited amount of masks is available, who should use them: the susceptible subjects, the infective persons or both populations? Here we employ susceptible-infective-recovered (SIR) models described in terms of ordinary differential equations and probabilistic cellular automata in order to investigate how the deletion of links in the random complex network representing the social contacts among individuals affects the dynamics of a contagious disease. The inspiration for this study comes from recent discussions about the impact of measures usually recommended by health public organizations for preventing the propagation of the swine influenza A (H1N1) virus. Our answer to this question can be valid for other eco-epidemiological systems. (C) 2010 Elsevier BM. All rights reserved.

Language policy spread: Learning from health and social policy models

Except for a few large scale projects, language planners have tended to talk and argue among themselves rather than to see language policy development as an inherently political process. A comparison with a social policy example, taken from the United States, suggests that it is important to understand the problem and to develop solutions in the context of the political process, as this is where decisions will ultimately be made.