Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Soil water evaporation under densities of coverage with vegetable residue

O presente estudo foi realizado no Instituto Agronômico do Paraná (IAPAR), em Londrina, Estado do Paraná (latitude de 23º18'S, longitude de 51º09'W e altitude média de 585 m). O clima local, segundo a classificação do Köppen, é do tipo Cfa, ou seja, subtropical úmido, com chuvas em todas as estações, podendo ocorrer secas no período de inverno. Determinou-se a evaporação (E) da água do solo sob diferentes densidades de cobertura com resíduo da cultura de trigo. Os tratamentos foram instalados em lisímetros de pesagem de 2,66 m² e 1,3 m de profundidade, que permitem determinar E por diferença de massa com precisão equivalente a 0,1 mm em intervalos de uma hora. Os tratamentos consistiram em 0; 2,5; 5 e 10 t ha-1 de resíduos da cultura do trigo, colocadas de forma homogênea em cada lisímetro. No primeiro ciclo (22/09 a 20/10/2008), a redução de E em relação ao solo descoberto foi de 4; 15 e 24%, enquanto no segundo ciclo (01/12 a 30/12/2008), a redução foi de 15; 22 e 25%, respectivamente, para os tratamentos 2,5; 5 e 10 t ha-1.

Sorteio de domicílios em favelas em inquéritos por amostragem

OBJETIVO: Identificar vantagens e desvantagens do uso de segmentos em relação ao sorteio feito a partir da lista completa de endereços, para o sorteio de domicílios em amostragem por conglomerados em múltiplos estágios em favelas. PROCEDIMENTOS METODOLÓGICOS: Estudo qualitativo realizado em quatro favelas sorteadas no Inquérito de Saúde do Município de São Paulo, SP, 2008, nas quais foram aplicadas as duas técnicas. Foram realizados grupos focais com pesquisadores de campo - arroladores e entrevistadores do inquérito. Os conteúdos das conversações foram analisados, agrupados em categorias e organizados em núcleos temáticos. ANÁLISE DOS RESULTADOS: A utilização de segmentos de domicílios foi associada a numerosas vantagens e poucas desvantagens. Entre as vantagens, constaram a rapidez e facilidade na elaboração do cadastro de endereços e na localização e identificação de domicílios na etapa de realização das entrevistas, maior segurança dos entrevistadores e da população, maior acesso aos entrevistados, maior estabilidade e maior cobertura do cadastro produzido, e menor ocorrência de erros na identificação dos domicílios sorteados. CONCLUSÕES: A construção de cadastro de domicílios por meio da criação de segmentos é vantajosa em relação à listagem completa de endereços, quando feita em favelas. Por ter se mostrado uma opção econômica e fácil de ser aplicada, constitui alternativa para a simplificação do processo de amostragem em áreas com as suas características de desorganização e adensamento de domicílios.

Reproductive responses of rabbit does to a supplemental lighting program

The objective was to investigate whether the productivity of rabbit does can be improved, when natural photoperiod is decreasing, by adopting a supplemental lighting program. Three experiments were conducted involving two groups: control, submitted to the natural decreasing photoperiod, and supplemented with a lighting program which provided 14 h light/24 h beginning at 10 weeks of age. In the first experiment, 20 nulliparous does, 10 from each group, were euthanized 8 h after being presented to a buck; the overall number of follicles, whose diameter exceeded I mm, was determined macroscopically. The right ovaries were collected, histologically analyzed, and electronically measured. In the second experiment, 30 nulliparous does, 15 from each group, were presented to a buck (day 1). Receptive does were euthanized on day 8 to evaluate embryonic survival (number of normal embryos/ovulation rate). In the third experiment, 48 nulliparous does, 24 from each group, were followed from the first presentation to the buck until the weaning of the first litter. The effect of treatment on reproductive and body weight traits of does, and litter performance traits, at birth and weaning, was evaluated. The average number of follicles whose diameter exceeded 1 mm was higher in the treatment group (12.05 +/- 1.07 vs. 8.63 +/- 1.00, P=0.03 7). Receptive does of the treatment group had heavier ovaries relative to those of the control group (790 +/- 59 vs. 470 +/- 64 mg, P=0.004), whereas no treatment difference regarding this trait was found for non-receptive ones. Treatment had a favorable effect on pregnancy rate of total exposed and of receptive does (80.0% vs. 33.3%, P=0.01, and 92.3% vs. 50.0%, P=0.02, respectively). The number of underdeveloped embryos was lower (0.067 +/- 0.380 vs. 2.500 +/- 0.455, P=0.004), embryonic survival up to day 8, and uterus weight was higher in the treatment group (0.839 +/- 0.075 vs. 0.534 +/- 0.087, P=0.033 and 13.83 +/- 0.72 vs. 10.99 +/- 0.84, P=0.037, respectively). Number of presentations tended to be lower (1.32 +/- 0.17 vs. 1.75 +/- 0.16, P=0.077) and adjusted litter size in the first reproductive cycle tended to be higher (7.09 +/- 0.89 vs. 5.22 +/- 0.68, P=0.091) in the treatment group relative to the control.

