A framework for valuing derivative securities

This paper develops a general framework for valuing a wide range of derivative securities. Rather than focusing on the stochastic process of the underlying security and developing an instantaneously-riskless hedge portfolio, we focus on the terminal distribution of the underlying security. This enables the derivative security to be valued as the weighted sum of a number of component pieces. The component pieces are simply the different payoffs that the security generates in different states of the world, and they are weighted by the probability of the particular state of the world occurring. A full set of derivations is provided. To illustrate its use, the valuation framework is applied to plain-vanilla call and put options, as well as a range of derivatives including caps, floors, collars, supershares, and digital options.

Saprophytic microorganisms with potential for biological control of Botrytis cinerea on Geraldton waxflower flowers

Saprophytic bacteria, yeasts and filamentous fungi were isolated from Geraldton waxflower flowers and screened to identify potential antagonism towards Botrytis cinerea. Isolates from other sources (e.g. avocado) were also tested. Isolates were initially screened in vitro for inhibition of B. cinerea conidial germination, germ tube elongation and mycelial growth. The most antagonistic bacteria, yeasts and fungi were selected for further testing on detached waxflower flowers. Conidia of the pathogen were mixed with conidia or cells of the selected antagonists, co-inoculated onto waxflower flowers, and the flowers were sealed in glass jars and incubated at 20 degreesC. The number of days required for the pathogen to cause flower abscission was determined. The most antagonistic bacterial isolate, Pseudomonas sp. 677, significantly reduced conidial germination and retarded germ tube elongation of B. cinerea. None of the yeast or fungal isolates tested was found to significantly reduce conidial germination or retard germ tube elongation, but several significantly inhibited growth of B. cinerea. Fusarium sp., Epicoccum sp. and Trichoderma spp. were the most antagonistic of these isolates. Of the isolates tested on waxflower, Pseudomonas sp. 677 was highly antagonistic towards B. cinerea and delayed waxflower abscission by about 3 days. Trichoderma harzianum also significantly delayed flower abscission. However, as with most of the fungal antagonists used, inoculation of waxflower flowers with this isolate resulted in unsightly mycelial growth.

Maternal antecedents for cerebral palsy in extremely preterm babies: A case-controlled study

The study aimed to identify significant antenatal risk factors for cerebral palsy (CP) among extremely preterm infants with a matched case-control design. Infants born between 1989 and 1996 at 24 to 27 weeks' gestation who survived to hospital discharge were evaluated: 30 with a proven diagnosis of CP at 2 years corrected for prematurity and 120 control children matched for gestational age without CP. Information on maternal obstetric risk factors and medication was obtained. Matched analyses were performed and odds ratios (OR) and 95% confidence intervals (CI) were calculated. An antenatal diagnosis of intrauterine growth restriction was associated with an increased risk of CP (OR 6.6; 95% CI 1.8 to 25.2), while maternal administration of corticosteroids was associated with a reduced risk of CP (OR 0.4; 95% CI 0.1 to 0.98). A high rate of placental histopathology was achieved but no relation between clinical or histological chorioamnionitis or funisitis and CP was demonstrated. Maternal preeclampsia was not associated with a statistically significant reduction in the risk of CP. It is concluded that a reduced risk of CP in extremely preterm infants is associated with the antenatal use of corticosteroids.

