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.

Geographical and temporal body size variation in a reptile: roles of sex, ecology, phylogeny and ecology structured in phylogeny.

Geographical body size variation has long interested evolutionary biologists, and a range of mechanisms have been proposed to explain the observed patterns. It is considered to be more puzzling in ectotherms than in endotherms, and integrative approaches are necessary for testing non-exclusive alternative mechanisms. Using lacertid lizards as a model, we adopted an integrative approach, testing different hypotheses for both sexes while incorporating temporal, spatial, and phylogenetic autocorrelation at the individual level. We used data on the Spanish Sand Racer species group from a field survey to disentangle different sources of body size variation through environmental and individual genetic data, while accounting for temporal and spatial autocorrelation. A variation partitioning method was applied to separate independent and shared components of ecology and phylogeny, and estimated their significance. Then, we fed-back our models by controlling for relevant independent components. The pattern was consistent with the geographical Bergmann's cline and the experimental temperature-size rule: adults were larger at lower temperatures (and/or higher elevations). This result was confirmed with additional multi-year independent data-set derived from the literature. Variation partitioning showed no sex differences in phylogenetic inertia but showed sex differences in the independent component of ecology; primarily due to growth differences. Interestingly, only after controlling for independent components did primary productivity also emerge as an important predictor explaining size variation in both sexes. This study highlights the importance of integrating individual-based genetic information, relevant ecological parameters, and temporal and spatial autocorrelation in sex-specific models to detect potentially important hidden effects. Our individual-based approach devoted to extract and control for independent components was useful to reveal hidden effects linked with alternative non-exclusive hypothesis, such as those of primary productivity. Also, including measurement date allowed disentangling and controlling for short-term temporal autocorrelation reflecting sex-specific growth plasticity.

Spatial variation of dung beetle assemblages associated with forest structure in remnants of southern Brazilian Atlantic Forest

ABSTRACT The Brazilian Atlantic Forest is one of the world's biodiversity hotspots, and is currently highly fragmented and disturbed due to human activities. Variation in environmental conditions in the Atlantic Forest can influence the distribution of species, which may show associations with some environmental features. Dung beetles (Coleoptera: Scarabaeinae) are insects that act in nutrient cycling via organic matter decomposition and have been used for monitoring environmental changes. The aim of this study is to identify associations between the spatial distribution of dung beetle species and Atlantic Forest structure. The spatial distribution of some dung beetle species was associated with structural forest features. The number of species among the sampling sites ranged widely, and few species were found in all remnant areas. Principal coordinates analysis indicated that species composition, abundance and biomass showed a spatially structured distribution, and these results were corroborated by permutational multivariate analysis of variance. The indicator value index and redundancy analysis showed an association of several dung beetle species with some explanatory environmental variables related to Atlantic Forest structure. This work demonstrated the existence of a spatially structured distribution of dung beetles, with significant associations between several species and forest structure in Atlantic Forest remnants from Southern Brazil.

Surface topography and mixed-pixel effects on the simulated L-band brightness temperatures.

The impact of topography and mixed pixels on L-band radiometric observations over land needs to be quantified to improve the accuracy of soil moisture retrievals. For this purpose, a series of simulations has been performed with an improved version of the soil moisture and ocean salinity (SMOS) end-to-end performance simulator (SEPS). The brightness temperature generator of SEPS has been modified to include a 100-m-resolution land cover map and a 30-m-resolution digital elevation map of Catalonia (northeast of Spain). This high-resolution generator allows the assessment of the errors in soil moisture retrieval algorithms due to limited spatial resolution and provides a basis for the development of pixel disaggregation techniques. Variation of the local incidence angle, shadowing, and atmospheric effects (up- and downwelling radiation) due to surface topography has been analyzed. Results are compared to brightness temperatures that are computed under the assumption of an ellipsoidal Earth.

New reference tables and user-friendly Internet application for predicted heart weights.

