Search Results (19)

We study the shape of the Bachelier-implied volatility of a spread option on two assets following correlated local volatility models. This includes the limiting case of spread options on two correlated Black–Scholes (BS) assets. We give an analytical result for the at-the-money (ATM) skew of the spread-implied volatility, which depends only on the components’ ATM volatilities and skews. We also compute the ATM convexity of the implied spread option for the case when the assets follow correlated BS models. The results are extracted from the short-maturity asymptotics for basket options obtained previously by Avellaneda, Boyer-Olson, Busca and Friz and, thus, become exact in the short-maturity limit. Numerical testing of the short-maturity analytical results under the Black–Scholes model and in a local volatility model show good agreement for strikes sufficiently close to the ATM point. Numerical experiments suggest that a linear approximation for the spread Bachelier volatility constructed from the ATM spread volatility and skew gives a good approximation for the spread volatility for highly correlated assets. Full article

Money Art is a growing contemporary practice where artists transform banknotes into unique visual works. While conceptually powerful, these artworks present significant conservation challenges due to their fragile substrates and complex material compositions. This study investigates the degradation behaviour of UniPosca acrylic markers applied on zero-euro banknotes, drawing on the techniques of artist RichardHTT, and explores bio-based protective strategies suitable for their preservation. Laboratory samples were prepared to replicate the original artwork and subjected to accelerated ageing. A multi-analytical approach was employed, including multispectral imaging, Fourier trasform infrared (FTIR) and Raman spectroscopy, and scanning electron microscopy (SEM-EDS) colorimetric analysis. Thickness and adhesion properties were assessed with contact micrometry and peel tests, while wettability was evaluated through static contact angle measurements. Four biopolymer coatings, chitosan and chitosan–nanocellulose films with varying CNC concentrations, were evaluated for their transparency, mechanical stability, and compatibility with the substrate. Results showed that painted areas, especially those with blue and black pigments, experienced marked degradation, while, after coating application, samples demonstrated improved chromatic stability, hydrophobicity, and adhesion. Importantly, all coatings were fully removable via enzymatic cleaning with α-amylase, confirming their reversibility. This research highlights the potential of chitosan-based biocomposites as conservation materials for non-traditional artworks and contributes to developing tailored, reversible strategies for contemporary art preservation. Full article

This paper applies a ‘more-than-human’ theoretical framework to assess artificial intelligence (AI) in the context of a capitalist economy. Case studies of AI applications from the fields of finance, medicine, commerce and manufacturing elucidate how this capitalist context shapes the aims and objectives of these innovations. The early sections of the paper set out a more-than-human theoretical perspective on capitalism, to show how the accumulation of capital depends upon free flows of commodities, money and labour, and more-than-human forces associated with supply and demand. The paper concludes that while there will be many future applications of AI, it is already in thrall to capitalist enterprise. The primary social significance of AI is that it enhances capital accumulation and a capitalist ‘black hole’ that draws more and more human activity into its sphere of influence. AI has consequent negative social, political and environmental capacities, including financial uncertainty, waste, and social inequalities. Some ways to contain and even subvert these negative consequences of an AI-fuelled capitalism are suggested. Full article

Since the early 21st century, within fuzzy mathematics, there has been a stream of research in the field of option pricing that introduces vagueness in the parameters governing the movement of the underlying asset price through fuzzy numbers (FNs). This approach is commonly known as fuzzy random option pricing (FROP). In discrete time, most contributions use the binomial groundwork with up-and-down moves proposed by Cox, Ross, and Rubinstein (CRR), which introduces epistemic uncertainty associated with volatility through FNs. Thus, the present work falls within this stream of literature and contributes to the literature in three ways. First, analytical developments allow for the introduction of uncertainty with intuitionistic fuzzy numbers (IFNs), which are a generalization of FNs. Therefore, we can introduce bipolar uncertainty in parameter modelling. Second, a methodology is proposed that allows for adjusting the volatility with which the option is valued through an IFN. This approach is based on the existing developments in the literature on adjusting statistical parameters with possibility distributions via historical data. Third, we introduce into the debate on fuzzy random binomial option pricing the analytical framework that should be used in modelling upwards and downwards moves. In this sense, binomial modelling is usually employed to value path-dependent options that cannot be directly evaluated with the Black–Scholes–Merton (BSM) model. Thus, one way to assess the suitability of binomial moves for valuing a particular option is to approximate the results of the BSM in a European option with the same characteristics as the option of interest. In this study, we compared the moves proposed by Renddleman and Bartter (RB) with CRR. We have observed that, depending on the moneyness degree of the option and, without a doubt, on options traded at the money, RB modelling offers greater convergence to BSM prices than does CRR modelling. Full article

