A general decomposition formula for derivative prices in stochastic volatility models

We see that the price of an european call option in a stochastic volatilityframework can be decomposed in the sum of four terms, which identifythe main features of the market that affect to option prices: the expectedfuture volatility, the correlation between the volatility and the noisedriving the stock prices, the market price of volatility risk and thedifference of the expected future volatility at different times. We alsostudy some applications of this decomposition.

Allowing for heterogeneity in the decomposition of measures of inequality in health

This paper shows how recently developed regression-based methods for the decomposition ofhealth inequality can be extended to incorporate heterogeneity in the responses of health to the explanatory variables. We illustrate our method with an application to the GHQ measure of psychological well-being taken from the British Household Panel Survey. The results suggest that there is an important degree of heterogeneity in the association of health to explanatory variables across birth cohorts and genders which, in turn, accounts for a substantial percentage of the inequality in observed health.

Cerebrospinal fluid PCR analysis and biochemistry in bodies with severe decomposition.

The aim of this study was to assess whether Neisseria meningitidis, Listeria monocytogenes, Streptococcus pneumoniae and Haemophilus influenzae can be identified using the polymerase chain reaction technique in the cerebrospinal fluid of severely decomposed bodies with known, noninfectious causes of death or whether postmortem changes can lead to false positive results and thus erroneous diagnostic information. Biochemical investigations, postmortem bacteriology and real-time polymerase chain reaction analysis in cerebrospinal fluid were performed in a series of medico-legal autopsies that included noninfectious causes of death with decomposition, bacterial meningitis without decomposition, bacterial meningitis with decomposition, low respiratory tract infections with decomposition and abdominal infections with decomposition. In noninfectious causes of death with decomposition, postmortem investigations failed to reveal results consistent with generalized inflammation or bacterial infections at the time of death. Real-time polymerase chain reaction analysis in cerebrospinal fluid did not identify the studied bacteria in any of these cases. The results of this study highlight the usefulness of molecular approaches in bacteriology as well as the use of alternative biological samples in postmortem biochemistry in order to obtain suitable information even in corpses with severe decompositional changes.

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

By means of classical Itô's calculus we decompose option prices asthe sum of the classical Black-Scholes formula with volatility parameterequal to the root-mean-square future average volatility plus a term dueby correlation and a term due to the volatility of the volatility. Thisdecomposition allows us to develop first and second-order approximationformulas for option prices and implied volatilities in the Heston volatilityframework, as well as to study their accuracy. Numerical examples aregiven.

The CAP1/Prss8 catalytic triad is not involved in PAR2 activation and protease nexin-1 (PN-1) inhibition.

Serine proteases, serine protease inhibitors, and protease-activated receptors (PARs) are responsible for several human skin disorders characterized by impaired epidermal permeability barrier function, desquamation, and inflammation. In this study, we addressed the consequences of a catalytically dead serine protease on epidermal homeostasis, the activation of PAR2 and the inhibition by the serine protease inhibitor nexin-1. The catalytically inactive serine protease CAP1/Prss8, when ectopically expressed in the mouse, retained the ability to induce skin disorders as well as its catalytically active counterpart (75%, n=81). Moreover, this phenotype was completely normalized in a PAR2-null background, indicating that the effects mediated by the catalytically inactive CAP1/Prss8 depend on PAR2 (95%, n=131). Finally, nexin-1 displayed analogous inhibitory capacity on both wild-type and inactive mutant CAP1/Prss8 in vitro and in vivo (64% n=151 vs. 89% n=109, respectively), indicating that the catalytic site of CAP1/Prss8 is dispensable for nexin-1 inhibition. Our results demonstrate a novel inhibitory interaction between CAP1/Prss8 and nexin-1, opening the search for specific CAP1/Prss8 antagonists that are independent of its catalytic activity.-Crisante, G., Battista, L., Iwaszkiewicz, J., Nesca, V., Mérillat, A.-M., Sergi, C., Zoete, V., Frateschi, S., Hummler, E. The CAP1/Prss8 catalytic triad is not involved in PAR2 activation and protease nexin-1 (PN-1) inhibition.

The importance of individual heterogeneity in the decomposition of measures of socioeconomic inequality in health: An approach based on quantile regression

This paper shows how recently developed regression-based methods for thedecomposition of health inequality can be extended to incorporateindividual heterogeneity in the responses of health to the explanatoryvariables. We illustrate our method with an application to the CanadianNPHS of 1994. Our strategy for the estimation of heterogeneous responsesis based on the quantile regression model. The results suggest that thereis an important degree of heterogeneity in the association of health toexplanatory variables which, in turn, accounts for a substantial percentageof inequality in observed health. A particularly interesting finding isthat the marginal response of health to income is zero for healthyindividuals but positive and significant for unhealthy individuals. Theheterogeneity in the income response reduces both overall health inequalityand income related health inequality.