BACKGROUND: Knowledge of normal heart weight ranges is important information for pathologists. Comparing the measured heart weight to reference values is one of the key elements used to determine if the heart is pathological, as heart weight increases in many cardiac pathologies. The current reference tables are old and in need of an update. AIMS: The purposes of this study are to establish new reference tables for normal heart weights in the local population and to determine the best predictive factor for normal heart weight. We also aim to provide technical support to calculate the predictive normal heart weight. METHODS: The reference values are based on retrospective analysis of adult Caucasian autopsy cases without any obvious pathology that were collected at the University Centre of Legal Medicine in Lausanne from 2007 to 2011. We selected 288 cases. The mean age was 39.2 years. There were 118 men and 170 women. Regression analyses were performed to assess the relationship of heart weight to body weight, body height, body mass index (BMI) and body surface area (BSA). RESULTS: The heart weight increased along with an increase in all the parameters studied. The mean heart weight was greater in men than in women at a similar body weight. BSA was determined to be the best predictor for normal heart weight. New reference tables for predicted heart weights are presented as a web application that enable the comparison of heart weights observed at autopsy with the reference values. CONCLUSIONS: The reference tables for heart weight and other organs should be systematically updated and adapted for the local population. Web access and smartphone applications for the predicted heart weight represent important investigational tools.

Spatial and temporal variability of crop yield and some Rhodic Hapludox properties under no-tillage

Soil properties are closely related with crop production and spite of the measures implemented, spatial variation has been repeatedly observed and described. Identifying and describing spatial variations of soil properties and their effects on crop yield can be a powerful decision-making tool in specific land management systems. The objective of this research was to characterize the spatial and temporal variations in crop yield and chemical and physical properties of a Rhodic Hapludox soil under no-tillage. The studied area of 3.42 ha had been cultivated since 1985 under no-tillage crop rotation in summer and winter. Yield and soil property were sampled in a regular 10 x 10 m grid, with 302 sample points. Yields of several crops were analyzed (soybean, maize, triticale, hyacinth bean and castor bean) as well as soil chemical (pH, Soil Organic Matter (SOM), P, Ca2+, Mg2+, H + Al, B, Fe, Mn, Zn, CEC, sum of bases (SB), and base saturation (V %)) and soil physical properties (saturated hydraulic conductivity, texture, density, total porosity, and mechanical penetration resistance). Data were analyzed using geostatistical analysis procedures and maps based on interpolation by kriging. Great variation in crop yields was observed in the years evaluated. The yield values in the Northern region of the study area were high in some years. Crop yields and some physical and soil chemical properties were spatially correlated.

Pattern recognition ecological niche models fit to presence-only and presence-absence data

1. Identifying the boundary of a species' niche from observational and environmental data is a common problem in ecology and conservation biology and a variety of techniques have been developed or applied to model niches and predict distributions. Here, we examine the performance of some pattern-recognition methods as ecological niche models (ENMs). Particularly, one-class pattern recognition is a flexible and seldom used methodology for modelling ecological niches and distributions from presence-only data. The development of one-class methods that perform comparably to two-class methods (for presence/absence data) would remove modelling decisions about sampling pseudo-absences or background data points when absence points are unavailable. 2. We studied nine methods for one-class classification and seven methods for two-class classification (five common to both), all primarily used in pattern recognition and therefore not common in species distribution and ecological niche modelling, across a set of 106 mountain plant species for which presence-absence data was available. We assessed accuracy using standard metrics and compared trade-offs in omission and commission errors between classification groups as well as effects of prevalence and spatial autocorrelation on accuracy. 3. One-class models fit to presence-only data were comparable to two-class models fit to presence-absence data when performance was evaluated with a measure weighting omission and commission errors equally. One-class models were superior for reducing omission errors (i.e. yielding higher sensitivity), and two-classes models were superior for reducing commission errors (i.e. yielding higher specificity). For these methods, spatial autocorrelation was only influential when prevalence was low. 4. These results differ from previous efforts to evaluate alternative modelling approaches to build ENM and are particularly noteworthy because data are from exhaustively sampled populations minimizing false absence records. Accurate, transferable models of species' ecological niches and distributions are needed to advance ecological research and are crucial for effective environmental planning and conservation; the pattern-recognition approaches studied here show good potential for future modelling studies. This study also provides an introduction to promising methods for ecological modelling inherited from the pattern-recognition discipline.

