Quanto Pricing beyond Black–Scholes

Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models. The validation of quanto-pricing models has been a challenge so far, due to the lack of comprehensive data records of exchange-traded quanto transactions. To overcome this, we make use of exchange-traded structured products. After deriving prices for composite options in the existing modeling framework, we propose a new calibration procedure, carry out extensive analyses of parameter stability and assess the goodness of fit for plain vanilla and exotic double-barrier options.

Post-awakening Cortisol in Explosive Ordnance Disposal Technicians: A Replication Study in a Novel Population

ABSTRACT Introduction Amassing evidence suggests that post-awakening salivary cortisol rhythms (changes in cortisol throughout the day) may indicate health status. We previously established summary parameters for salivary cortisol in U.S. Navy Sea, Air, and Land and reported excellent parameter stability across 2 days of repeated sampling. To confirm the generalizability of our original findings to other military populations, we replicated the procedures of our prior report in another specialized military group. The purpose of this study was to (1) establish summary parameters of daily salivary cortisol rhythms, (2) evaluate summary parameter stability, and (3) assess the impact of sampling compliance in U.S. Navy Explosive Ordnance Disposal (EOD) technicians. Materials and Methods Seventy active duty, male Explosive Ordnance Disposal technicians (mean ± SD age; 34.9 ± 6.5 years) self-collected saliva samples in a nondeployed setting on two consecutive weekdays at WAKE, WAKE + 30 min, WAKE + 60 min, 4 p.m., and 9 p.m. For salivary cortisol, we computed summary parameters, i.e., measures of magnitude and measures of pattern, and then evaluated their stabilities via correlational analyses and Cronbach’s alpha (α). Compliance was objectively and subjectively evaluated using actigraphy and self-reported data, respectively. This research was conducted under a Naval Health Research Center Institutional Review Board approved study (NHRC.2015.0013). Results Average salivary cortisol concentrations increased at WAKE + 30 (mean ± SE reactivity; 48.9 + 6.8%) from WAKE, followed by a swift recovery at WAKE + 60. Approximately 10.9% of the group were classified as negative-responders (i.e., < 0% change from WAKE to WAKE + 30). The measures of magnitude demonstrated fair stability across two days (r value range: 0.37-0.45, ps < 0.01; α range: 0.54-0.62). Fifty-five percent of the sample was classified as compliant (defined as <15 min deviation from target sampling times) across both days. Compliance decreased to 31% when compliance criteria were refined to <5 min deviation; however, controlling for compliance did not overwhelmingly influence the more stable summary parameters of magnitude. Conclusions These findings demonstrate a thorough replication, with some additional refinement, of our prior study, implying generalizability across diverse military populations. Study limitations include unsupervised saliva collection in a free-living setting, which is counterbalanced by ecological validity. The noninvasive salivary sampling protocol used in this study yields stable estimations of daily cortisol rhythms in specialized military men and is recommended as an operational health surveillance tool by which to monitor chronically stressed military members.

Analisis Formulasi Mutu Hotmix Konvensional Dan Hotmix Recycling Pada Jalan Tol Ir. Wiyoto Wiyono

Program penggantian aspal merupakan program rutin pada pemeliharaan jalan tol untuk memenuhi Standar Pelayanan Minimum. Keterbatasan biaya pemeliharaan, beban kendaraan yang masih susah untuk dikendalikan, Pengaruh iklim tropis yang mempercepat kerusakan perkerasan jalan dapat memberi dampak terhadap rendahnya kinerja perkerasan jalan menjadi dasar penelitian ini serta hasil kupasan lapis permukaan beraspal yang biasa disebut Reclaimed Asphalt Pavement (RAP) belum termanfaatkan dengan baik. Hotmix Recycling merupakan suatu teknik daur ulang yang dapat diterapkan pada rehabilitasi dan pemeliharaan perkerasan jalan. Penelitian dilakukan untuk mengetahui formulasi kualitas hotmix konvensional dan hotmix recycling. Metode yang digunakan dalam penelitian ini adalah eksperimental dengan melakukan pengujian laboratorium terhadap material aspal bekas. Hasil penelitian didapatkan bahwa kualitas antara hotmix recycling dan hotmix konvensional hampir sama. Formulasi RAP dan fresh material optimal yang didapatkan 30:70 dengan parameter stability hotmix recycling lebih tinggi dibandingkan hotmix konvensional bertur-turut 1677,98 kg dan 1600 kg dengan standar minimum sebesar 1100 kg.