Periodontal tissue response to coverage of root cavities restored with resin materials: A histomorphometric study in dogs

Background: the purpose of this study was to histomorphometrically evaluate the response of periodontal tissues covering Class V resin restorations in dogs.Methods: After raising a mucoperiosteal flap, bony defects measuring 5 x 5 mm were created on the buccal aspect of the canines of five dogs followed by cavity preparations on the root surface measuring 3 x 3 x 1 mm. Before repositioning the flap to cover the bone defect, the cavities were restored with composite resin (CR) or resin-modified glass ionomer cement (RMGIC) or were left unrestored as control (C). The dogs were euthanized 90 days after surgery. Specimens comprising the tooth and periodontal tissues were removed, processed routinely, cut into longitudinal serial sections in the bucco-lingual direction, and stained with hematoxylin and eosin (H&E) or Masson's trichrome. The most central sections were selected for histomorphometric analysis.Results: Histomorphometric analysis revealed apical migration of epithelial tissue onto the restorative materials (RMGIC and CR). The C group presented significantly longer connective tissue attachment (P < 0.05) than the RMGIC and CR groups and significantly higher bone regeneration (P < 0.05) compared to the RMGIC group. Histologically, the cervical third (CT) of all groups had the most marked chronic inflammatory infiltrate.Conclusions: Within the limits of this study, it can be concluded that the restorative materials used exhibit biocompatibility; however, both materials interfered with the development of new bone and the connective tissue attachment process.

Use of the connective tissue graft for the coverage of composite resin-restored root surfaces in maxillary central incisors

The purpose of this article is to report the use of the subepithelial connective tissue graft technique combined with the coronally positioned flap on a composite resin-restored root surface to treat Miller Class I gingival recessions associated with deep cervical abrasions in maxillary central incisors. Clinical measurements, including gingival recession height, probing depth, and bleeding on probing (BoP), were recorded during the preoperative clinical examination and at 2, 6, 12, and 24 months postoperatively. During the follow-up periods, no periodontal pockets or BoP were observed. The periodontal tissue of the teeth presented normal color, texture, and contouring. In addition, it was observed that creeping attachment had occurred on the restoration. This case report shows that this form of treatment can be highly effective and predictable in resolving gingival recession associated with a deep cervical abrasion. (Quintessence Int 2012;43:597-602)

When Basking Is Not an Option: Thermoregulation of a Viperid Snake Endemic to a Small Island in the South Atlantic of Brazil

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Does supplemental LH changes rate and time to ovulation and embryo yield in Santa Ines ewes treated for superovulation with FSH plus eCG?

O objetivo deste trabalho foi avaliar se a suplementação com LH ao final do tratamento gonadotrófico sincroniza o tempo das ovulações e incrementa a taxa de ovulação e produção de embriões em ovelhas Santa Inês. Vinte programas de superovulação (SOV) foram realizados em delineamento cross-over (intervalo de 60 dias). No D0, um CIDR foi inserido, sendo trocado por um novo sete dias após, quando 37,5µg de d-cloprostenol foram administradas. No D12, iniciou-se o tratamento com 256mg de pFSH em 8 administrações (12/12h). No D14, o CIDR foi retirado, 200UI de eCG e 37,5µg de d-cloprostenol foram administradas. No D15, as ovelhas foram alocadas em um dos dois grupos: Controle (n=10), sem suplementação com LH, e LH (n=10), tratado com 7,5mg de LH, 24h após a remoção do CIDR. Inseminações artificiais (IA) foram realizadas 42 e 48h após a remoção do CIDR. As estruturas ovarianas foram avaliadas por laparoscopia imediatamente antes de cada IA e 5 dias após, quando os embriões foram colhidos. As ovelhas que receberam o LH tiveram maior frequência de ovulações antes de 42h (P=0,05). O tratamento com LH tendeu em incrementar a frequência de CL e diminuir a de folículos anovulatórios (P=0,08). A suplementação com LH incrementou (P=0,05) a frequência de ovelhas com alta resposta superovulatória (≥11 CL; P=0,05). em conclusão, a suplementação com LH incrementou a frequência de ovelhas com alta resposta e ovulações antes de 42h depois da remoção do CIDR, entretanto, não houve sincronia entre as ovulações. A suplementação diminuiu a frequência de folículos anovulatórios, embora a taxa de ovulação e a produção de embriões permaneceram inalteradas.

