Hedging Options with Different Time Units in the Pricing Models

This study examined the effects of the Greeks of the options and the trading results of delta hedging strategies, with three different time units or option-pricing models. These time units were calendar time, trading time and continuous time using discrete approximation (CTDA) time. The CTDA time model is a pricing model, that among others accounts for intraday and weekend, patterns in volatility. For the CTDA time model some additional theta measures, which were believed to be usable in trading, were developed. The study appears to verify that there were differences in the Greeks with different time units. It also revealed that these differences influence the delta hedging of options or portfolios. Although it is difficult to say anything about which is the most usable of the different time models, as this much depends on the traders view of the passing of time, different market conditions and different portfolios, the CTDA time model can be viewed as an attractive alternative.

The Day of the Week Effect and Option Pricing - A Study of the German Option Market

The use of different time units in option pricing may lead to inconsistent estimates of time decay and spurious jumps in implied volatilities. Different time units in the pricing model leads to different implied volatilities although the option price itself is the same.The chosen time unit should make it necessary to adjust the volatility parameter only when there are some fundamental reasons for it and not due to wrong specifications of the model. This paper examined the effects of option pricing using different time hypotheses and empirically investigated which time frame the option markets in Germany employ over weekdays. The paper specifically tries to get a picture of how the market prices options. The results seem to verify that the German market behaves in a fashion that deviates from the most traditional time units in option pricing, calendar and trading days. The study also showed that the implied volatility of Thursdays was somewhat higher and thus differed from the pattern of other days of the week. Using a GARCH model to further investigate the effect showed that although a traditional tests, like the analysis of variance, indicated a negative return for Thursday during the same period as the implied volatilities used, this was not supported using a GARCH model.

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.

In-Network Computation in Random Wireless Networks: A PAC Approach to Constant Refresh Rates with Lower Energy Costs

We propose a method to compute a probably approximately correct (PAC) normalized histogram of observations with a refresh rate of Theta(1) time units per histogram sample on a random geometric graph with noise-free links. The delay in computation is Theta(root n) time units. We further extend our approach to a network with noisy links. While the refresh rate remains Theta(1) time units per sample, the delay increases to Theta(root n log n). The number of transmissions in both cases is Theta(n) per histogram sample. The achieved Theta(1) refresh rate for PAC histogram computation is a significant improvement over the refresh rate of Theta(1/log n) for histogram computation in noiseless networks. We achieve this by operating in the supercritical thermodynamic regime where large pathways for communication build up, but the network may have more than one component. The largest component however will have an arbitrarily large fraction of nodes in order to enable approximate computation of the histogram to the desired level of accuracy. Operation in the supercritical thermodynamic regime also reduces energy consumption. A key step in the proof of our achievability result is the construction of a connected component having bounded degree and any desired fraction of nodes. This construction may also prove useful in other communication settings on the random geometric graph.

Geographical distribution of yellowfin tuna and skipjack catches from the Eastern Tropical Pacific Ocean, by quarters of the year, 1952-1955

ENGLISH: In a previous Commission Bulletin, Shimada (1957) has described the geographical distribution of the yearly catches of yellowfin tuna (Neothunnus macropterus) and skipjack (Katsuwonus pelamis) from the Eastern Pacific Ocean for the period 1952 to 1955 inclusive, based on information obtained from logbook records of baitboats and purse-seiners. In view of the seasonal nature of the fishery in different areas, a summary of the catches by smaller time units may be of additional value. Accordingly, statistical data employed earlier by Shimada have been retabulated by quarters of the year and form the basis of the present report. SPANISH: En un Boletín anterior de la Comisión, Shimada (1957) hizo un estudio sobre la distribución geográfica de las pescas anuales de atún aleta amarilla (Neothunnus macropterus) y barrilete (Katsuwonus pelamis) del Océano Pacifico Oriental, en el perlado comprendido por los años 1952 a 1955 inclusive. Dicho estudio fué hecho sobre la base de la información obtenida en los registros de las bitácoras de los barcos carnaderos y rederos. Pero en vista de la naturaleza que imprimen las estaciones a la pesquería en las diferentes áreas se ha considerado que podría tener valor complementario un resumen de las pescas en unidades de tiempo menores. De acuerdo con este criterio, los datos estadísticos empleados antes por Shimada, se han tabulado de nuevo ahora, por trimestres, y constituyen siempre la base del presente informe. (PDF contains 49 pages.)

