On the goodness of fit of Kirk's formula for spread option prices

In this paper we investigate the goodness of fit of the Kirk's approximation formula for spread option prices in the correlated lognormal framework. Towards this end, we use the Malliavin calculus techniques to find an expression for the short-time implied volatility skew of options with random strikes. In particular, we obtain that this skew is very pronounced in the case of spread options with extremely high correlations, which cannot be reproduced by a constant volatility approximation as in the Kirk's formula. This fact agrees with the empirical evidence. Numerical examples are given.

Quantification of myocardial blood flow with 82Rb positron emission tomography: clinical validation with 15O-water.

PURPOSE: Quantification of myocardial blood flow (MBF) with generator-produced (82)Rb is an attractive alternative for centres without an on-site cyclotron. Our aim was to validate (82)Rb-measured MBF in relation to that measured using (15)O-water, as a tracer 100% of which can be extracted from the circulation even at high flow rates, in healthy control subject and patients with mild coronary artery disease (CAD). METHODS: MBF was measured at rest and during adenosine-induced hyperaemia with (82)Rb and (15)O-water PET in 33 participants (22 control subjects, aged 30 ± 13 years; 11 CAD patients without transmural infarction, aged 60 ± 13 years). A one-tissue compartment (82)Rb model with ventricular spillover correction was used. The (82)Rb flow-dependent extraction rate was derived from (15)O-water measurements in a subset of 11 control subjects. Myocardial flow reserve (MFR) was defined as the hyperaemic/rest MBF. Pearson's correlation r, Bland-Altman 95% limits of agreement (LoA), and Lin's concordance correlation ρ (c) (measuring both precision and accuracy) were used. RESULTS: Over the entire MBF range (0.66-4.7 ml/min/g), concordance was excellent for MBF (r = 0.90, [(82)Rb-(15)O-water] mean difference ± SD = 0.04 ± 0.66 ml/min/g, LoA = -1.26 to 1.33 ml/min/g, ρ(c) = 0.88) and MFR (range 1.79-5.81, r = 0.83, mean difference = 0.14 ± 0.58, LoA = -0.99 to 1.28, ρ(c) = 0.82). Hyperaemic MBF was reduced in CAD patients compared with the subset of 11 control subjects (2.53 ± 0.74 vs. 3.62 ± 0.68 ml/min/g, p = 0.002, for (15)O-water; 2.53 ± 1.01 vs. 3.82 ± 1.21 ml/min/g, p = 0.013, for (82)Rb) and this was paralleled by a lower MFR (2.65 ± 0.62 vs. 3.79 ± 0.98, p = 0.004, for (15)O-water; 2.85 ± 0.91 vs. 3.88 ± 0.91, p = 0.012, for (82)Rb). Myocardial perfusion was homogeneous in 1,114 of 1,122 segments (99.3%) and there were no differences in MBF among the coronary artery territories (p > 0.31). CONCLUSION: Quantification of MBF with (82)Rb with a newly derived correction for the nonlinear extraction function was validated against MBF measured using (15)O-water in control subjects and patients with mild CAD, where it was found to be accurate at high flow rates. (82)Rb-derived MBF estimates seem robust for clinical research, advancing a step further towards its implementation in clinical routine.

Measures of fit in multiple correspondence analysis of crisp and fuzzy coded data

When continuous data are coded to categorical variables, two types of coding are possible: crisp coding in the form of indicator, or dummy, variables with values either 0 or 1; or fuzzy coding where each observation is transformed to a set of "degrees of membership" between 0 and 1, using co-called membership functions. It is well known that the correspondence analysis of crisp coded data, namely multiple correspondence analysis, yields principal inertias (eigenvalues) that considerably underestimate the quality of the solution in a low-dimensional space. Since the crisp data only code the categories to which each individual case belongs, an alternative measure of fit is simply to count how well these categories are predicted by the solution. Another approach is to consider multiple correspondence analysis equivalently as the analysis of the Burt matrix (i.e., the matrix of all two-way cross-tabulations of the categorical variables), and then perform a joint correspondence analysis to fit just the off-diagonal tables of the Burt matrix - the measure of fit is then computed as the quality of explaining these tables only. The correspondence analysis of fuzzy coded data, called "fuzzy multiple correspondence analysis", suffers from the same problem, albeit attenuated. Again, one can count how many correct predictions are made of the categories which have highest degree of membership. But here one can also defuzzify the results of the analysis to obtain estimated values of the original data, and then calculate a measure of fit in the familiar percentage form, thanks to the resultant orthogonal decomposition of variance. Furthermore, if one thinks of fuzzy multiple correspondence analysis as explaining the two-way associations between variables, a fuzzy Burt matrix can be computed and the same strategy as in the crisp case can be applied to analyse the off-diagonal part of this matrix. In this paper these alternative measures of fit are defined and applied to a data set of continuous meteorological variables, which are coded crisply and fuzzily into three categories. Measuring the fit is further discussed when the data set consists of a mixture of discrete and continuous variables.

