A generalization of Hull and White formula and applications to option pricing approximation

By means of Malliavin Calculus we see that the classical Hull and White formulafor option pricing can be extended to the case where the noise driving thevolatility process is correlated with the noise driving the stock prices. Thisextension will allow us to construct option pricing approximation formulas.Numerical examples are presented.

Inbreeding in the greater white-toothed shrew, Crocidura russula.

We combined mark-and-recapture studies with genetic techniques of parentage assignment to evaluate the interactions between mating, dispersal, and inbreeding, in a free-ranging population of Crocidura russula. We found a pattern of limited and female-biased dispersal, followed by random mating within individual neighborhoods. This results in significant inbreeding at the population level: mating among relatives occurs more often than random, and F(IT) analyses reveal significant deficits in heterozygotes. However, related mating partners were not less fecund, and inbred offspring had no lower lifetime reproductive output. Power analyses show these negative results to be quite robust. Absence of phenotypic evidence of inbreeding depression might result from a history of purging: local populations are small and undergo disequilibrium gene dynamics. Dispersal is likely caused by local saturation and (re)colonization of empty breeding sites, rather than inbreeding avoidance.

An in vivo ultrahigh field 14.1 T (1) H-MRS study on 6-OHDA and α-synuclein-based rat models of Parkinson's disease: GABA as an early disease marker.

The detection of Parkinson's disease (PD) in its preclinical stages prior to outright neurodegeneration is essential to the development of neuroprotective therapies and could reduce the number of misdiagnosed patients. However, early diagnosis is currently hampered by lack of reliable biomarkers. (1) H magnetic resonance spectroscopy (MRS) offers a noninvasive measure of brain metabolite levels that allows the identification of such potential biomarkers. This study aimed at using MRS on an ultrahigh field 14.1 T magnet to explore the striatal metabolic changes occurring in two different rat models of the disease. Rats lesioned by the injection of 6-hydroxydopamine (6-OHDA) in the medial-forebrain bundle were used to model a complete nigrostriatal lesion while a genetic model based on the nigral injection of an adeno-associated viral (AAV) vector coding for the human α-synuclein was used to model a progressive neurodegeneration and dopaminergic neuron dysfunction, thereby replicating conditions closer to early pathological stages of PD. MRS measurements in the striatum of the 6-OHDA rats revealed significant decreases in glutamate and N-acetyl-aspartate levels and a significant increase in GABA level in the ipsilateral hemisphere compared with the contralateral one, while the αSyn overexpressing rats showed a significant increase in the GABA striatal level only. Therefore, we conclude that MRS measurements of striatal GABA levels could allow for the detection of early nigrostriatal defects prior to outright neurodegeneration and, as such, offers great potential as a sensitive biomarker of presymptomatic PD.

White Cane Update, Summer 2006

The White Cane Update newsletter includes information about the latest happenings at the Iowa Department for the Blind.

White Cane Update, Winter 2007

The White Cane Update newsletter includes information about the latest happenings at the Iowa Department for the Blind.

White Cane Update, Summer 2007

The White Cane Update newsletter includes information about the latest happenings at the Iowa Department for the Blind.

White Cane Update, Fall 2007

The White Cane Update newsletter includes information about the latest happenings at the Iowa Department for the Blind.

White Cane Update, Winter 2008

The White Cane Update newsletter includes information about the latest happenings at the Iowa Department for the Blind.

Proton T1 relaxation times of metabolites in human occipital white and gray matter at 7 T.

Proton T1 relaxation times of metabolites in the human brain have not previously been published at 7 T. In this study, T1 values of CH3 and CH2 group of N-acetylaspartate and total creatine as well as nine other brain metabolites were measured in occipital white matter and gray matter at 7 T using an inversion-recovery technique combined with a newly implemented semi-adiabatic spin-echo full-intensity acquired localized spectroscopy sequence (echo time = 12 ms). The mean T1 values of metabolites in occipital white matter and gray matter ranged from 0.9 to 2.2 s. Among them, the T1 of glutathione, scyllo-inositol, taurine, phosphorylethanolamine, and N-acetylaspartylglutamate were determined for the first time in the human brain. Significant differences in T1 between white matter and gray matter were found for water (-28%), total choline (-14%), N-acetylaspartylglutamate (-29%), N-acetylaspartate (+4%), and glutamate (+8%). An increasing trend in T1 was observed when compared with previously reported values of N-acetylaspartate (CH3 ), total creatine (CH3 ), and total choline at 3 T. However, for N-acetylaspartate (CH3 ), total creatine, and total choline, no substantial differences compared to previously reported values at 9.4 T were discernible. The T1 values reported here will be useful for the quantification of metabolites and signal-to-noise optimization in human brain at 7 T. Magn Reson Med 69:931-936, 2013. © 2012 Wiley Periodicals, Inc.

