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.

A medium-scale open economy model of Australia

We estimate an open economy dynamic stochastic general equilibrium (DSGE)model of Australia with a number of shocks, frictions and rigidities, matching alarge number of observable time series. We find that both foreign and domesticshocks are important drivers of the Australian business cycle.We also find that theinitial impact on inflation of an increase in demand for Australian commoditiesis negative, due to an improvement in the real exchange rate, though there is apersistent positive effect on inflation that dominates at longer horizons.

The effects of physiologically plausible connectivity structure on local and global dynamics in large scale brain models.

Functionally relevant large scale brain dynamics operates within the framework imposed by anatomical connectivity and time delays due to finite transmission speeds. To gain insight on the reliability and comparability of large scale brain network simulations, we investigate the effects of variations in the anatomical connectivity. Two different sets of detailed global connectivity structures are explored, the first extracted from the CoCoMac database and rescaled to the spatial extent of the human brain, the second derived from white-matter tractography applied to diffusion spectrum imaging (DSI) for a human subject. We use the combination of graph theoretical measures of the connection matrices and numerical simulations to explicate the importance of both connectivity strength and delays in shaping dynamic behaviour. Our results demonstrate that the brain dynamics derived from the CoCoMac database are more complex and biologically more realistic than the one based on the DSI database. We propose that the reason for this difference is the absence of directed weights in the DSI connectivity matrix.

Auction theory, sequential local service privatization, and the effects of geographical scale economies on effective competition

A sequential weakly efficient two-auction game with entry costs, interdependence between objects, two potential bidders and IPV assumption is presented here in order to give some theoretical predictions on the effects of geographical scale economies on local service privatization performance. It is shown that the first object seller takes profit of this interdependence. The interdependence externality rises effective competition for the first object, expressed as the probability of having more than one final bidder. Besides, if there is more than one final bidder in the first auction, seller extracts the entire bidder¿s expected future surplus differential between having won the first auction and having lost. Consequences for second object seller are less clear, reflecting the contradictory nature of the two main effects of object interdependence. On the one hand, first auction winner becomes ¿stronger¿, so that expected payments rise in a competitive environment. On the other hand, first auction loser becomes relatively ¿weaker¿, hence (probably) reducing effective competition for the second object. Additionally, some contributions to static auction theory with entry cost and asymmetric bidders are presented in the appendix

Political economy of municipal water service privatization in Spain: a duration model analysis

This empirical work applies a duration model to the study of factors determining privatization of local water services. I assess how factors determining privatization decision evolve as time goes by. A sample of 133 Spanish municipalities during the six terms of office taken place during the 1980-2002 period is analyzed. A dynamic neighboring effect is hypothesized and successfully tested. In a first stage, private water supply firms may try to expand to regions where there is no service privatized, in order to spread over this region after having being installed thanks to its scale advantages. Other factors influencing privatization decision evolve during the two decades under study, from the priority to fix old infrastructures to the concern about service efficiency. Some complementary results regarding political and budgetary factors are also obtained

Mass movement characterization using a reflexion and refraction seismic survey with the sloping local base level concept

This study proposes a new concept for upscaling local information on failure surfaces derived from geophysical data, in order to develop the spatial information and quickly estimate the magnitude and intensity of a landslide. A new vision of seismic interpretation on landslides is also demonstrated by taking into account basic geomorphic information with a numeric method based on the Sloping Local Base Level (SLBL). The SLBL is a generalization of the base level defined in geomorphology applied to landslides, and allows the calculation of the potential geometry of the landslide failure surface. This approach was applied to a large scale landslide formed mainly in gypsum and situated in a former glacial valley along the Rhone within the Western European Alps. Previous studies identified the existence of two sliding surfaces that may continue below the level of the valley. In this study. seismic refraction-reflexion surveys were carried out to verify the existence of these failure surfaces. The analysis of the seismic data provides a four-layer model where three velocity layers (<1000 ms(-1), 1500 ms(-1) and 3000 ms(-1)) are interpreted as the mobilized mass at different weathering levels and compaction. The highest velocity layer (>4000 ms(-1)) with a maximum depth of similar to 58 m is interpreted as the stable anhydrite bedrock. Two failure surfaces were interpreted from the seismic surveys: an upper failure and a much deeper one (respectively 25 and 50 m deep). The upper failure surface depth deduced from geophysics is slightly different from the results obtained using the SLBL, and the deeper failure surface depth calculated with the SLBL method is underestimated in comparison with the geophysical interpretations. Optimal results were therefore obtained by including the seismic data in the SLBL calculations according to the geomorphic limits of the landslide (maximal volume of mobilized mass = 7.5 x 10(6) m(3)).