Trophic roles of scavenger beetles in relation to decomposition stages and seasons

Carcasses represent a trophic and reproductive resource or shelter for arthropods, which are a representative component of the decomposition process. Four experiments, one per season, were conducted in a semi-rural area of Bahía Blanca, Argentina, to study the trophic roles of cadaveric beetles, evaluating the abundance, composition and dominance during all decomposition stages and seasons. Species of necrophagous, necrophilous and omnivorous habits were found. Abundance, composition and dominance of beetles in relation to their trophic roles changed according to seasons and decomposition stages. Guilds and patterns of succession were established in relation to those periods. Trophic roles could be an indicator of beetle associations with decomposition stages and seasons.

Surface and subsurface decomposition of a desiccated grass pasture biomass related to erosion and its prediction with RUSLE

Erosion is deleterious because it reduces the soil's productivity capacity for growing crops and causes sedimentation and water pollution problems. Surface and buried crop residue, as well as live and dead plant roots, play an important role in erosion control. An efficient way to assess the effectiveness of such materials in erosion reduction is by means of decomposition constants as used within the Revised Universal Soil Loss Equation - RUSLE's prior-land-use subfactor - PLU. This was investigated using simulated rainfall on a 0.12 m m-1 slope, sandy loam Paleudult soil, at the Agriculture Experimental Station of the Federal University of Rio Grande do Sul, in Eldorado do Sul, State of Rio Grande do Sul, Brazil. The study area had been covered by native grass pasture for about fifteen years. By the middle of March 1996, the sod was mechanically mowed and the crop residue removed from the field. Late in April 1996, the sod was chemically desiccated with herbicide and, about one month later, the following treatments were established and evaluated for sod biomass decomposition and soil erosion, from June 1996 to May 1998, on duplicated 3.5 x 11.0 m erosion plots: (a) and (b) soil without tillage, with surface residue and dead roots; (c) soil without tillage, with dead roots only; (d) soil tilled conventionally every two-and-half months, with dead roots plus incorporated residue; and (e) soil tilled conventionally every six months, with dead roots plus incorporated residue. Simulated rainfall was applied with a rotating-boom rainfall simulator, at an intensity of 63.5 mm h-1 for 90 min, eight to nine times during the experimental period (about every two-and-half months). Surface and subsurface sod biomass amounts were measured before each rainfall test along with the erosion measurements of runoff rate, sediment concentration in runoff, soil loss rate, and total soil loss. Non-linear regression analysis was performed using an exponential and a power model. Surface sod biomass decomposition was better depicted by the exponential model, while subsurface sod biomass was by the power model. Subsurface sod biomass decomposed faster and more than surface sod biomass, with dead roots in untilled soil without residue on the surface decomposing more than dead roots in untilled soil with surface residue. Tillage type and frequency did not appreciably influence subsurface sod biomass decomposition. Soil loss rates increased greatly with both surface sod biomass decomposition and decomposition of subsurface sod biomass in the conventionally tilled soil, but they were minimally affected by subsurface sod biomass decomposition in the untilled soil. Runoff rates were little affected by the studied treatments. Dead roots plus incorporated residues were effective in reducing erosion in the conventionally tilled soil, while consolidation of the soil surface was important in no-till. The residual effect of the turned soil on erosion diminished gradually with time and ceased after two years.

Eliminació d'artefactes en EGG mitjançant l'ús de la Multivariate Empirical Mode Decomposition

La tècnica de l’electroencefalograma (EEG) és una de les tècniques més utilitzades per estudiar el cervell. En aquesta tècnica s’enregistren els senyals elèctrics que es produeixen en el còrtex humà a través d’elèctrodes col•locats al cap. Aquesta tècnica, però, presenta algunes limitacions a l’hora de realitzar els enregistraments, la principal limitació es coneix com a artefactes, que són senyals indesitjats que es mesclen amb els senyals EEG. L’objectiu d’aquest treball de final de màster és presentar tres nous mètodes de neteja d’artefactes que poden ser aplicats en EEG. Aquests estan basats en l’aplicació de la Multivariate Empirical Mode Decomposition, que és una nova tècnica utilitzada per al processament de senyal. Els mètodes de neteja proposats s’apliquen a dades EEG simulades que contenen artefactes (pestanyeigs), i un cop s’han aplicat els procediments de neteja es comparen amb dades EEG que no tenen pestanyeigs, per comprovar quina millora presenten. Posteriorment, dos dels tres mètodes de neteja proposats s’apliquen sobre dades EEG reals. Les conclusions que s’han extret del treball són que dos dels nous procediments de neteja proposats es poden utilitzar per realitzar el preprocessament de dades reals per eliminar pestanyeigs.

Multiresolution-based image fusion with additive wavelet decomposition

The standard data fusion methods may not be satisfactory to merge a high-resolution panchromatic image and a low-resolution multispectral image because they can distort the spectral characteristics of the multispectral data. The authors developed a technique, based on multiresolution wavelet decomposition, for the merging and data fusion of such images. The method presented consists of adding the wavelet coefficients of the high-resolution image to the multispectral (low-resolution) data. They have studied several possibilities concluding that the method which produces the best results consists in adding the high order coefficients of the wavelet transform of the panchromatic image to the intensity component (defined as L=(R+G+B)/3) of the multispectral image. The method is, thus, an improvement on standard intensity-hue-saturation (IHS or LHS) mergers. They used the ¿a trous¿ algorithm which allows the use of a dyadic wavelet to merge nondyadic data in a simple and efficient scheme. They used the method to merge SPOT and LANDSATTM images. The technique presented is clearly better than the IHS and LHS mergers in preserving both spectral and spatial information.

