Search results for "Derivative"
showing 10 items of 1074 documents
Statistical tools and control of internal lubricant content of inhalation grade HPMC capsules during manufacture
2016
The internal lubricant content (ILC) of inhalation grade HPMC capsules is a key factor to ensure good powder release when the patient inhales a medicine from a dry powder inhaler (DPI). Powder release from capsules has been shown to be influenced by the ILC. The characteristics used to measure this are the emitted dose, fine particle fraction and mass median aerodynamic diameter. In addition the ILC level is critical for capsule shell manufacture because it is an essential part of the process that cannot work without it. An experiment has been applied to the manufacture of inhalation capsules with the required ILC. A full factorial model was used to identify the controlling factors and from…
Slow Relaxation of the Magnetization in Anilato-Based Dy(III) 2D Lattices.
2021
The search for two- and three-dimensional materials with slow relaxation of the magnetization (single-ion magnets, SIM and single-molecule magnets, SMM) has become a very active area in recent years. Here we show how it is possible to prepare two-dimensional SIMs by combining Dy(III) with two different anilato-type ligands (dianions of the 3,6-disubstituted-2,5-dihydroxy-1,4-benzoquinone: C6O4X22−, with X = H and Cl) in dimethyl sulfoxide (dmso). The two compounds prepared, formulated as: [Dy2(C6O4H2)3(dmso)2(H2O)2]·2dmso·18H2O (1) and [Dy2(C6O4Cl2)3(dmso)4]·2dmso·2H2O (2) show distorted hexagonal honeycomb layers with the solvent molecules (dmso and H2O) located in the interlayer space and…
Coscinolactams A and B: new nitrogen-containing sesterterpenoids from the marine sponge Coscinoderma mathewsi exerting anti-inflammatory properties
2009
Abstract Investigation of the marine sponge Coscinoderma mathewsi led to the isolation of two novel nitrogen-containing cheilanthane sesterterpenoids, coscinolactams A and B, together with known suvanine. The structures were elucidated by extensive spectroscopic measurements including NOE experiments to deduce the stereochemistry. The natural compounds, as well as a semisynthetic derivative, showed moderate anti-inflammatory activity measured as their capability to inhibit PGE2 and NO production. The suvanine aldehyde derivative 4 inhibited inducible nitric oxide protein expression with an IC50 value of 7.3 μM.
Options and Accounting Information: Empirical Evidence in Stock and Derivative Markets
2014
This study investigates the informational role of options trading in the price discovery process around the dissemination of accounting information, specifically annual and quarterly earnings announcements. Firstly, we examine the effect of options markets by analyzing stock market reaction to earnings news conditional on the availability of options markets. Secondly, we examine options-trading activity around the release of earnings news. Results show that when options trading is available, the options market enhances the price efficiency of equity markets. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed tra…
Credit derivatives disclosure in banks’ risk reporting: Empirical evidence from four large European banks
2019
This paper aims to analyze the derivatives disclosure in banks’ annual risk reports. In this paper, the author uses content analysis to examine the qualitative and quantitative profiles of the derivatives disclosure at a cross-country level, with particular reference to credit derivatives. The empirical research is conducted on a sample of large European banks. The paper also shows that there is room to improve various aspects of derivatives disclosure, and provides some useful insights for further research. The derivatives disclosure in banks’ annual risk reports has deep managerial, financial, regulatory and accounting implications at a firm and industry levels, and the comprehension of t…
Rolling over stock index futures contracts
2009
Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, I…
The timeline of trading frictions in the European carbon market
2012
We evaluate the quality of prices of EU-ETS, the most active European derivative market for greenhouse gas emissions allowances (EUAs). So far, this market has had two phases, a trial phase (from 2005 to 2007) and a commitment phase (from 2008 to 2012). The true value of a trial-phase EUA at the beginning of 2008 was inevitably zero because it could not be used in the commitment phase to cover emission targets. However, continued rumors of over-allocation of EUAs led to an early collapse of the market by May 2007. We study whether this market breakdown and the subsequent outbreak of the international financial crisis had a persistent effect on the quality of the commitment phase. We provide…
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
2010
Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …
A critical view on temperature modelling for application in weather derivatives markets
2012
In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated on daily average temperature records from Stockholm (Sweden). By comparing the proposed model with the popular model of Campbell and Diebold (2005), we point out some important issues to be addressed when modelling the temperature for application in weather derivatives market.
Temperature and seasonality influences on Spanish electricity load
2002
Abstract Deregulation of the Spanish electricity market in 1998 and the possible listing of electricity or weather derivative contracts have encouraged the study of the relationship between electricity demand and weather in Spain. In this paper, a transfer function intervention model is developed for forecasting daily electricity load from cooling and heating degree–days. The influence of weather and seasonality is proved, and is significant even when the autoregressive effects and the dynamic specification of the temperature are taken into account. The estimated general model shows a high predictive power. The results and information presented in this paper could be of interest for current…