Showing papers by "University of Lausanne published in 1983"

The Time Pattern of Hedging and the Volatility of Futures Prices

Abstract: The paper proposes a multi-period model of hedging which allows for a futures position to be revised within the cash market holding period. Within this framework, we assess the robustness of the two-period theory of hedging when generalized to many periods. We characterize the normal time path of a hedge and the way it is affected by the requirement that futures accounts "mark to market" daily. Finally we show how the resolution of production uncertainty over time affects hedging behavior and determines the volatility of futures prices. In the large literature on hedging in futures markets the principal analytical accounts of hedging are framed in a two trade date setting. An agent commits himself "now" to a future purchase or sale of a good whose cash price "later" is uncertain. This risk is hedged by purchase or sale of an appropriate number of futures contracts and holding this futures position until the cash transaction is realized. In the present paper we formulate a multi-period model of hedging which allows for the futures position to be revised within the cash market holding period. The resulting analysis captures an important institutional reality that is absent in a two trade date model, namely the fact that the day to day fluctuations of the futures price will generate a series of random cash flows over the period during which a futures position is held. This is due to the requirement that futures accounts "mark to market" daily. Within this framework we address a number of issues. First we assess the robustness of the two period theory of hedging when generalized to many periods. Second we characterize the normal time path of a hedge and contrast futures and forward contracts from the perspective of an individual hedger. Finally, we show how the resolution of production uncertainty over time affects hedging behaviour and determines the volatility of futures prices. While the literature on asset demand in a multiperiod setting is large, futures markets are specifically treated in a limited number of studies. Grauer and Litzenberger (1976) are concerned principally with characterizing the relation of spot and futures prices in a market for a storable, periodically produced commodity. They offer a rationale for positive stock holding in markets where spot price exceeds the futures price. Richard and Sundaresan (1980) are also concerned primarily with characterizing price behaviour. Since they posit identical consumers, in equilibrium individual holdings of futures are zero. There is no hedging activity in the sense that we understand it. Breeden (1980b) analyzes the optimal futures position sizes in a multiperiod setting. His framework is more general than ours in that his is a multi-good, multi-asset model where preferences

Hedger diversity in futures markets

Abstract: This paper is a theoretical study of the equilibrium relationship between futures prices and spot prices. A much discussed but still unresolved issue is whether a futures price coincides with the expected value of the spot price for the date when the futures contract matures. One view is that speculative trading acts to assure that the futures price equals the expected spot price and in this sense is an unbiased predictor of the spot price. Another view is that the two are unequal and that hedgers pay a risk premium to speculators in the form of a futures price which lies below the expected spot price by an amount called the normal backwardation. These two views are based on different, implicit assumptions concerning the trading opportunities, beliefs, and preferences of hedgers and speculators. We investigate the relationship between fundamental economic structures and the bias reflected in equilibrium futures prices. This is not a simple task. To accomplish it we must consider in some detail the expected-utility-maximisation problems of the individual producers and users of the good traded on the futures markets. Based on these explicit micro-foundations we then study the properties of equilibrium futures prices in a variety of settings, in each case ultimately closing the model with the assumption that expectations are rational. It is shown that systematic backwardation or contangol can exist if there is an imbalance of futures sales and purchases carried out for hedging purposes. Such an imbalance can arise if an element of future cash market participation is withheld from the futures market. An important example of this is a storage company's next period demand for cash good. Alternatively, hedging imbalance may follow from asymmetries in the types of uncertainty faced by agents. This may arise, for example, when processors of a futures-traded good face a random output price, an uncertainty not shared by the original producers of the good. As a result of these different hedging needs, futures positions of producers and users may be, in a sense, incompatible, in which case the futures price will be biased. All these factors can operate for both perishable and storable goods, and all can contribute to the predominance of either short or long hedgers even in a rational expectations equilibrium. Only the bounded participation of * This paper is based on one presented at the North American and European Meetings of the

The Preparation of Optically Pure 7-Oxabicyclo[2.2.1]Hept-2-Ene Derivatives - the Cd Spectrum of (+)-(1r)-7-Oxabicyclo[2.2.1]Hept-5-En-2-One

Abstract: Note: Univ lausanne,inst chim organ,ch-1005 lausanne,switzerland. Reference LGSA-ARTICLE-1983-011doi:10.1002/hlca.19830660627 Record created on 2005-11-09, modified on 2017-05-12

Transmission resonances and the localization length in one-dimensional disordered systems

Abstract: Numerically obtained results concerning the transmittance and localization length of a one-dimensional disordered system are presented. We show that as a function of the energy of the incoming particle the transmittance is characterized by randomly positioned exponentially narrow resonances. Depending upon the relationship between the length of the system and the localization length, the transmittance may appear to be either a perfectly smooth function of energy (the resonances being invisible on any practical energy scale) or a highly structured function varying in a random way.

