Asymmetric Smiles, Leverage Effects and Structural Parameters.

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture not only the volatility risk and the interest rate risk which potentially affect option prices, but also any kind of correlation risk and jump risk. The standard financial leverage effect is produced by a cross-correlation effect between the state variables which enter into the stochastic volatility process of the stock price and the stock price process itself. However, we provide a more general framework where asymmetric implied volatility curves result from any source of instantaneous correlation between the state variables and either the return on the stock or the stochastic discount factor. In order to draw the shapes of the implied volatility curves generated by a model with latent variables, we specify an equilibrium-based stochastic discount factor with time non-separable preferences. When we calibrate this model to empirically reasonable values of the parameters, we are able to reproduce the various types of implied volatility curves inferred from option market data.

Effet de la source du sélénium sur le statut du sélénium, de la GSH-Px et sur le système immunitaire des bovins de boucherie

Résumé L’objectif de cette étude était de déterminer les effets de la source de sélénium sur les concentrations de Se et de GSH-Px des vaches de boucherie (n =33) et leurs veaux et sur des paramètres immunitaires des veaux. Deux groupes de vaches ont reçu 3 mg/j/animal de Se organique ou inorganique dans le minéral. Le troisième groupe n'a pas été supplémenté en Se et leurs veaux ont été divisés en deux sous-groupes, l’un des deux a reçu une injection de sélénite de sodium (0,087 mg/Kg) à la naissance. Le Se et la GSH-Px ont été respectivement mesurés par HPLC-UV et par cinétique enzymatique. La phagocytose, la flambée respiratoire et le ratio CD4:CD8ont été évalués par des kits commerciaux et les IgG totales ont été mesurés par immunodiffusion radiale. La supplémentation de Se a augmenté significativement le Se sérique et colostral (P<0,02) et la GSH-Px(P≤0,04) pour les vaches et leurs veaux avec un effet significativement plus élevé pour le Se organique. Le Se du lait a augmenté de façon significative uniquement avec la source organique du Se (P≤0,0007). L’injection du Se chez les veaux a permis une augmentation significative mais temporaire (P<0,0001) du Se sérique. La supplémentation en Se n’a pas influencé les paramètres immunitaires mesurés (P>0,01, non significatif après correction de Bonferroni). Nous concluons que la supplémentation en Se améliore le niveau du Se colostral, lacté et sérique ainsi que la GSH-Px pour les vaches et leurs veaux sans effet sur les paramètres immunitaires mesurés des veaux. Mots clés: Sélénium, veaux de boucherie, phagocytose, flambée respiratoire, anticorps, ratio CD4:CD8, GSH-Px.

Ecological and Biochemical Studies On Cyanobacteria of Cochin Estuary and Their Application as Source of Antioxidants

The main objectives of the present investigation were to evaluate the qualitative and quantitative distribution of natural cyanobacterial population and their ecobiological properties along the Cochin estuary and their application in aquaculture systems as a nutritional supplement due to their nutrient-rich biochemical composition and antioxidant potential. This thesis presents a detailed account of the distribution of cyanobacteria in Cochin estuary, an assessment of physico-chemical parameters and the nutrients of the study site, an evaluation of the effect of physico-chemical parameters on cyanobacterial distribution and abundance, isolation, identification and culturing of cyanobacteria, the biochemical composition an productivity of cyanobacteria, and an evaluation of the potential of the selected cyanobacteria as antioxidants against ethanol induced lipid peroxidation. The pH, salinity and nutritional requirements were optimized for low-cost production of the selected cyanobacterial strains. The present study provides an insight into the distribution, abundance, diversity and ecology of cyanobacteria of Cochin estuary. From the results, it is evident that the ecological conditions of Cochin estuary support a rich cyanobacterial growth.

