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.

Within tree distribution of a gall-inducing Eurytoma (Hymenoptera, Eurytomidae) on Caryocar brasiliense (Caryocaraceae)

For the first time, we identified the insect herbivore that induces one of the most conspicuous galls on the leaves of Caryocar brasiliense Camb. (Caryocaraceae), a widespread, typical cerrado woody plant of large economic importance. The gall inducing organism is a new and undescribed species of Eurytoma sp. (Hymenoptera, Eurytomidae). Furthermore, we recorded its spatial distribution within C. brasiliense trees. More Eurytoma galls were found on the eastern tree slope, followed the southern and northern slopes. More galls were found in the interior of the tree crown, i.e., on the proximal portion of the stems compared to the terminal portion. At the leaf level, more galls were found on the median region compared to the distal or proximal, perhaps due to the lower trichome density found in there. Leaf colonization by Eurytoma sp. may initiate at the leaf margin but after colonization reaches 50% the central portion starts to be colonized.

Biological cycle of Tenuipalpus heveae Baker (Acari, Tenuipalpidae) on leaflets of three rubber tree clones

Life cycle of Tenuipalpus heveae Baker (Acari, Tenuipalpidae) on leaflets from three rubber tree clones. The biological cycle of Tenuipalpus heveae Baker, 1945 (Tenuipalpidae), a potential rubber tree pest mite, was studied by the observation of individuals reared on leaflets of the clones GT 1, PB 235 and RRIM 600, in controlled environmental conditions. Three daily observations were done of 60 eggs on leaflets from each clone in order to verify the development of immature stages and the female oviposition. The fertility life table was constructed based in the collected data. Mites reared on PB 235 had faster rate of development, requiring less time in days, to double its population in number (TD), and had the highest values for egg production, female longevity, net reproductive rate (Ro), intrinsic rate of natural increase (r m) and finite rate of increase (λ). Lower reproductive values and the longest time necessary to reach adult stage were recorded for the mites on GT 1. In all studied clones, the deutonymphal phase had the highest viability, while the larval phase had the lowest, highlighted by the survivorship curve that indicated high mortality during this life stage. The clone PB 235 allowed the most suitable conditions for the development of T. heveae, followed by RRIM 600, while GT 1 was the less suitable substratum to rear this mite species.

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.

A new genus and species of leaf miner (Lepidoptera, Gracillariidae) for Chile associated to the native tree Lithraea caustica

A new genus and species of leaf miner (Lepidoptera, Gracillariidae) for Chile associated to the native tree Lithraea caustica. We propose the new genus and species of Gracillariidae (Lepidoptera) Hualpenia lithraeophaga Mundaca, Parra &Vargas gen. nov., sp. nov., leaf miner of Lithraea caustica (Mol.) H. et Arn (Anacardiaceae) occurring in southern central Chile. Aspects of the life cycle, adult and larval morphology, development and feeding habits of the new genus and species are also presented. We emphasise the uniqueness and importance of this new species for broadening the current knowledge on the Chilean fauna of Gracillariidae.

Observations on the biology and distribution of Uresiphita reversalis (Lepidoptera, Crambidae), a defoliator of the native tree Calia secundiflora in México

Observations on the biology and distribution of Uresiphita reversalis (Lepidoptera, Crambidae), a defoliator of the native tree Calia secundiflora in México. Uresiphita reversalis (Guenée, 1854) feeding on Calia secundiflora (Ortega) Yakovlev is recorded for the first time in the state of Hidalgo, Mexico. New aspects regarding the life cycle, feeding behaviour, geographical distribution and host plant damage by U. reversalis on C. secundiflora are here presented and discussed.

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.

Venous cannula performance assessment in a realistic caval tree model.

OBJECTIVES: A new caval tree system was designed for realistic in vitro simulation. The objective of our study was to assess cannula performance for virtually wall-less versus standard percutaneous thin-walled venous cannulas in a setting of venous collapse in case of negative pressure. METHODS: For a collapsible caval model, a very flexible plastic material was selected, and a model with nine afferent veins was designed according to the anatomy of the vena cava. A flow bench was built including a lower reservoir holding the caval tree, built by taking into account the main afferent vessels and their flow provided by a reservoir 6 cm above. A cannula was inserted in this caval tree and connected to a centrifugal pump that, in turn, was connected to a reservoir positioned 83 cm above the second lower reservoir (after-load = 60 mmHg). Using the same pre-load, the simulated venous drainage for cardiopulmonary bypass was realized using a 24 F wall-less cannula (Smartcanula) and 25 F percutaneous cannula (Biomedicus), and stepwise increased augmentation (1500 RPM, 2000 and 2500 RPM) of venous drainage. RESULTS: For the thin wall and the wall-less cannulas, 36 pairs of flow and pressure measurements were realized for three different RPM values. The mean Q-values at 1500, 2000 and 2500 RPM were: 3.98 ± 0.01, 6.27 ± 0.02 and 9.81 ± 0.02 l/min for the wall-less cannula (P <0.0001), versus 2.74 ± 0.02, 3.06 ± 0.05, 6.78 ± 0.02 l/min for the thin-wall cannula (P <0.0001). The corresponding inlet pressure values were: -8.88 ± 0.01, -23.69 ± 0.81 and -70.22 ± 0.18 mmHg for the wall-less cannula (P <0.0001), versus -36.69 ± 1.88, -80.85 ± 1.71 and -101.83 ± 0.45 mmHg for the thin-wall cannula (P <0.0001). The thin-wall cannula showed mean Q-values 37% less and mean P values 26% more when compared with the wall-less cannula (P <0.0001). CONCLUSIONS: Our in vitro water test was able to mimic a negative pressure situation, where the wall-less cannula design performs better compared with the traditional thin-wall cannula.

