Canonical valuation of options in the presence of stochastic volatility

Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk-neutral framework. It is non-parametric, simple to apply, and, unlike many alternative approaches, does not require any option data. Although canonical valuation has great potential, its applicability in realistic scenarios has not yet been widely tested. This article documents the ability of canonical valuation to price derivatives in a number of settings. In a constant-volatility world, canonical estimates of option prices struggle to match a Black-Scholes estimate based on historical volatility. However, in a more realistic stochastic-volatility setting, canonical valuation outperforms the Black-Scholes model. As the volatility generating process becomes further removed from the constant-volatility world, the relative performance edge of canonical valuation is more evident. In general, the results are encouraging that canonical valuation is a useful technique for valuing derivatives. (C) 2005 Wiley Periodicals, Inc.

Carotid artery intimal medial thickness, brachial artery flow-mediated vasodilation and cardiovascular risk factors in diabetic and non-diabetic indigenous Australians

Background: Indigenous Australians are at high risk for cardiovascular disease and type 2 diabetes. Carotid artery intimal medial thickness (CIMT) and brachial artery flow-mediated vasodilation (FMD) are ultrasound imaging based surrogate markers of cardiovascular risk. This study examines the relative contributions of traditional cardiovascular risk factors on CIMT and FMD in adult Indigenous Australians with and without type 2 diabetes mellitus. Method: One hundred and nineteen Indigenous Australians were recruited. Physical and biochemical markers of cardiovascular risk, together with CIMT and FMD were meausred for all subjects. Results: Fifty-three Indigenous Australians subjects (45%) had type 2 diabetes mellitus. There was a significantly greater mean CIMT in diabetic versus non-diabetic subjects (p = 0.049). In the non-diabetic group with non-parametric analyses, there were significant correlations between CIMT and: age (r = 0.64, p < 0.001), systolic blood pressure (r = 0.47, p < 0.001) and non-smokers (r = -0.30, p = 0.018). In the diabetic group, non-parametric analysis showed correlations between CIMT, age (r = 0.36, p = 0.009) and duration of diabetes (r = 0.30, p = 0.035) only. Adjusting forage, sex, smoking and history of cardiovascular disease, Hb(A1c) became the sole significant correlate of CIMT (r = 0.35,p = 0.01) in the diabetic group. In non-parametric analysis, age was the sole significant correlate of FMD (r = -0.31,p = 0.013), and only in non-diabetic subjects. Linear regression analysis showed significant associations between CIMT and age (t = 4.6,p < 0.001), systolic blood pressure (t = 2.6, p = 0.010) and Hb(A1c) (t = 2.6, p = 0.012), smoking (t = 2.1, p = 0.04) and fasting LDL-cholesterol (t = 2.1, p = 0.04). There were no significant associations between FMD and examined cardiovascular risk factors with linear regression analysis Conclusions: CIMT appears to be a useful surrogate marker of cardiovascular risk in this sample of Indigenous Australian subjects, correlating better than FMD with established cardiovascular risk factors. A lifestyle intervention programme may alleviate the burden of cardiovascular disease in Indigenous Australians by reducing central obesity, lowering blood pressure, correcting dyslipidaemia and improving glycaemic control. CIMT may prove to be a useful tool to assess efficacy of such an intervention programme. (c) 2004 Elsevier Ireland Ltd. All rights reserved.

Doxorubicin pharmacokinetics following a single-dose infusion to sulphur-crested cockatoos (Cacatua galerita)

Objective To determine the pharmacokinetics of doxorubicin in sulphur-crested cockatoos, so that its use in clinical studies in birds can be considered. Design A pharmacokinetic study of doxorubicin, following a single intravenous (IV) infusion over 20 min, was performed in four healthy sulphur-crested cockatoos (Cacatua galerita). Procedure Birds were anaesthetised and both jugular veins were cannulated, one for doxorubicin infusion and the other for blood collection. Doxorubicin hydrochloride (2 mg/kg) in normal saline was infused IV over 20 min at a constant rate. Serial blood samples were collected for 96 h after initiation of the infusion. Plasma doxorubicin concentrations were assayed using an HPLC method involving ethyl acetate extraction, reverse-phase chromatography and fluorescence detection. The limit of quantification was 20 ng/mL. Established non-parametric methods were used for the analysis of plasma doxorubicin data. Results During the infusion the mean +/- SD for the C-max of doxorubicin was 4037 +/- 2577 ng/mL. Plasma concentrations declined biexponentially immediately after the infusion was ceased. There was considerable intersubject variability in all pharmacokinetic variables. The terminal (beta-phase) half-life was 41.4 +/- 18.5 min, the systemic clearance (Cl) was 45.7 +/- 18.0 mL/min/kg, the mean residence time (MRT) was 4.8 +/- 1.4 min, and the volume of distribution at steady state (V-SS) was 238 131 mL/kg. The extrapolated area under the curve (AUC(0-infinity)) was 950 +/- 677 ng/mL.h. The reduced metabolite, doxorubicinol, was detected in the plasma of all four parrots but could be quantified in only one bird with the profile suggesting formation rate-limited pharmacokinetics of doxorubicinol. Conclusions and clinical relevance Doxorubicin infusion in sulphur-crested cockatoos produced mild, transient inappetence. The volume of distribution per kilogram and terminal half-life were considerably smaller, but the clearance per kilogram was similar to or larger than reported in the dog, rat and humans. Traces of doxorubicinol, a metabolite of doxorubicin, were detected in the plasma.

