A systematic component of the jump-risk premium in an AJD model

We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite set of new state variables that affect the paths of the primitive, under both the actual and the risk-neutral measure, by being related to the primitive's jump process. Those new variables are assumed to be commom to all the primitives. We present simulations to ensure that the model generates the volatility smile and compute the "discounted conditional characteristic function'' transform that permits the pricing of a wide range of derivatives.

Neuronal Assembly Detection and Cell Membership Specification by Principal Component Analysis

LOPES-DOS-SANTOS, V. , CONDE-OCAZIONEZ, S. ; NICOLELIS, M. A. L. , RIBEIRO, S. T. , TORT, A. B. L. . Neuronal assembly detection and cell membership specification by principal component analysis. Plos One, v. 6, p. e20996, 2011.

Reduction capability of soil humic substances from the Rio Negro basin, Brazil, towards Hg(II) studied by a multimethod approach and principal component analysis (PCA)

This paper characterizes humic substances (HS) extracted from soil samples collected in the Rio Negro basin in the state of Amazonas, Brazil, particularly investigating their reduction capabilities towards Hg(II) in order to elucidate potential mercury cycling/volatilization in this environment. For this reason, a multimethod approach was used, consisting of both instrumental methods (elemental analysis, EPR, solid-state NMR, FIA combined with cold-vapor AAS of Hg(0)) and statistical methods such as principal component analysis (PCA) and a central composite factorial planning method. The HS under study were divided into groups, complexing and reducing ones, owing to different distribution of their functionalities. The main functionalities (cor)related with reduction of Hg(II) were phenolic, carboxylic and amide groups, while the groups related with complexation of Hg(II) were ethers, hydroxyls, aldehydes and ketones. The HS extracted from floodable regions of the Rio Negro basin presented a greater capacity to retain (to complex, to adsorb physically and/or chemically) Hg(II), while nonfloodable regions showed a greater capacity to reduce Hg(II), indicating that HS extracted from different types of regions contribute in different ways to the biogeochemical mercury cycle in the basin of the mid-Rio Negro, AM, Brazil. (c) 2007 Published by Elsevier B.V.

Kinetics of cellular component in inflammatory response induced by different stimuli in the swim bladder of pacu, Piaractus mesopotamicus Holmberg 1887 (Characidae)

The present study assessed the kinetics of cell accumulation at the site of inflammation induced by thioglycolate, Escherichia coli lipopolysaccharide (LPS) and heat-inactivated Aeromonas hydrophila, in the pacu, Piaractus mesopotamicus (Characidae), swim bladder. A quantitative, as well as qualitative, assessment was done of all the cells present in the exudate at 6, 24, and 48 h (n = 8) after inoculation of inflammatory agents. The results show that the thioglycolate was the irritant to induce higher total inflammatory cell accumulation when compared to the control group, 6 h after insult (P < 0.05). Inoculation of heat-inactivated Aeromonas hydrophila induced progressive accumulation of total inflammatory cells, with cell number peaking after 24 h and being significantly higher than observed in the other groups (P < 0.05). Injection of LPS also induced greater cell accumulation when compared to the control group (P < 0.05), although in lower numbers than those induced by the other two irritants. All irritants injected induced significantly greater accumulation of lymphocytes and thrombocytes when compared to the control group (P < 0.05).

Variance component estimates applying random regression models for test-day milk yield in Caracu heifers (Bos taurus Artiodactyla, Bovidae)

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)