Multiscale determinants of tree frog (Hyla arborea L.) calling ponds in western Switzerland

A tree frog (Hyla arborea L., 1758) metapopulation in western Switzerland was studied during spring 2001. All potential calling ponds in an area of 350 km(2) were searched for tree frog calling males. Twenty-nine out of 111 ponds sheltered between 1 and 250 callers. Most ponds were occupied by less than 12 males. Pond parameters were measured at three different levels using field analysis and a Geographical Information System (GIS). The first level was water chemistry and pond-associated measures. The second level was the surrounding land use in a 30 m buffer around the pond. The third level consisted of landscape indices on a broader scale (up to 2 km). Logistic regression was applied to identify parameters that can predict the presence of calling males in a pond. Response variable was the presence or absence of callers. Four significant parameters allowed us to explain about 40% of the total deviance of the observed occupational pattern. Urbanization around the pond had a highly negative impact on the probability of presence of calling males. Hours of direct sunlight on the pond was positively correlated with callers. Higher water conductivity was associated with a lesser probability of species presence. Finally, the further the closest two-lane road, the higher the probability of callers presence. Our results show that presence or absence of callers is influenced by factors acting at various geographical scales.

Influence of tree species on the herbaceous understory and soil chemical characteristics in a silvopastoral system in semi-arid northeastern Brazil

Studies from some semi-arid regions of the world have shown the beneficial effect of trees in silvopastoral systems, by promoting the formation of resource islands and increasing the sustainability of the system. No data are available in this respect for tree species of common occurrence in semi-arid Northeastern Brazil. In the present study, conducted in the summer of 1996, three tree species (Zyziphus joazeiro, Spondias tuberosa and Prosopis juliflora: ) found within Cenchrus ciliaris pastures were selected to evaluate differences on herbaceous understory and soil chemical characteristics between samples taken under the tree canopy and in open grass areas. Transects extending from the tree trunk to open grass areas were established, and soil (0-15 cm) and herbaceous understory (standing live biomass in 1 m² plots) samples were taken at 0, 25, 50, 100, 150 and 200% of the average canopy radius (average radius was 6.6 ± 0.5, 4.5 ± 0.5, and 5.3 ± 0.8 m for Z. joazeiro, P. juliflora, and S. tuberosa , respectively). Higher levels of soil C, N, P, Ca, Mg, K, and Na were found under the canopies of Z. joazeiro and P. juliflora: trees, as compared to open grass areas. Only soil Mg organic P were higher under the canopies of S. tuberosa trees, as compared to open grass areas. Herbaceous understory biomass was significantly lower under the canopy of S. tuberosa and P. juliflora trees (107 and 96 g m-2, respectively) relatively to open grass areas (145 and 194 g m-2). No herbaceous biomass differences were found between Z. joazeiro canopies and open grass areas (107 and 87 g m-2, respectively). Among the three tree species studied, Z. joazeiro was the one that presented the greatest potential for use in a silvopastoral system at the study site, since it had a larger nutrient stock in the soil without negatively affecting herbaceous understory biomass, relatively to open grass areas.

A sex-specific marker reveals male heterogamety in European tree frogs.

Most amphibians examined so far show undifferentiated sex chromosomes. The heterogametic sex's identity, usually revealed through indirect means, often varies among closely related species or even populations (as do sex-linkage groups), suggesting great evolutionary instability of the sex-determining genes. Here we take advantage of a sex-specific marker that amplifies in several related species of European tree frogs (Hyla arborea group) to disclose a homogeneous pattern of male heterogamety. Besides relevance for evolutionary studies of sex determination in amphibians, our results have potential for addressing practical issues in conservation biology because sex reversal by anthropogenic endocrine disruptors is considered one possible cause of amphibian decline.

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.