Érosion des sols au Cap Vert : étude des processus et quantification à l’échelle de trois bassins versants de l’île de Santiago

Erosão dos solos em Cabo Verde: estudo dos processos e quantificação à escala de três bacias hidrográficas O arquipélago de Cabo Verde é constituído por 10 ilhas vulcânicas pertence à zona do Sahel que se estende do Atlântico ao Mar Vermelho. Desde então, várias décadas, Cabo Verde é afectado pela desertificação causada principalmente pela recessão climatica e a erosão do solo. Esses fatores, aliados à alta pressão humana sobre os recursos, a topografia acidentada e chuvas tropicais por vezes torrenciais, causam sérios danos aos solos. No entanto, desde sua independência em 1975, o Governo realizou um amplo programa de arborização, recuperação de áreas degradadas e a correcção dos leitos das ribeiras. No entanto, a investigação, muito pouco foi realizada para avaliar as acções de protecção e conservação do solo e da água. Portanto, não há dados sobre o problema da degradação das terras nem balanços. Como parte deste trabalho, foram estudados vários factores que controlam a erosão do solo pela água. Especificamente, buscou-se diferenciar os efeitos das actividades humanas, incluindo a agricultura, os factores climáticos, como chuva e geração de escoamento. Também estabeleceu os primeiros balanços das exportações de matérias em suspensão e em solução no contexto do arquipélago de Cabo Verde. O estudo foi realizado em três bacias hidrográficas da ilha de Santiago, Cabo Verde. Estas três bacias hidrográficas (Longueira, Grande e Godim) estão localizadas na parte central da ilha de Santiago e representam os diversos tipos de uso da terra e as diferentes zonas bioclimaticas da ilha. Existe um gradiente climático entre as três bacias hidrográficas. Na verdade, Longueira que abrange uma área de 4,18 km2, tem um declive médio de 47 %, uma zona florestada de 69% e uma área agrícola de 17 %. Grande com uma área de 1,87 km2, é localizada numa zona sub humida com um declive médio de 50%, é essencialmente agrícola. Godim, com uma área de 2,0 km2, é localizado numa zona semi-árida com um declive médio de 32%, é particularmente uma zona agricola. Para estes três bacias hidrográficas, as cheias foram medidas e amostradas de 2004 a 2009. A bacia de Longueira teve um maior acompanhamento, nomeadamente em termos de amostragem e monitoramento dos escoamentos. Em cada amostra foram feitas a determinação da concentração de matérias em suspensão e a análise dos principais elementos quimicos. Os resultados mostram que a erosão mecânica nas três bacias hidrográficas é caracterizada por uma forte variabilidade espacial e temporal. Durante o período de 2005-2009, o balanço anual média para as bacias hidrográficas de Longueira, Grande e Godim é: 4266, 157 e 10,1 t.km2.an-1, respectivamente. A estação das chuvas de 2006 foi a mais erosiva para as três bacias, particularmente em Longueira, com 2 cheias excepcionais, que têm gerado uma concentração média de sólidos em suspensão superior a 100 g / l. Porém, as estações do ano de 2005 e 2008 foram de uma forma geral menos erosivas porque as concentrações médias não inferiores a 20 g / l. Além disso, não houve cheias para as temporadas 2005 e 2007 para a bacia do Godim. Na bacia de Longueira, o estudo dos fenómenos de histerese na caracterização das cheias mostrou que a evolução temporal das exportações de sólidos em suspensão durante a temporada é fortemente influenciada pelas atividades agrícolas. Na verdade, a primeira cheia causou uma exportação maciça de sedimento disponível e localizado no leito da ribeira. Assim, a segunda cheia exportou menos sedimentos. Um mês após as primeiras chuvas, a prática da monda que reduz a densidade da cobertura vegetal e destructura a camada superficial do solo, gerou uma grande quantidade de sedimento que novamente permitiu uma exportação muito forte de sedimentos durante a terceira forte cheia. Os resultados da erosão química na bacia de Longueira indicam que a taxa de erosão é de 45 t.km2.an-1 com uma forte variabilidade temporal. Na verdade, as temporadas de 2006 e 2007 são as mais erosivas, enquanto 2005 teve uma exportação de matérias disolvidas baixa. A utilização do modelo EMMA (End- Members Mixing Analysis) mostra que os escoamentos hipodermico e profundo, alimentandos os fluxos de elementos dissolvidos são os principais factores da erosão química. É mostrado que esses fluxos causam mais de 90% dos fluxos de erosão química. O escoamento superficial, que contribui com cerca de 70% na formação das cheias, é o maior factor da erosão mecânica do solo.