The nitrogen sufficiency index underlying estimates of nitrogen fertilization requirements of common bean

Chlorophyll determination with a portable chlorophyll meter can indicate the period of highest N demand of plants and whether sidedressing is required or not. In this sense, defining the optimal timing of N application to common bean is fundamental to increase N use efficiency, increase yields and reduce the cost of fertilization. The objectives of this study were to evaluate the efficiency of N sufficiency index (NSI) calculated based on the relative chlorophyll index (RCI) in leaves, measured with a portable chlorophyll meter, as an indicator of time of N sidedressing fertilization and to verify which NSI (90 and 95 %) value is the most appropriate to indicate the moment of N fertilization of common bean cultivar Perola. The experiment was carried out in the rainy and dry growing seasons of the agricultural year 2009/10 on a dystroferric Red Nitosol, in Botucatu, São Paulo State, Brazil. The experiment was arranged in a randomized complete block design with five treatments, consisting of N managements (M1: 200 kg ha-1 N (40 kg at sowing + 80 kg 15 days after emergence (DAE) + 80 kg 30 DAE); M2: 100 kg ha-1 N (20 kg at sowing + 40 kg 15 DAE + 40 kg 30 DAE); M3: 20 kg ha-1 N at sowing + 30 kg ha-1 when chlorophyll meter readings indicated NSI < 95 %; M4: 20 kg ha-1 N at sowing + 30 kg ha-1 N when chlorophyll meter readings indicated NSI < 90 % and, M5: control (without N application)) and four replications. The variables RCI, aboveground dry matter, total leaf N concentration, production components, grain yield, relative yield, and N use efficiency were evaluated. The RCI correlated with leaf N concentrations. By monitoring the RCI with the chlorophyll meter, the period of N sidedressing of common bean could be defined, improving N use efficiency and avoiding unnecessary N supply to common bean. The NSI 90 % of the reference area was more efficient to define the moment of N sidedressing of common bean, to increase N use efficiency.

Spatial relationships between soil attributes and corn yield in no-tillage system

Soil properties play an important role in spatial variability of crop yield. However, a low spatial correlation has generally been observed between maps of crop yield and of soil properties. The objectives of the present investigation were to assess the spatial pattern variability of soil properties and of corn yield at the same sampling intensity, and evaluate its cause-and-effect relationships. The experimental site was structured in a grid of 100 referenced points, spaced at 10 m intervals along four parallel 250 m long rows spaced 4.5 m apart. Thus, points formed a rectangle containing four columns and 25 rows. Therefore, each sampling cell encompassed an area of 45 m² and consisted of five 10 m long crop rows, in which the referenced points represented the center. Samples were taken from the layers 0-0.1 m and 0.1-0.2 m. Soil physical and chemical properties were evaluated. Statistical analyses consisted of data description and geostatistics. The spatial dependence of corn yield and soil properties was confirmed. The hypothesis of this study was confirmed, i.e., when sampling the soil to determine the values of soil characteristics at similar to sampling intensity as for crop yield assessments, correlations between the spatial distribution of soil characteristics and crop yield were observed. The spatial distribution pattern of soil properties explained 65 % of the spatial distribution pattern of corn yield. The spatial distribution pattern of clay content and percentage of soil base saturation explained most of the spatial distribution pattern of corn yield.