Inhibition of the Kit Ligand/c-Kit Axis Attenuates Metastasis in a Mouse Model Mimicking Local Breast Cancer Relapse after Radiotherapy.

PURPOSE: Local breast cancer relapse after breast-saving surgery and radiotherapy is associated with increased risk of distant metastasis formation. The mechanisms involved remain largely elusive. We used the well-characterized 4T1 syngeneic, orthotopic breast cancer model to identify novel mechanisms of postradiation metastasis. EXPERIMENTAL DESIGN: 4T1 cells were injected in 20 Gy preirradiated mammary tissue to mimic postradiation relapses, or in nonirradiated mammary tissue, as control, of immunocompetent BALB/c mice. Molecular, biochemical, cellular, histologic analyses, adoptive cell transfer, genetic, and pharmacologic interventions were carried out. RESULTS: Tumors growing in preirradiated mammary tissue had reduced angiogenesis and were more hypoxic, invasive, and metastatic to lung and lymph nodes compared with control tumors. Increased metastasis involved the mobilization of CD11b(+)c-Kit(+)Ly6G(high)Ly6C(low)(Gr1(+)) myeloid cells through the HIF1-dependent expression of Kit ligand (KitL) by hypoxic tumor cells. KitL-mobilized myeloid cells homed to primary tumors and premetastatic lungs, to give rise to CD11b(+)c-Kit(-) cells. Pharmacologic inhibition of HIF1, silencing of KitL expression in tumor cells, and inhibition of c-Kit with an anti-c-Kit-blocking antibody or with a tyrosine kinase inhibitor prevented the mobilization of CD11b(+)c-Kit(+) cells and attenuated metastasis. C-Kit inhibition was also effective in reducing mobilization of CD11b(+)c-Kit(+) cells and inhibiting lung metastasis after irradiation of established tumors. CONCLUSIONS: Our work defines KitL/c-Kit as a previously unidentified axis critically involved in promoting metastasis of 4T1 tumors growing in preirradiated mammary tissue. Pharmacologic inhibition of this axis represents a potential therapeutic strategy to prevent metastasis in breast cancer patients with local relapses after radiotherapy. Clin Cancer Res; 18(16); 4365-74. ©2012 AACR.

Local model predictive control experiences with differential driven wheeled mobile robots

This work extends a previously developed research concerning about the use of local model predictive control in differential driven mobile robots. Hence, experimental results are presented as a way to improve the methodology by considering aspects as trajectory accuracy and time performance. In this sense, the cost function and the prediction horizon are important aspects to be considered. The aim of the present work is to test the control method by measuring trajectory tracking accuracy and time performance. Moreover, strategies for the integration with perception system and path planning are briefly introduced. In this sense, monocular image data can be used to plan safety trajectories by using goal attraction potential fields

Testing a large-scale forestry scenario model by means of successive inventories on a forest property

Abstract

Scale Effects in Hydraulic Model Tests of Rock Protected Structures, HR-119, 1970

