Mountain range (options)

Abstract: List of Symbols and Abbreviations. Preface. PART I FOUNDATIONS. 1 Basic Instruments. 1.1 Introduction. 1.2 Interest Rates. 1.3 Equities and Currencies. 1.4 Swaps. 2 The World of Structured Products. 2.1 The Products. 2.2 The Sell Side. 2.3 The Buy Side. 2.4 The Market. 2.5 Example of an Equity Linked Note. 3 Vanilla Options. 3.1 General Features of Options. 3.2 Call and Put Option Payoffs. 3.3 Put call Parity and Synthetic Options. 3.4 Black Scholes Model Assumptions. 3.5 Pricing a European Call Option. 3.6 Pricing a European Put Option. 3.7 The Cost of Hedging. 3.8 American Options. 3.9 Asian Options. 3.10 An Example of the Structuring Process. 4 Volatility, Skew and Term Structure. 4.1 Volatility. 4.2 The Volatility Surface. 4.3 Volatility Models. 5 Option Sensitivities: Greeks. 5.1 Delta. 5.2 Gamma. 5.3 Vega. 5.4 Theta. 5.5 Rho. 5.6 Relationships between the Greeks. 5.7 Volga and Vanna. 5.8 Multi-asset Sensitivities. 5.9 Approximations to Black Scholes and Greeks. 6 Strategies Involving Options. 6.1 Traditional Hedging Strategies. 6.2 Vertical Spreads. 6.3 Other Spreads. 6.4 Option Combinations. 6.5 Arbitrage Freedom of the Implied Volatility Surface. 7 Correlation. 7.1 Multi-asset Options. 7.2 Correlation: Measurements and Interpretation. 7.3 Basket Options. 7.4 Quantity Adjusting Options: "Quantos". 7.5 Trading Correlation. PART II EXOTIC DERIVATIVES AND STRUCTURED PRODUCTS. 8 Dispersion. 8.1 Measures of Dispersion and Interpretations. 8.2 Worst-of Options. 8.3 Best-of options. 9 Dispersion Options. 9.1 Rainbow Options. 9.2 Individually Capped Basket Call (ICBC). 9.3 Outperformance Options. 9.4 Volatility Models. 10 Barrier Options. 10.1 Barrier Option Payoffs. 10.2 Black Scholes Valuation. 10.3 Hedging Down-and-in Puts. 10.4 Barriers in Structured Products. 11 Digitals. 11.1 European Digitals. 11.2 American Digitals. 11.3 Risk Analysis. 11.4 Structured Products Involving European Digitals. 11.5 Structured Products Involving American Digitals. 11.6 Outperformance Digital. 12 Autocallable Structures. 12.1 Single Asset Autocallables. 12.2 Autocallable Participating Note. 12.3 Autocallables with Down-and-in Puts. 12.4 Multi-asset Autocallables. PART III MORE ON EXOTIC STRUCTURES. 13 The Cliquet Family. 13.1 Forward Starting Options. 13.2 Cliquets with Local Floors and Caps. 13.4 Reverse Cliquets. 14 More Cliquets and Related Structures. 14.1 Other Cliquets. 14.2 Multi-asset Cliquets. 14.3 Napoleons. 14.4 Lookback Options. 15 Mountain Range Options. 15.1 Altiplano. 15.2 Himalaya. 15.3 Everest. 15.4 Kilimanjaro Select. 15.5 Atlas. 15.6 Pricing Mountain Range Products. 16 Volatility Derivatives. 16.1 The Need for Volatility Derivatives. 16.2 Traditional Methods for Trading Volatility. 16.3 Variance Swaps. 16.4 Variations on Variance Swaps. 16.5 Options on Realized Variance. 16.6 The VIX: Volatility Indices. 16.7 Variance Dispersion. PART IV HYBRID DERIVATIVES AND DYNAMIC STRATEGIES. 17 Asset Classes (I). 17.1 Interest Rates. 17.2 Commodities. 18 Asset Classes (II). 18.1 Foreign Exchange. 18.2 Inflation. 18.3 Credit. 19 Structuring Hybrid Derivatives. 19.1 Diversification. 19.2 Yield Enhancement. 19.3 Multi-asset Class Views. 19.4 Multi-asset Class Risk Hedging. 20 Pricing Hybrid Derivatives. 20.1 Additional Asset Class Models. 20.2 Copulas. 21 Dynamic Strategies and Thematic Indices. 21.1 Portfolio Management Concepts. 21.2 Dynamic Strategies. 21.3 Thematic Products. APPENDICES. A Models. A.1 Black Scholes. A.2 Local Volatility Models. A.3 Stochastic Volatility. A.4 Jump Models. A.5 Hull White Interest Rate Model and Extensions. B Approximations. B.1 Approximations for Vanilla Prices and Greeks. B.2 Basket Price Approximation. B.3 ICBC/CBC Inequality. B.4 Digitals: Vega and the Position of the Forward. Postscript. Bibliography. Index.

