On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.

Efficacy of brief motivational intervention at army conscription to address alcohol use and related problems: a randomized controlled trial

Objectives: The aim of this study was to evaluate the efficacy of brief motivational intervention (BMI) in reducing alcohol use and related problems among binge drinkers randomly selected from a census of 20 year-old French speaking Swiss men and to test the hypothesis that BMI contributes to maintain low-risk drinking among non-bingers. Methods: Randomized controlled trial comparing the impact of BMI on weekly alcohol use, frequency of binge drinking and occurrence of alcohol-related problems. Setting: Army recruitment center. Participants: A random sample of 622 men were asked to participate, 178 either refused, or missed appointment, or had to follow military assessment procedures instead, resulting in 418 men randomized into BMI or control conditions, 88.7% completing the 6-month follow-up assessment. Intervention: A single face-to-face BMI session exploring alcohol use and related problems in order to stimulate behaviour change perspective in a non-judgmental, empathic manner based on the principles of motivational interviewing (MI). Main outcome measures: Weekly alcohol use, binge drinking frequency and the occurrence of 12 alcohol-related consequences. Results: Among binge drinkers, we observed a 20% change in drinking induced by BMI, with a reduction in weekly drinking of 1.5 drink in the BMI group, compared to an increase of 0.8 drink per week in the control group (incidence rate ratio 0.8, 95% confidence interval 0,66 to 0,98, p = 0.03). BMI did not influence the frequency of binge drinking and the occurrence of 12 possible alcohol-related consequences. However, BMI induced a reduction in the alcohol use of participants who, after drinking over the past 12 months, experienced alcohol-related consequences, i.e., hangover (-20%), missed a class (-53%), got behind at school (-54%), argued with friends (-38%), engaged in unplanned sex (-45%) or did not use protection when having sex (-64%). BMI did not reduce weekly drinking in those who experienced the six other problems screened. Among non-bingers, BMI did not contribute to maintain low-risk drinking. Conclusions: At army conscription, BMI reduced alcohol use in binge drinkers, particularly in those who recently experienced alcohol-related adverse consequences. No preventive effect of BMI was observed among non-bingers. BMI is an interesting preventive option in young binge drinkers, particularly in countries with mandatory army recruitment.

Addendum to Annual Report of the Iowa Department of Revenue FY2007

Addendum to Annual Report of the Iowa Department of Revenue FY2007. Comparison to prior years. Local option tax distributions.

Multiple prisoner's dilemma games with (out) an outside option: An experimental study

Experiments in which subjects play simultaneously several finite prisoner's dilemma supergames with and without an outside optionreveal that: (i) subjects use probabilistic start and endeffect behaviour, (ii) the freedom to choose whether to play the prisoner's dilemma game enhances cooperation, (iii) if the payoff for simultaneous defection is negative, subjects' tendency to avoid losses leads them to cooperate; while this tendency makes them stick to mutual defection if its payoff is positive.

L'apport de CoLaus en santé publique. [What CoLaus has brought to Public health].

Afin de mener à bien leur tâche, les acteurs de santé publique se doivent de disposer d'informations fiables et récentes concernant l'état de santé de la population. Grâce à l'étude CoLaus, il a été possible d'actualiser nos connaissances sur la prévalence et la prise en charge des principaux facteurs de risque cardiovasculaire au niveau de la population lausannoise. Les résultats montrent que la prise en charge des facteurs de risque cardiovasculaire peut être améliorée, et certaines strates de la population pourraient bénéficier d'actions de prévention ciblées. L'étude CoLaus a aussi permis de simuler l'effet de plusieurs politiques de prévention, ce qui permettra de sélectionner celles ayant le meilleur rapport coût/efficacité, une option importante dans l'état actuel de contention des dépenses de santé.[Abstract] In order to fulfil their duties, Public health authorities have to rely on valid and recent data on the health status of populations. The CoLaus study helped to update our knowledge regarding the prevalence and management of the main cardiovascular risk factors in the Lausanne population. The results indicate that cardiovascular risk factor management is suboptimal and can still be improved, namely that specific population subgroups could benefit from targeted prevention measures. The CoLaus study also allowed to simulate the effect of different preventive strategies, thus enabling to choose the most (cost)effective ones, an important issue taking into account the current health budget restrictions.

Efficacy of daptomycin in implant-associated infection due to methicillin-resistant Staphylococcus aureus: importance of combination with rifampin.