A laboratory investigation was undertaken to determine the limiting model Reynolds number above which the scour behavior of rock protected structures can be reproduced in hydraulic models scaled according to the Froude criterion. A submerged jet was passed over an initially full scour pocket containing uniform glass spheres and the rate of scour was measured as a function of time. The dimensions of the scour pocket and jet and the particle diameters were varied as needed to maintain strict geometric similarity. For each of two different Froude numbers the Reynolds number was varied over a wide range. The normalized scour rate was found to be practically independent of the Reynolds number, R, (based on the jet velocity and particle diameter) at values of R above about 2.5 x 10^3, and to decrease with Rat smaller values. A grid placed in the jet was found to have a very strong effect on the scour rate. In an attempt to explain the effect of R on the scour behavior, turbulent pressure and velocity fluctuations were measured in air flows and water flows, respectively, over rigid scour pockets having the same geometry as those formed in the scour experiments. The normalized spectra of the fluctuations were found to be nearly independent of R, but the flow pattern was found to be very sensitive to the inlet condition, the jet deflecting upward or downward in a not wholly explainable manner. This indicates that scour behavior can be modeled only if the approach flow is also accurately modeled.

Local and Regional Scale Determinants of Biodiversity Patterns in Boreal Agricultural Landscapes

This thesis examines the local and regional scale determinants of biodiversity patterns using existing species and environmental data. The research focuses on agricultural environments that have experienced rapid declines of biodiversity during past decades. Existing digital databases provide vast opportunities for habitat mapping, predictive mapping of species occurrences and richness and understanding the speciesenvironment relationships. The applicability of these databases depends on the required accuracy and quality of the data needed to answer the landscape ecological and biogeographical questions in hand. Patterns of biodiversity arise from confounded effects of different factors, such as climate, land cover and geographical location. Complementary statistical approaches that can show the relative effects of different factors are needed in biodiversity analyses in addition to classical multivariate models. Better understanding of the key factors underlying the variation in diversity requires the analyses of multiple taxonomic groups from different perspectives, such as richness, occurrence, threat status and population trends. The geographical coincidence of species richness of different taxonomic groups can be rather limited. This implies that multiple geographical regions should be taken into account in order to preserve various groups of species. Boreal agricultural biodiversity and in particular, distribution and richness of threatened species is strongly associated with various grasslands. Further, heterogeneous agricultural landscapes characterized by moderate field size, forest patches and non-crop agricultural habitats enhance the biodiversity of rural environments. From the landscape ecological perspective, the major threats to Finnish agricultural biodiversity are the decline of connected grassland habitat networks, and general homogenization of landscape structure resulting from both intensification and marginalization of agriculture. The maintenance of key habitats, such as meadows and pastures is an essential task in conservation of agricultural biodiversity. Furthermore, a larger landscape context should be incorporated in conservation planning and decision making processes in order to respond to the needs of different species and to maintain heterogeneous rural landscapes and viable agricultural diversity in the future.

The Besançon Galaxy Model renewed. I. Constraints on the Galactic thin disc evolution from Tycho data

Context. The understanding of Galaxy evolution can be facilitated by the use of population synthesis models, which allow to test hypotheses on the star formation history, star evolution, as well as chemical and dynamical evolution of the Galaxy. Aims. The new version of the Besanc¸on Galaxy Model (hereafter BGM) aims to provide a more flexible and powerful tool to investigate the Initial Mass Function (IMF) and Star Formation Rate (SFR) of the Galactic disc. Methods. We present a new strategy for the generation of thin disc stars which assumes the IMF, SFR and evolutionary tracks as free parameters. We have updated most of the ingredients for the star count production and, for the first time, binary stars are generated in a consistent way. We keep in this new scheme the local dynamical self-consistency as in Bienayme et al (1987). We then compare simulations from the new model with Tycho-2 data and the local luminosity function, as a first test to verify and constrain the new ingredients. The effects of changing thirteen different ingredients of the model are systematically studied. Results. For the first time, a full sky comparison is performed between BGM and data. This strategy allows to constrain the IMF slope at high masses which is found to be close to 3.0, excluding a shallower slope such as Salpeter"s one. The SFR is found decreasing whatever IMF is assumed. The model is compatible with a local dark matter density of 0.011 M pc−3 implying that there is no compelling evidence for significant amount of dark matter in the disc. While the model is fitted to Tycho2 data, a magnitude limited sample with V<11, we check that it is still consistent with fainter stars. Conclusions. The new model constitutes a new basis for further comparisons with large scale surveys and is being prepared to become a powerful tool for the analysis of the Gaia mission data.