Conductive hearing loss in preterm infants with bronchopulmonary dysplasia

Objective: To determine the risk of conductive hearing loss in preterm infants with bronchopulmonary dysplasia (BPD) and preterm controls. Methodology: The study population consisted of 78 infants with BPD of 26-33 weeks gestation and 78 controls of similar gestational age matched for broad-based birthweight categories. An auditory brainstem response (ABR) audiology was performed shortly before hospital discharge. Visual reinforcement orientation audiometry (VROA) and impedance audiometry were performed at 8-12 months corrected for prematurity. Infants with persistent audiological abnormalities were referred for evaluation to paediatric ENT surgeons. Results: Infants with BPD had a significantly higher rate of ABR abnormalities (BPD: 22%, controls: 9%; P = 0.028). On VROA and impedance audiometry, the infants with BPD also had a higher rate of persistent abnormalities. Following ENT assessment, 22.1% of infants with BPD and 7.7% of controls had persistent conductive dysfunction requiring myringotomy and grommet tube insertion (P = 0.03). Most of these infants had normal ABR audiometry at hospital discharge. Conclusions: Preterm infants with BPD are at high risk of persistent conductive hearing loss late in the first year of life compared to controls. An ABR audiology conducted at the time of hospital discharge does not predict accurately later conductive hearing problems. Infants with BPD should have routine audiological evaluation toward the end of the first year of life.

Childhood neglect and cognitive development in extremely low birth weight infants: A prospective study

Objective. To examine the relationship between child maltreatment and cognitive development in extremely low birth weight infants, adjusting for perinatal and parental risk factors. Methods. A total of 352 infants with birth weight of

Development and reorganization of corticospinal projections in EphA4 deficient mice

The Eph family of receptor tyrosine kinases and their ligands, the ephrins, are important regulators of axon guidance and cell migration in the developing nervous system. Inactivation of the EphA4 gene results in axon guidance defects of the corticospinal tract, a major descending motor pathway that originates in the cortex and terminates at all levels of the spinal cord. In this investigation, we report that although the initial development of the corticospinal projection is normal through the cortex, internal capsule, cerebral peduncle, and medulla in the brain of EphA4 deficient animals, corticospinal axons exhibit gross abnormalities when they enter the gray matter of the spinal cord. Notably, many corticospinal axons fail to remain confined to one side of the spinal cord during development and instead, aberrantly project across the midline, terminating ipsilateral to their cells of origin. Given the possible repulsive interactions between EphA4 and one of its ligands, ephrinB3, this defect could be consistent with a loss of responsiveness by corticospinal axons to ephrinB3 that is expressed at the spinal cord midline. Furthermore, we show that EphA4 deficient animals exhibit ventral displacement of the mature corticospinal termination pattern, suggesting that developing corticospinal axons, which may also express ephrinB3, fail to be repelled from areas of high EphA4 expression in the intermediate zone of the normal spinal cord. Taken together, these results suggest that the dual expression of EphA4 on corticospinal axons and also within the surrounding gray matter is very important for the correct development and termination of the corticospinal projection within the spinal cord. J. Comp. Neurol. 436: 248-262, 2001. (C) 2001 Wiley-Liss, Inc.

A segmentation-based and partial-volume-compensated method for an accurate measurement of lateral ventricular volumes on T-1-weighted magnetic resonance images

Lateral ventricular volumes based on segmented brain MR images can be significantly underestimated if partial volume effects are not considered. This is because a group of voxels in the neighborhood of lateral ventricles is often mis-classified as gray matter voxels due to partial volume effects. This group of voxels is actually a mixture of ventricular cerebro-spinal fluid and the white matter and therefore, a portion of it should be included as part of the lateral ventricular structure. In this note, we describe an automated method for the measurement of lateral ventricular volumes on segmented brain MR images. Image segmentation was carried in combination of intensity correction and thresholding. The method is featured with a procedure for addressing mis-classified voxels in the surrounding of lateral ventricles. A detailed analysis showed that lateral ventricular volumes could be underestimated by 10 to 30% depending upon the size of the lateral ventricular structure, if mis-classified voxels were not included. Validation of the method was done through comparison with the averaged manually traced volumes. Finally, the merit of the method is demonstrated in the evaluation of the rate of lateral ventricular enlargement. (C) 2001 Elsevier Science Inc. All rights reserved.

