The Use of Artificial Neural Network in Option Pricing: The Case of S and P 100 Index Options

Due to the increasing and varying risks that economic units face with, derivative instruments gain substantial importance, and trading volumes of derivatives have reached very significant level. Parallel with these high trading volumes, researchers have developed many different models. Some are parametric, some are nonparametric. In this study, the aim is to analyse the success of artificial neural network in pricing of options with S&P 100 index options data. Generally, the previous studies cover the data of European type call options. This study includes not only European call option but also American call and put options and European put options. Three data sets are used to perform three different ANN models. One only includes data that are directly observed from the economic environment, i.e. strike price, spot price, interest rate, maturity, type of the contract. The others include an extra input that is not an observable data but a parameter, i.e. volatility. With these detail data, the performance of ANN in put/call dimension, American/European dimension, moneyness dimension is analyzed and whether the contribution of the volatility in neural network analysis make improvement in prediction performance or not is examined. The most striking results revealed by the study is that ANN shows better performance when pricing call options compared to put options; and the use of volatility parameter as an input does not improve the performance.

Water Demand Prediction for Touristic Mecca City in Saudi Arabia using Neural Networks

Saudi Arabia is an arid country which depends on costly desalination plants to satisfy the growing residential water demand. Prediction of water demand is usually a challenging task because the forecast model should consider variations in economic progress, climate conditions and population growth. The task is further complicated knowing that Mecca city is visited regularly by large numbers during specific months in the year due to religious occasions. In this paper, a neural networks model is proposed to handle the prediction of the monthly and yearly water demand for Mecca city, Saudi Arabia. The proposed model will be developed based on historic records of water production and estimated visitors- distribution. The driving variables for the model include annuallyvarying variables such as household income, household density, and city population, and monthly-varying variables such as expected number of visitors each month and maximum monthly temperature.

Use of a Learner's Log for Effective Self-Directed Learning in PBL

While the problem based learning (PBL) approach promotes unsupervised self-directed learning (SDL), many students experience difficulty juggling the role of being an information recipient and information seeker. Logbooks have been used to assess trainee doctors but not in other areas. This study aimed to determine the effectiveness of logbook for assessing SDL during PBL sessions in first year medical students. The log book included a learning checklist and knowledge and skills components. Comparisons with the baseline assessment of student performance in PBL and that at semester end after logbook intervention showed significant improvements in student performance (31.5 ± 8 vs. 17.7 ± 4.4; p

Dynamic Modeling and Simulation of Heavy Paraffin Dehydrogenation Reactor for Selective Olefin Production in Linear Alkyl Benzene Production Plant

Modeling of a heterogeneous industrial fixed bed reactor for selective dehydrogenation of heavy paraffin with Pt-Sn- Al2O3 catalyst has been the subject of current study. By applying mass balance, momentum balance for appropriate element of reactor and using pressure drop, rate and deactivation equations, a detailed model of the reactor has been obtained. Mass balance equations have been written for five different components. In order to estimate reactor production by the passage of time, the reactor model which is a set of partial differential equations, ordinary differential equations and algebraic equations has been solved numerically. Paraffins, olefins, dienes, aromatics and hydrogen mole percent as a function of time and reactor radius have been found by numerical solution of the model. Results of model have been compared with industrial reactor data at different operation times. The comparison successfully confirms validity of proposed model.

Electrically Conducting Lubricants: Esterified Carbon Nanotubes

Fats and oils are made of esterified hydrocarbons (RCOOR-) and this work demonstrates the substitution of R by multi-walled CNTs (MWNTs). The resultant materials are fluidic, oily, electrically conducting and excellent lubricants. Esterified MWNTs can also respond to magnetic field when tubules contain long segments of Fe

The Relationship between Spatial Planning and Transportation Planning in Southern Africa and its Consequences for Human Settlement