A Study on the Transport and Distribution of Atmospheric Aerosols and its Influence on Regional Meteorological Parameters over the Indian Subcontinent

This doctoral thesis addresses the growing concern about the significant changes in the climatic and weather patterns due to the aerosol loading that have taken place in the Indo Gangetic Plain(IGP)which includes most of the Northern Indian region. The study region comprises of major industrial cities in India (New Delhi, Kanpur, Allahabad, Jamshedpur and Kolkata). Northern and central parts of India are one of the most thickly populated areas in the world and have the most intensely farmed areas. Rapid increase in population and urbanization has resulted in an abrupt increase in aerosol concentrations in recent years. The IGP has a major source of coal; therefore most of the industries including numerous thermal power plants that run on coal are located around this region. They inject copious amount of aerosols into the atmosphere. Moreover, the transport of dust aerosols from arid locations is prevalent during the dry months which increase the aerosol loading in theatmosphere. The topography of the place is also ideal for the congregation of aerosols. It is bounded by the Himalayas in the north, Thar Desert in the west, the Vindhyan range in the south and Brahmaputra ridge in the east. During the non‐monsoon months (October to May) the weather in the location is dry with very little rainfall. Surface winds are weak during most of the time in this dry season. The aerosols that reach the location by means of long distance transport and from regional sources get accumulated under these favourable conditions. The increase in aerosol concentration due to the complex combination of aerosol transport and anthropogenic factors mixed with the contribution from the natural sources alters the optical properties and the life time of clouds in the region. The associated perturbations in radiative balance have a significant impact on the meteorological parameters and this in turn determines the precipitation forming process. Therefore, any change in weather which disturbs the normal hydrological pattern is alarming in the socio‐economic point of view. Hence, the main focus of this work is to determine the variation in transport and distribution of aerosols in the region and to understand the interaction of these aerosols with meteorological parameters and cloud properties.

Source Characterization of Sedimentary Organic Matter in a Tropical Estuary, Southwest Coast of India: A Biomarker Approach

The source, fate and diagentic pathway of sedimentary organic matter in estuaries are difficult to delineate due to the complexity of organic matter sources, intensive physical mixing and biological processes. A combination of bulk organic matter techniques and molecular biomarkers are found to be successful in explaining organic matter dynamics in estuaries. The basic requirement for these multi-proxy approaches are (i) sources have significantly differing characteristics, (ii) there are a sufficient number of tracers to delineate all sources and (iii) organic matter degradation and processing have little, similar or predictable effects on end member characteristics. Although there have been abundant researches that have attempted to tackle difficulties related to the source and fate of organic matter in estuarine systems, our understanding remains limited or rather inconsistent regarding the Indian estuaries. Cochin estuary is the largest among many extensive estuarine systems along the southwest coast of India. It supports as much biological productivity and diversity as tropical rain forests. In this study, we have used a combination of bulk geochemical parameters and different group of molecular biomarkers to define organic matter sources and thereby identifying various biogeochemical processes acting along the salinity gradient of the Cochin estuary

Determination of yield and quality parameters of energy crops applying laboratory and field spectroscopy

A real-time analysis of renewable energy sources, such as arable crops, is of great importance with regard to an optimised process management, since aspects of ecology and biodiversity are considered in crop production in order to provide a sustainable energy supply by biomass. This study was undertaken to explore the potential of spectroscopic measurement procedures for the prediction of potassium (K), chloride (Cl), and phosphate (P), of dry matter (DM) yield, metabolisable energy (ME), ash and crude fibre contents (ash, CF), crude lipid (EE), nitrate free extracts (NfE) as well as of crude protein (CP) and nitrogen (N), respectively in pretreated samples and undisturbed crops. Three experiments were conducted, one in a laboratory using near infrared reflectance spectroscopy (NIRS) and two field spectroscopic experiments. Laboratory NIRS measurements were conducted to evaluate to what extent a prediction of quality parameters is possible examining press cakes characterised by a wide heterogeneity of their parent material. 210 samples were analysed subsequent to a mechanical dehydration using a screw press. Press cakes serve as solid fuel for thermal conversion. Field spectroscopic measurements were carried out with regard to further technical development using different field grown crops. A one year lasting experiment over a binary mixture of grass and red clover examined the impact of different degrees of sky cover on prediction accuracies of distinct plant parameters. Furthermore, an artificial light source was used in order to evaluate to what extent such a light source is able to minimise cloud effects on prediction accuracies. A three years lasting experiment with maize was conducted in order to evaluate the potential of off-nadir measurements inside a canopy to predict different quality parameters in total biomass and DM yield using one sensor for a potential on-the-go application. This approach implements a measurement of the plants in 50 cm segments, since a sensor adjusted sideways is not able to record the entire plant height. Calibration results obtained by nadir top-of-canopy reflectance measurements were compared to calibration results obtained by off-nadir measurements. Results of all experiments approve the applicability of spectroscopic measurements for the prediction of distinct biophysical and biochemical parameters in the laboratory and under field conditions, respectively. The estimation of parameters could be conducted to a great extent with high accuracy. An enhanced basis of calibration for the laboratory study and the first field experiment (grass/clover-mixture) yields in improved robustness of calibration models and allows for an extended application of spectroscopic measurement techniques, even under varying conditions. Furthermore, off-nadir measurements inside a canopy yield in higher prediction accuracies, particularly for crops characterised by distinct height increment as observed for maize.