Organic material decomposition and nutrient dynamics in a mulch system enriched with leguminous trees in the Amazon

The new techniques proposed for agriculture in the Amazon region include rotational fallow systems enriched with leguminous trees and the replacement of biomass burning by mulching. Decomposition and nutrient release from mulch were studied using fine-mesh litterbags with five different leguminous species and the natural fallow vegetation as control. Samples from each treatment were analyzed for total C, N, P, K, Ca, Mg, lignin, cellulose content and soluble polyphenol at different sampling times over the course of one year. The decomposition rate constant varied with species and time. Weight loss from the decomposed litter bag material after 96 days was 30.1 % for Acacia angustissima, 32.7 % for Sclerolobium paniculatum, 33.9 % for Iinga edulis and the Fallow vegetation, 45.2 % for Acacia mangium and 63.6 % for Clitoria racemosa. Immobilization of N and P was observed in all studied treatments. Nitrogen mineralization was negatively correlated with phenol, C-to-N ratio, lignin + phenol/N ratio, and phenol/phosphorus ratios and with N content in the litterbag material. After 362 days of field incubation, an average (of all treatments), 3.3 % K, 32.2 % Ca and 22.4 % Mg remained in the mulch. Results confirm that low quality and high amount of organic C as mulch application are limiting for the quantity of energy available for microorganisms and increase the nutrient immobilization for biomass decomposition, which results in competition for nutrients with the crop plants.

Socio-economic inequalities in reported depression in Spain : a decomposition approach

Recent evidence questions some conventional view on the existence of income-related inequalities in depression suggesting in turn that other determinants might be in place, such as activity status and educational attainment. Evidence of socio-economic inequalities is especially relevant in countries such as Spain that have a limited coverage of mental health care and are regionally heterogeneous. This paper aims at measuring and explaining the degree of socio-economic inequality in reported depression in Spain. We employ linear probability models to estimate the concentration index and its decomposition drawing from 2003 edition of the Spanish National Health Survey, the most recent representative health survey in Spain. Our findings point towards the existence of avoidable inequalities in the prevalence of reported depression. However, besides ¿pure income effects¿ explaining 37% of inequality, economic activity status (28%), education (15%) and demographics (15%) play also a key encompassing role. Although high income implies higher resources to invest and cure (mental) illness, environmental factors influencing in peoples perceived social status act as indirect path as explaining the prevalence of depression. Finally, we find evidence of a gender effect, gender social-economic inequality in income is mainly avoidable.

Decomposition and nutrient release of leguminous plants in coffee agroforestry systems

Leguminous plants used as green manure are an important nutrient source for coffee plantations, especially for soils with low nutrient levels. Field experiments were conducted in the Zona da Mata of Minas Gerais State, Brazil to evaluate the decomposition and nutrient release rates of four leguminous species used as green manures (Arachis pintoi, Calopogonium mucunoides, Stizolobium aterrimum and Stylosanthes guianensis) in a coffee agroforestry system under two different climate conditions. The initial N contents in plant residues varied from 25.7 to 37.0 g kg-1 and P from 2.4 to 3.0 g kg-1. The lignin/N, lignin/polyphenol and (lignin+polyphenol)/N ratios were low in all residues studied. Mass loss rates were highest in the first 15 days, when 25 % of the residues were decomposed. From 15 to 30 days, the decomposition rate decreased on both farms. On the farm in Pedra Dourada (PD), the decomposition constant k increased in the order C. mucunoides < S. aterrimum < S. guianensis < A. pintoi. On the farm in Araponga (ARA), there was no difference in the decomposition rate among leguminous plants. The N release rates varied from 0.0036 to 0.0096 d-1. Around 32 % of the total N content in the plant material was released in the first 15 days. In ARA, the N concentration in the S. aterrimum residues was always significantly higher than in the other residues. At the end of 360 days, the N released was 78 % in ARA and 89 % in PD of the initial content. Phosphorus was the most rapidly released nutrient (k values from 0.0165 to 0.0394 d-1). Residue decomposition and nutrient release did not correlate with initial residue chemistry and biochemistry, but differences in climatic conditions between the two study sites modified the decomposition rate constants.

Comment on "Kinetics of spinodal decomposition in the ising model with vacancy diffusion"

In a recent paper [Phys. Rev. B 50, 3477 (1994)], P. Fratzl and O. Penrose present the results of the Monte Carlo simulation of the spinodal decomposition problem (phase separation) using the vacancy dynamics mechanism. They observe that the t1/3 growth regime is reached faster than when using the standard Kawasaki dynamics. In this Comment we provide a simple explanation for the phenomenon based on the role of interface diffusion, which they claim is irrelevant for the observed behavior.