Local volatility changes in the black-scholes model

In this paper we address a problem arising in risk management; namely the study of price variations of different contingent claims in the Black-Scholes model due to anticipating future events. The method we propose to use is an extension of the classical Vega index, i.e. the price derivative with respect to the constant volatility, in thesense that we perturb the volatility in different directions. Thisdirectional derivative, which we denote the local Vega index, will serve as the main object in the paper and one of the purposes is to relate it to the classical Vega index. We show that for all contingent claims studied in this paper the local Vega index can be expressed as a weighted average of the perturbation in volatility. In the particular case where the interest rate and the volatility are constant and the perturbation is deterministic, the local Vega index is an average of this perturbation multiplied by the classical Vega index. We also study the well-known goal problem of maximizing the probability of a perfect hedge and show that the speed of convergence is in fact dependent of the local Vega index.

Are changes in education important for the wage premium and unemployment?

A generalized rise in unemployment rates for both college and high-schoolgraduates, a widening education wage premium, and a sharp increase incollege education participation are characteristic features of thetransformations of the U.S. labor market between 1970 and 1990. This paperinvestigates the interactions between these changes in the labor marketand in educational attainment. First, it develops an equilibrium searchand matching model of the labor market where education is endogenouslydetermined. Second, calibrated versions of the model are used to studyquantitatively whether either a skill-biased change in technology or amismatch shock can explain the above facts. The skill-biased shock accountsfor a considerable part of the changes but fails to produce the increasein unemployment for the educated labor force. The mismatch shock explainsinstead much of the change in the four variables, including the wage premium.

Grey matter changes in motor conversion disorder.

OBJECTIVE: To detect anatomical differences in areas related to motor processing between patients with motor conversion disorder (CD) and controls. METHODS: T1-weighted 3T brain MRI data of 15 patients suffering from motor CD (nine with hemiparesis and six with paraparesis) and 25 age- and gender-matched healthy volunteers were compared using voxel-based morphometry (VBM) and voxel-based cortical thickness (VBCT) analysis. RESULTS: We report significant cortical thickness (VBCT) increases in the bilateral premotor cortex of hemiparetic patients relative to controls and a trend towards increased grey matter volume (VBM) in the same region. Regression analyses showed a non-significant positive correlation between cortical thickness changes and symptom severity as well as illness duration in CD patients. CONCLUSIONS: Cortical thickness increases in premotor cortical areas of patients with hemiparetic CD provide evidence for altered brain structure in a condition with presumed normal brain anatomy. These may either represent premorbid vulnerability or a plasticity phenomenon related to the disease with the trends towards correlations with clinical variables supporting the latter.

Personality traits, cognition and volumetric MRI changes in elderly patients with early-onset depression: A 2-year follow-up study.

Previous studies revealed personality changes in elderly patients with early-onset depression (EOD) that persist in euthymic stages. However, depression in older patients is a complex disorder that may affect not only personality, but also cognition and brain structure. To address this issue, a cross-sectional comparison and 2-year follow-up of 28 EOD elderly patients and 48 healthy controls included detailed neurocognitive assessment, estimates of brain volumes in limbic areas and white matter hyperintensities, as well as evaluation of the Five Factor Model of personality, in a remitted mood state. Results revealed that cognitive performances as well as brain volumes were preserved in EOD patients both at baseline and at follow-up. The increased Neuroticism factor and Anxiety facet scores as well as the decreased Warmth and Positive Emotions facet scores found at baseline reached the level of healthy controls after 2years. Only the Depression facet scores remained significantly higher in EOD patients compared to controls upon follow-up. Results were independent of depressive relapse since baseline (25% of patients). These findings suggest that both cognitive performances and brain volumes show long-term preservation in older EOD patients. In contrast, the depression-related personality facet might be a trait like marker that persists in the long-term evolution of this disorder.

Transcript profiling suggests that differential metabolic adaptation of mice to a high fat diet is associated with changes in liver to muscle lipid fluxes.

Genetically homogenous C57Bl/6 mice display differential metabolic adaptation when fed a high fat diet for 9 months. Most become obese and diabetic, but a significant fraction remains lean and diabetic or lean and non-diabetic. Here, we performed microarray analysis of "metabolic" transcripts expressed in liver and hindlimb muscles to evaluate: (i) whether expressed transcript patterns could indicate changes in metabolic pathways associated with the different phenotypes, (ii) how these changes differed from the early metabolic adaptation to short term high fat feeding, and (iii) whether gene classifiers could be established that were characteristic of each metabolic phenotype. Our data indicate that obesity/diabetes was associated with preserved hepatic lipogenic gene expression and increased plasma levels of very low density lipoprotein and, in muscle, with an increase in lipoprotein lipase gene expression. This suggests increased muscle fatty acid uptake, which may favor insulin resistance. In contrast, the lean mice showed a strong reduction in the expression of hepatic lipogenic genes, in particular of Scd-1, a gene linked to sensitivity to diet-induced obesity; the lean and non-diabetic mice presented an additional increased expression of eNos in liver. After 1 week of high fat feeding the liver gene expression pattern was distinct from that seen at 9 months in any of the three mouse groups, thus indicating progressive establishment of the different phenotypes. Strikingly, development of the obese phenotype involved re-expression of Scd-1 and other lipogenic genes. Finally, gene classifiers could be established that were characteristic of each metabolic phenotype. Together, these data suggest that epigenetic mechanisms influence gene expression patterns and metabolic fates.