Utilisation of Giant African snail (Achatina fulica) meal as protein source by laying hens

A 12-week experiment was carried out to investigate the effects of substituting Giant African snail meal for fish meal in laying hens diet. Four diets were formulated to contain snail meal as replacement for fish meal at 0 (control), 33, 67 and 100%. A total of 120 Shaver Brown pullets aged 18 weeks were allocated to the dietary treatments in a randomised design. Each treatment consisted of three replicates and ten birds per replicate. Feed intake increased only for the 33% treatment as compared to the 67% replacement diet but did not differ from the other treatments. There were no significant treatment effects on egg performance parameters observed (egg production, egg weight, total egg mass, feed conversion ratio and percent shell). The overall feed cost of egg production reduced on the snail meal-based diets. The organoleptic evaluation of boiled eggs revealed no difference between the treatments. Based on these results it was concluded that total replacement of fish meal with cooked snail meat meal does not compromise laying performance or egg quality. The substitution is beneficial in terms of production cost reduction and the reduction of snails will have a beneficial impact especially where these snails are a serious agricultural pest. The manual collection and processing of snails can also become a source of rural income.

Inference of distributional parameters from compositional samples containing nondetects

Low concentrations of elements in geochemical analyses have the peculiarity of being compositional data and, for a given level of significance, are likely to be beyond the capabilities of laboratories to distinguish between minute concentrations and complete absence, thus preventing laboratories from reporting extremely low concentrations of the analyte. Instead, what is reported is the detection limit, which is the minimum concentration that conclusively differentiates between presence and absence of the element. A spatially distributed exhaustive sample is employed in this study to generate unbiased sub-samples, which are further censored to observe the effect that different detection limits and sample sizes have on the inference of population distributions starting from geochemical analyses having specimens below detection limit (nondetects). The isometric logratio transformation is used to convert the compositional data in the simplex to samples in real space, thus allowing the practitioner to properly borrow from the large source of statistical techniques valid only in real space. The bootstrap method is used to numerically investigate the reliability of inferring several distributional parameters employing different forms of imputation for the censored data. The case study illustrates that, in general, best results are obtained when imputations are made using the distribution best fitting the readings above detection limit and exposes the problems of other more widely used practices. When the sample is spatially correlated, it is necessary to combine the bootstrap with stochastic simulation

Response of the benthic macroinvertebrate community to a point source in La Tordera stream (Catalonia, NE Spain)