The paper reviews the relationship between spatial and transportation planning in the Southern African Development Community (SADC) region of Sub-Saharan Africa. It argues that most urbanisation in the region has largely occurred subsequent to the 1950s and, accordingly, urban development has been profoundly and negatively affected by the (misguided) spatial and institutional tenets of modernism. It demonstrates how a considerable amount of the poor performance of these settlements can be directly attributed to this. Two factors in particular about the planning systems are emphasized: the way in which programmatic land-use planning lies at the heart of both spatial and transportation planning; and the way on which transportation and spatial planning have been separated into independent processes. In the final section, the paper identifies ways of improving the planning system. Firstly, it identifies the performance qualities which Southern African settlements should be seeking to achieve. Secondly, it focuses on two necessary arenas of change: the need to replace programmatic land-use planning practices with structuralspatial approaches; and it makes a case for making urban corridors a spatial focus of integrated planning, as a way of beginning the restructuring and intensification of settlements which are currently characterised by sprawl, fragmentation and separation

A Numerical Study on Heat Transfer in Laminar Pulsed Slot Jets Impinging on a Surface

Numerical simulations are performed for laminar continuous and pulsed jets impinging on a surface in order to investigate the effects of pulsing frequency on the heat transfer characteristics. The time-averaged Nusselt number of pulsed jets is larger in the impinging jet region as compared to the continuous jet, while it is smaller in the outer wall jet region. At the stagnation point, the mean and RMS Nusselt numbers become larger and smaller, respectively, as the pulsing frequency increases. Unsteady behaviors of vortical fluid motions and temperature field are also investigated to understand the underlying mechanisms of heat transfer enhancement.

Impact of GCSC on Measured Impedance by Distance Relay in the Presence of Single Phase to Earth Fault

This paper presents the impact study of GTO Controlled Series Capacitor (GCSC) parameters on measured impedance (Zseen) by MHO distance relays for single transmission line high voltage 220 kV in the presence of single phase to earth fault with fault resistance (RF). The study deals with a 220 kV single electrical transmission line of Eastern Algerian transmission networks at Group Sonelgaz (Algerian Company of Electrical and Gas) compensated by series Flexible AC Transmission System (FACTS) i.e. GCSC connected at midpoint of the transmission line. The transmitted active and reactive powers are controlled by three GCSC-s. The effects of maximum reactive power injected as well as injected maximum voltage by GCSC on distance relays measured impedance is treated. The simulations results investigate the effects of GCSC injected parameters: variable reactance (XGCSC), variable voltage (VGCSC) and reactive power injected (QGCSC) on measured resistance and reactance in the presence of earth fault with resistance fault varied between 5 to 50 Ω for three cases study.

Emergency Health Management and Student Hygiene at a South African University

Risk of infectious disease outbreaks is related to the hygiene among the population. To assess the actual risks and modify the relevant emergency procedures if necessary, a hygiene survey was conducted among undergraduate students on the Rhodes University campus. Soap was available to 10.5% and only 26.8% of the study participants followed proper hygiene in relation to food consumption. This combination increases the risk of infectious disease outbreaks at the campus. Around 83.6% were willing to wash their hands if soap was provided. Procurement and availability of soap in undergraduate residences on campus should be improved, as the total cost is estimated at only 2000 USD per annum. Awareness campaigns about food-related hygiene and the need for regular handwashing with soap should be run among Rhodes University students. If successful, rates of respiratory and hygiene-related diseases will be decreased and emergency health management simplified.

Analysis of the Effect of HV Transmission Lines on the Control Room and its Proposed Shielding

Today with the rapid growth of telecommunications equipment, electronic and developing more and more networks of power, influence of electromagnetic waves on one another has become hot topic discussions. So in this article, this issue and appropriate mechanisms for EMC operations have been presented. First, impact of high voltage lines on the surrounding environment especially on the control room has been investigated, then to reduce electromagnetic radiation, various methods of shielding are provided and shielding effectiveness of them has been compared. It should be expressed that simulations have been done by the finite element method (FEM).