Growth distribution and surface pH patterns along maize roots.

Abstract: The distribution of elongation and surface pH patterns along the primary roots of maize (cv. LG 11), maintained vertically in humid air (darkness, 22°C), have been analysed quantitatively. A new technique employing Sephadex G 25 beads containing a pH indicator dye (bromocresol purple), was used for measuring both the growth gradient of the roots (Sephadex beads as markers) and at the same time, the surface pH changes (referring to a standard scale). The optimal axial growth was located between 2 and 4 mm from the tip. This coincides with the optimal decrease in surface pH.

Human styrene exposure. V. Development of a model for biological monitoring.

Abstract: The use of biological indicators to monitor workers' exposure to styrene requires a good understanding of the kinetics of the solvent in the organism. The absorption, distribution and elimination of styrene (STY), as well as the kinetics of formation and excretion of its metabolites (mandelic [MA] and phenylglyoxylic [PGA] acids) are simulated using a mathematical model. The results obtained compare well with experimental data for pulmonary (STY) and urinary (MA and PGA) excretion obtained during controlled human exposures. The model is then used to predict the behaviour of STY, MA and PGA during repeated occupational exposure. It is shown that the results are comparable to the data collected during field surveys in the polyester industry, if the level of physical activity of the workers is taken into account. This latter parameter appears to have a great influence on the urinary excretion of the metabolites. Based on the results obtained, biological limits of exposure are proposed (referenced to a TLV [threshold limit value] of 50 ppm) for MA and MA + PGA excretions in urine collected at the end of the shift (800 and 1000 mg/g creat.) and the next morning (150 and 300 mg/g creat.). Their validity is tested against experimental data obtained under field conditions.

Decreased thermogenic response to an oral glucose load in older subjects

Abstract: The thermogenic response to a 100 g oral glucose load was studied by indirect calorimetry in 13 older persons (age range, 38-68 years) and compared with that of 16 young matched controls of similar body weight (age range, 19-30 years). The glucose-induced thermogenesis measured over 180 min and expressed as a per cent of the energy content of the glucose load was found to be reduced in the older subjects, i.e., 5.8 +/- 0.3 per cent vs 8.6 +/- 0.7 per cent, P less than 0.002). This was also accompanied by a significant decrease in the glucose oxidation rate when averaged over the same three-hour period following the glucose load, i.e., 153 mg/min vs 213 mg/min in the control subjects (P less than 0.001) despite a similar time course of glycemia. This study suggests that the thermogenic response to an oral glucose load is blunted in older people, and this may represent an additional factor that contributes to the decreased energy requirement with age and therefore to the increased propensity to obesity if energy intake is not adjusted.

Activated T lymphocytes in patients with multiple sclerosis

Abstract: We used four monoclonal antibodies designated MLR-1, -2, -3, and -4, specifically directed against determinants uniquely present on activated T lymphocytes to analyze peripheral blood lymphocytes (PBL) of patients with multiple sclerosis (MS). By indirect immunofluorescence techniques, we found that many PBL expressed one or more of these activation antigens. Thus, high percentages of MLR-2 positive cells were found in all 20 MS patients (66 ± 12% in 13 patients with the remitting form and 57 ± 14% in 7 patients with the progressive form). MLR-3 positive cells were found in three patients with the remitting form and five patients with progressive MS, MLR-4 in seven patients with remitting MS and in five with the progressive type. MLR-1 positive cells were prominent in only two cases (one remitting and one progressive). Discrepancies between expression of MLR antigens and molecules coded by the HLA-DR region (Ia antigens) were observed.

Basal telencephalic origins of the anterior commissure of the rat.