Cranioplasty: The autograft option

We present our clinical experience in cranioplasty with autograft as follows: conchal cartilage for losses up to 2 cm2, outer table grafts for defects up to 100 cm2, and, for larger defects still, split rib grafts, which may be combined with outer table grafts. We conclude that autograft is superior to alloplastic material in cranioplasty.

New option for anterior traction of the face by using a cervical collar

This case required anteroposterior traction of the maxilla. Once none of the traditional methods could be used because of the lack of support in the chin and in the frontal region. Thus, we opted to use a cervical collar.

Relative bioavailability of zinc in supplemental inorganic and organic sources for Nile tilapia Oreochromis niloticus fingerlings

A 90-day feeding experiment was conducted with sex reversed Nile tilapia (Oreochromis niloticus) fingerlings fed purified or practical diets supplemented with different zinc sources to evaluate fish growth performance and zinc and iron retention in fish bones, fillets, liver, skin and eyes. The relative bioavailability value (RBV) of zinc in the supplemental sources tested was also calculated. Fish were fed with isonitrogenous and isoenergetic purified or practical diets supplemented with 150 mg Zn kg -1, as zinc sulphate monohydrate (ZnSO 4), zinc oxide (ZnO) or zinc amino acid complex (Zn-AA). The feeding trial was conducted in 30, 50 L aquaria where four 0.66 ± 0.01 g (mean ± SD) fingerlings were initially stocked. No significant differences were observed for any growth performance variables (P > 0.05). In practical diets, only ZnSO 4 and ZnO presented bone zinc retention similar to that for the standard zinc source. Zinc concentration in the bone of fish fed practical diet supplemented with Zn-AA (171 ± 3.62 μg g -1) was significantly lower than that verified for the practical diets supplemented with the standard zinc source (200 ± 17.7 μg g -1) or with ZnSO 4 (204 ± 19.9 μg g -1). Assuming the concentration of zinc in bones as the response criterion, the supplemental zinc RBV from ZnSO 4 (105%) was higher than the RBV for Zn-AA (95.1%) or ZnO (94.9%). Iron concentration in the bones of animals fed the non-zinc-supplemented purified diet was significantly higher than that observed for purified diet supplemented with Zn-AA (P < 0,05). The results of the present work allowed us to conclude that ZnSO 4 in relation to ZnO or Zn-AA was the supplemental zinc source with higher zinc bioavailability to Nile tilapia. © 2005 Blackwell Publishing Ltd.

Apparent absorption of zinc from supplemental inorganic and organic sources to Nile tilapia Oreochromis niloticus juveniles

Nile tilapia Oreochromis niloticus fingerlings were fed with purified or practical diets, supplemented with 150 Ing Zn/kg, from different sources. Dry matter (DM), crude protein (CP), ether extract (EE), and gross energy (GE) apparent digestibility coefficients (ADC), as well as zinc, copper, calcium, and phosphorus apparent absorption coefficients (AAC) were determined by the addition of 0.1% chromic oxide to the diets. The supplemental zinc sources utilized were commercial grade zinc sulfate monohydrate (ZnSO 4), zinc oxide (ZnO) and a zinc amino acid complex (Zn-AA). Analytical grade zinc sulfate heptahydrate was also utilized as a standard reference zinc source. There was a significant difference between purified (74.9%) and practical (41.3%) zinc AAC for the ZnO supplemented diets (P < 0.05). The supplemental zinc sources presented similar AAC when purified diets were utilized. However, ZnSO 4 was the best supplemental zinc source when practical type diets were used. There were no significant differences between supplemental zinc AAC from ZnS0 4 (68.9%), and supplemental zinc AAC from Zn-AA (61.3%) in practical diets, but Zn-AA diet showed a statistically lower zinc AAC when compared with the standard zinc source diet (75.6%). The practical diet supplemented with ZnO had the worst supplemental zinc AAC (41.3%). Dietary copper (74.21%), calcium (70.9%), and phosphorus (71.9%) AAC of the practical diets supplemented with ZnO were statistically lower (P < 0.05) than the respective AAC of the practical ZnSO 4 supplemented diets (83.6%, 84.1%, 87.1%).The ADC of the practical ZnO supplemented diet for DM (76.3%), CP (88.6%), EE (82.4%), and GE (81.6%) were statiscally lower than the respective ADC of the ZnSO 4 practical diet (86.0, 92.7, 93.6, 89.6%, respectively) and those ADC of the Zn-AA practical diet (84.7, 92.7, 93.7, 88.2%, respectively) (P < 0.05). Hence, these results indicate that ZnSO 4 and Zn-AA have equivalent intestinal absorption as supplemental zinc sources for Nile tilapia juveniles and both are superior to ZnO. © Copyright by the World Aquaculture Society 2005.