Model Risk for European-Style Stock Index Options

In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as the Black-Scholes (BS) model with constant volatility. In this paper, we study the stochastic volatility (SV) and stochastic volatility random jump (SVJ) models as parametric benchmarks against feedforward neural network (FNN) models, a class of neural network models. Our choice for FNN models is due to their well-studied universal approximation properties of an unknown function and its partial derivatives. Since the partial derivatives of an option pricing formula are risk pricing tools, an accurate estimation of the unknown option pricing function is essential for pricing and hedging. Our findings indicate that FNN models offer themselves as robust option pricing tools, over their sophisticated parametric counterparts in predictive settings. There are two routes to explain the superiority of FNN models over the parametric models in forecast settings. These are nonnormality of return distributions and adaptive learning     

Pricing and hedging derivative securities with neural networks:Bayesian regularization, early stopping, and bagging

We study the effectiveness of cross validation, Bayesian regularization, early stopping, and bagging to mitigate overfitting and improving generalization for pricing and hedging derivative securities with daily S&P 500 index daily call options from January 1988 to December 1993. Our results indicate that Bayesian regularization can generate significantly smaller pricing and delta-hedging errors than the baseline neural-network (NN) model and the Black-Scholes model for some years. While early stopping does not affect the pricing errors, it significantly reduces the hedging error (HE) in four of the six years we investigated. Although computationally most demanding, bagging seems to provide the most accurate pricing and delta hedging. Furthermore, the standard deviation of the MSPE of bagging is far less than that of the baseline model in all six years, and the standard deviation of the average HE of bagging is far less than that of the baseline model in five out of six years. We conclude that they be used at least in cases when no appropriate hints are available.     

The effect of liposome on dyeing mohair/wool blends

The aim of this study was to examine the use of liposome in the dyeing of wool and mohair fibres with acid dyestuffs. Soybean lecithin and cholesterol were used to form the liposome membrane utilised in the dyebath. Liposome production was performed according to the thin lipid layer method (Bangham Method) using a rotary evaporator. Two different forms of liposome were used for dyeing wool and mohair fibres. In its first form, liposome was utilised as an auxiliary agent, where it was added to a conventional dyebath at the beginning of the process. In its second form, dyes were encapsulated with liposome and then used in dyeing. The effects of these two different forms of liposome were compared with conventional dyeing. Dyeing was carried out at depths of shade of 0.5%, 1.0% and 2.0% using three different concentrations of liposome (0.33%, 0.66% and 1.33%). An analysis of K/S values, fastness to washing, and the alkali solubility of fibres was conducted. The fibre samples dyed in the presence of liposome exhibited very good fastness to light (grade 8). The wash fastness test results of the liposomal‐dyed samples were significantly better (grade 4‐5) than for those samples which were conventionally dyed. In the presence of liposome, the tensile strength of fibres was 20 gf, whereas it was 11 gf without liposomes.     

Species distribution,molecular characteristics and vancomycin resistance gene profiles of Enterococcus sp. isolates from farmhouse cheeses in western Turkey

Species distribution, virulence traits and vancomycin resistance gene profiles of Enterococcus isolated from 43 home‐made artisan cheese samples collected from open markets, located in Aydin region of Turkey, were investigated. Of the 129 isolates, 95 were identified as Enterococcus sp.; Enterococcus faecium being the most prevalent species (82.1%), followed by Enterococcus faecalis (13.6%) and Enterococcus durans (1.0%). None of the enterococci were harbouring vanA or vanC, while seven isolates (7.3%) were shown to harbour vanB gene by multiplex PCR. gelE (49.4%) being the most prevalent virulence factor was followed by asa1 (27.3%), esp (22.1%), cylA (4.2%) and hyl (3.1%).     

Option Pricing With Modular Neural Networks

This paper investigates a nonparametric modular neural network (MNN) model to price the S&P-500 European call options. The modules are based on time to maturity and moneyness of the options. The option price function of interest is homogeneous of degree one with respect to the underlying index price and the strike price. When compared to an array of parametric and nonparametric models, the MNN method consistently exerts superior out-of-sample pricing performance. We conclude that modularity improves the generalization properties of standard feedforward neural network option pricing models (with and without the homogeneity hint).     

Mesophase AR pitch derived carbon foam: Effect of temperature, pressure and pressure release time