The Besançon Galaxy Model renewed. I. Constraints on the Galactic thin disc evolution from Tycho data

Context. The understanding of Galaxy evolution can be facilitated by the use of population synthesis models, which allow to test hypotheses on the star formation history, star evolution, as well as chemical and dynamical evolution of the Galaxy. Aims. The new version of the Besanc¸on Galaxy Model (hereafter BGM) aims to provide a more flexible and powerful tool to investigate the Initial Mass Function (IMF) and Star Formation Rate (SFR) of the Galactic disc. Methods. We present a new strategy for the generation of thin disc stars which assumes the IMF, SFR and evolutionary tracks as free parameters. We have updated most of the ingredients for the star count production and, for the first time, binary stars are generated in a consistent way. We keep in this new scheme the local dynamical self-consistency as in Bienayme et al (1987). We then compare simulations from the new model with Tycho-2 data and the local luminosity function, as a first test to verify and constrain the new ingredients. The effects of changing thirteen different ingredients of the model are systematically studied. Results. For the first time, a full sky comparison is performed between BGM and data. This strategy allows to constrain the IMF slope at high masses which is found to be close to 3.0, excluding a shallower slope such as Salpeter"s one. The SFR is found decreasing whatever IMF is assumed. The model is compatible with a local dark matter density of 0.011 M pc−3 implying that there is no compelling evidence for significant amount of dark matter in the disc. While the model is fitted to Tycho2 data, a magnitude limited sample with V<11, we check that it is still consistent with fainter stars. Conclusions. The new model constitutes a new basis for further comparisons with large scale surveys and is being prepared to become a powerful tool for the analysis of the Gaia mission data.