On Unburned Carbon in Coal Ash from Various Combustion Units

Work is focused to the study of unburned carbon in ash from coal (and wastes) combustion in 8 combustion tests at 3 fluidised-bed power station, at co-combustion of coal and wastes (also at fluidized bed) and at bench-scale unit simulating coal combustion in small domestic furnaces. The attention is paid to unburned carbon contents in bottom ashes and fly ashes at these 8 combustion tests and to morphology of unburned carbons. Specific surface area of coals, unburned carbons and ashes and the relation of specific surface area of unburned carbon and the content of volatile combustibles in coal were studied as well.

Response Spectrum Transformation for Seismic Qualification Testing

Seismic qualification testing for equipments to be mounted on upper storeys of buildings is very demanding in terms of floor spectra. The latter is characterized by high accelerations amplitudes within a narrow frequency band. This article presents a method which permits to cover specified required response spectra beyond the shaking table capability by amplifying the acceleration amplitudes at an appropriate frequency range using a physical intermediate mounted on the platform of the shaker.

The Taiwanese Institutional Arrangement for Coastal Management Due to Climate Change

Weather disaster events were frequent and caused loss of lives and property in Taiwan recently. Excessive concentration of population and lacking of integrated planning led to Taiwanese coastal zone face the impacts of climate change directly. Comparing to many countries which have already set up legislation, competent authorities and national adaptation strategies, the ability of coastal management adapting to climate change is still insufficient in Taiwan. Therefore, it is necessary to establish a complete institutional arrangement for coastal management due to climate change in order to protect environment and sustain socio-economic development. This paper firstly reviews the impact of climate change on Taiwanese coastal zone. Secondly, development of Taiwanese institutional arrangement of coastal management is introduced. Followed is the analysis of four dimensions of legal basis, competent authority, scientific and financial support and international cooperations of institutional arrangement. The results show that Taiwanese government shall: 1) integrate climate change issue into Coastal Act, Wetland Act and territorial planning Act and pass them; 2) establish the high level competent authority for coastal management; 3) set up the climate change disaster coordinate platform; 4) link scientific information and decision markers; 5) establish the climate change adjustment fund; 6) participate in international climate change organizations and meetings actively; 7) cooperate with near countries to exchange experiences.

Study of Kinetics Incorporation of Ag with TCPP

The Kinetics formation of labile Complex Ag (I) tetra (p-carboxyphenyl) porphyrin, was investigated at 25oC and I=0.1M (NaNO3). By spectrophotometric titration, the composition ratio of the complex was established to be 2:1 (Ag : H2TCPP). The equilibrium constant, K, was found to be log 10-6.53. Binding of the first Ag (I) was found to be rate determining step with rate constant, k1= 4.67×102 . A plausible mechanism is discussed. We discus theoretically why Ag(I)2TCPP is unstable.

Investigation of Inert Gas Injection in Steam Reforming of Methane: Energy

Synthesis gas manufacturing by steam reforming of hydrocarbons is an important industrial process. High endothermic nature of the process makes it one of the most cost and heat intensive processes. In the present work, composite effect of different inert gases on synthesis gas yield, feed gas conversion and temperature distribution along the reactor length has been studied using a heterogeneous model. Mathematical model was developed as a first stage and validated against the existing process models. With the addition of inert gases, a higher yield of synthesis gas is observed. Simultaneously the rector outlet temperature drops to as low as 810 K. It was found that Xenon gives the highest yield and conversion while Helium gives the lowest temperature. Using Xenon inert gas 20 percent reduction in outlet temperature was observed compared to traditional case.

Simplified Models to Determine Nodal Voltagesin Problems of Optimal Allocation of Capacitor Banks in Power Distribution Networks

This paper presents two simplified models to determine nodal voltages in power distribution networks. These models allow estimating the impact of the installation of reactive power compensations equipments like fixed or switched capacitor banks. The procedure used to develop the models is similar to the procedure used to develop linear power flow models of transmission lines, which have been widely used in optimization problems of operation planning and system expansion. The steady state non-linear load flow equations are approximated by linear equations relating the voltage amplitude and currents. The approximations of the linear equations are based on the high relationship between line resistance and line reactance (ratio R/X), which is valid for power distribution networks. The performance and accuracy of the models are evaluated through comparisons with the exact results obtained from the solution of the load flow using two test networks: a hypothetical network with 23 nodes and a real network with 217 nodes.