For the carbon foam production, mesophase pitch pellets are heated up in a reactor in an aluminum mold to specified pressures and finally pressure released to obtain green carbon foam samples. The green foams were then stabilized and carbonized. The effects of various temperatures, pressures and pressure release times on production of carbons foams are investigated. The samples are subjected to SEM, mechanical testing, mercury porosimetry analysis and bulk density determination for characterization. For the processing temperatures of 553, 556, 566 and 573 K, the densities of the foams produced were 380, 390, 410 and 560 kg/m³ respectively. The compressive strengths of the respective samples were increased from 1.47, to 3.31 MPa for the lowest and highest temperatures. The processing pressures were 3.8, 5.8, 6.8 and 7.8 MPa. The bulk density and the compressive strength of the carbon foams produced were changed from 500 to 580 kg/m³, and 1.87 to 3.52 MPa for the lowest and highest pressures respectively. Pressure release times of 5 s, 80 s, 160 s and 600 s are used to produce different carbon foam samples. The densities and the comprehensive strengths measured for the highest and lowest pressure release times changed from 560 to 240 kg/m³ and 3.31 to 2.16 MPa respectively. The pore size distribution of all of the products changed between 0.052×10^-6m and 120×10^-6m. Increase in temperature and pressure increased the bulk density and compressive strength of the carbon foams. The mercury porosimetry results show % porosity increase with increasing temperature and pressure. On the other hand, increase in pressure release time decreased the bulk density, compressive strength of the carbon foam.     

Photochromic microcapsules by coacervation and in situ polymerization methods for product-marking applications

Photochromic materials can change their colour quickly and reversibly when exposed to light of certain wavelengths. These materials have recently been of great interest for intelligent and functional textile applications. In this study, two different photochromic dyes, including 1′,3′-dihydro-1′,3′,3′-trimethyl-6-nitro-spiro[2H-1-benzopyran-2,2′-(2H)-indole] and 1′,3′-dihydro-8-methoxy-1′,3′,3′-trimethyl-6-nitrospiro[2H-1-benzopyran-2,2′-(2H)-indole], were microencapsulated by coacervation and in situ polymerization methods. Ethyl cellulose and melamine–urea–formaldehyde were used as polymers. The Fourier transform infrared spectroscopy, particle size and size distribution analysis, scanning electron microscopy, and ultraviolet spectrophotometry evaluations were utilized to characterize the structure, morphology, size distribution, and absorbance maxima of the photochromic microcapsules. The results indicated that photochromic microcapsules were in spherical shape, smooth, and homogeneous characteristics. These microcapsules were applied successfully onto cotton fabric using printing technique. Then, the activities of photochromic microcapsules on the fabrics were analysed by colour analysis under different light sources, fatigue resistance, washing, and rubbing fastness tests. After printing, the colours of the fabrics changed very quickly under different light sources. At the same time, these fabrics showed a reversible photochromic response and good fatigue resistance. Mechanical and physical properties of the fabrics such as thickness, air permeability and tensile and tear strength were also investigated. It can be concluded that photochromic microcapsules are well appropriate for brand protection and prevention of imitation in textile materials.     

New production process for insulation blocks composed of EPS and lightweight concrete containing pumice aggregate

This study introduces a new production method for production of the insulation blocks made of pumice aggregate, lightweight concrete and expanded polystyrene foam (EPS). Products produced via this method were analyzed for compliance with the Turkish standards institution (TS EN) standards. A single-line lightweight masonry block with 200?mm?×?400?mm?×?200?mm dimension (width?×?length?×?height) was produced to produce an insulation block by using circular saw block cutting machine for the first time. Physical and thermal properties of the all-in aggregate pumice used in lightweight aggregate were determined and the all-in aggregate pumice was subjected to sieve analysis. After the production, insulation blocks were subjected to some analysis according to pre-set standards to determine their usability as masonry unit. After the curing period (28?days), it was found that the highest value of deviation from the plane was 0.150?mm; deviation of the flanges from plain parallelism was 0.40?mm; dry density was 562?kg/m³; compressive strength value was 2.99?N/mm²; water absorption coefficient by capillaries was 20.63?g/mm²sn^0.5; sound absorption value of the masonry unit was 60 (dB); thermal conductivity coefficient was 0.33?W/mK; initial shear strength value was 0.471?N/mm² and plaster-holding capacity was considerably high. When compared to other construction elements, thermal conductivity and masonry unit weight of the insulation block and masonry costs were found to be lower.     

Characterization of acidic pumice and determination of its electrokinetic properties in water

In this study some characterization tests of acidic pumice were performed using various techniques such as Mercury Intrusion Porosimetry (MIP), Scanning Electron Microscope (SEM), X-Ray Diffraction (XRD), Thermal Analysis (DTA–TG), FTIR and its electrokinetic properties in water such as zeta potential (ZP), isoelectrical point (IEP), indifferent, specifically adsorbing and potential determining ions were determined. The results showed that (i) pore dimensions of the irregular or oval and fibrous cavities of the pumice varied between 0.05 μm and 2 mm depending on its particle size and these cavities usually did not intersect each other; (ii) as the pumice particle size decreases, both total pore volume and total pore surface area significantly decrease as well; (iii) pumice maintained its thermal stability approximately up to 900 °C; (iv) pumice had a negative surface charge between pH 1.8 and 11.4; and (v) Cl^?, Br^? SO₄^2?, Na⁺, Al(OH)₂⁺ and Ca²⁺ ions were indifferent, C₁₆H₃₃(CH₃)₃N⁺, Al³⁺ and Al(OH)²⁺ cations were specifically adsorbing and, H⁺ and OH^? ions were potential determining ions for acidic pumice.