Historical volatility

Conventionally, investment banks price convertible securities using the implied volatility rather historical volatility. The implied volatility is different to the historical volatility in which the first one refers to volatility going forward. In other words, banks at issue given all parameters, determine the volatility as a goal seek into the model. 

Consider the hypothetical bond explained in Section 9.3.1. The convertible security has a price of 107.5 that includes a historical volatility of 35%. However, the convertible is valued at par (100) using the implied volatility. In practice, given all parameters and given the price of convertible bond (100), the implied volatility is a result of a goal seek value in which the percentage volatility level obtained is 25% (Figure 9.12). 

In contrast, the fair value ( 11 7.5) is different from the market price because the first one is calculated using the historical volatility that in this case is 28.3%. Putting the fair value (11 7.5) into the market price cell, we obtain the same fair value. If the theoretical value is 11 7.5, then the bond is cheap in the market, with a cheapness of 4.5% calculated as follows (Equation 9.11) ... 

Finally, the implied volatility can be compared with the historical volatility of the underlying asset. Going to market, if the implied volatility is less than volatility of the underlying share, it means that an investor might speculate and make profit. 

The historical volatility of the difference between the reference asset yield and the yield on a risk-free benchmark. 

Estimation of the historical volatility by considering the components historic volatility of the reference asset yield, historic volatility of the benchmark yield, correlation of the returns between the reference asset yield and the benchmark yield. 

A more widely used approach first normalizes all historical returns with respect to the corresponding historical volatilities and then calculates... 

The volatility value derived by (8.10) may be converted to an annualized figure by multiplying it by the square root of the number of days in a year, usually taken to be 250 working days. Using this formula based on market observations, it is possible to calculate the historical volatility of an asset. 

As noted earlier, although many practitioners use a historical volatility figure in applying the B-S model, the pertinent statistic is really the underlying asset s price volatility going forward. To estimate this future value. 

Another characteristic similar to A/ 100 is the Distribution Octane Number (DON) proposed by Mobil Corporation and described in ASTM 2886. The idea is to measure the heaviest fractions of the fuel at the inlet manifold to the CFR engine. For this method the CFR has a cooled separation chamber placed between the carburetor and the inlet manifold. Some of the less volatile components are separated and collected in the chamber. This procedure is probably the most realistic but less discriminating than that of the AJ 100 likewise, it is now only of historical interest. 

The market value of natural gas Hquids is highly volatile and historically has been weakly related to the world price of cmde oil. During the 1980s, the market value of natural gas Hquids ranged from approximately 60% of the price of cmde to 73% (12). In this 10-year interval, several fluctuations occurred in the natural gas Hquid market. Because of the variabiHty of the natural gas Hquid market, the NGL recovery plants need to have flexibiHty. Natural gas Hquid products compete in the following markets ethane propane a Hquefted petroleum gas (LPG) a C-3/C-4 mix and / -butane all compete as petrochemical feedstocks. Propane and LPG are also used as industrial and domestic fuels, whereas 2-butane and natural gasoline, consisting of C-5 and heavier hydrocarbons, are used as refinery feedstocks. 

Ozone can be analyzed by titrimetry, direct and colorimetric spectrometry, amperometry, oxidation—reduction potential (ORP), chemiluminescence, calorimetry, thermal conductivity, and isothermal pressure change on decomposition. The last three methods ate not frequently employed. Proper measurement of ozone in water requites an awareness of its reactivity, instabiUty, volatility, and the potential effect of interfering substances. To eliminate interferences, ozone sometimes is sparged out of solution by using an inert gas for analysis in the gas phase or on reabsorption in a clean solution. Historically, the most common analytical procedure has been the iodometric method in which gaseous ozone is absorbed by aqueous KI. 

Cobalt. There is no U.S. mine production of cobalt. Refining of imported nickel—cobalt mattes has not occurred since the mid-1980s. About 1600 t of secondary cobalt was recycled from scrap by 13 faciUties in the United States representing - 22% of total U.S. consumption. The price of the metal was around 44/kg. Most is imported from Zaire and Zambia. Increasing quantities are coming from Russia. Historically, the price of cobalt has been quite volatile and dependent on the pohtical environment in those countries. Cobalt is used in superaHoys, 40% catalysts, 14% paint driers, 11% magnetic alloys, 10% and cemented carbides and other uses, 16%. 

Historically, measurements have classified ambient hydrocarbons in two classes methane (CH4) and all other nonmethane volatile organic compounds (NMVOCs). Analyzing hydrocarbons in the atmosphere involves a three-step process collection, separation, and quantification. Collection involves obtaining an aliquot of air, e.g., with an evacuated canister. The principal separation process is gas chromatography (GC), and the principal quantification technique is wdth a calibrated flame ionization detector (FID). Mass spectroscopy (MS) is used along with GC to identify individual hydrocarbon compounds. 

The carbonyl process developed in 1899 by L. Mond is still used, though it is mainly of historic interest. In this the heated oxide is first reduced by the hydrogen in water gas (H2 + CO). At atmospheric pressure and a temperature around 50°C, the impure nickel is then reacted with the residual CO to give the volatile Ni(CO)4. This is passed over nucleating pellets of pure nickel at a temperature of 230°C when it decomposes, depositing nickel of 99.95% purity and leaving CO to be recycled. 

Reliable methods are available for determination of nitrosamines, especially volatile nitrosamines, in a variety of foods, environmental samples, commercial products, blood and animal tissues. Reviews of these methods are available (1, 2) and descriptions of some state-of-the-art procedures are included in papers on nitrosamine occurrence in this volume. This paper is not intended to be a comprehensive review of historical developments or of the many variations of procedures... 

Bushart SP, B Bush, EL Barnard, A Bott (1998) Volatilization of extensively dechlorinated polychlorinated biphenyls from historically contaminated sediments. Environ Toxicol Chem 17 1927-1933. 

The rate of vulcanisation of a rubber compound is controllable by the choice of accelerator. The range of products offered to the rubber industry has been categorised historically into recognised classes. New developments have resulted in products that improve compound performance and which overcome dermatological problems, and do not generate nitrosamines and other extractable or volatile decomposition products. 

Historically, the target analytes in clinical mass spectrometric applications were small, volatile compounds that could be analyzed by GC-MS (see Chapter 4). With time, new chemical preparation techniques and derivatization schemes broadened the scope of these metabolites to include fatty acids, amino acids, intermediates of glucose oxidation, phospholipids, steroids, neurogenic amines, nucleic acids, etc. The molecular weights (molar masses) after derivatization were less than 1000 Da, a mass range easily within the limits of most conventional mass spectrometers. 

Iron sulphides are ubiquitous in marine and freshwater sediments. They are usually present either as pyrite or as monosulphides, which can be liberated by hydrochloric acid. These acid volatile sulphides give rise to an intense black colour that is characteristic of anoxic sediments. They play an important role in recent diagenetic processes in sediments and the ratio of pyrite to acid volatile sulphides has been used as an historical indicator to determine whether sediments were formed in marine or freshwater conditions. They can be present over a wide range of... 

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