Performance of Histogram-Based Skin Colour Segmentation for Arms Detection in Human Motion Analysis Application

Arms detection is one of the fundamental problems in human motion analysis application. The arms are considered as the most challenging body part to be detected since its pose and speed varies in image sequences. Moreover, the arms are usually occluded with other body parts such as the head and torso. In this paper, histogram-based skin colour segmentation is proposed to detect the arms in image sequences. Six different colour spaces namely RGB, rgb, HSI, TSL, SCT and CIELAB are evaluated to determine the best colour space for this segmentation procedure. The evaluation is divided into three categories, which are single colour component, colour without luminance and colour with luminance. The performance is measured using True Positive (TP) and True Negative (TN) on 250 images with manual ground truth. The best colour is selected based on the highest TN value followed by the highest TP value.

Characterization of Catalagzi Fly Ash for Heavy Metal Adsorption

Fly ash is a significant waste that is released of thermal power plants and defined as very fine particles that are drifted upward with up taken by the flue gases due to the burning of used coal [1]. The fly-ash is capable of removing organic contaminants in consequence of high carbon content, a large surface area per unit volume and contained heavy metals. Therefore, fly ash is used as an effective coagulant and adsorbent by pelletization [2, 3]. In this study, the possibility of use of fly ash taken from Turkey like low-cost adsorbent for adsorption of zinc ions found in waste water was investigated. The fly ash taken from Turkey was pelletized with bentonite and molass to evaluate the adsorption capaticity. For this purpose; analyses such as sieve analysis, XRD, XRF, FTIR and SEM were performed. As a result, it was seen that pellets prepared from fly ash, bentonite and molass would be used for zinc adsorption.

Estimation of Production Function in Fishery on the Coasts of Caspian Sea

This research was conducted for the first time at the southeastern coasts of the Caspian Sea in order to evaluate the performance of osteichthyes cooperatives through production (catch) function. Using one of the indirect valuation methods in this research, contributory factors in catch were identified and were inserted into the function as independent variables. In order to carry out this research, the performance of 25 Osteichthyes catching cooperatives in the utilization year of 2009 which were involved in fishing in Miankale wildlife refuge region. The contributory factors in catch were divided into groups of economic, ecological and biological factors. In the mentioned function, catch rate of the cooperative were inserted into as the dependant variable and fourteen partial variables in terms of nine general variables as independent variables. Finally, after function estimation, seven variables were rendered significant at 99 percent reliably level. The results of the function estimation indicated that human resource (fisherman quantity) had the greatest positive effect on catch rate with an influence coefficient of 1.7 while weather conditions had the greatest negative effect on the catch rate of cooperatives with an influence coefficient of -2.07. Moreover, factors like member's share, experience and fisherman training and fishing effort played the main roles in the catch rate of cooperative with influence coefficients of 0.81, 0.5 and 0.21, respectively.

European Ecological Network Natura 2000 - Opportunities and Threats

The research objective of the project and article “European Ecological Network Natura 2000 – opportunities and threats” Natura 2000 sites constitute a form of environmental protection, several legal problems are likely to result. Most controversially, certain sites will be subject to two regimes of protection: as national parks and as Natura 2000 sites. This dualism of the legal regulation makes it difficult to perform certain legal obligations related to the regimes envisaged under each form of environmental protection. Which regime and which obligations resulting from the particular form of environmental protection have priority and should prevail? What should be done if these obligations are contradictory? Furthermore, an institutional problem consists in that no public administration authority has the power to resolve legal conflicts concerning the application of a particular regime on a given site. There are also no criteria to decide priority and superiority of one form of environmental protection over the other. Which regulations are more important, those that pertain to national parks or to Natura 2000 sites? In the light of the current regulations, it is impossible to give a decisive answer to these questions. The internal hierarchy of forms of environmental protection has not been determined, and all such forms should be treated equally.