Search results

This paper aims to test three parametric models in pricing and hedging higher-order moment swaps. Using vanilla option prices from the volatility surface of the Euro Stoxx 50 Index, the paper shows that the pricing accuracy of these models is very satisfactory under four different pricing error functions. The result is that taking a position in a third moment swap considerably improves the performance of the standard hedge of a variance swap based on a static position in the log-contract and a dynamic trading strategy. The position in the third moment swap is taken by running a Monte Carlo simulation.

This paper undertook empirical tests of three parametric models. The aim of the paper is twofold: assess the pricing accuracy of these models and show how the classical hedge of the variance swap in terms of a position in a log-contract and a dynamic trading strategy can be significantly enhanced by using third-order moment swaps. The pricing accuracy was measured under four different pricing error functions. A Monte Carlo simulation was run to take a position in the third moment swap.

The results of the paper are twofold: the pricing accuracy of the Heston (1993) model and that of two Levy models with stochastic time and stochastic volatility are satisfactory; taking a position in third-order moment swaps can significantly improve the performance of the standard hedge of a variance swap.

The limitation is that these empirical tests are conducted on existing three parametric models. Maybe more critical insights could have been revealed had these tests been conducted in a brand new derivatives pricing model.

This work is 100 per cent original, and it undertook empirical tests of the pricing and hedging accuracy of existing three parametric models.

Lubricating oil leakage is a common issue in thermal power plant operation sites, requiring prompt equipment maintenance. The real-time detection of leakage occurrences could avoid disruptive consequences caused by the lack of timely maintenance. Currently, inspection operations are mostly carried out manually, resulting in time-consuming processes prone to health and safety hazards. To overcome such issues, this paper proposes a machine vision-based inspection system aimed at automating the oil leakage detection for improving the maintenance procedures.

The approach aims at developing a novel modular-structured automatic inspection system. The image acquisition module collects digital images along a predefined inspection path using a dual-light (i.e. ultraviolet and blue light) illumination system, deploying the fluorescence of the lubricating oil while suppressing unwanted background noise. The image processing module is designed to detect the oil leakage within the digital images minimizing detection errors. A case study is reported to validate the industrial suitability of the proposed inspection system.

On-site experimental results demonstrate the capabilities to complete the automatic inspection procedures of the tested industrial equipment by achieving an oil leakage detection accuracy up to 99.13%.

The proposed inspection system can be adopted in industrial context to detect lubricant leakage ensuring the equipment and the operators safety.

The proposed inspection system adopts a computer vision approach, which deploys the combination of two separate sources of light, to boost the detection capabilities, enabling the application for a variety of particularly hard-to-inspect industrial contexts.

COVID-19) is the present global problem. The potential for food borne transmission of COVID-19 becomes a present discussed public health issue. At present, there are many reports on the food contamination with severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2). It is no doubt that the viral contamination in food is possible. The authors summarize and discuss on food contamination, food safety and COVID-19 outbreak.

The authors give a commentary on the available data on food contamination during COVID-19 outbreak. Based on basic food safety principles, the authors build an argument on available recommendation regarding food safety during the COVID-19 outbreak.

It still lacks in many details of food safety during COVID-19 pandemic. Public health personnel usually refer to classical food safety principles for recommending general people about food safety, but it still lacks for updated specific data on COVID-19. The present commentary gives some few ideas and it is necessary to have further specific research on this specific issue.

This is an original commentary regarding the new contemporary problem on food contamination, food safety and COVID-19 outbreak.

This paper aims to clarify the spatial connection characteristics and organization mode of logistics economy of 21 cities in Guangdong Province under the background of the integrated development of Guangdong, Hong Kong and Macao Bay area, and explore the spatial development characteristics and influencing factors of logistics economy in Guangdong Province.

This paper constructs the development level model of urban logistics economy in Guangdong Province from three aspects: demand level, supply level and support level, and uses the entropy weight method to measure the development level index of urban logistics economy in Guangdong Province. Then, the traffic accessibility index model is used to measure the traffic accessibility index between cities in Guangdong Province. Finally, using the social network analysis method, combined with the development level index of urban logistics economy in Guangdong Province and the urban traffic access index in Guangdong Province, this paper analyzes the spatial connection characteristics and influencing factors of logistics economy network in Guangdong Province.

There are regional differences in the development level of logistics economy in Guangdong Province; The overall network density of its logistics economic connection is large, but there is an imbalance in the network structure, and the core edge phenomenon is obvious; Logistics economic space presents the characteristics of double core development.

Because the research object is the spatial connection characteristics of logistics economy in Guangdong Province, the research results may lack universality. Therefore, researchers are encouraged to put forward further tests.

By studying the spatial connection mode of logistics economy in 21 cities in Guangdong Province, China, this paper promotes the original methods and empirical contributions, and constructs the research framework of spatial relationship of logistics economy. This research framework is universal to a certain extent.

This paper is conducive to promoting the integrated development of logistics economy in Guangdong Province and improving the balance of regional development of logistics economy.

Firstly, this study provides a new perspective to understand the spatial relationship and spatial spillover of logistics economy from relational data rather than attribute data. Secondly, This study enriched and broadened the research topic of spatial correlation of logistics economy. Thirdly, this research aims to promote the original methods and empirical contributions. Specifically, this study establishes a comprehensive research framework on the spatial network structure of logistics economy.