Poor, hungry and ignorant: Numeracy and the impact of high food prices in industrializing Britain, 1780-1850

This paper uses the ability to recall one s age correctly as an indicator of numeracy.We show that low levels of nutrition impaired numeracy in industrializing England, 1780-1850.Numeracy declined markedly among those born during the war years, especially where wheatwas dear. England s nascent welfare state mitigated the negative effect of high food prices oncognitive skills. Nutrition during early development mattered for labor market outcomes:individuals born in periods or countries with high age heaping were more likely to sort intooccupations with limited intellectual requirements.

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

Novas Pragas Agrícolas na Ilha de São Nicolau - Cabo Verde - Tuta absoluta (Meyrick) (Lep - Gelechiidae) e Bactrocera invadens (Drew, Tsuruta & White) (Dipt - Tephritidae)

Em algumas das ilhas do Arquipélago de Cabo Verde entraram, nos últimos dois anos, espécies invasoras que constituem pragas de culturas agrícolas e que têm apresentado elevada repercussão económica. Entre elas contam-se a traça do tomateiro, Tuta absoluta (Meyrick) (Lepidoptera: Gelechidae) e Bactrocera invadens (Drew, Tsuruta & White) (Diptera: Tephritidae). Com o objectivo de avaliar a presença destas pragas na ilha de São Nicolau, foram instaladas armadilhas com atractivos em quatro zonas com bananeiras (Ribeira Prata, Fajã, Maiama e Campo de Preguiça) para a monitorização da mosca da fruta. Foram também instaladas ensaios em seis parcelas de tomateiro para a comparação de estratégias de protecção contra T. absoluta, armadilha com feromona sexual para captura em massa em conjunto com Bacillus thuringiensis e tratamento com deltametrina. Das quatro zonas monitorizadas, B. invadens só foi encontrada no Vale da Fajã. No que diz respeito a T. absoluta, fez-se a comparação entre a população presente em três estratos do tomateiro e não se encontraram diferenças significativas. As estratégias de protecção contra T. absoluta também não diferiram significativamente no que se refere ao número de minas nas folhas e frutos furados. Nesidiocoris tenuis foi identificado como inimigo natural de T. absoluta presente na ilha.

Nyssomyia intermedia (Lutz & Neiva) and Nyssomyia neivai (Pinto) (Diptera, Psychodidae, Phlebotominae) in a sympatric area: seasonal and nocturnal hourly rhythm in black and white modified Shannon traps

Captures with black and white Shannon traps were undertaken to identify aspects of the behavior of the two cryptic and sympatric species implicated as vectors of cutaneous leishmaniasis, Nyssomyia intermedia (Lutz & Neiva, 1912) and Nyssomyia neivai (Pinto, 1926). The traps were installed side by side, monthly, from July 2001 to June 2002, from 18 to 07 hours, in a peridomicile of Iporanga municipality, state of São Paulo, Brazil. A total of 2,142 specimens were captured, Ny. intermedia (47.4%) and Ny. neivai (50.5%). The white trap was more attractive to both sexes of both species. Males of Ny. neivai predominated (70%) over those of Ny. intermedia on the two traps; on the black trap, the females of Ny. intermedia predominated (63.3%) over those of Ny. neivai (36.7%). Seventy percent of the specimens of both species were captured between 18 and 24 h. Females of Ny. intermedia presented the highest peak at 19-20 h, and those of Ny. neivai at 20-21 h. The highest hourly average for females of Ny. intermedia on the black trap occurred in the winter and that for males in the summer. For Ny. neivai, both sexes predominated in the summer. The two species probably transmit the cutaneous leishmaniasis in the area due to their great predominance.