Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Audit report on the Black Hawk County Criminal Justice Information System for the year ended June 30, 2011

Audit report on the Black Hawk County Criminal Justice Information System for the year ended June 30, 2011

[George F. Knorr] / Black

Donateur : Pavie, Théodore (1811-1896)

Stimulated-echo acquisition mode (STEAM) MRI for black-blood delayed hyperenhanced myocardial imaging.

PURPOSE: To develop a breathhold method for black-blood viability imaging of the heart that may facilitate identifying the endocardial border. MATERIALS AND METHODS: Three stimulated-echo acquisition mode (STEAM) images were obtained almost simultaneously during the same acquisition using three different demodulation values. Two of the three images were used to construct a black-blood image of the heart. The third image was a T(1)-weighted viability image that enabled detection of hyperintense infarcted myocardium after contrast agent administration. The three STEAM images were combined into one composite black-blood viability image of the heart. The composite STEAM images were compared to conventional inversion-recovery (IR) delayed hyperenhanced (DHE) images in nine human subjects studied on a 3T MRI scanner. RESULTS: STEAM images showed black-blood characteristics and a significant improvement in the blood-infarct signal-difference to noise ratio (SDNR) when compared to the IR-DHE images (34 +/- 4.1 vs. 10 +/- 2.9, mean +/- standard deviation (SD), P < 0.002). There was sufficient myocardium-infarct SDNR in the STEAM images to accurately delineate infarcted regions. The extracted infarcts demonstrated good agreement with the IR-DHE images. CONCLUSION: The STEAM black-blood property allows for better delineation of the blood-infarct border, which would enhance the fast and accurate measurement of infarct size.

Biomass decomposition and nutrient release from black oat and hairy vetch residues deposited in a vineyard

A significant quantity of nutrients in vineyards may return to the soil each year through decomposition of residues from cover plants. This study aimed to evaluate biomass decomposition and nutrient release from residues of black oats and hairy vetch deposited in the vines rows, with and without plastic shelter, and in the between-row areas throughout the vegetative and productive cycle of the plants. The study was conducted in a commercial vineyard in Bento Gonçalves, RS, Brazil, from October 2008 to February 2009. Black oat (Avena strigosa) and hairy vetch (Vicia villosa) residues were collected, subjected to chemical (C, N, P, K, Ca, and Mg) and biochemical (cellulose - Cel, hemicellulose - Hem, and lignin - Lig content) analyses, and placed in litter bags, which were deposited in vines rows without plastic shelter (VPRWS), in vines rows with plastic shelter (VPRS), and in the between-row areas (BR). We collected the residues at 0, 33, 58, 76, and 110 days after deposition of the litter bags, prepared the material, and subjected it to analysis of total N, P, K, Ca, and Mg content. The VPRS contained the largest quantities and percentages of dry matter and residual nutrients (except for Ca) in black oat residues from October to February, which coincides with the period from flowering up to grape harvest. This practice led to greater protection of the soil surface, avoiding surface runoff of the solution derived from between the rows, but it retarded nutrient cycling. The rate of biomass decomposition and nutrient release from hairy vetch residues from October to February was not affected by the position of deposition of the residues in the vineyard, which may especially be attributed to the lower values of the C/N and Lig/N ratios. Regardless of the type of residue, black oat or hairy vetch, the greatest decomposition and nutrient release mainly occurred up to 33 days after deposition of the residues on the soil surface, which coincided with the flowering of the grapevines, which is one of the phenological stages of greatest demand for nutrients.

A Supersymmetric black ring

A new supersymmetric black hole solution of five-dimensional supergravity is presented. It has an event horizon of topology S1 X S2. This is the first example of a supersymmetric, asymptotically flat black hole of nonspherical topology. The solution is uniquely specified by its electric charge and two independent angular momenta. These conserved charges can be arbitrarily close, but not exactly equal, to those of a supersymmetric black hole of spherical topology.

Microscopic entropy of the black ring

A surprising new seven-parameter supersymmetric black ring solution of five-dimensional supergravity has recently been discovered. In this paper, M theory is used to give an exact microscopic accounting of its entropy.

Black Redhorse Moxostoma duquesnei, 2011

Data sheet produced by the Iowa Department of Natural Resources is about different times of animals, insects, snakes, birds, fish, butterflies, etc. that can be found in Iowa.

Black Tern Chlidonias niger, 2011

Data sheet produced by the Iowa Department of Natural Resources is about different times of animals, insects, snakes, birds, fish, butterflies, etc. that can be found in Iowa.

Three-dimensional black-blood cardiac magnetic resonance coronary vessel wall imaging detects positive arterial remodeling in patients with nonsignificant coronary artery disease.

BACKGROUND: Direct noninvasive visualization of the coronary vessel wall may enhance risk stratification by quantifying subclinical coronary atherosclerotic plaque burden. We sought to evaluate high-resolution black-blood 3D cardiovascular magnetic resonance (CMR) imaging for in vivo visualization of the proximal coronary artery vessel wall. METHODS AND RESULTS: Twelve adult subjects, including 6 clinically healthy subjects and 6 patients with nonsignificant coronary artery disease (10% to 50% x-ray angiographic diameter reduction) were studied with the use of a commercial 1.5 Tesla CMR scanner. Free-breathing 3D coronary vessel wall imaging was performed along the major axis of the right coronary artery with isotropic spatial resolution (1.0x1.0x1.0 mm(3)) with the use of a black-blood spiral image acquisition. The proximal vessel wall thickness and luminal diameter were objectively determined with an automated edge detection tool. The 3D CMR vessel wall scans allowed for visualization of the contiguous proximal right coronary artery in all subjects. Both mean vessel wall thickness (1.7+/-0.3 versus 1.0+/-0.2 mm) and wall area (25.4+/-6.9 versus 11.5+/-5.2 mm(2)) were significantly increased in the patients compared with the healthy subjects (both P<0.01). The lumen diameter (3.6+/-0.7 versus 3.4+/-0.5 mm, P=0.47) and lumen area (8.9+/-3.4 versus 7.9+/-3.5 mm(2), P=0.47) were similar in both groups. CONCLUSIONS: Free-breathing 3D black-blood coronary CMR with isotropic resolution identified an increased coronary vessel wall thickness with preservation of lumen size in patients with nonsignificant coronary artery disease, consistent with a "Glagov-type" outward arterial remodeling. This novel approach has the potential to quantify subclinical disease.

Precast Concrete Elements for Accelerated Bridge Construction Final Report Volume 3. Laboratory Testing, Field Testing, and Evaluation of a Precast Concrete Bridge: Black Hawk County,v January 2009

The importance of rapid construction technologies has been recognized by the Federal Highway Administration (FHWA) and the Iowa DOT Office of Bridges and Structures. Black Hawk County (BHC) has developed a precast modified beam-in-slab bridge (PMBISB) system for use with accelerated construction. A typical PMBISB is comprised of five to six precast MBISB panels and is used on low volume roads, on short spans, and is installed and fabricated by county forces. Precast abutment caps and a precast abutment backwall were also developed by BHC for use with the PMBISB. The objective of the research was to gain knowledge of the global behavior of the bridge system in the field, to quantify the strength and behavior of the individual precast components, and to develop a more time efficient panel-to-panel field connection. Precast components tested in the laboratory include two precast abutment caps, three different types of deck panel connections, and a precast abutment backwall. The abutment caps and backwall were tested for behavior and strength. The three panel-to-panel connections were tested in the lab for strength and were evaluated based on cost and constructability. Two PMBISB were tested in the field to determine stresses, lateral distribution characteristics, and overall global behavior.

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call