Regulation of the expression of Fit insect toxin locus genes in the root-associated biocontrol pseudomonad CHA0

The root-colonizing Pseudomonas fluorescens strain CHA0 is a biocontrol agent of soil-borne plant diseases caused by fungal and oomycete pathogens. Remarkably, this plant-beneficial pseudomonad is also endowed with potent insecticidal activity that depends on the production of a large protein toxin termed Fit (for P. fluorescens insecticidal toxin). In our present work, the genomic locus encoding the P. fluorescens insect toxin is subjected to a detailed molecular analysis. The Fit toxin gene fitD is flanked upstream by the fitABC genes and downstream by the fitE gene that encode the ABC transporter, membrane fusion, and outer membrane efflux components of a type I protein secretion system predicted to function in toxin export. The fitF, fitG, and fitH genes located downstream of fitE code for regulatory proteins having domain structures typical of signal transduction histidine kinases, LysR-type transcriptional regulators, and response regulators, respectively. The role of these insect toxin locus-associated control elements is being investigated with mutants defective for the regulatory genes and with GFP-based reporter fusions to putative promoter regions upstream of the transporter genes fitA and fitE, the toxin gene fitD, and the regulatory genes fitF and fitH. Our preliminary findings suggest that the three regulators interact with known global regulators of biocontrol factor expression to control Fit toxin expression and secretion.

Validation of methane measurement using headspace-GC-MS and quantification by a stable isotope-labeled internal standard generated in situ.

A previous study has shown the possibility to identify methane (CH4 ) using headspace-GC-MS and quantify it with a stable isotope as internal standard. The main drawback of the GC-MS methods discussed in literature for CH4 measurement is the absence of a specific internal standard necessary to perform quantification. However, it becomes essential to develop a safer method to limit the manipulation of gaseous CH4 and to precisely control the injected amount of gas for spiking and calibration by comparison with external calibration. To avoid the manipulation of a stable isotope-labeled gas, we have chosen to generate a labeled gas as an internal standard in a vial on the basis of the formation of CH4 by the reaction of Grignard reagent methylmagnesium chloride with deuterated water. This method allows precise measurement of CH4 concentrations in gaseous sample as well as in a solid or a liquid sample after a thermodesorption step in a headspace vial. A full accuracy profile validation of this method is then presented.

When Preference Is Not Satisfied but the Individual Is: How Power Distance Affects Person-Job Fit

One aspect of person-job fit reflects congruence between personal preferences and job design; as congruence increases so should satisfaction. We hypothesized that power distance would moderate whether fit is related to satisfaction with degree of job formalization. We obtained measures of job-formalization, fit and satisfaction, as well as organizational commitment from employees (n = 772) in a multinational firm with subsidiaries in six countries. Confirming previous findings, individuals from low power-distance cultures were most satisfied with increasing fit. However, the extent to which individuals from high power-distance cultures were satisfied did not necessarily depend on increasing fit, but mostly on whether the degree of formalization received was congruent to cultural norms. Irrespective of culture, satisfaction with formalization predicted a broad measure of organizational commitment. Apart from our novel extension of fit theory, we show how moderation can be tested in the context of polynomial response surface regression and how specific hypotheses can be tested regarding different points on the response surface.