Throughout history, Black women have taken their unique lived experiences to make changes through civic behaviors. At the same time, they hold a complex position in society, located at the intersection of multiple marginalizing identities that put them at risk of experiencing distinct forms of discrimination. To date, little research has examined the patterns of Black women’s civic behaviors and associations with discrimination experiences and well-being. This may be particularly salient during emerging adulthood, a key period of sociopolitical development and increasing mental health problems. The current study seeks to address this gap, drawing from theories of intersectionality and sociopolitical development. Participants included 103 emerging adult Black women (M_age = 24.27, SD = 2.76) with a range of civic experiences. Overall, anti-racist action was the most prevalent domain of civic behavior. Participants were about twice as likely to engage in traditional political behaviors (e.g., signing petitions, giving money) than political protest. Latent class analysis was used to identify three unique subgroups of civic behaviors: Stably Committed, Traditionally Engaged, or Low Engagement. Findings also showed that emerging adult Black women classified as Stably Committed experienced more discrimination and higher depressive symptoms. The current findings inform the creation of safe spaces for emerging adult Black women to be civically engaged as they navigate racism and sexism and take action to seek racial justice. Full article

Several critical infrastructures are integrating information technology into their operations, and as a result, the cyber attack surface extends over a broad range of these infrastructures. Cyber attacks have been a serious problem for industries since the early 2000s, causing significant interruptions to their ability to produce goods or offer services to their clients. The thriving cybercrime economy encompasses money laundering, black markets, and attacks on cyber-physical systems that result in service disruptions. Furthermore, extensive data breaches have compromised the personally identifiable information of millions of people. This paper aims to summarize some of the major cyber attacks that have occurred in the past 20 years against critical infrastructures. These data are gathered in order to analyze the types of cyber attacks, their consequences, vulnerabilities, as well as the victims and attackers. Cybersecurity standards and tools are tabulated in this paper in order to address this issue. This paper also provides an estimate of the number of major cyber attacks that will occur on critical infrastructure in the future. This estimate predicts a significant increase in such incidents worldwide over the next five years. Based on the study’s findings, it is estimated that over the next 5 years, 1100 major cyber attacks will occur on critical infrastructures worldwide, each causing more than USD 1 million in damages. Full article

The Homeobox A11 (HOXA11) gene regulates limb skeletal development and muscle growth, thus, it was selected as a candidate gene for bovine carcass traits. In this study, we analyzed the mRNA expression level of HOXA11 in various tissues and cells, and determined the genetic variations in the HOXA11 gene, which might be used as molecular markers for cattle breeding. The mRNA expression profiles of HOXA11 in bovine different tissues showed that HOXA11 was highly expressed in both fat and muscle. The gene expression trend of HOXA11 in myoblasts and adipocytes indicated that HOXA11 might be involved in the differentiation of bovine myoblasts and adipocytes. The data in the Ensembl database showed that there are two putative insertion/deletion (InDel) polymorphisms in the bovine HOXA11 gene. The insertion site (rs515880802) was located in the upstream region (NC_037331.1: g. 68853364-68853365) and named as P1-Ins-4-bp, and the deletion site (rs517582703) was located in the intronic region (NC_037331.1: g. 68859510-68859517) and named as P2-Del-8-bp. These polymorphisms within the HOXA11 gene were identified and genotyped by PCR amplification, agarose gel electrophoresis and DNA sequencing in the 640 Shandong Black Cattle Genetic Resource (SDBCGR) population. Moreover, the mutation frequency was very low after detection, so the mathematical expectation (ME) method was used for detection. Statistical analysis demonstrated that P1-Ins-4-bp was significantly correlated with the beef shoulder (p = 0.012) and tongue root (p = 0.004). Meanwhile, P2-Del-8-bp displayed a significant correlation with the back tendon (p = 0.008), money tendon (p = 2.84 × 10^-4), thick flank (p = 0.034), beef shin (p = 9.09 × 10^-7), triangle thick flank (p = 0.04), triangle flank (p = 1.00 × 10^-6), rump (p = 0.018) and small tenderloin (p = 0.043) in the female SDBCGR population. In summary, these outcomes may provide a new perspective for accelerating the molecular breeding of cattle through marker-assisted selection (MAS) strategies. Full article