Spatial and temporal variability in somatic growth of green sea turtles (Chelonia mydas) resident in the Hawaiian Archipelago

The somatic growth dynamics of green turtles ( Chelonia mydas) resident in five separate foraging grounds within the Hawaiian Archipelago were assessed using a robust non-parametric regression modelling approach. The foraging grounds range from coral reef habitats at the north-western end of the archipelago, to coastal habitats around the main islands at the southeastern end of the archipelago. Pelagic juveniles recruit to these neritic foraging grounds from ca. 35 cm SCL or 5 kg ( similar to 6 years of age), but grow at foraging-ground-specific rates, which results in quite different size- and age-specific growth rate functions. Growth rates were estimated for the five populations as change in straight carapace length ( cm SCL year) 1) and, for two of the populations, also as change in body mass ( kg year) 1). Expected growth rates varied from ca. 0 - 2.5 cm SCL year) 1, depending on the foraging-ground population, which is indicative of slow growth and decades to sexual maturity, since expected size of first-time nesters is greater than or equal to 80 cm SCL. The expected size- specific growth rate functions for four populations sampled in the southeastern archipelago displayed a non-monotonic function, with an immature growth spurt at ca. 50 - 53 cm SCL ( similar to 18 - 23 kg) or ca. 13 - 19 years of age. The growth spurt for the Midway atoll population in the northwestern archipelago occurs at a much larger size ( ca. 65 cm SCL or 36 kg), because of slower immature growth rates that might be due to a limited food stock and cooler sea surface temperature. Expected age-at-maturity was estimated to be ca. 35 - 40 years for the four populations sampled at the south-eastern end of the archipelago, but it might well be > 50 years for the Midway population. The Hawaiian stock comprises mainly the same mtDNA haplotype, with no differences in mtDNA stock composition between foraging-ground populations, so that the geographic variability in somatic growth rates within the archipelago is more likely due to local environmental factors rather than genetic factors. Significant temporal variability was also evident, with expected growth rates declining over the last 10 - 20 years, while green turtle abundance within the archipelago has increased significantly since the mid-1970s. This inverse relationship between somatic growth rates and population abundance suggests a density-dependent effect on somatic growth dynamics that has also been reported recently for a Caribbean green turtle stock. The Hawaiian green turtle stock is characterised by slow growth rates displaying significant spatial and temporal variation and an immature growth spurt. This is consistent with similar findings for a Great Barrier Reef green turtle stock that also comprises many foraging-ground populations spanning a wide geographic range.

Coronary flow responses to exercise training: further evidence of the benefit of an underutilized therapeutic modality

Inactivity is associated with endothelial dysfunction and the development of cardiovascular disease. Exercise training has a favourable effect in the management of hypertension, heart failure and ischaemic heart disease. These beneficial effects are probably mediated through improvements of vascular function and, in this issue of Clinical Science, Hagg and co-authors propose a coronary artery effect. The use of a Doppler technique for non-invasive assessment of coronary flow reserve in a small animal model is an exciting aspect of this study. If feasible in the hands of other investigators, the availability of sequential coronary flow measurements in animal models may help improve our understanding of the mechanisms of disorders of the coronary circulation.

The impact of changes to heroin supply on blood-borne virus notifications and injecting related harms in New South Wales, Australia

Background: In early 2001 Australia experienced a sudden and unexpected disruption to heroin availability, know as the 'heroin shortage'. This 'shortage has been linked to a decrease in needle and syringe output and therefore possibly a reduction in injecting drug use. We aimed to examine changes, if any, in blood-borne viral infections and presentations for injecting related problems related to injecting drug use following the reduction heroin availability in Australia, in the context of widespread harm reduction measures. Methods: Time series analysis of State level databases on HIV, hepatitis B, hepatitis C notifications and hospital and emergency department data. Examination of changes in HIV, hepatitis B, hepatitis C notifications and hospital and emergency department admissions for injection-related problems following the onset of the heroin shortage; non-parametric curve-fitting of number of hepatitis C notifications among those aged 15 - 19 years. Results: There were no changes observed in hospital visits for injection-related problems. There was no change related to the onset heroin shortage in the number of hepatitis C notifications among persons aged 15 - 19 years, but HCV notifications have subsequently decreased in this group. No change occurred in HIV and hepatitis B notifications. Conclusion: A marked reduction in heroin supply resulted in no increase in injection-related harm at the community level. However, a delayed decrease in HCV notifications among young people may be related. These changes occurred in a setting with widespread, publicly funded harm reduction initiatives.