Making land-use fit to planning goals. Weaknesses and opportunities within the Swiss land management regime

In Switzerland, the issue of land consumption has made it to the front of the political agenda in recent years. Studies conducted on a national level have concluded that there is an excess of land zoned for construction (ARE, 2008), which is seen as contributing to urban sprawl. This situation is looked upon as a failure of the Federal Law on Spatial Planning (LAT, 1979) and there is a political push to change it in order to reinforce zoning regulations. In this article, we look on the issue from a different angle. While there may be large quantities of land zoned for construction, in many urban areas land actually available for development is scarce. Building on the idea that planning's efficiency is linked to its capacity of influencing actual land-use, we focus on how this situation can be dealt with within the current Swiss institutional context.

Non-invasive quantification of brain glycogen absolute concentration.

The only currently available method to measure brain glycogen in vivo is 13C NMR spectroscopy. Incorporation of 13C-labeled glucose (Glc) is necessary to allow glycogen measurement, but might be affected by turnover changes. Our aim was to measure glycogen absolute concentration in the rat brain by eliminating label turnover as variable. The approach is based on establishing an increased, constant 13C isotopic enrichment (IE). 13C-Glc infusion is then performed at the IE of brain glycogen. As glycogen IE cannot be assessed in vivo, we validated that it can be inferred from that of N-acetyl-aspartate IE in vivo: After [1-13C]-Glc ingestion, glycogen IE was 2.2 +/- 0.1 fold that of N-acetyl-aspartate (n = 11, R(2) = 0.77). After subsequent Glc infusion, glycogen IE equaled brain Glc IE (n = 6, paired t-test, p = 0.37), implying isotopic steady-state achievement and complete turnover of the glycogen molecule. Glycogen concentration measured in vivo by 13C NMR (mean +/- SD: 5.8 +/- 0.7 micromol/g) was in excellent agreement with that in vitro (6.4 +/- 0.6 micromol/g, n = 5). When insulin was administered, the stability of glycogen concentration was analogous to previous biochemical measurements implying that glycogen turnover is activated by insulin. We conclude that the entire glycogen molecule is turned over and that insulin activates glycogen turnover.

Statistical learning theory for geospatial data. Case study: Aral sea

In recent years there has been an explosive growth in the development of adaptive and data driven methods. One of the efficient and data-driven approaches is based on statistical learning theory (Vapnik 1998). The theory is based on Structural Risk Minimisation (SRM) principle and has a solid statistical background. When applying SRM we are trying not only to reduce training error ? to fit the available data with a model, but also to reduce the complexity of the model and to reduce generalisation error. Many nonlinear learning procedures recently developed in neural networks and statistics can be understood and interpreted in terms of the structural risk minimisation inductive principle. A recent methodology based on SRM is called Support Vector Machines (SVM). At present SLT is still under intensive development and SVM find new areas of application (www.kernel-machines.org). SVM develop robust and non linear data models with excellent generalisation abilities that is very important both for monitoring and forecasting. SVM are extremely good when input space is high dimensional and training data set i not big enough to develop corresponding nonlinear model. Moreover, SVM use only support vectors to derive decision boundaries. It opens a way to sampling optimization, estimation of noise in data, quantification of data redundancy etc. Presentation of SVM for spatially distributed data is given in (Kanevski and Maignan 2004).

Quantification of glucuronidated and sulfated steroids in human urine by ultra-high pressure liquid chromatography quadrupole time-of-flight mass spectrometry.