There is an international consensus that reductions of CO₂ emissions are needed in order to reduce global warming. So far, underground aquifer storage of CO₂ is the only commercially active option, and it has been so since 1996, when STAOIL started injecting a million tons of CO₂ per year into the Utsira formation. Storage of CO₂ in the form of solid hydrate is another option that is safer. Injection of CO₂ into CH₄ hydrate-filled sediments can lead to an exchange in which the in situ CH₄ hydrate dissociates and releases CH₄. Two types of additives are needed, however, to make this exchange feasible. The primary objective of the first additive is related to hydrodynamics and the need to increase injection gas permeability relative to injection of pure CO₂. This type of additive is typically added in amounts resulting in concentration ranges of additive in the order of tens of percentages of CO₂/additive mixture. These additives will, therefore, have impact on the thermodynamic properties of the CO₂ in the mixture. A second additive is added in order to reduce the blocking of pores by new hydrates created from the injection gas and free pore water. The second additive is a surfactant and is normally added in ppm amounts to the gas mixture. A typical choice for the first additive has been N₂. The simple reasons for that are the substantial change in rheological properties for the injection gas mixture and a limited, but still significant, stabilization of the small cavities of structure I. There are, however, thermodynamic limitations related to adding N₂ to the CO₂. In this work, we discuss a systematic and consistent method for the evaluation of the feasibility of CO₂ injection into CH₄ hydrate-filled reservoirs. The method consists of four thermodynamic criterions derived from the first and second laws of thermodynamics. An important goal is that utilization of this method can save money in experimental planning by avoiding the design of CO₂ injection mixtures that are not expected to work based on fundamental thermodynamic principles. The scheme is applied to hydrates in the Black Sea. Without compositional information and the knowledge that there is some verified H₂S in some sites, we illustrate that the observed bottom hydrate stability limits are all with hydrate stability limits of hydrates containing from 0 to 3 mole% H₂S. A limited number of different injection gas mixtures has been examined, and the optimum injection gas composition of 70 mole% CO₂, 20 mole% N₂, 5 mole% CH₄, and 5 mole% C₂H₆ is feasible. In addition, a surfactant mixture is needed to reduce blocking hydrate films from injection gas hydrate. Full article

The paper builds a Variance-Gamma (VG) model with five parameters: location ($\mu$), symmetry ($\delta$), volatility ($\sigma$), shape ($\alpha$), and scale ($\theta$); and studies its application to the pricing of European options. The results of our analysis show that the five-parameter VG model is a stochastic volatility model with a $\mathsf{\Gamma }(\alpha ,\theta )$ Ornstein–Uhlenbeck type process; the associated Lévy density of the VG model is a KoBoL family of order $\nu =0$, intensity $\alpha$, and steepness parameters $\frac{\delta }{{\sigma }^2}-\sqrt{\frac{{\delta }^2}{{\sigma }^4}+\frac{2}{\theta {\sigma }^2}}$ and $\frac{\delta }{{\sigma }^2}+\sqrt{\frac{{\delta }^2}{{\sigma }^4}+\frac{2}{\theta {\sigma }^2}}$; and the VG process converges asymptotically in distribution to a Lévy process driven by a normal distribution with mean $(\mu +\alpha \theta \delta )$ and variance $\alpha ({\theta }^2{\delta }^2+{\sigma }^2\theta )$. The data used for empirical analysis were obtained by fitting the five-parameter Variance-Gamma (VG) model to the underlying distribution of the daily SPY ETF data. Regarding the application of the five-parameter VG model, the twelve-point rule Composite Newton–Cotes Quadrature and Fractional Fast Fourier (FRFT) algorithms were implemented to compute the European option price. Compared to the Black–Scholes (BS) model, empirical evidence shows that the VG option price is underpriced for out-of-the-money (OTM) options and overpriced for in-the-money (ITM) options. Both models produce almost the same option pricing results for deep out-of-the-money (OTM) and deep-in-the-money (ITM) options. Full article

Deep learning has drawn great attention in the financial field due to its powerful ability in nonlinear fitting, especially in the studies of asset pricing. In this paper, we proposed a long short-term memory option pricing model with realized skewness by fully considering the asymmetry of asset return in emerging markets. It was applied to price the ETF50 options of China. In order to emphasize the improvement of this model, a comparison with a parametric method, such as Black-Scholes (BS), and machine learning methods, such as support vector machine (SVM), random forests and recurrent neural network (RNN), was conducted. Moreover, we also took the characteristic of heavy tail into consideration and studied the effect of realized kurtosis on pricing to prove the robustness of the skewness. The empirical results indicate that realized skewness significantly improves the pricing performance of LSTM among moneyness states except for in-the-money call options. Specifically, the LSTM model with realized skewness outperforms the classical method and other machine learning methods in all metrics. Full article

