Fast and accurate pricing of discretely monitored barrier options by numerical path integration

Barrier options are financial derivative contracts that are activated or deactivated according to the crossing of specified barriers by an underlying asset price. Exact models for pricing barrier options assume continuous monitoring of the underlying dynamics, usually a stock price. Barrier options in traded markets, however, nearly always assume less frequent observation, e.g. daily or weekly. These situations require approximate solutions to the pricing problem. We present a new approach to pricing such discretely monitored barrier options that may be applied in many realistic situations. In particular, we study daily monitored up-and-out call options of the European type with a single underlying stock. The approach is based on numerical approximation of the transition probability density associated with the stochastic differential equation describing the stock price dynamics, and provides accurate results in less than one second whenever a contract expires in a year or less. The flexibility of the method permits more complex underlying dynamics than the Black and Scholes paradigm, and its relative simplicity renders it quite easy to implement.     

Sintering of an ultra pure α-alumina powder: I. Densification,grain growth and sintering path

Sintering in air of an ultra pure α-alumina powder has been investigated. Isothermal experiments have been conducted on green samples shaped by slip casting. The grain growth and densification kinetics have been established. The “relative density/grain size” trajectory, called “sintering path”, has been drawn. Hypotheses concerning the mechanisms controlling grain growth and densification have been formulated. For the first time, it is shown that grain growth and densification kinetics exhibit two distinct regimes, where an initial point defect formation step plays a key role. When point defects have been generated, the diffusion of the associated Al³⁺ cations controls grain growth and densification.     

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Stability, in-Vitro and in-Vivo Release Studies from Metronidazole Ointments

The influence of ointment formulation on the stability, the in-vitro release and the in-vivo absorption through the skin of rabbits was investigated. The choice of the selected ointments has no influence on the drug stability with the exception of an acidified emulsion base. A good correlation between in-vitro release and in-vivo absorption was found revealing that metronidazole was quickly released and effectively absorbed from a polyethylene glycol base.     

Investigation of the stability of tablets prepared from sucrose and citric acid anhydride utilizing response surface methodology

Inversion of sucrose is a stability problem particularly of candies with acidic taste that contain sucrose and small amounts of organic acids such as citric acid, since the free d-fructose produced by hydrolysis is hygroscopic. The following possibilities were investigated for preventing the hydrolysis of sucrose in tablets containing sucrose and citric acid: Adding various amounts of tri-sodium citrate to the formulation to neutralize the citric acid, (Hot) melt coating of citric acid and tri-sodium citrate with a vegetable fat at different coating ratios, variation of the ratio of coated citric acid and tri-sodium citrate in formulations, and compressing the formulations with different compression forces. After tablet processing and storage of tablets, the concentration of d-fructose was determined on the basis of enzymatic reactions. A response surface central composite design was used. The above-mentioned variations were chosen as independent variables and the amount of d-fructose was chosen as response variable. The lowest rates of inversion could be achieved by increasing the content of tri-sodium citrate and the ratio of coating material and decreasing the ratio of coated citric acid and tri-sodium citrate in the tablet formulations. The compression force had no significant effect on the inversion of sucrose.     

SAP NetWeaver: Slicing the fridge

Zusammenfassung Das Schlagwort NetWeaver ist seit einiger Zeit in unserer Branche en vogue. Wie so oft, ist es nicht leicht, Marketingaspekte vom informatischen Wesensgehalt zu unterscheiden. Dieser Beitrag m?chte hier helfen.     

Evaluation of the accuracy of real-time ultrasonic measurements of backfat and loin muscle area in swine using multiple statistical analysis procedures

Real-time ultrasonic measurements of 10th-rib backfat (BF10) and loin muscle area (LMA) were made by a single technician at four mean BW (67.4, 80.3, 93.4, and 104.9 kg) on live hogs to assess the accuracy of predicting carcass measurements before and at slaughter weight. Records were evaluated on 655 purebred barrows and 472 purebred gilts in two tests. Residual correlations-accounting for test, sex, and breed effects, among and between scans and carcass measurements--were moderate to high for BF10 (r=.69 to .82) and LMA (r=.57 to .68), with the largest correlations at 104.9 kg of live weight. Ultrasonic BF10 and LMA were within +/-4 mm and +/-6.45 cm2, respectively, of the corresponding carcass measurement 75.9 and 89.8% of the time. Sex differences for LMA bias were significant (P < .001); ultrasonic LMA was overestimated in barrows by .75 cm2 and underestimated in gilts by .91 cm2. Breed differences were significant (P < .001) for BF10 and LMA bias. Standard errors of prediction (SEP) for BF10 and LMA across the two tests were 3.46 mm and 4.04 cm2, respectively. The SEP for BF10 were 3.60 mm for barrows and 3.19 mm for gilts. The SEP for LMA were 3.77 cm2 for barrows and 4.22 cm2 for gilts. The SEP for BF10 within breeds ranged from 3.25 to 3.72 mm, and for LMA, ranged from 2.98 cm2 to 4.90 cm2. Ultrasound measurements overestimated the carcass measurement by .57 mm for carcasses measuring < 24.1 mm and underestimated by 2.81 mm carcasses with BF10 > 30.3 mm. Ultrasonic LMA overestimated the carcass by 2.35 cm2 in carcasses measuring < 32.5 cm2 and underestimated by 2.29 cm2 in carcasses measuring greater than 37.9 cm2. Results indicate that the magnitude of the carcass measurement affects bias and accuracy of prediction for real-time ultrasonic measurements of BF10 and LMA. The SEP statistic is more consistent in evaluating accuracy of ultrasonic measurement than bias, absolute deviations, and percentage of absolute deviation.