The urinary steroid profile is constituted by anabolic androgenic steroids, including testosterone and its relatives, that are extensively metabolized into phase II sulfated or glucuronidated steroids. The use of liquid chromatography coupled to mass spectrometry (LC-MS) is an issue for the direct analysis of conjugated steroids, which can be used as urinary markers of exogenous steroid administration in doping analysis, without hydrolysis of the conjugated moiety. In this study, a sensitive and selective ultra high-pressure liquid chromatography coupled to quadrupole time-of-flight mass spectrometer (UHPLC-QTOF-MS) method was developed to quantify major urinary metabolites simultaneously after testosterone intake. The sample preparation of the urine (1 mL) was performed by solid-phase extraction on Oasis HLB sorbent using a 96-well plate format. The conjugated steroids were analyzed by UHPLC-QTOF-MS(E) with a single-gradient elution of 36 min (including re-equilibration time) in the negative electrospray ionization mode. MS(E) analysis involved parallel alternating acquisitions of both low- and high-collision energy functions. The method was validated and applied to samples collected from a clinical study performed with a group of healthy human volunteers who had taken testosterone, which were compared with samples from a placebo group. Quantitative results were also compared to GC-MS and LC-MS/MS measurements, and the correlations between data were found appropriate. The acquisition of full mass spectra over the entire mass range with QTOF mass analyzers gives promise of the opportunity to extend the steroid profile to a higher number of conjugated steroids.

Identification and quantification techniques in mass spectrometry-based proteomics

Résumé La protéomique basée sur la spectrométrie de masse est l'étude du proteome l'ensemble des protéines exprimées au sein d'une cellule, d'un tissu ou d'un organisme - par cette technique. Les protéines sont coupées à l'aide d'enzymes en plus petits morceaux -les peptides -, et, séparées par différentes techniques. Les différentes fractions contenant quelques centaines de peptides sont ensuite analysées dans un spectromètre de masse. La masse des peptides est enregistrée et chaque peptide est séquentiellement fragmenté pour en obtenir sa séquence. L'information de masse et séquence est ensuite comparée à une base de données de protéines afin d'identifier la protéine d'origine. Dans une première partie, la thèse décrit le développement de méthodes d'identification. Elle montre l'importance de l'enrichissement de protéines comme moyen d'accès à des protéines de moyenne à faible abondance dans le lait humain. Elle utilise des injections répétées pour augmenter la couverture en protéines et la confiance dans l'identification. L'impacte de nouvelle version de base de données sur la liste des protéines identifiées est aussi démontré. De plus, elle utilise avec succès la spectrométrie de masse comme alternative aux anticorps, pour valider la présence de 34 constructions de protéines pathogéniques du staphylocoque doré exprimées dans une souche de lactocoque. Dans une deuxième partie, la thèse décrit le développement de méthodes de quantification. Elle expose de nouvelles approches de marquage des terminus des protéines aux isotopes stables et décrit la première méthode de marquage des groupements carboxyliques au niveau protéine à l'aide de réactifs composé de carbone 13. De plus, une nouvelle méthode, appelée ANIBAL, marquant tous les groupements amines et carboxyliques au niveau de la protéine, est exposée. Summary Mass spectrometry-based proteomics is the study of the proteome -the set of all expressed proteins in a cell, tissue or organism -using mass spectrometry. Proteins are cut into smaller pieces - peptides - using proteolytic enzymes and separated using different separation techniques. The different fractions containing several hundreds of peptides are than analyzed by mass spectrometry. The mass of the peptides entering the instrument are recorded and each peptide is sequentially fragmented to obtain its amino acid sequence. Each peptide sequence with its corresponding mass is then searched against a protein database to identify the protein to which it belongs. This thesis presents new method developments in this field. In a first part, the thesis describes development of identification methods. It shows the importance of protein enrichment methods to gain access to medium-to-low abundant proteins in a human milk sample. It uses repeated injection to increase protein coverage and confidence in identification and demonstrates the impact of new database releases on protein identification lists. In addition, it successfully uses mass spectrometry as an alternative to antibody-based assays to validate the presence of 34 different recombinant constructs of Staphylococcus aureus pathogenic proteins expressed in a Lactococcus lactis strain. In a second part, development of quantification methods is described. It shows new stable isotope labeling approaches based on N- and C-terminus labeling of proteins and describes the first method of labeling of carboxylic groups at the protein level using 13C stable isotopes. In addition, a new quantitative approach called ANIBAL is explained that labels all amino and carboxylic groups at the protein level.