Vulnerability lifecycles and the vulnerability markets are related in a manner that can lead to serious security and economic risks, especially regarding black markets. In the current era, this is a relationship that requires careful scrutiny from society as a whole. Therefore, in this study, we analyzed the actual data relating to vulnerability-regulated markets in the case of two well-known browsers, Firefox and Chrome. Our analysis shows that financial reward is the main motivation for most discoverers, whose numbers are increasing every year. In addition, we studied the correlation between vulnerability markets and the vulnerability lifecycle from many perspectives, including theoretical concepts, and statistical approaches. Furthermore, we discussed the potential risks for people and organizations in terms of security and economics. We believe that money is the main motivation in vulnerability markets and that the latter are, in turn, the main driver of the vulnerability lifecycle, which presents several risks to the software industry and to society itself. Thus, in our opinion, if vulnerability markets can be controlled, the vulnerability lifecycle will be reduced or eliminated, along with its associated risks. Full article

The recent focus on rural–urban cancer disparities in the United States (U.S.) requires a comprehensive understanding of the processes and relations that influence cancer care seeking and decision making. This is of particular importance for Black, Latino, and Native populations living in rural areas in the U.S., who remain marginalized in health care spaces. In this article, we describe the household production of health approach (HHPH) as a contextually-sensitive approach to examining health care seeking and treatment decisions and actions. The HHPH approach is based on several decades of research and grounded in anthropological theory on the household, gender, and therapy management. This approach directs analytical attention to how time, money, and social resources are secured and allocated within the household, sometimes in highly unequal ways that reflect and refract broader social structures. To demonstrate the benefits of such an approach to the study of cancer in rural populations in the U.S., we take lessons from our extensive HHPH research in Zambia. Using a case study of a rural household, in which household members had to seek care in a distant urban hospital, we map out what we call a rural HHPH approach to bring into focus the relations, negotiations, and interactions that are central to individual and familial health care seeking behaviors and clinical treatment particular to rural regions. Our aim is to show how such an approach might offer alternative interpretations of existing rural cancer research in the U.S. and also present new avenues for questions and for developing interventions that are more sensitive to people’s realities. Full article

This paper examines the persistent food shortages in the island of Crete under Venetian rule (1204–1669) through the prism of the monetary system of Venetian territories and in combination with the other economic policies of the Venetian empire. From the available sources and analysis, it seems that the policies of Venice which prioritised the food security of the metropolis, the financial support to the elites, and the elite-favouring monetary and taxation system were contradictory and self-defeating. In particular, the monetary structure of the colonial economy and the taxation system seem to have been forcing both Cretans and Venetian settlers to produce wine for export instead of grain despite the repeated food shortages. The parallel circulation of various high-value (white money) and low-value (black money) currencies in the same economy and the insistence of the Venetian administration to receive taxes in white money seems to have been consistently undermining the food security policy adopted by the same authorities. The paper contributes to the discussion of how parallel currencies can stabilise an economy or can create structural destabilisation propensities, depending on coeval economic structures that usually go unexamined when we examine monetary instruments. Full article

M. NourbeSe Philip’s 2008 book-length poem Zong! represents maritime materialities below the sea’s surface in relation to aesthetic geographies of the sea in the aftermath of slavery as an abyss of loss, thereby extending modernist aesthetics while offering a strategic and revisionary response to male-centered modernist writing. Keen attention into the sea as an innovating and renewing source reveals that the poem imagines the sea as a literal, formal, and thematic agent for the “decontamination” of language—which, Philip maintains, is contaminated by imperialism—and of the received history about slavery. The poem focuses its investigation on the case of the 1781 Zong massacre and the Gregson v. Gilbert maritime insurance case that arose in its wake. Zong! mourns the massacre of 150 Africans who were thrown overboard so that owners of the slave ship could collect insurance money on lost “cargo”. In conversation with Caribbean poets and thinkers, such as Grace Nichols, and African oral traditions, the poem explores forms of memory that go beyond the non-history officially afforded to the enslaved and their descendants. Throughout the poem, the sea is a site of decontamination through which Zong! stages its attempt to recover the unrecoverable. While many scholars have understandably focused on the events aboard the ship, a small number of ecocritical readings have highlighted the poem’s engagement with the materiality of the sea. Drawing on postcolonial ecocriticism and black feminist theories of the human, this article will discuss the sea as a material geography, going deeper to investigate the poem’s rarely discussed focus on biological and chemical materiality as juxtaposed to representations of black women’s flesh, arguing that it functions as a feminist provocation to both human exceptionalism and the racial boundaries of the human. Full article

I document a sizeable bias that might arise when valuing out of the money American options via the Least Square Method proposed by Longstaff and Schwartz (2001). The key point of this algorithm is the regression-based estimate of the continuation value of an American option. If this regression is ill-posed, the procedure might deliver biased results. The price of the American option might even fall below the price of its European counterpart. For call options, this is likely to occur when the dividend yield of the underlying is high. This distortion is documented within the standard Black–Scholes–Merton model as well as within its most common extensions (the jump-diffusion, the stochastic volatility and the stochastic interest rates models). Finally, I propose two easy and effective workarounds that fix this distortion. Full article