Option pricing models without probability: a rough paths approach

We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of European options. The continuity properties of rough-paths allow us to generalise the so-called fundamental theorem of derivative trading, showing that a small misspecification of the model will yield only a small excess profit or loss of the replication strategy. Our hedging strategy is an enhanced version of classical delta hedging where we use volatility swaps to hedge the second order terms arising in rough-path integrals, resulting in improved robustness

New Media, New Influencers and Implications for Public Relations

Marketers and public relations professionals today are confronted with an astounding array of new communications channels. Internet-based social media tools like blogs, podcasts, online video and social networks are giving voice to the opinions of millions of consumers. While mainstream media continues to play a vital role in the dissemination of information, even these traditional channels are increasingly being influenced by online conversations. The "new influencers" are beginning to tear at the fabric of marketing as it has existed for 100 years, giving rise to a new style of marketing that is characterized by conversation and community. Marketers are responding to these forces with a mixture of excitement, fear and fascination. They're alarmed at the prospect of ceding control of their messages to a community of unknowns. Yet at the same time they're excited about the prospect of leveraging theese same tools to speak directly to their constituents without the involvement of media intermediaries.The Society for New Communications Research set out to conduct an examination of how influence patterns are changing and how communications professionals are addressing those changes by adopting social media. The goals were to discover how organizations:Define new influencers;Communicate and create relationships with them;Use social media to create influence; andMeasure the effects of these efforts.Another goal of the study was to use these discoveries to offer a set of recommendations to professional communicators

Exploring the Link Between Customer Care and Brand Reputation in the Age of Social Media

Consumers are more empowered than ever to share their customer care experiences. Through the use of social media and new communications tools and technologies, messages can be sent more widely than ever before. This research study examined the links between social media, customer satisfaction, brand reputation and customer loyalty. The Society for NewCommunications Research designed the research to examine how customer care influences brand reputation given the widespread adoption of social media. Objectives of the research included:To assess the extent to which consumers research and review companies' products/services online prior to making purchase decisionsTo assess the influence of social media on user opinions as they relate to the customer care experienceTo determine what types of online resources and social media are considered the most valuable sources of information about the customer care experienceTo assess the extent to which consumers are influenced by their own customer care experiences and how they think sharing that information online influences how others view products and brands

Students’ perceptions towards technology (PATT): A professional development tool for technology teachers.

In the context of the design and implementation of professional development for technology teachers, a PATT instrument was administered to students in an attempt to develop an understanding of their dispositions toward technology, and so inform, through professional development, technology teachersʼ implementation of technology in Malawi. The PATT questionnaire was completed by 358 form 3 (year 11) students (191 males and 167 females) from three secondary schools who gave informed consent. The questionnaire was categorised into three parts: the attributes of the students, an attitudinal scale and a concept scale. All data were analysed using SPSS and only descriptive statistics were used during discussions with teachers in each of the schools. Using the PATT survey results during the professional development program helped the teachers to recognise technology as a very broad learning area as shown by a cross range of concepts covered in the PATT instrument. It also helped the teachers to understand studentsʼ views about technology and the need to develop appropriate technology programmes and pedagogy for both boys and girls to reinforce their confidence. The teachers all considered discussing PATT results as insightful since the studentsʼ views highlighted the need for developing learning materials, tools and pedagogical approaches that take into consideration the studentsʼ own world and knowledge of technology

Considerations for design of source apportionment studies

This report recommends procedures for source and ambient sampling and analysis in source apportionment studies. The recommendations are based on the results of receptor model studies of atmospheric particles in urban areas, especially a recent study of Houston, TX, undertaken as part of the Mathematical and Empirical Receptor Models Workshop (Quail Roost II). The recommendations are presented at three levels of increasing cost and detail of information obtained. Existing mass emissions inventories combined with chemically resolved test data from similar sources (not necessarily in the same locale) can be used to initially estimate the sources of elements present on ambient particles. To aid local users in construction of chemically resolved emission estimates, the U.S. Environmental Protection Agency (EPA) is compiling a library of compositions and size distributions of particulate emissions from major source types. More reliable source characterization can be achieved if the actual sources are tested directly. EPA should develop and publish detailed procedures for source sampling that would be more appropriate for receptor model use than are existing standard methods. Source and ambient sampling should be conducted by similar methods. If possible, particles from sources should be collected in a way that simulates changes that would normally occur before they reach distant receptors (e.g. by diluting and cooling the particles from hot sources). It is recommended that particulate samples be routinely collected in two size fractions by use of virtual impactors and that all samples be subjected, at a minimum, to mass and X-ray fluorescence analyses. Additional measurements are suggested for obtaining more detailed information: neutron activation analysis; X-ray diffraction; automated particle classification by electron microscopy; analyses for classes of organic species, ^(14)C and thermally released carbonaceous species; and real-time observation of several gases during sample collection. Methods for collecting meteorological data in parallel with ambient samples are described, as are methods for incorporating such data into the source identification process