冀东油田柳南地区新近系油藏剩余油形成及分布规律研究

This thesis is based on the research project of Study on the Geological Characteristics and Remaining Oil Distribution Law of Neogene Reservoirs in Liunan Area, which is one of the key research projects set by PetroChina Jidong Oilfield Company in 2006. The determination of remaining oil distribution and its saturation changes are the most important research contents for the development and production modification of oilfields in high water-cut phases. Liunan oilfield, located in Tangshan of Hebei Province geographically and in Gaoliu structural belt of Nanpu sag in Bohai Bay Basin structurally, is one of the earliest fields put into production of Jidong oilfield. Focusing on the development problems encountered during the production of the field, this thesis establishes the fine geological reservoir model through the study of reservoir properties such as fine beds correlation, sedimentary facies, micro structures, micro reservoir architecture, flow units and fluid properties. Using routine method of reservoir engineering and technology of reservoir numerical modeling, remaining oil distribution in the target beds of Liunan area is predicted successfully, while the controling factors of remaining oil distribution are illustrated, and the model of remaining oil distribution for fault-block structure reservoirs is established. Using staged-subdivision reservoir correlation and FZI study, the Strata in Liunan Area is subdivided step by step; oil sand body data-list is recompiled; diagram databases are established; plane and section configuration of monolayer sandstone body, and combination pattern of sandstone bodys are summarized. The study of multi-level staged subdivision for sedimentary micro-facies shows that the Lower member of Minghuazhen formation and the whole Guantao formation in Liunan Area belong to meandering river and braided river sedimentary facies respectively, including 8 micro facies such as after point bar, channel bar, channel, natural levee, crevasse splay, abandoned channel, flood plain and flood basin. Fine 3D geological modeling is performed through the application of advanced software and integration of geological, seismic logging and reservoir engineering data. High resolution numerical simulation is performed with a reserve fitting error less than 3%, an average pressure fitting fluctuation range lower than 2Mpa and an accumulate water cut fitting error less than 5%. In this way, the distribution law of the target reservoir in the study area is basically recognized. Eight major remaining oil distribution models are established after analysis of production status and production features in different blocks and different layers. In addition, fuzzy mathematics method is used to the integreted evaluation and prediction of abundant remaining oil accumulation area in major production beds and key sedimentary time units of the shallow strata in Liunan Area and corresponding modification comments are put forward. In summary, the establishment of fine reservoir geological model, reservoir numerical simulation and distribution prediction of remaining oil make a sound foundation for further stimulation of oilfield development performance.

Measuring the macrosystem in post-accord Northern Ireland: A social-ecological approach

The macrosystem refers to the overarching patterns that influence behavior at each level of the social ecology (Bronfenbrenner, 1977), making it a necessary component for assessing human development in contexts of political violence. This article proposes a method for systematically measuring the macrosystem in Northern Ireland that allows for a subnational analysis, multiple time units, and indicators of both low-level violence and positive relations. Articles were randomly chosen for each weekday in 2006-2011 from two prominent Northern Irish newspapers and coded according to their reflection of positive relations and political tensions between Catholics and Protestants. The newspaper data were then compared to existing macro-level measurements in Northern Ireland. We found that the newspaper data provided a more nuanced understanding of fluctuations in intergroup relations than the corresponding measures. This has practical implications for peacebuilding and advances our methods for assessing the impact of macro-level processes on individual development.

L'évolution de l'appui à la souveraineté du Québec: effets de la formulation de la question et effets de contexte.

Cette recherche étudie l'évolution de l'appui à la souveraineté du Québec entre 1976 et aujourd'hui, en considérant les diverses formulations de la question utilisées par les acteurs politiques et par les sondeurs. Cette question est abordée en faisant une analyse longitudinale multiniveaux de plus de 800 sondages. Une telle approche suggère que les caractéristiques des sondages sont nichées à l'intérieur d'unités contextuelles plus larges, des unités de temps. Cela permet d'une part d'observer quels sont les facteurs liés à la mesure qui influencent l'appui à la souveraineté du Québec et ensuite de voir comment ces mêmes effets varient à travers le temps et comment ils sont influencés par certains événements jugés importants. Il ressort de ces analyses que les propositions séparation, indépendance, souveraineté et souveraineté-association/partenariat entraînent généralement des appuis moyens significativement différents les uns des autres. Il apparaît aussi que certains événements ont eu une influence significative sur l'évolution de l'appui à ces diverses propositions. Enfin, il a été tenté de voir si les appuis propres à ces diverses propositions évoluaient de manière parallèle, s'ils réagissaient similairement aux différents événements considérés dans les analyses ou si au contraire ces appuis pouvaient parfois évoluer de manière différente. Les résultats à cet égard sont intéressants mais non concluants.

