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S. L. (s + l)
Selected AbstractsAlternative tilts for nonparametric option pricingTHE JOURNAL OF FUTURES MARKETS, Issue 10 2010M. Ryan Haley This study generalizes the nonparametric approach to option pricing of Stutzer, M. (1996) by demonstrating that the canonical valuation methodology introduced therein is one member of the Cressie,Read family of divergence measures. Alhough the limiting distribution of the alternative measures is identical to the canonical measure, the finite sample properties are quite different. We assess the ability of the alternative divergence measures to price European call options by approximating the risk-neutral, equivalent martingale measure from an empirical distribution of the underlying asset. A simulation study of the finite sample properties of the alternative measure changes reveals that the optimal divergence measure depends upon how accurately the empirical distribution of the underlying asset is estimated. In a simple Black,Scholes model, the optimal measure change is contingent upon the number of outliers observed, whereas the optimal measure change is a function of time to expiration in the stochastic volatility model of Heston, S. L. (1993). Our extension of Stutzer's technique preserves the clean analytic structure of imposing moment restrictions to price options, yet demonstrates that the nonparametric approach is even more general in pricing options than originally believed. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:983,1006, 2010 [source] Titelbild: Bautechnik 7/2008BAUTECHNIK, Issue 7 2008Article first published online: 10 JUL 200 Im nordspanischen Zaragoza, auf halbem Weg zwischen Madrid und Barcelona gelegen, findet vom 14. Juni bis 14. September 2008 die internationale Weltausstellung Expo 2008 unter dem Motto "Wasser und nachhaltige Entwicklung" statt. Eines der wichtigsten Projekte ist der Brückenpavillon als Blickfang, Eingangstor und mehrstöckiges Ausstellungsgebäude von Zaha Hadid. Für die Konstruktion wurden 5500 t Stahl verarbeitet. Die Schweißarbeiten wurden mit der Schweißtechnologie von Fronius ausgeführt (s. S. 500 f). (Foto: eNVuelo, S. L.) [source] Detection of Heterobasidion annosum s. l. [(Fr.) Bref.] in Norway Spruce by Polymerase Chain ReactionJOURNAL OF PHYTOPATHOLOGY, Issue 7 2002G. Bahnweg Abstract Internal transcribed spacer (ITS) sequences of the rDNA repeat unit of Heterobasidion annosum were used to design specific primers for the detection and quantification of this important forest pathogen by polymerase chain reaction (PCR). Specificity of detection was cross-checked against a variety of other fungi (saprophytes, root pathogens, mycorrhizal fungi) which may occur in the same environment. As little as 1 pg fungal DNA (equiv. to 10,40 genomes) could be detected in 200 ng spruce root DNA (from 1 mg fresh spruce root). The Heterobasidion -specific primers allowed simultaneous detection of Armillaria spp. in multiplex PCR. The method was successfully applied to increment cores of Norway spruce from the forest region Tharandter Wald (Saxonia, Germany), Oberbärenburg (East Ore Mountains, Saxonia) and Oberschleissheim (north of Munich, Bavaria). [source] Cambrian high-resolution biostratigraphy and carbon isotope chemostratigraphy in Scania, Sweden: first record of the SPICE and DICE excursions in ScandinaviaLETHAIA, Issue 1 2009PER AHLBERG A core drilling (Andrarum-3), from the classical locality at Andrarum, Scania, southernmost Sweden, penetrated a 28.90-m-thick Cambrian succession. The core comprises dark grey to black, finely laminated mudstones and shales with early concretionary carbonate lenses (stinkstones or orsten) and a few primary carbonate beds. The middle Cambrian (provisional Series 3) part of the core comprises 17.35 m, whereas the Furongian Series (upper Cambrian) part covers the remaining 11.55 m. Nineteen trilobite and two phosphatocopine genera are present in the middle Cambrian, whereas the less diverse Furongian interval yielded four trilobite and three phosphatocopine genera. Other, less frequent, faunal elements include conodonts (s. l.), brachiopods, sponge spicules, bradoriids, and coprolites. Trilobites and phosphatocopines were used to subdivide the core into seven biozones ranging from the Ptychagnostus atavus Zone to the Parabolina spinulosa Zone (P. spinulosa Subzone). Carbon isotopic analyses (,13Corg) through the core show two important excursions, the negative DrumIan Carbon isotope Excursion (DICE) in the Pt. atavus Zone, and the Steptoean Positive Carbon Isotope Excursion (SPICE) beginning near the first appearance of Glyptagnostus reticulatus and extending upward into the Olenus and Agnostus (Homagnostus) obesus Zone. The DICE displays a peak value, in the samples at hand, of ,30.45,,13Corg in the lower part of the P. atavus Zone. The ,13Corg values increase through the overlying L. laevigata and A. pisiformis zones and display peak values of c. ,28.00,,13Corg in the lowermost Furongian Olenus wahlenbergi and O. attenuatus subzones. Thereafter the values decrease significantly through the O. scanicus Subzone. Both isotopic excursions have been documented from several palaeocontinents, but never before from Baltica. Moreover, for the first time these excursions are recorded from organic matter in an alum shale setting. The recorded shift of +1.50,2.00,,13Corg is approximately half the magnitude of the SPICE documented from other regions. This discrepancy may be related to temporal variations in the type, origin, or diagenesis of the organic fraction analysed. [source] Plastid DNA haplotype variation in Dactylorhiza incarnata (Orchidaceae): evidence for multiple independent colonization events into ScandinaviaNORDIC JOURNAL OF BOTANY, Issue 1 2009Mikael Hedrén The early marsh orchid, Dactylorhiza incarnata (L.) Soó s. l., grows in medium-rich to rich fens and marshes over much of Europe and parts of Asia. The species is highly polymorphic and different forms may grow together at the same site. In the present study, I tested the hypothesis that these forms represent different migrant populations that have colonized Scandinavia independently of each other, possibly from different source areas. Accessions from Scandinavia and elsewhere were screened for variation at three size-variable plastid marker loci, one polyA repeat, one polyA-polyTA-polyT repeat and one 9 bp indel. Ten haplotypes were defined on basis on the combined variation pattern. The common occurrence of several haplotypes in southern Scandinavia and adjacent areas to the south and the east of the Baltic Sea suggests that D. incarnata has been dispersed on repeated occasions across the Baltic. Also, there was some correlation between haplotype composition and morphological form on the island of Gotland, in agreement with the independent colonization hypothesis. Material from northernmost Sweden, Finland and northwest Russia was fixed for a single widespread haplotype, indicating that populations in this area are located farther away from the Pleistocene refugia. Dactylorhiza incarnata ssp. lobelii from southwest Norway was characterized by a haplotype that was not encountered elsewhere in Scandinavia. Given its proximity to British populations dominated by the same haplotype, it is suggested that D. incarnata ssp. lobelii was established independently of the other Scandinavian populations, from coastal refugia located in western Europe. [source] | ||||||||||