Abstract: The cells of origin of the three limbs of the rat's anterior commissure (AC) have been identified by horseradish peroxidase histochemistry. Following transection of the corpus callosum and hippocampal commissure, rats were subjected to multiple, unilateral injections of horseradish peroxidase throughout one cerebral hemisphere. The cells of origin of the rat's AC are found in the anterior olfactory nucleus, the olfactory tubercles, the anterior piriform cortex, the nucleus of the lateral olfactory tract, the lateral, basolateral, basomedial and cortical nuclei of the amygdala, the posterior perirhinal cortex, and the entorhinal cortex. Anterogradely labeled fibers were also found in the olfactory bulbs and in the plexiform layer of the anterior and posterior piriform cortices.

Saponins with Molluscicidal Properties from Lonicera nigraL

Abstract: Eight triterpenoid saponins (1–8) have been isolated from the berries of Lonicera nigraL. (Caprifoliaceae) by combination of droplet counter-current chromatography and column chromatography on silica. The structures have been established by 1H-NMR., 13C-NMR. spectroscopy, FD.-MS., FAB.-MS. and D./CI.-MS., and on the basis of acidic and basic hydrolyses. The monodesmosidic saponins 1–5 possess strong molluscicidal activity against the schistosomiasis-transmitting snail Biomphalaria glabrata, whereas the bidesmosidic saponins 6–8 are inactive.

ψψ production at collider energies

Abstract: We estimate ψψ production at collider energies in the framework of perturbative QCD. TheO(α 2 )−(α 4 ) parton cross-sections, with the non-relativistic approximation for the heavy quark bound states, are used. This first insight into the characteristics of the kinematical distributions allows predictions on the predominance of the quark, gluon orB meson production mechanisms in particular kinematical regions.

Synthesis and Diels‐Alder Reactivity of 5,6,7,8‐Tetramethylidene‐2‐bicyclo[2.2.2]octanol and ‐octanone. Selective Oxidations of the Corresponding Bis(irontricarbonyl) Complexes

Abstract: Note: Univ lausanne,inst chim organ,ch-1005 lausanne,switzerland. Reference LGSA-ARTICLE-1983-006doi:10.1002/hlca.19830660417 Record created on 2005-11-09, modified on 2017-05-12

Thermogenic Responses Induced by Nutrients in Man: Their Importance in Energy Balance Regulation

Abstract: The regulation of body weight depends upon the control of food intake and the regulation of energy expenditure In man, the control system for food intake may be overwhelmed by psychological or social influences and the thermogenic response to a variable energy input may play an important role in the energy regulatory system Energy expenditure can be divided into 3 components: basal metabolic rate, thermogenesis and physical activity Of these 3 components, thermogenesis, (ie the energy expended above the metabolic rate in the resting state) is the expenditure The two main factors which contribute to thermogenesis, ie food intake and cold exposure, elicit diet-induced thermogenesis (DIT) and non-shivering thermogenesis (NST), respectively It is of interest to study thermogenesis in individuals who present a tendency to gain weight, in order to assess whether the thermogenic responses may be lower in these subjects than in lean controls It has recently been shown that DIT consists of two separate components which can be described as "obligatory" and "regulatory" thermogenesis The former is due to the energy costs of digesting, absorbing and converting the nutrients to their respective storage forms The latter is an energy dissipative mechanism, mainly studied in animals There is good experimental evidence showing that brown adipose tissue (BAT) is involved in the adaptive thermogenesis observed in rats fed a varied and palatable "cafeteria" diet In addition, a thermogenic defect in BAT has been demonstrated in adult as well as young genetically obese animals, and this defect is present not only in adult, but also in young (12 day old) ob/ob mice, ie before the development of obesity Thus, a defective thermogenesis seems to be a cause, rather than a consequence, of obesity in these animals In man, the role of thermogenesis in energy balance regulation is not yet understood Some conflicting results may have arisen from inadequate techniques to measure energy expenditure In our laboratory, we have developed three different techniques to measure energy expenditure in man, namely direct calorimetry, indirect calorimetry using an open-circuit ventilated hood system, and a respiratory chamber Data from recent studies on DIT in man support the concept that a defect in thermogenesis may contribute to energy imbalance and weight gain in obese individuals(ABSTRACT TRUNCATED AT 400 WORDS)