Characteristics of atmospheric organic and elemental carbon particle concentrations in Los Angeles

A fine particle air monitoring network was operated in the Los Angeles area during 1982. It was found that carbonaceous aerosols accounted for typically 40% of total fine particle mass loadings at most monitoring sites. The ratio of total carbon (TC) to elemental carbon (EC) in ambient samples and in primary source emissions was examined as an indicator of the extent of secondary organic aerosol formation. It was found that TC to EC ratios at all sites on average are no higher than recent estimates of the TC to EC ratio in primary source emissions. There is little evidence of the sustained summer peak in the ratio of TC to EC that one might expect if greatly enhanced secondary organics production occurs during the photochemical smog season. The TC to EC ratio does rise by the time that air masses reach the prevailing downwind edge of the air basin as would be expected if secondary organics are being formed during air parcel transport, but the extent of that increase is modest. These results suggest that primary particulate carbon emissions were the principal contributor to long-term average fine aerosol carbon concentrations in the Los Angeles area during 1982

Outcomes after angiography with sodium bicarbonate and acetylcysteine

Background: Intravenous sodium bicarbonate and oral acetylcysteine are widely used to prevent acute kidney injury and associated adverse outcomes after angiography without definitive evidence of their efficacy. Methods: Using a 2-by-2 factorial design, we randomly assigned 5177 patients at high risk for renal complications who were scheduled for angiography to receive intravenous 1.26% sodium bicarbonate or intravenous 0.9% sodium chloride and 5 days of oral acetylcysteine or oral placebo; of these patients, 4993 were included in the modified intention-to-treat analysis. The primary end point was a composite of death, the need for dialysis, or a persistent increase of at least 50% from baseline in the serum creatinine level at 90 days. Contrast-associated acute kidney injury was a secondary end point. Results: The sponsor stopped the trial after a prespecified interim analysis. There was no interaction between sodium bicarbonate and acetylcysteine with respect to the primary end point (P=0.33). The primary end point occurred in 110 of 2511 patients (4.4%) in the sodium bicarbonate group as compared with 116 of 2482 (4.7%) in the sodium chloride group (odds ratio, 0.93; 95% confidence interval [CI], 0.72 to 1.22; P=0.62) and in 114 of 2495 patients (4.6%) in the acetylcysteine group as compared with 112 of 2498 (4.5%) in the placebo group (odds ratio, 1.02; 95% CI, 0.78 to 1.33; P=0.88). There were no significant between-group differences in the rates of contrast-associated acute kidney injury. Conclusions: Among patients at high risk for renal complications who were undergoing angiography, there was no benefit of intravenous sodium bicarbonate over intravenous sodium chloride or of oral acetylcysteine over placebo for the prevention of death, need for dialysis, or persistent decline in kidney function at 90 days or for the prevention of contrast-associated acute kidney injury. (Funded by the U.S. Department of Veterans Affairs Office of Research and Development and the National Health and Medical Research Council of Australia; PRESERVE ClinicalTrials.gov number, NCT01467466.

Bacterial Mutagenicity of Urban Organic Aerosol Sources in Comparison to Atmospheric Samples

The bacterial mutagenicity of a comprehensive set of urban particulate air pollution source samples is examined using the Salmonella typhimurium forward mutation assay. Each of the combustion source samples examined, including the exhaust from catalyst-equipped autos, noncatalyst autos, heavy-duty diesel trucks, plus natural gas, distillate oil, and wood combustion sources, is mutagenic in this assay, with a response per microgram of organic carbon in these samples generally greater than that of cigarette smoke aerosol. The noncombustion source samples tested generally are not mutagenic at the levels examined. The specific mutagenicity (mutant fraction per microgram of organic carbon) of ambient aerosol samples collected in southern California is compared to a weighted average of the specific mutagenicity of the primary source samples assembled in proportion to their emission rates in the Los Angeles area. In most cases where a comparison can be made, the specific mutagenicity of the source composites and the ambient samples are of similar magnitude, with the exception that the -PMS mutagenicity of the aerosol at Long Beach, CA, during the first half of the calendar year 1982 and at Azusa, CA, during the April-June 1982 period is much higher than can be explained by direct emissions from the sources studied here