Implicit Bayesian Inference Using Option Prices

Abstract. A Bayesian approach to option pricing is presented in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time‐varying volatility in returns are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Models are ranked according to several criteria, including out‐of‐sample predictive and hedging performance. The methodology accommodates heteroscedasticity and autocorrelation in the option pricing errors, as well as regime shifts across contract groups. The method is applied to intraday option price data on the S&P500 stock index for 1995. While the results provide support for models that accommodate leptokurtosis and skewness, no one model dominates when all criteria are considered.     

Structural–Property Relations in a Reduced and Internally Biased Oxide Wafer (RAINBOW) Actuator Material

Reduced and internally biased oxide wafer (RAINBOW) actuators are fabricated by a controlled reduction of Pb(Zr, Ti)O₃-based piezoelectric material. The reduction process results in a conductive layer composed of an interconnected metallic lead phase and refractory oxides (ZrTiO₄, ZrO₂, La₂O₃, etc.). The nature of the reduction is discovered to be the result of a complex volume change leading to a nanoscale interconnected metallic structure. The distribution of phases within the cermet vary within the thickness of the wafer. Within the piezoelectric ceramic phase, the reduction process modifies the grain-boundary structure to give two distinct types of fracture: transgranular and intergranular. The complexed microstructures of the RAINBOW actuator materials are discussed in relation to their dielectric and piezoelectric properties.     

The comparative effect of a mixed urea,ammonium nitrate,ammonium sulphate granular formulation on the efficiency of N recovery by perennial ryegrass

The¹⁵N isotope was used to study the mode of action of individual nitrogen sources in a 30% urea:30% ammonium nitrate: 10% ammonium sulphate:30% filler (w/w) granular fertilizer for perennial ryegrass in a greenhouse pot experiment. The fertilizer consisted of two types of granules, one containing 80% urea and 20% filler and the second containing 48% ammonium nitrate (AN), 16% ammonium sulphate (AS) and 36% filler. In addition the effect of dolomite compared with silica as the filler was investigated on nitrogen recovery from the 30:30:10:30 formulation.Dolomite adversely affected the recovery of nitrate N from the system and evidence suggested that MgCO₃ was the active component. Granules containing dolomite resulted in a lower dry-matter yield than those containing silica, however the difference was not significant as nitrate contributed only 20% of the N in the formulation. AN gave the greatest DM yield and urea the lowest with AS being intermediate. The¹⁵N budget in shoots, roots and soil indicated that only 65% of the N from urea was recovered at the end of the experiment compared with 86% for AN and 91% for AS. The dry-matter yield of the 30:30:10:30 formulation using silica as the filler was intermediate between urea and AN; however, the apparent N recovery was significantly higher than expected from the sum of the individual components. The use of¹⁵N labelling indicated that using separate granules for ammonium N and urea the recovery of urea was improved by 11% in the triple N mixture when both AN and AS were present in the second granule compared to the recovery on its own. The enhanced recovery of urea appeared to be a function of AN and AS acting together as neither source in double combination with urea had any effect on urea N recovery.Urea enhanced the recovery of nitrate N by 10% but decreased the recovery of AS by 6% (in the 30:30:10:30 formulation) in comparison with the single sources on their own. The results indicate that interactions can occur between N sources even when they are physically separated by being in different granules.     

Applications of laser Raman microprobe spectroscopy to the characterization of coals and cokes

Optical microscopy is widely used in the characterization of coals and cokes. This Paper shows that the laser Raman microprobe (MOLE) which combines an optical microscope and a Raman spectrometer can provide useful additional information. Three main areas were investigated: identification of minerals in coal and coke; structural characterization of coals and cokes; and the interaction of inorganic additives and coal. Where possible, the results were compared with conventional optical microscopy measurements whereby it was shown that the optical texture and Raman spectra of cokes are not closely related. The Raman spectra of high temperature cokes were used to estimate the size of microcrystalline regions.     

Development of a high‐resolution RGBW flexible display using a white organic light‐emitting diode with microcavity structure and that of a side‐roll touch panel

In this study, white organic electroluminescent devices with microcavity structures were developed. A flexible high‐resolution active‐matrix organic light‐emitting diode display with low power consumption using red, green, blue, and white sub‐pixels formed by a color‐filter method was fabricated. In addition, a side‐roll touch display was developed in combination with a capacitive flexible touch screen.     

