Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Jupiter's and Saturn's convectively driven banded jets in the laboratory

The banded patterns of cloud and wind are among the most striking features of the atmospheres of Jupiter and Saturn, but their dynamical origin remains poorly understood. Most approaches towards understanding zonation so far (also in the terrestrial oceans) have used highly idealized models to show that it might originate from dynamical anisotropy in a shallow turbulent fluid layer due to the planetary β-effect. Here we report the results of laboratory experiments, conducted on a 14-m diameter turntable, which quantitatively confirm that multiple zonal jets may indeed be generated and maintained by this mechanism in the presence of deep convection and a topographic β-effect. At the very small values of Ekman number (≤2 × 10−5) and large local Reynolds numbers (≥2000, based on jet scales) achieved, the kinetic energy spectra suggest the presence of both energy-cascading and enstrophy-cascading inertial ranges in addition to the zonation near twice the Rhines wave number.

Soil fertility management in the mid-hills of Nepal: Practices and perceptions

Sustaining soil fertility is essential to the prosperity of many households in the mid-hills of Nepal, but there are concerns that the breakdown of the traditional linkages between forest, livestock, and cropping systems is adversely affecting fertility. This study used triangulated data from surveys of households, discussion groups, and key informants in 16 wards in eastern and western Nepal to determine the existing practices for soil fertility management, the extent of such practices, and the perception of the direction of changes in soil fertility. The two principal practices for maintaining soil fertility were the application of farmyard manure (FYM) and of chemical fertilizer (mainly urea and diammonium phosphate). Green manuring, in-situ manuring, slicing terrace risers, and burning plant residues are rarely practiced. FYM usage was variable with more generally applied to khet land (average 6053 kg fresh weight manure ha(-1)) than to bari land (average 4185 kg fresh weight manure ha-1) with manure from goats and poultry preferred above that from cows and buffaloes. Almost all households (98%) apply urea to khet land and 87% to bari land, with 45% applying diammonium phosphate to both types of land. Application rates and timings of applications varied considerably both within and between wards suggesting poor knowledge transfer between the research and farming communities. The benefits of chemical fertilizers in terms of ease of application and transportation in comparison with FYM, were perceived to outweigh the widely reported detrimental hardening of soil associated with their continued usage. Among key informants, FYM applied in conjunction with chemical fertilizer was the most popular amendment, with FYM alone preferred more than chemical fertilizer alone - probably because of the latter's long-term detrimental effects. Key informant and householder surveys differed in their perception of fertility changes in the last decade probably because of differences in age and site-specific knowledge. All key informants felt that fertility had declined but among households, only about 40% perceived a decline with the remainder about evenly divided between no change and an increase. Householders with small landholdings (< 0.5 ha) were more likely to perceive increasing soil fertility while those with larger landholdings (> 2 ha) were more likely to perceive declining fertility. Perceived changes in soil fertility were not related to food self-sufficiency. The reasons for the slow spread of new technologies within wards and the poor understanding of optimal use of chemical fertilizers in conjunction with improved quality FYM may repay further investigation in terms of sustaining soil fertility in this region.

Influence of socio-economic and cultural factors in rice varietal diversity management on-farm in Nepal

A questionnaire survey of 408 households explored the role of socio-economic and cultural factors in rice (Oryza sativa L.) varietal diversity management on-farm in two contrasting eco-sites in Nepal. Multiple regression outputs suggest that number of parcels of land, livestock number, number of rice ecosystems, agro-ecology (altitude), and use of chemical fertilizer have a significant positive influence on landrace diversity on-farm, while membership in farmers' groups linked to extension services has significant but negative influence on landrace diversity. Factors with significant positive influence on diversity of modern varieties on-farm were number of parcels of land and of rice ecosystems, access to irrigation, membership in farmers' groups, and use of insecticide. Within communities, resource-endowed households maintain significantly higher varietal diversity on-farm than resource-poor households and play a significant role in conserving landraces that are vulnerable to genetic erosion and those with socio-cultural and market-preferred traits. Resource-poor households also contribute to local diversity conservation but at lower richness and area coverage levels than resource-endowed households. Households where a female had assumed the role of head of household due to death or migrant work of her husband had less diversity due to lower labor availability. Landraces with socio-cultural and market-preferred traits are few in number but have potential to be conserved on-farm.

Response of a weed community to different management practice in field bean

Weed control strategies for field beans were studied in North-eastern Croatia. This study focused on how different weed management practices affect weed community composition. The recommended pre-emergence herbicide application was compared to different treatments of post-emergence herbicide (broadcasted or banded over crop rows) and mechanical weed control in order to explore the response of a weed community to different management practice. Weed density data were used to compare total community densities by weed management strategies and to calculate diversity indices (Shannon's H', Shannon's E and Margalef's D-MG). Data were analyzed using ANOVA and multivariate technique. Weed community structure was generally similar in the post-emergence herbicide treatments, which were dominated by a few species that had high relative abundance values, while most of the species were of lower abundance. Notable fluctuations in weed communities corresponded with variation in weather patterns and management practice.