Comparison between artificial neural networks and maximum likelihood classification in digital soil mapping

Soil surveys are the main source of spatial information on soils and have a range of different applications, mainly in agriculture. The continuity of this activity has however been severely compromised, mainly due to a lack of governmental funding. The purpose of this study was to evaluate the feasibility of two different classifiers (artificial neural networks and a maximum likelihood algorithm) in the prediction of soil classes in the northwest of the state of Rio de Janeiro. Terrain attributes such as elevation, slope, aspect, plan curvature and compound topographic index (CTI) and indices of clay minerals, iron oxide and Normalized Difference Vegetation Index (NDVI), derived from Landsat 7 ETM+ sensor imagery, were used as discriminating variables. The two classifiers were trained and validated for each soil class using 300 and 150 samples respectively, representing the characteristics of these classes in terms of the discriminating variables. According to the statistical tests, the accuracy of the classifier based on artificial neural networks (ANNs) was greater than of the classic Maximum Likelihood Classifier (MLC). Comparing the results with 126 points of reference showed that the resulting ANN map (73.81 %) was superior to the MLC map (57.94 %). The main errors when using the two classifiers were caused by: a) the geological heterogeneity of the area coupled with problems related to the geological map; b) the depth of lithic contact and/or rock exposure, and c) problems with the environmental correlation model used due to the polygenetic nature of the soils. This study confirms that the use of terrain attributes together with remote sensing data by an ANN approach can be a tool to facilitate soil mapping in Brazil, primarily due to the availability of low-cost remote sensing data and the ease by which terrain attributes can be obtained.

Seeds with high molybdenum concentration improved growth and nitrogen acquisition of rhizobium-inoculated and nitrogen-fertilized common bean plants

Seeds of common bean (Phaseolus vulgaris) with high molybdenum (Mo) concentration can supply Mo plant demands, but to date no studies have concomitantly evaluated the effects of Mo-enriched seeds on plants inoculated with rhizobia or treated with N fertilizer. This work evaluated the effects of seed Mo on growth and N acquisition of bean plants fertilized either by symbiotic N or mineral N, by measuring the activities of nitrogenase and nitrate reductase and the contribution of biological N2 fixation at different growth stages. Seeds enriched or not with Mo were sown with two N sources (inoculated with rhizobia or fertilized with N), in pots with 10 kg of soil. In experiment 1, an additional treatment consisted of Mo-enriched seeds with Mo applied to the soil. In experiment 2, the contribution of N2 fixation was estimated by 15N isotope dilution. Common bean plants grown from seeds with high Mo concentration flowered one day earlier. Seeds with high Mo concentration increased the leaf area, shoot mass and N accumulation, with both N sources. The absence of effects of Mo application to the soil indicated that Mo contents of Mo-enriched seeds were sufficient for plant growth. Seeds enriched with Mo increased nitrogenase activity at the vegetative stage of inoculated plants, and nitrate reductase activity at late growth stages with both N sources. The contribution of N2 fixation was 17 and 61 % in plants originating from low- or high-Mo seeds, respectively. The results demonstrate the benefits of sowing Mo-enriched seeds on growth and N nutrition of bean plants inoculated with rhizobia or fertilized with mineral N fertilizer.

Evaluation of statistical and geostatistical models of digital soil properties mapping in tropical mountain regions

Soil properties have an enormous impact on economic and environmental aspects of agricultural production. Quantitative relationships between soil properties and the factors that influence their variability are the basis of digital soil mapping. The predictive models of soil properties evaluated in this work are statistical (multiple linear regression-MLR) and geostatistical (ordinary kriging and co-kriging). The study was conducted in the municipality of Bom Jardim, RJ, using a soil database with 208 sampling points. Predictive models were evaluated for sand, silt and clay fractions, pH in water and organic carbon at six depths according to the specifications of the consortium of digital soil mapping at the global level (GlobalSoilMap). Continuous covariates and categorical predictors were used and their contributions to the model assessed. Only the environmental covariates elevation, aspect, stream power index (SPI), soil wetness index (SWI), normalized difference vegetation index (NDVI), and b3/b2 band ratio were significantly correlated with soil properties. The predictive models had a mean coefficient of determination of 0.21. Best results were obtained with the geostatistical predictive models, where the highest coefficient of determination 0.43 was associated with sand properties between 60 to 100 cm deep. The use of a sparse data set of soil properties for digital mapping can explain only part of the spatial variation of these properties. The results may be related to the sampling density and the quantity and quality of the environmental covariates and predictive models used.