Effect of seasonal variation and storage temperature on leaf chlorophyll fluorescence and vase life of cut roses

Low temperature injury (LTI) of roses (Rosa hybrida L.) is difficult to assess by visual observation. Relative chlorophyll fluorescence (CF; F-v/F-m) is a non-invasive technique that provides an index of stress effects on photosystem 11 (PS 11) activity. This instrumental technique allows determination of the photosynthetic efficiency of plant tissues containing chloroplasts, such as rose leaves. In the present study, pre- and Post-Storage measurements of F-v/F-m were carried out to assess LTI in 'First Red' and 'Akito' roses harvested year round. Relationships between the pre-harvest environment conditions of temperature, relative humidity and photon flux density (PFD), F-v/F-m, and, vase life duration after storage are reported. After harvest, roses were stored at 1, 5 and 10 degrees C for 10 days. Non-stored roses were the control treatment. F-v/F-m ratios were reduced following storage, suggesting LTI of roses. However, reductions in F-v/F-m were not closely correlated with reduced vase life duration and were seasonally dependent. Only during winter experiments was F-v/F-m of roses stored at 1 degrees C significantly (P <= 0.001) lower compared to F-v/F-m of non-stored control roses and roses stored at 5 and 10 degrees C. Thus, the fall of F-v/F-m was due to an interaction of growing season and storage at 1 degrees C. Vase lives of roses grown during winter were significantly (P <= 0.001) shorter compared to roses grown during summer. Length of vase life was intermediate for roses grown during autumn and spring. Because of the lack of correlation between F-v/F-m and post-storage vase life it is concluded that the CF parameter F-v/F-m is nota practical index for assessing LTI in cold-stored roses. Higher PFD and temperature in summer were positively and significantly correlated with maintenance of post-storage FvIF ratios and longer vase life. It is suggested that shorter vase lives and lower post-storage F-v/F-m values after storage at 1 degrees C are consequences of reduced photosynthesis and smaller carbohydrate pools in winter-harvested roses. (c) 2004 Elsevier B.V All rights reserved.

Age and growth in olive ridley seaturtles (Lepidochelys olivacea) from the north-central Pacific: a skeletochronological analysis

The olive ridley is the most abundant seaturtle species in the world but little is known of the demography of this species. We used skeletochronological data on humerus diameter growth changes to estimate the age of North Pacific olive ridley seaturtles caught incidentally by pelagic longline fisheries operating near Hawaii and from dead turtles washed ashore on the main Hawaiian Islands. Two age estimation methods [ranking, correction factor (CF)] were used and yielded age estimates ranging from 5 to 38 and 7 to 24 years, respectively. Rank age-estimates are highly correlated (r = 0.93) with straight carapace length (SCL), CF age estimates are not (r = 0.62). We consider the CF age-estimates as biologically more plausible because of the disassociation of age and size. Using the CF age-estimates, we then estimate the median age at sexual maturity to be around 13 years old (mean carapace size c. 60 cm SCL) and found that somatic growth was negligible by 15 years of age. The expected age-specific growth rate function derived using numerical differentiation suggests at least one juvenile growth spurt at about 10–12 years of age when maximum age-specific growth rates, c. 5 cm SCL year−1, are apparent.

Validation of the Action Research Arm Test using item response theory in patients after stroke

Objective: To validate the unidimensionality of the Action Research Arm Test (ARAT) using Mokken analysis and to examine whether scores of the ARAT can be transformed into interval scores using Rasch analysis. Subjects and methods: A total of 351 patients with stroke were recruited from 5 rehabilitation departments located in 4 regions of Taiwan. The 19-item ARAT was administered to all the subjects by a physical therapist. The data were analysed using item response theory by non-parametric Mokken analysis followed by Rasch analysis. Results: The results supported a unidimensional scale of the 19-item ARAT by Mokken analysis, with the scalability coefficient H = 0.95. Except for the item pinch ball bearing 3rd finger and thumb'', the remaining 18 items have a consistently hierarchical order along the upper extremity function's continuum. In contrast, the Rasch analysis, with a stepwise deletion of misfit items, showed that only 4 items (grasp ball'', grasp block 5 cm(3)'', grasp block 2.5 cm(3)'', and grip tube 1 cm(3)'') fit the Rasch rating scale model's expectations. Conclusion: Our findings indicated that the 19-item ARAT constituted a unidimensional construct measuring upper extremity function in stroke patients. However, the results did not support the premise that the raw sum scores of the ARAT can be transformed into interval Rasch scores. Thus, the raw sum scores of the ARAT can provide information only about order of patients on their upper extremity functional abilities, but not represent each patient's exact functioning.