T-Policy in Reliability and Inventory

In this thesis T-policy is implemented to the inventory system with random lead time and also repair in the reliability of k-out-of-n system. Inventory system may be considered as the system of keeping records of the amounts of commodities in stock. Reliability is defined as the ability of an entity to perform a required function under given conditions for a given time interval. It is measured by the probability that an entity E can perform a required function under given conditions for the time interval. In this thesis considered k-out-of-n system with repair and two modes of service under T-policy. In this case first server is available always and second server is activated on elapse of T time units. The lead time is exponentially distributed with parameter  and T is exponentially distributed with parameter  from the epoch at which it was inactivated after completion of repair of all failed units in the previous cycle, or the moment n-k failed units accumulate. The repaired units are assumed to be as good as new. In this study , three different situations, ie; cold system, warm system and hot system. A k-out-of-n system is called cold, warm or hot according as the functional units do not fail, fail at a lower rate or fail at the same rate when system is shown as that when it is up.

Ultrasound effects on invertase from Aspergillus niger

Ultrasound effects on the release and activity of invertase from Aspergillus niger cultivated in a medium containing sucrose and peptone and in another with sugar-cane molasses and peptone were investigated. Irradiation was conducted for periods of 2 - 10 min. with waves of amplitude 20 and 40 using an ultrasound processor of 20 kHz. Product formation was determined as reducing equivalents formed by time units using 3,5-dinitrosalicylic acid. Total and specific activities of the culture supernatants were compared in the presence and absence of sonication. Both amplitudes promoted a significant increase of total invertase activity in the time periods investigated and the highest values were obtained with an amplitude of 20. Ultrasound irradiation caused cell disruption, thus releasing invertase and, after 4 min, activation of the enzyme also occurred. The best conditions for production, extraction and activation of invertase were in molasses medium containing peptone and irradiation with ultrasound waves at 20 for 8 min. This method showed high efficiency for the extraction and activation of invertase from A. niger as well as a great potential for use in industrial processes.

Efeitos no envelhecimento, do nível de atividade física e do treinamento com exercícios resistidos sobre a força muscular máxima diferenciada entre membros superiores e inferiores em mulheres

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Lifelines in case of Natural Disaster Emergencies

In order to handle Natural disasters, emergency areas are often individuated over the territory, close to populated centres. In these areas, rescue services are located which respond with resources and materials for population relief. A method of automatic positioning of these centres in case of a flood or an earthquake is presented. The positioning procedure consists of two distinct parts developed by the research group of Prof Michael G. H. Bell of Imperial College, London, refined and applied to real cases at the University of Bologna under the coordination of Prof Ezio Todini. There are certain requirements that need to be observed such as the maximum number of rescue points as well as the number of people involved. Initially, the candidate points are decided according to the ones proposed by the local civil protection services. We then calculate all possible routes from each candidate rescue point to all other points, generally using the concept of the "hyperpath", namely a set of paths each one of which may be optimal. The attributes of the road network are of fundamental importance, both for the calculation of the ideal distance and eventual delays due to the event measured in travel time units. In a second phase, the distances are used to decide the optimum rescue point positions using heuristics. This second part functions by "elimination". In the beginning, all points are considered rescue centres. During every interaction we wish to delete one point and calculate the impact it creates. In each case, we delete the point that creates less impact until we reach the number of rescue centres we wish to keep.

Paleomagnetic of ODP Leg 101 sites

Paleomagnetic measurements were made on 913 samples from 11 holes (626B, 626C, 627B, 628A, 630A, 631A, 632A, 632B, 633A, 634A, and 635B) drilled in and around the Bahamas carbonate bank during Ocean Drilling Program Leg 101. These samples displayed a wide range of magnetic intensities (from about 1.0 A/m to 1.6 * 10**- 6 A/m) and magnetic behavior. Most samples were weakly magnetized and had low mean destructive fields; however, sediments from sections of several holes were strongly magnetic with stable magnetizations. Magnetic-polarity interpretations were made on a Campanian unit from Hole 627B, a mid-Oligocene unit from Hole 628A, and a Plio-Pleistocene section from Hole 633A. Sediments in the upper parts of Holes 627B, 632A, and 633A have high magnetic intensities that decay 2 to 3 orders of magnitude over depths of 5 to 18 mbsf. The pattern of decline of the magnetism and the change in mean destructive fields and geochemical conditions in these holes are consistent with diagenetic dissolution of the magnetic minerals in a suboxic or anoxic-sulfidic environment. Paleolatitudes were calculated from samples from 16 time units in 7 holes and compared to the apparent polar wander path of the North American plate.