Vam monitoritzar paràmetres físics i químics, macroinvertebrats bentònics, clorofil·la a, productors primaris i matèria orgànica durant un any (2001-2002) per examinar els efectes d'una font puntual sobre la composició taxonòmica, la estructura de la comunitat, l'organització funcional, la utilització de l'habitat i la estoquiometria al riu la Tordera (Catalunya). Aigües avall de la font puntual, concentració de nutrients, cabal i conductivitat eren majors que al tram d'aigües amunt, mentre que oxigen dissolt era menor. La densitat de macroinvertebrats era més elevada al tram d'aigües avall però la biomassa era similar als dos trams. La riquesa taxonòmica al tram de dalt era un 20% més alt que al tram de baix. Els anàlisis d'ordenació separen clarament els dos trams en el primer eix, mentre que els dos trams presentaven una pauta temporal similar en el segon eix. La similaritat entre els dos trams en composició taxonòmica, densitats i biomasses després de les crescudes d'abril i maig de 2002, indiquen que les pertorbacions del cabal poden actuar com a un mecanisme de reinici de la comunitat bentònica i jugar un paper important per a la restauració d'ecosistemes fluvials. Els dos trams presentaven una biomassa de perifiton, plantes vasculars, CPOM i FPOM similars, mentre que clorofil·la a, algues filamentoses, molses i SPOM eren majors al tram d'aigües avall. La densitat relativa de trituradors era menor sota la font puntual mentre que col·lectors i filtradors van ser afavorits. La biomassa relativa de trituradors també era menor sota la font puntual, però la biomassa de col·lectors i depredadors va augmentar. Les relacions entre densitat de grups tròfics i els seus recursos eren rarament significatives. La relació s'explicava millor amb la biomassa de macroinvertebrats. Els dos trams compartien la mateixa relació per raspadors, col·lectors i filtradors però no per trituradors i depredadors. La densitat i la biomassa de macroinvertebrats es trobaven positivament correlacionades amb la quantitat de recursos tròfics i la complexitat d'habitat, mentre que la riquesa taxonòmica es trobava negativament relacionada amb paràmetres hidràulics. La influència dels substrats inorgànics prenia menor rellevància per a la distribució dels macroinvertebrats. Els anàlisis d'ordenació mostren com les variables del microhabitat de major rellevància eren CPOM, clorofil·la a, algues filamentoses i velocitat. La cobertura de sorra només era significativa per al tram d'aigües amunt i les molses, al d'aigües avall. El número de correlacions significatives entre macroinvertebrats i les variables del microhabitat era més elevat per al tram de dalt que per al de baix, bàsicament per diferències en composició taxonòmica. La biomassa de macroinvertebrats va aportar una informació semblant a la obtinguda per la densitat. Perifiton i molses tenien uns continguts de nutrients similars en els dos trams. Els %C i %N d'algues filamentoses també eren similars en els dos trams però el %P sota la font puntual era el doble que al tram de dalt. Les relacions estoquiomètriques en CPOM, FPOM i SPOM eren considerablement menors sota la font puntual. Els continguts elementals i relacions van ser molt variables entre taxons de macroinvertebrats però no van resultar significativament diferents entre els dos trams. Dípters, tricòpters i efemeròpters presentaven una estoquiometria similar, mentre que el C i el N eren inferiors en moluscs i el P en coleòpters. Els depredadors presentaven un contingut en C i N més elevat que la resta de grups tròfics, mentre que el P era major en els filtradors. Els desequilibris elementals entre consumidors i recursos eren menors en el tram d'aigües avall. A la tardor i l'hivern la major font de nutrients va ser la BOM mentre que a la primavera i a l'estiu va ser el perifiton.

Robust dynamics of Amazon dieback to climate change with perturbed ecosystem model parameters

Climate change science is increasingly concerned with methods for managing and integrating sources of uncertainty from emission storylines, climate model projections, and ecosystem model parameterizations. In tropical ecosystems, regional climate projections and modeled ecosystem responses vary greatly, leading to a significant source of uncertainty in global biogeochemical accounting and possible future climate feedbacks. Here, we combine an ensemble of IPCC-AR4 climate change projections for the Amazon Basin (eight general circulation models) with alternative ecosystem parameter sets for the dynamic global vegetation model, LPJmL. We evaluate LPJmL simulations of carbon stocks and fluxes against flux tower and aboveground biomass datasets for individual sites and the entire basin. Variability in LPJmL model sensitivity to future climate change is primarily related to light and water limitations through biochemical and water-balance-related parameters. Temperature-dependent parameters related to plant respiration and photosynthesis appear to be less important than vegetation dynamics (and their parameters) for determining the magnitude of ecosystem response to climate change. Variance partitioning approaches reveal that relationships between uncertainty from ecosystem dynamics and climate projections are dependent on geographic location and the targeted ecosystem process. Parameter uncertainty from the LPJmL model does not affect the trajectory of ecosystem response for a given climate change scenario and the primary source of uncertainty for Amazon 'dieback' results from the uncertainty among climate projections. Our approach for describing uncertainty is applicable for informing and prioritizing policy options related to mitigation and adaptation where long-term investments are required.

A study of the effect of heat source location in a ventilated room using multiple regression analysis

Multiple regression analysis is a statistical technique which allows to predict a dependent variable from m ore than one independent variable and also to determine influential independent variables. Using experimental data, in this study the multiple regression analysis is applied to predict the room mean velocity and determine the most influencing parameters on the velocity. More than 120 experiments for four different heat source locations were carried out in a test chamber with a high level wall mounted air supply terminal at air change rates 3-6 ach. The influence of the environmental parameters such as supply air momentum, room heat load, Archimedes number and local temperature ratio, were examined by two methods: a simple regression analysis incorporated into scatter matrix plots and multiple stepwise regression analysis. It is concluded that, when a heat source is located along the jet centre line, the supply momentum mainly influences the room mean velocity regardless of the plume strength. However, when the heat source is located outside the jet region, the local temperature ratio (the inverse of the local heat removal effectiveness) is a major influencing parameter.