The effects of seed mix and management on the abundance of desirable and pernicious unsown species in arable buffer strip communities

Buffer strips are refuges for a variety of plants providing resources, such as pollen, nectar and seeds, for higher trophic levels, including invertebrates, mammals and birds. Margins can also harbour plant species that are potentially injurious to the adjacent arable crop (undesirable species). Sowing perennial species in non-cropped buffer strips can reduce weed incidence, but limits the abundance of annuals with the potential to support wider biodiversity (desirable species). We investigated the responses of unsown plant species present in buffer strips established with three different seed mixes managed annually with three contrasting management regimes (cutting, sward scarification and selective graminicide). Sward scarification had the strongest influence on the unsown desirable (e.g. Sonchus spp.) and unsown pernicious (e.g. Elytrigia repens) species, and was generally associated with higher cover values of these species. However, abundances of several desirable weed species, in particular Poa annua, were not promoted by scarification. The treatments of cutting and graminicide tended to have negative impacts on the unsown species, except for Cirsium vulgare, which increased with graminicide application. Differences in unsown species cover between seed mixes were minimal, although the grass-only mix was more susceptible to establishment by C. vulgare and Galium aparine than the two grass and forb mixes. Annual scarification can enable desirable annuals and sown perennials to co-exist, however, this practice can also promote pernicious species, and so is unlikely to be widely adopted as a management tool in its current form.

Temperature-driven proliferation of Tetracapsuloides bryosalmonae in bryozoan hosts portends salmonid declines

Proliferative kidney disease (PKD) is an emerging disease of salmonid fishes. It is provoked by temperature and caused by infective spores of the myxozoan parasite Tetracapsuloides bryosalmonae, which develops in freshwater bryozoans. We investigated the link between PKD and temperature by determining whether temperature influences the proliferation of T bryosalmonae in the bryozoan host Fredericella sultana. Herein we show that increased temperatures drive the proliferation of T bryosalmonae in bryozoans by provoking, accelerating and prolonging the production of infective spores from cryptic stages. Based on these results we predict that PKD outbreaks will increase further in magnitude and severity in wild and farmed salmonids as a result of climate-driven enhanced proliferation in invertebrate hosts, and urge for early implementation of management strategies to reduce future salmonid declines.

Demographic models and the management of endangered species: a case study of the critically endangered Seychelles magpie robin

1. Demographic models are assuming an important role in management decisions for endangered species. Elasticity analysis and scope for management analysis are two such applications. Elasticity analysis determines the vital rates that have the greatest impact on population growth. Scope for management analysis examines the effects that feasible management might have on vital rates and population growth. Both methods target management in an attempt to maximize population growth. 2. The Seychelles magpie robin Copsychus sechellarum is a critically endangered island endemic, the population of which underwent significant growth in the early 1990s following the implementation of a recovery programme. We examined how the formal use of elasticity and scope for management analyses might have shaped management in the recovery programme, and assessed their effectiveness by comparison with the actual population growth achieved. 3. The magpie robin population doubled from about 25 birds in 1990 to more than 50 by 1995. A simple two-stage demographic model showed that this growth was driven primarily by a significant increase in the annual survival probability of first-year birds and an increase in the birth rate. Neither the annual survival probability of adults nor the probability of a female breeding at age 1 changed significantly over time. 4. Elasticity analysis showed that the annual survival probability of adults had the greatest impact on population growth. There was some scope to use management to increase survival, but because survival rates were already high (> 0.9) this had a negligible effect on population growth. Scope for management analysis showed that significant population growth could have been achieved by targeting management measures at the birth rate and survival probability of first-year birds, although predicted growth rates were lower than those achieved by the recovery programme when all management measures were in place (i.e. 1992-95). 5. Synthesis and applications. We argue that scope for management analysis can provide a useful basis for management but will inevitably be limited to some extent by a lack of data, as our study shows. This means that identifying perceived ecological problems and designing management to alleviate them must be an important component of endangered species management. The corollary of this is that it will not be possible or wise to consider only management options for which there is a demonstrable ecological benefit. Given these constraints, we see little role for elasticity analysis because, when data are available, a scope for management analysis will always be of greater practical value and, when data are lacking, precautionary management demands that as many perceived ecological problems as possible are tackled.

Evolution or extinction? Reflections on the future of research in educational leadership and management

Consideration of the quality, relevance and utility of research in educational leadership and management has been a growing concern of researchers, policy-makers and practitioners, but there is little agreement about its current state or priorities for development. The article reflects on the key criticisms that have been made of research in educational leadership and management in this issue, and elsewhere. It considers how we might begin to devise better ways of understanding its audiences, judging its quality and identifying priorities for the future. It argues that the research reflects its capture by those with particular interests or values, and impacts in ways which are complex and indirect. If educational leadership and management research is to be secure in its perceived value and contribution in the future, several developments are needed, including a greater emphasis on interdisciplinarity, an expansion of the range of methodologies, particularly qualtitative studies; and these shifts must be evident in training researchers as well as in the conduct of research.

Ensemble prediction of transitions of the North Atlantic eddy-driven jet

The consistency of ensemble forecasts from three global medium-range prediction systems with the observed transition behaviour of a three-cluster model of the North Atlantic eddy-driven jet is examined. The three clusters consist of a mid jet cluster taken to represent an undisturbed jet and south and north jet clusters representing southward and northward shifts of the jet. The ensemble forecasts span a period of three extended winters (October–February) from October 2007–February 2010. The mean probabilities of transitions between the clusters calculated from the ensemble forecasts are compared with those calculated from a 23-extended-winter climatology taken from the European Centre for Medium-Range Weather Forecasts 40-Year Re-analysis (ERA40) dataset. No evidence of a drift with increasing lead time of the ensemble forecast transition probabilities towards values inconsistent with the 23-extended-winter climatology is found. The ensemble forecasts of transition probabilities are found to have positive Brier Skill at 15 day lead times. It is found that for the three-extended-winter forecast set, probabilistic forecasts initialized in the north jet cluster are generally less skilful than those initialized in the other clusters. This is consistent with the shorter persistence time-scale of the north jet cluster observed in the ERA40 23-extended-winter climatology. Copyright © 2011 Royal Meteorological Society