GENETIC ARCHITECTURE, EVOLUTION AND MAINTENANCE OF A COLOR CLINE AT A CONTINENTAL SCALE

On a geological time scale the conditions on earth are very variable and biological patterns (for example the distributions of species) are very dynamic. Understanding large scale patterns of variation observed today thus requires a deep understanding of the historical factors that drove their evolution. In this thesis, we reevaluated the evolution and maintenance of a continental color cline observed in the European barn owl (Tyto alba) using population genetic tools. The colour cline spans from south-est Europe where most individual have pure white underparts to north and east Europe where most individuals have rufous-brown underparts. Our results globally showed that the old scenario, stipulating that the color cline evolved by secondary contact of two color morphs (white and rufous) that evolved in allopatry during the last ice age has to be revised. We collected samples of about 700 barn owls from the Western Palearctic to establish the first population genetic data set for this species. Individuals were genotyped at 22 microsatellites markers, at one mitochondrial gene, and at a candidate color gene. The color of each individuals was assessed and their sex determined by molecular methods. We first showed that the genetic variation in Western Europe is very limited compared to the heritable color variation. We found no evidences of different glacial lineages, and showed that selection must be involved in the maintenance of the color cline (chapter 1). Using computer simulations, we demonstrated that the post-glacial colonization of Europe occurred from the Iberian Peninsula and that the color cline could not have evolved by neutral demographic processes during this colonization (chapter 2). Finally we reevaluated the whole history of the establishment of the Western Palearctic variation of the barn owl (chapter 3): This study showed that all Western European barn owls descend from white barn owls phenotypes from the Middle East that colonized the Iberian Peninsula via North-Africa. Following the end of the last ice age (20'000 years ago), these white barn owls colonized Western Europe and under selection a novel rufous phenotype evolved (during or after the colonization). An important part of the color variation could be explained by a single mutation in the melanocortin-1-receptor (MC1R) gene that appeared during or after the colonization. The colonization of Europe reached until Greece, where the rufous birds encountered white ones (which reached Greece from the Middle East over the Bosporus) in a secondary contact zone. Our analyses show that white and rufous barn owls in Greece interbreed only to a limited extent. This suggests that barn owls are at the verge of becoming two species in Greece and demonstrates that European barn owls represent an incipient ring species around the Mediterranean. The revisited history of the establishment of the European barn owl color cline makes this model system remarkable for several aspects. It is a very clear example of strong local adaptation that can be achieved despite high gene flow (strong color and MC1R differentiation despite almost no neutral genetic differentiation). It also offers a wonderful model system to study the interactions between colonization processes and selection processes which have, for now, been remarkably understudied despite their potentially ubiquitous importance. Finally it represents a very interesting case in the speciation continuum and appeals for further studying the amount of gene flow that occurs between the color morphs in Greece. -- Sur l'échelle des temps géologiques, les conditions sur terre sont très variables et les patrons biologiques (telle que la distribution des espèces) sont très dynamiques. Si l'on veut comprendre des patrons que l'on peut observer à large échelle aujourd'hui, il est nécessaire de d'abord comprendre les facteurs historiques qui ont gouverné leur établissement. Dans cette thèse, nous allons réévaluer, grâce à des outils modernes de génétique des populations, l'évolution et la maintenance d'un cline de couleur continental observé chez l'effraie des clochers européenne (Tyto alba). Globalement, nos résultats montrent que le scenario accepté jusqu'à maintenant, qui stipule que le cline de couleur a évolué à partir du contact secondaire de deux morphes de couleur (blanches et rousses) ayant évolué en allopatrie durant les dernières glaciations, est à revoir. Afin de constituer le premier jeu de données de génétique des populations pour cette espèce, nous avons récolté des échantillons d'environ 700 effraies de l'ouest Paléarctique. Nous avons génotypé tous les individus à 22 loci microsatellites, sur un gène mitochondrial et sur un autre gène participant au déterminisme de la couleur. Nous avons aussi mesuré la couleur de tous les individus et déterminé leur sexe génétiquement. Nous avons tout d'abord pu montrer que la variation génétique neutre est négligeable en comparaison avec la variation héritable de couleur, qu'il n'existe qu'une seule lignée européenne et que de la sélection doit être impliquée dans le maintien du cline de couleur (chapitre 1). Grâce à des simulations informatiques, nous avons démontré que l'ensemble de l'Europe de l'ouest a été recolonisé depuis la Péninsule Ibérique après les dernières glaciations et que le cline de couleur ne peut pas avoir évolué par des processus neutre durant cette colonisation (chapitre 2). Finalement, nous avons réévalué l'ensemble de l'histoire postglaciaire de l'espèce dans l'ouest Paléarctique (chapitre 3): l'ensemble des effraies du Paléarctique descendent d'effraie claire du Moyen-Orient qui ont colonisé la péninsule ibérique en passant par l'Afrique du nord. Après la fin de la dernière glaciation (il y a 20'000 ans), ces effraies claires ont colonisé l'Europe de l'ouest et ont évolués par sélection le phénotype roux (durant ou après la colonisation). Une part importante de la variation de couleur peut être expliquée par une mutation sur le gène MC1R qui est apparue durant ou juste après la colonisation. Cette vague de colonisation s'est poursuivie jusqu'en Grèce où ces effraies rousses ont rencontré dans une zone de contact secondaire des effraies claires (qui sont remontées en Grèce depuis le Moyen-Orient via le Bosphore). Nos analyses montrent que le flux de gènes entre effraies blanches et rousses est limité en Grèce, ce qui suggère qu'elles sont en passe de former deux espèces et ce qui montre que les effraies constituent un exemple naissant de spéciation en anneaux autour de la Méditerranée. L'histoire revisitée des effraies des clochers de l'ouest Paléarctique en fait un système modèle remarquable pour plusieurs aspects. C'est un exemple très claire de forte adaptation locale maintenue malgré un fort flux de gènes (différenciation forte de couleur et sur le gène MC1R malgré presque aucune structure neutre). Il offre également un très bon système pour étudier l'interaction entre colonisation et sélection, un thème ayant été remarquablement peu étudié malgré son importance. Et il offre finalement un cas très intéressant dans le « continuum de spéciation » et il serait très intéressant d'étudier plus en détail l'importance du flux de gènes entre les morphes de couleur en Grèce.