New simulation schemes for the Heston model

Les titres financiers sont souvent modélisés par des équations différentielles stochastiques (ÉDS). Ces équations peuvent décrire le comportement de l'actif, et aussi parfois certains paramètres du modèle. Par exemple, le modèle de Heston (1993), qui s'inscrit dans la catégorie des modèles à volatilité stochastique, décrit le comportement de l'actif et de la variance de ce dernier. Le modèle de Heston est très intéressant puisqu'il admet des formules semi-analytiques pour certains produits dérivés, ainsi qu'un certain réalisme. Cependant, la plupart des algorithmes de simulation pour ce modèle font face à quelques problèmes lorsque la condition de Feller (1951) n'est pas respectée. Dans ce mémoire, nous introduisons trois nouveaux algorithmes de simulation pour le modèle de Heston. Ces nouveaux algorithmes visent à accélérer le célèbre algorithme de Broadie et Kaya (2006); pour ce faire, nous utiliserons, entre autres, des méthodes de Monte Carlo par chaînes de Markov (MCMC) et des approximations. Dans le premier algorithme, nous modifions la seconde étape de la méthode de Broadie et Kaya afin de l'accélérer. Alors, au lieu d'utiliser la méthode de Newton du second ordre et l'approche d'inversion, nous utilisons l'algorithme de Metropolis-Hastings (voir Hastings (1970)). Le second algorithme est une amélioration du premier. Au lieu d'utiliser la vraie densité de la variance intégrée, nous utilisons l'approximation de Smith (2007). Cette amélioration diminue la dimension de l'équation caractéristique et accélère l'algorithme. Notre dernier algorithme n'est pas basé sur une méthode MCMC. Cependant, nous essayons toujours d'accélérer la seconde étape de la méthode de Broadie et Kaya (2006). Afin de réussir ceci, nous utilisons une variable aléatoire gamma dont les moments sont appariés à la vraie variable aléatoire de la variance intégrée par rapport au temps. Selon Stewart et al. (2007), il est possible d'approximer une convolution de variables aléatoires gamma (qui ressemble beaucoup à la représentation donnée par Glasserman et Kim (2008) si le pas de temps est petit) par une simple variable aléatoire gamma.

Number of options in a movement sequence affects learners' behavior in a self-controlled practice condition

Self controlling practice implies a process of decision making which suggests that the options in a self controlled practice condition could affect learners The number of task components with no fixed position in a movement sequence may affect the (Nay learners self control their practice A 200 cm coincident timing track with 90 light emitting diodes (LEDs)-the first and the last LEDs being the warning and the target lights respectively was set so that the apparent speed of the light along the track was 1 33 m/sec Participants were required to touch six sensors sequentially the last one coincidently with the lighting of the tar get light (timing task) Group 1 (n=55) had only one constraint and were instructed to touch the sensors in any order except for the last sensor which had to be the one positioned close to the target light Group 2 (n=53) had three constraints the first two and the last sensor to be touched Both groups practiced the task until timing error was less than 30 msec on three consecutive trials There were no statistically significant differences between groups in the number of trials needed to reach the performance criterion but (a) participants in Group 2 created fewer sequences corn pared to Group 1 and (b) were more likely to use the same sequence throughout the learning process The number of options for a movement sequence affected the way learners self-controlled their practice but had no effect on the amount of practice to reach criterion performance.

An evaluation of selective Helicoverpa armigera control options in sweet corn

Helicoverpa armigera is a serious insect pest of sweet corn in Australia and is becoming increasingly difficult to manage with conventional chemical insecticides due to resistance problems. A number of alternative H. armigera control options were evaluated in sweet corn and compared with deltamethrin and no action (control). The alternative tactics evaluated were: heliothis nuclear polyhedrosis virus plus Trichogramma nr. brassicae releases; Bacillus thuringiensis; and Trichogramma alone. The H. tea nuclear polyhedrosis virus + Trichogramma plots had the lowest cob damage (6.0%), followed by the B. thuringiensis plots (12.0%), Trichogramma alone plots (20.2%), control plots (23.2%) and deltamethrin plots (53.5%). There was no evidence to suggest that the Trichogramma nr. brassicae releases had any impact on H. armigera egg mortality. However, there was a large natural population of Trichogramma pretiosum in all plots. The application of deltamethrin reduced the action of these wasps and predators, resulting in higher larval infestation and significantly more cob damage. The findings indicate that the pathogens heliothis nuclear polyhedrosis virus and B. thuringiensis can effectively control H. armigera when their action complements high natural levels of egg parasitism, and that they have potential for use in integrated pest management programs in sweet corn.

Urticaria unresponsive to antihistaminic treatment: An open study of therapeutic options based on histopathologic features

Background: The non- or low-sedating H1 receptor antagonists represent the basic therapy for urticaria. Objective: To test an alternative approach to patients unresponsive to conventional treatment. Materials and methods: A total of 22 patients with chronic urticaria unresponsive to conventional antihistamine treatment were enrolled for this study. They had uncontrolled urticaria even using multiple combinations of antihistamines on maximum doses and corticosteroids in short cycles (prednisone 20-40 mg, per os once a day, 3-7 days per month). Cutaneous biopsies of the urticaria lesions were taken. These findings were classified as: (I) a mixture of perivascular dermal inflammatory infiltrate composed of lymphocytes, monocytes and neutrophils and/or eosinophils; (II) inflammatory infiltrate composed chiefly of neutrophils; and (III) inflammatory infiltrate composed mainly of eosinophils. According to histology, the patients were submitted to one of the following therapeutic schemes: class A - antihistamine treatment plus dapsone; class B - colchicine or dapsone; class C montelukast. Results: Four patients in class A, 08 in class B and seven in class C displayed complete control of urticaria after 12 weeks of treatment; one patient in class B and two in class C did not respond to treatment. Two years after discontinuation, 16 patients are still free of urticaria. Conclusions: This study suggests an alternative approach for treating unresponsive chronic urticaria.

Options for monitoring diabetic cats

The key to successful long-term management of diabetes in cats is individualization of advice to suit cat and owner. A relationship based on trust and cooperation between veterinarian and client leads invariably to the most satisfactory outcome. Success requires knowledge of the options for monitoring diabetic cats, selection and adaptation of appropriate techniques for each individual case, and provision of ongoing support and guidance for owners. The ongoing treatment of a diabetic cat can be one of the more rewarding experiences of feline practice, and many diabetic cats and their owners come to occupy a special place within the clinic environment. This chapter provides a comprehensive overview of the current options for monitoring diabetes in cats and guidelines for application of the techniques to clinical cases.