Abstract: The Qinling Mountains stretching from east to west in Central China are an important geological and geographical boundary in the China Continent and even the East Asia Continent. The mountains were originally formed by the collision between the North and South China Blocks during the Paleozoic and Triassic, and overprinted by the Late Mesozoic intracontinental orogeny. Since the Cenozoic, the Qinling Mountains have experienced rapid uplift, forming a great and high mountain range, which has become the geographic boundary between the Northern China and Southern China. It has an important impact on the north-south climate differentiation in the China Continent, and plays a decisive role in the north-south differentiation of ecological environment, economy, and culture. It has also profoundly affected the natural environment and biodiversity pattern in China and even East Asia. This contribution provides an overview of the relationship between the Cenozoic tectonic uplift, geomorphic evolution and biodiversity in the Qinling Mountains, as well as its boundary effect on climatic and environmental changes. It describes the topographic changes under the control of tectonics, as well as the responses of climate, environment and biological evolution to the topographic changes. Due to the high mountain topography, the Qinling Mountains act as a climate barrier between the Northern and Southern China Continents. It shows the vertical climate zoning, and separates a temperate monsoon climate to the north and a subtropical monsoon climate to the south. The unique geographical location and diverse climate types make the Qinling Mountains a unique area of biodiversity in the world. All the available data indicate the co-evolution between the Cenozoic tectonics, geomorphology, environment and ecosystem in the Qinling Mountains and adjacent areas.

Abstract: Abstract. Mineral dust contributes up to one-half of surface aerosol loading in spring over the southwestern U.S., posing an environmental challenge that threatens human health and the ecosystem. Using the self-organizing map (SOM) analysis, we identify four typical dust transport patterns across the Sierra Nevada, associated with the mesoscale winds, Sierra-Block-Jets (SBJ), North-Pacific-High (NPH), and long-range cross-Pacific westerlies, respectively. We find dust emitted from the Central Valley is persistently transported eastward, while dust from the Mojave Desert and Great Basin influences the Sierra Nevada during mesoscale transport occurring mostly in the winter and early spring. Asian dust reaching the mountain range comes either from the west through straight isobars (cross-Pacific transport) or from the north in the presence of NPH. Extensive dust depositions are found on the west slope of the mountain, contributed by Central Valley emissions and cross-Pacific remote transport. Especially, the SBJ-related transport produces deposition through landfalling atmospheric rivers, whose frequency might increase in a warming climate.

Abstract: Cirques are prominent features of alpine glacial landscapes, and they often form as a result of the glacial climate and follow the general aspect of the mountain ranges on which these develop. The role of controlling factors on the development of 143 cirques located in the Pir Panjal Range (PPR), NW Himalaya was investigated using morphometric analyses. The PPR, trending SE to NW, is of Pliocene to Quaternary age and largely deglaciated, except a few small debris-covered cirque glaciers. The role played by glaciers in sculpting the geomorphology of the PPR is evident from the presence of various erosional and depositional glacial landforms. The NE-, NW-, SW- and SE-oriented cirques account for ∼44%, ∼35%, ∼16% and 5% of the cirques investigated, respectively. In comparison to the NW cirques, the NE-oriented cirques are deeper, longer and more circular. Regardless of the dominant aspect or slope of the mountain range the trend of geological structures can influence the direction of erosion and define the shape and direction of cirque development. The cirque morphometry analyses described in this research back up the combined influence of climate and topography, on cirque development in the PPR. The study, which is first of its kind in the Himalaya, adds to the body of knowledge about uplift-driven climate change and explains the topographic and glacial geomorphic evolution in the PPR.