Radical styrene polymerization in the presence of trace levels of sulfonic acids

The bulk polymerization of styrene in the presence of the vinyl functional sulfonic acid 2‐sulfoethylmethacrylate (SEM) was found to have utility for making polystyrenes with narrow polydispersity, bimodal polydispersity, and ultrahigh molecular weight at fast polymerization rates. Narrow polydispersity polymers were made by the addition of SEM to nitroxide‐mediated polymerizations. Bimodal polydispersity polymers were made by the ultrahigh molecular weight component being made in the presence of SEM in the absence of an initiator and the low molecular weight component being made in the presence of an initiator and/or chain‐transfer agent. Ultrahigh molecular weight monomodal polystyrenes were prepared at much faster polymerization rates than possible via spontaneous polymerization in the absence of SEM. SEM was found to be more effective, by an order of magnitude, than camphor sulfonic acid on a weight basis and, because it is copolymerized into the polymer chain, should not lead to corrosion problems during fabrication of the polymer. © 2002 Wiley Periodicals, Inc. J Appl Polym Sci 87: 869–875, 2003     

Diastereoselective Heterogeneous Catalytic Hydrogenation of Aromatic or Heteraromatic Compounds

The diastereoselective hydrogenation catalyzed by heterogeneous metallic catalysts uses a covalently bound chiral auxiliary to induce the chirality. It remains an active synthetic methodology in the asymmetric synthesis of chiral products and may proceed with high diastereoselectivity. This review describes recent examples using this method, such as hydrogenation of C=C, C=O, and C=N bonds. The use of a chiral auxiliary group has also been successfully applied to the hydrogenation of aromatic and heteroaromatic rings. The choice of the chiral auxiliary was found to play a key role in the asymmetric hydrogenation. The results could be explained in terms of steric effect, with a preferred conformation of the adduct substrate and the addition occurring from the less bulky side. The catalytic metal, the support and the presence of additives were also found to have a significant influence.     

Effect of amino acid deletions in the O-glycosylated region of Aspergillus awamori glucoamylase

Aspergillus awamori glucoamylase (GA) contains globular catalyticand starch-binding domains (residues 1–471 and 509–616,respectively). A heavily O-glycosylated sequence comprises twoparts. The first (residues 441–471) in the crystal structurewraps around an /-barrel formed by residues 1–440. Thesecond (residues 472–508) is an extended, semi-rigid linkerbetween the two domains. To investigate the functional roleof this linker, we made internal deletions to remove residues466–512 (GA1), 485–512 (GA2) and 466–483 (GA3).GA2 and GA3 were expressed in Saccharomyces cerevisiae culturesupernatants at 60 and 20% the wild-type level, respectively,while GA1 was almost undetectable. Western blots comparing extracellularand intracellular fractions indicated that the region deletedin GA3 was critical for secretion, while the region deletedin GA2 contributed to the production of a stable enzyme structure.The activities of purified GA2 and GA3 on soluble and insolublestarch were similar to those of wild-type GA, indicating thatfor soluble starch their deletions did not affect the catalyticdomain and for insoluble starch the linker does not coordinatethe activities of the catalytic and starch-binding domains.The deletions had a significant negative effect on GA2 and GA3thermos tabilities.     

Investigation of Flow Patterns in Continuous‐flow Stirred Vessels by Laser Doppler Velocimetry

The flow structure of a continuous‐flow reactor stirred by a Rushton turbine was investigated by laser Doppler velocimetry for two different mean residence time‐mixing time ratios. Velocity measurements were obtained for two inlet locations, corresponding to the incoming liquid stream being fed co‐currently or counter‐currently to the flow discharged by the turbine. In all investigated configurations and for all operating conditions, it was found that the flow disruption caused by the incoming liquid stream was observable mainly in the first vessel quarter, which followed the feed‐tube plane. From comparison of the velocities encountered in the various planes in the continuous‐flow reactor to the velocities of the batch reactor, it was also concluded that it may be possible to intensify the usage of the turbine‐stirred vessel by decreasing the characteristic times ratio, without considerable flow by‐pass and/or short‐circuiting problems.