The distribution of solar wind speeds during solar minimum: calibration for numerical solar wind modeling constraints on the source of the slow solar wind

It took the solar polar passage of Ulysses in the early 1990s to establish the global structure of the solar wind speed during solar minimum. However, it remains unclear if the solar wind is composed of two distinct populations of solar wind from different sources (e.g., closed loops which open up to produce the slow solar wind) or if the fast and slow solar wind rely on the superradial expansion of the magnetic field to account for the observed solar wind speed variation. We investigate the solar wind in the inner corona using the Wang-Sheeley-Arge (WSA) coronal model incorporating a new empirical magnetic topology–velocity relationship calibrated for use at 0.1 AU. In this study the empirical solar wind speed relationship was determined by using Helios perihelion observations, along with results from Riley et al. (2003) and Schwadron et al. (2005) as constraints. The new relationship was tested by using it to drive the ENLIL 3-D MHD solar wind model and obtain solar wind parameters at Earth (1.0 AU) and Ulysses (1.4 AU). The improvements in speed, its variability, and the occurrence of high-speed enhancements provide confidence that the new velocity relationship better determines the solar wind speed in the outer corona (0.1 AU). An analysis of this improved velocity field within the WSA model suggests the existence of two distinct mechanisms of the solar wind generation, one for fast and one for slow solar wind, implying that a combination of present theories may be necessary to explain solar wind observations.

Simulation of thermal performance of horizontal slinky-loop heat exchangers for ground source heat pumps

This paper presents results obtained from a numerical simulation for the horizontal slinky-loop heat exchanger of a ground-source heat pump system. A three-dimensional numerical model was developed and the results of the thermal performance of various heat exchanger configurations are presented. The investigation was carried out on five types of loop pitch (loop spacing), three types of loop diameter, three values of soil thermal properties, and allowing continuous and intermittent operation. Comparison was made for the heat transfer rate, the amount of pipe material needed, as well as excavation work required for the horizontal slinky-loop heat exchanger. The results indicate that system parameters have a significant effect on the thermal performance of the system

Theory and generalization of Monte Carlo models of the BOLD signal source

The dependency of the blood oxygenation level dependent (BOLD) signal on underlying hemodynamics is not well understood. Building a forward biophysical model of this relationship is important for the quantitative estimation of the hemodynamic changes and neural activity underlying functional magnetic resonance imaging (fMRI) signals. We have developed a general model of the BOLD signal which can model both intra- and extravascular signals for an arbitrary tissue model across a wide range of imaging parameters. The model of the BOLD signal was instantiated as a look-up-table (LuT), and was verified against concurrent fMRI and optical imaging measurements of activation induced hemodynamics. Magn Reson Med, 2008. © 2008 Wiley-Liss, Inc.

Infrared and millimetre-wave scintillometry in the suburban environment – Part 1: Structure parameters

Scintillometry, a form of ground-based remote sensing, provides the capability to estimate surface heat fluxes over scales of a few hundred metres to kilometres. Measurements are spatial averages, making this technique particularly valuable over areas with moderate heterogeneity such as mixed agricultural or urban environments. In this study, we present the structure parameters of temperature and humidity, which can be related to the sensible and latent heat fluxes through similarity theory, for a suburban area in the UK. The fluxes are provided in the second paper of this two-part series. A millimetre-wave scintillometer was combined with an infrared scintillometer along a 5.5 km path over northern Swindon. The pairing of these two wavelengths offers sensitivity to both temperature and humidity fluctuations, and the correlation between wavelengths is also used to retrieve the path-averaged temperature–humidity correlation. Comparison is made with structure parameters calculated from an eddy covariance station located close to the centre of the scintillometer path. The performance of the measurement techniques under different conditions is discussed. Similar behaviour is seen between the two data sets at sub-daily timescales. For the two summer-to-winter periods presented here, similar evolution is displayed across the seasons. A higher vegetation fraction within the scintillometer source area is consistent with the lower Bowen ratio observed (midday Bowen ratio < 1) compared with more built-up areas around the eddy covariance station. The energy partitioning is further explored in the companion paper.