Changes in understorey biomass and species composition after water level drawdown on pine mires in southern Finland

Tiivistelmä: Vedenpinnan alenemisen vaikutus sararämeen pintakasvillisuuden biomassaan ja lajistoon

Chemical changes in argisols under irrigated grape production in the central São Francisco river valley, Brazil

This study compares the chemical composition of the solution and exchange complex of soil in a 3-year-old irrigated vineyard (Vitis vinifera L., Red Globe cultivar) with that of adjacent clearing in the native hyperxerophyllic 'caatinga' vegetation. The soils are classified as Plinthic Eutrophic Red-Yellow Argisol; according to Soil Taxonomy they are isohyperthermic Plinthustalfs. Detailed physiographic characterization revealed an impermeable gravel and cobble covering the crystalline rocks; the relief of this layer was more undulating than the level surface. Significant higher concentrations of extractable Na, K, Mg and Ca were observed within the vineyard. Lower soil acidity, higher Ca/Mg ratios, as well as lower sodium adsorption and Na/K ratios reflected additions of dolomitic lime, superphosphate and K-bearing fertilizers. As the water of the São Francisco River is of good quality for irrigation (C1S1), the increases in Na were primarily attributed to capillary rise from the saline groundwater table. None of the soil in the study area was found to be sodic. About 62% of the vineyard had an Ap horizon with salinity levels above 1.5dSm-1 (considered detrimental for grape production); according to average values for this horizon, a potential 13% reduction in grape production was predicted. Differences in chemical composition in function of distance to the collector canals were observed in the clearing, but not in the vineyard. The influence of differences in the elevations of the surface and impermeable layers, as well as pediment thickness, was generally weaker under irrigation. Under irrigation, soil moisture was greater in points of convergent surface waterflow; the effect of surface curvature on chemical properties, though less consistent, was also stronger in the vineyard.

Assessment of changes in body water by bioimpedance in acutely ill surgical patients.

OBJECTIVE: To evaluate the relationship between changes in body bioelectrical impedance (BI) at 0.5, 50 and kHz and the changes in body weight, as an index of total body water changes, in acutely ill surgical patients during the rapid infusion of isotonic saline solution. DESIGN: Prospective clinical study. SETTING: Multidisciplinary surgical ICU in a university hospital. PATIENTS: Twelve male patients treated for acute surgical illness (multiple trauma n = 5, major surgery n = 7). Selection criteria: stable cardiovascular parameters, normal cardiac function, signs of hypovolemia (CVP < or = 5 mmHg, urine output < 1 ml/kg x h). INTERVENTIONS: After baseline measurements, a 60 min fluid challenge test was performed with normal saline solution, 0.25 ml/kg/min [corrected]. MEASUREMENTS AND RESULTS: Body weight (platform digital scale), total body impedance (four-surface electrode technique; measurements at 0.5, 50 and 100 kHz) and urine output. Fluid retention induced a progressive decrease in BI at 0.5, 50 and 100 kHz, but the changes were significant for BI 0.5 and BI 100 only, from 40 min after the beginning of the fluid therapy onwards. There was a significant negative correlation between changes in water retention and BI 0.5, with individual correlation coefficients ranging from -0.72 to 0.95 (p < 0.01-0.0001). The slopes of the regression lines indicated that for each kg of water change, there was a mean decrease in BI of 18 ohm, but a substantial inter-individual variability was noted. CONCLUSION: BI measured at low frequency can represent a valuable index of acute changes in body water in a group of surgical patients but not in a given individual.

Discordant increases in CD4+ T cells in human immunodeficiency virus-infected patients experiencing virologic treatment failure: role of changes in thymic output and T cell death.

Some patients infected with human immunodeficiency virus (HIV) who are experiencing antiretroviral treatment failure have persistent improvement in CD4+ T cell counts despite high plasma viremia. To explore the mechanisms responsible for this phenomenon, 2 parameters influencing the dynamics of CD4+ T cells were evaluated: death of mature CD4+ T cells and replenishment of the CD4+ T cell pool by the thymus. The improvement in CD4+ T cells observed in patients with treatment failure was not correlated with spontaneous, Fas ligand-induced, or activation-induced T cell death. In contrast, a significant correlation between the improvement in CD4+ T cell counts and thymic output, as assessed by measurement of T cell receptor excision circles, was observed. These observations suggest that increased thymic output contributes to the dissociation between CD4+ T cell counts and viremia in patients failing antiretroviral therapy and support a model in which drug-resistant HIV strains may have reduced replication rates and pathogenicity in the thymus.

Dynamic changes in brain functional connectivity during concurrent dual-task performance.

This study investigated the spatial, spectral, temporal and functional proprieties of functional brain connections involved in the concurrent execution of unrelated visual perception and working memory tasks. Electroencephalography data was analysed using a novel data-driven approach assessing source coherence at the whole-brain level. Three connections in the beta-band (18-24 Hz) and one in the gamma-band (30-40 Hz) were modulated by dual-task performance. Beta-coherence increased within two dorsofrontal-occipital connections in dual-task conditions compared to the single-task condition, with the highest coherence seen during low working memory load trials. In contrast, beta-coherence in a prefrontal-occipital functional connection and gamma-coherence in an inferior frontal-occipitoparietal connection was not affected by the addition of the second task and only showed elevated coherence under high working memory load. Analysis of coherence as a function of time suggested that the dorsofrontal-occipital beta-connections were relevant to working memory maintenance, while the prefrontal-occipital beta-connection and the inferior frontal-occipitoparietal gamma-connection were involved in top-down control of concurrent visual processing. The fact that increased coherence in the gamma-connection, from low to high working memory load, was negatively correlated with faster reaction time on the perception task supports this interpretation. Together, these results demonstrate that dual-task demands trigger non-linear changes in functional interactions between frontal-executive and occipitoparietal-perceptual cortices.