A molecular phylogeny of rainbow skinks (Scincidae : Carlia): taxonomic and biogeographic implications

The phylogenetic relationships amongst 29 species of Carlia and Lygisaurus were estimated using a 726-base-pair segment of the protein-coding mitochondrial ND4 gene. Results do not support the recent resurrection of the genus Lygisaurus. Although most Lygisaurus species formed a single clade, this clade is nested within Carlia and includes Carlia parrhasius. Due to this new molecular evidence, and the paucity of diagnostic morphological characters separating the genera, Lygisaurus de Vis 1884 is re-synonymised with Carlia Gray 1845. Our analysis is also inconsistent with a previous suggestion that Lygisaurus timlowi should be removed to Menetia, a genus that is distantly related relative to outgroups used here. Intraspecific variation in Carlia is, in several instances, greater than interspecific distance. The most strikingly divergent lineages are found within C. rubrigularis, which appears to be paraphyletic, with southern populations more closely related to C. rhomboidalis than to northern populations of C. rubrigularis. The two C. rubrigularis-C. rhomboidalis lineages form part of a major polytomy at an intermediate level of divergence. Lack of resolution at this level, however, does not appear to be due to saturation or loss of phylogenetic signal. Rather, the polytomy probably reflects a period of relatively rapid diversification that occurred sometime during the Miocene.

High resolution 3-D imaging via multi-pass SAR

Spaceborne/airborne synthetic aperture radar (SAR) systems provide high resolution two-dimensional terrain imagery. The paper proposes a technique for combining multiple SAR images, acquired on flight paths slightly separated in the elevation direction, to generate high resolution three-dimensional imagery. The technique could be viewed as an extension to interferometric SAR (InSAR) in that it generates topographic imagery with an additional dimension of resolution. The 3-D multi-pass SAR imaging system is typically characterised by a relatively short ambiguity length in the elevation direction. To minimise the associated ambiguities we exploit the relative phase information within the set of images to track the terrain landscape. The SAR images are then coherently combined, via a nonuniform DFT, over a narrow (in elevation) volume centred on the 'dominant' terrain ground plane. The paper includes a detailed description of the technique, background theory, including achievable resolution, and the results of an experimental study.

Three-dimensional space-borne synthetic aperture radar (SAR) imaging with multiple pass processing

Three-dimensional (3D) synthetic aperture radar (SAR) imaging via multiple-pass processing is an extension of interferometric SAR imaging. It exploits more than two flight passes to achieve a desired resolution in elevation. In this paper, a novel approach is developed to reconstruct a 3D space-borne SAR image with multiple-pass processing. It involves image registration, phase correction and elevational imaging. An image model matching is developed for multiple image registration, an eigenvector method is proposed for the phase correction and the elevational imaging is conducted using a Fourier transform or a super-resolution method for enhancement of elevational resolution. 3D SAR images are obtained by processing simulated data and real data from the first European Remote Sensing satellite (ERS-1) with the proposed approaches.

Chebyshev real wave packet propagation: H+O-2 (J=0) state-to-state reactive scattering calculations

In this paper we explore the relative performance of two recently developed wave packet methodologies for reactive scattering, namely the real wave packet Chebyshev domain propagation of Gray and Balint-Kurti [J. Chem. Phys. 108, 950 (1998)] and the Lanczos subspace wave packet approach of Smith [J. Chem. Phys. 116, 2354 (2002); Chem. Phys. Lett. 336, 149 (2001)]. In the former method, a modified Schrodinger equation is employed to propagate the real part of the wave packet via the well-known Chebyshev iteration. While the time-dependent wave packet from the modified Schrodinger equation is different from that obtained using the standard Schrodinger equation, time-to-energy Fourier transformation yields wave functions which differ only trivially by normalization. In the Lanczos subspace approach the linear system of equations defining the action of the Green operator may be solved via either time-dependent or time-independent methods, both of which are extremely efficient due to the simple tridiagonal structure of the Hamiltonian in the Lanczos representation. The two different wave packet methods are applied to three dimensional reactive scattering of H+O-2 (total J=0). State-to-state reaction probabilities, product state distributions, as well as initial-state-resolved cumulative reaction probabilities are examined. (C) 2002 American Institute of Physics.