Herramienta de apoyo a la docencia en sistemas operativos

El proyecto fin de carrera de herramienta de apoyo a la docencia en Sistemas Operativos quiere ayudar al alumno a entender el funcionamiento de un planificador a corto plazo. Lo hace mediante una representación gráfica de procesos que ocupan o el procesador o distintas unidades de entrada/salida mientras transcurre el tiempo. El tiempo está dividido en ciclos de reloj de un procesador, a lo que a continuación se referirá como unidades de tiempo. Los procesos están definidos por su nombre, la instante de entrada que entran al sistema, su prioridad y la secuencia de unidades de tiempo en el procesador y unidades de entrada/salida que necesitan para terminar su trabajo. El alumno puede configurar el sistema a su gusto en cuanto al número y comportamiento de las unidades de entrada/salida. Puede definir que una unidad solo permita acceso exclusivo a los procesos, es decir que solo un proceso puede ocuparla simultáneamente, o que permita el acceso múltiple a sus recursos. El alumno puede construir un planificador a corto plazo propio, integrarlo en el sistema y ver cómo se comporta. Se debe usar la interfaz Java proporcionada para su construcción. La aplicación muestra datos estadísticos como por ejemplo la eficiencia del sistema (el tiempo activo de la CPU dividido por el tiempo total de la simulación), tiempos de espera de los procesos, etc. Se calcula después de cada unidad de tiempo para que el alumno pueda ver el momento exacto donde la simulación tomó un giro inesperado. La aplicación está compuesta por un motor de simulación que contiene toda la lógica y un conjunto de clases que forman la interfaz gráfica que se presenta al usuario. Estos dos componentes pueden ser reemplazados siempre y cuando se mantenga la definición de sus conectores igual. La aplicación la he hecho de manejo muy simple e interfaz fácil de comprender para que el alumno pueda dedicar todo su tiempo a probar distintas configuraciones y situaciones y así entender mejor la asignatura. ABSTRACT. The project is called “Tool to Support Teaching of the Subject Operating Systems” and is an application that aims to help students understand on a deeper level the inner workings of how an operating system handles multiple processes in need of CPU time by the means of a short-term planning algorithm. It does so with a graphical representation of the processes that occupy the CPU and different input/output devices as time passes by. Time is divided in CPU cycles, from now on referred to as time units. The processes are defined by their name, the moment they enter the system, their priority and the sequence of time units they need to finish their job. The student can configure the system by changing the number and behavior of the input/output devices. He or she can define whether a device should only allow exclusive access, i.e. only one process can occupy it at any given time, or if it should allow multiple processes to access its resources. The student can build a planning algorithm of his or her own and easily integrate it into the system to see how it behaves. The provided Java interface and the programming language Java should be used to build it. The application shows statistical data, e.g. the efficiency of the system (active CPU time divided by total simulation time) and time spent by the processes waiting in queues. The data are calculated after passing each time unit in order for the student to see the exact moment where the simulation took an unexpected turn. The application is comprised of a simulation motor, which handles all the logic, and a set of classes, which is the graphical user interface. These two parts can be replaced individually if the definition of the connecting interfaces stays the same. I have made the application to be very easy to use and with an easy to understand user interface so the student can spend all of his or her time trying out different configurations and scenarios in order to understand the subject better.

Keynes’s "Treatise on Money" and the role of the State

Este artículo hace una reconstrucción crítica de la visión de Keynes sobre la relación entre gasto público, tipo de interés, salarios y desempleo, tal y como se formula en su Tratado sobre el Dinero. El trabajo defiende que el enfoque de Keynes lleva a propuestas de política económica que enfatizan la necesidad de intervención estatal directa en la provisión de bienes y servicios. Esta conclusión se deriva de una interpretación circuitista de su obra.