SPATIAL VARIABILITY AND VITALITY OF EPIGEOUS TERMITE MOUNDS IN PASTURES OF MATO GROSSO DO SUL, BRAZIL

Epigeous termite mounds are frequently observed in pasture areas, but the processes regulating their population dynamics are poorly known. This study evaluated epigeous termite mounds in cultivated grasslands used as pastures, assessing their spatial distribution by means of geostatistics and evaluating their vitality. The study was conducted in the Cerrado biome in the municipality of Rio Brilhante, Mato Grosso do Sul, Brazil. In two pasture areas (Pasture 1 and Pasture 2), epigeous mounds (nests) were georeferenced and analyzed for height, circumference and vitality (inhabited or not). The area occupied by the mounds was calculated and termite specimens were collected for taxonomic identification. The spatial distribution pattern of the mounds was analyzed with geostatistical procedures. In both pasture areas, all epigeous mounds were built by the same species, Cornitermes cumulans. The mean number of mounds per hectare was 68 in Pasture 1 and 127 in Pasture 2, representing 0.4 and 1 % of the entire area, respectively. A large majority of the mounds were active (vitality), 91 % in Pasture 1 and 84 % in Pasture 2. A “pure nugget effect” was observed in the semivariograms of height and nest circumference in both pastures reflecting randomized spatial distribution and confirming that the distribution of termite mounds in pastures had a non-standard distribution.

Carotid-subclavian arteries Index (CSI), a new echocardiographic index to recognize coarctation of the aorta in neonates and infants

Introduction: Coarctation of the aorta is a common congenital heart malformation. Mode of diagnosis changed from clinically to almost exclusively by echocardiogram and MRI. We claim to find a new echocardiographic index, based on simple and reliable morphologic measurements, to facilitate the diagnosis of aortic coarctation in the newborn.We reproduce the same procedure for older child to validate this new index. Material and Methods: We reviewed echocardiographic studies of 47 neonates with diagnosis of coarctation who underwent cardiac surgery between January 1997 and February 2003 and compared them with a matched control group. We measured 12 different sites of the aorta, aortic arch and the great vessels on the echocardiographic bands. In a second time we reviewed 23 infants for the same measurements and compare them with a matched control group. Results: 47 neonates with coarctation were analysed, age 11.8 _ 10 days,weight 3.0 _ 0.6 kg, body surface 0.20 _ 0.02m2. The control group was of 16 newborns aged 15.8 _ 10 days,weight 3.2 _ 0.9 kg and body surface 0.20 _ 0.04m2. A significant difference was noted in many morphologic measurement between the both groups, the most significant being the distance between the left carotid artery and the left subclavian artery (coarctation vs control: 7.3 _ 3mm vs 2.4 _ 0.8mm, p _ 0.0001). We then defined a new index, the carotid-subclavian arteries index (CSI) as the diameter of the distal tranverse aortic arch divided to the distance left carotid artery to left subclavian artery being also significaly different (coarctation vs control: 0.76 _ 0.86 vs 2.95 _ 1.24, p _ 0.0001). With the cutoff value of this index of 1.5 the sensitivity for aortic coarctation was 98% and the specificity of 92%. In an older group of infant with coarctation (16 patients) we apply the same principle and find for a cut-off value of 1.5 a sensitivity of 95% and a specificity of 100%. Conclusions: The CSI allows to evaluate newborns and infants for aortic coarctation with simple morphologic measurement that are not depending of the left ventricular function, presence of a patent ductus arteriosus or not. Further aggressive evaluation of these patient with a CSI _ 1.5 is indicated.