Limited treatment options are available for implant-associated infections caused by methicillin (meticillin)-resistant Staphylococcus aureus (MRSA). We compared the activity of daptomycin (alone and with rifampin [rifampicin]) with the activities of other antimicrobial regimens against MRSA ATCC 43300 in the guinea pig foreign-body infection model. The daptomycin MIC and the minimum bactericidal concentration in logarithmic phase and stationary growth phase of MRSA were 0.625, 0.625, and 20 microg/ml, respectively. In time-kill studies, daptomycin showed rapid and concentration-dependent killing of MRSA in stationary growth phase. At concentrations above 20 microg/ml, daptomycin reduced the counts by >3 log(10) CFU/ml in 2 to 4 h. In sterile cage fluid, daptomycin peak concentrations of 23.1, 46.3, and 53.7 microg/ml were reached 4 to 6 h after the administration of single intraperitoneal doses of 20, 30, and 40 mg/kg of body weight, respectively. In treatment studies, daptomycin alone reduced the planktonic MRSA counts by 0.3 log(10) CFU/ml, whereas in combination with rifampin, a reduction in the counts of >6 log(10) CFU/ml was observed. Vancomycin and daptomycin (at both doses) were unable to cure any cage-associated infection when they were given as monotherapy, whereas rifampin alone cured the infections in 33% of the cages. In combination with rifampin, daptomycin showed cure rates of 25% (at 20 mg/kg) and 67% (at 30 mg/kg), vancomycin showed a cure rate of 8%, linezolid showed a cure rate of 0%, and levofloxacin showed a cure rate of 58%. In addition, daptomycin at a high dose (30 mg/kg) completely prevented the emergence of rifampin resistance in planktonic and adherent MRSA cells. Daptomycin at a high dose, corresponding to 6 mg/kg in humans, in combination with rifampin showed the highest activity against planktonic and adherent MRSA. Daptomycin plus rifampin is a promising treatment option for implant-associated MRSA infections.

5-Azacytidine to Treat Acute Myeloid Leukemia In Elderly or Frail Patients: A Phase II Study (SAKK 30/07).

Background: Acute Myeloid Leukemia (AML) in the elderly is notoriously difficult to treat and has a low remission rate with very few long term survivors when using standard treatment approaches. Azacytidine, a hypomethylating agent, has been shown to induce remission and prolong survival in patients with myelodysplastic syndromes; studying this approach to patients with AML is therefore warranted. We present results of an ongoing phase II trial treating elderly or frail AML patients with Azacytidine. Methods: AML elderly or frail patients, and therefore unfit for an intensive chemotherapy regimens, with a WHO performance status 3 were considered for this trial. Trial therapy consisted of 100mg/m2 of Azacytidine injected subcutaneously on 5 consecutive days every 28 days up to 6 cycles, stopping at 6 months if no hematological improvement achieved, or earlier in the case of progression or complications. Treatment was continued beyond 6 months in responding patients. Trial therapy was considered uninteresting if the response rate (CR + PR) within 6 months of therapy initiation was 15% or less and promising if 34% or more. Using the exact single-stage phase II design by A'Hern with a 5% significance level and 90% power, 43 patients were required: If 10 or fewer achieved a response within 6 months the trial therapy should not be considered for further investigation in its current format for this indication and patient population. Results: Between September 2008 and January 2010, 45 evaluable patients across 10 Swiss centers were accrued with a median follow-up of 7 months (range: 0 - 13). 27 (60%) were male, median age was 74 (range: 55 - 86) years and 35 (78.8%) had performance status 0-1. Patients had been excluded from more intensive chemotherapy regimens because of age (n = 37) or due to comorbidities or patient refusal (n=8). Five patients had therapy related AML. Patients received a median of 3 (range: 1 - 10) cycles. Treatment was stopped for not achieving a response by the 6th cycle in 2 patients and earlier in 26 patients (for disease progression in 5, toxicity in 3, patient refusal in 2, recurrent infections in 1, and death in 8). Seventeen patients remain on therapy. The median time spent in the hospital was 12 days (1 - 30) in 24/38 patients hospitalized during the first treatment cycle and 13 days (2 - 28) in 15/31 patients hospitalized during subsequent cycles. Adverse events of grade III or higher most frequently reported were constitutional or hematologic, i.e. fatigue in 5, febrile neutropenia in 8, infections in 6, dyspnea in 6, anemia in 3, neutropenia in 12 and thrombocytopenia in 10, hemorrhage in 2 and retinal detachment in 5. Based on available data on 38 patients, CR/CRi or hematologic improvement or stable disease within 6 months of trial registration was observed in a proportion of patients. Final and mature data, determining whether the predefined proportion of responding patients has been reached or not, will be presented at the conference. Up to now there were a total of 26 deaths. Median overall survival time was 5.7 months (95% CI: 3.1, 8.7). Conclusions: The current results of this slightly modified Azacytidine schedule demonstrate a feasible new therapy option for elderly or frail AML patients in an outpatient setting with moderate, mainly hematologic toxicity.

Alternatives to Guardianship and Conservatorship for Adults in Iowa, Revised 2006

Independence, respect, and equality are values important to all people. These values help define the concepts of autonomy (independence and freedom) and self-determination (the right to make decisions for one’s self). Because these rights are so valued in our society and are something that most of us would value for ourselves, the “least restrictive alternative” should always be considered before taking away a person’s civil and legal rights to make decisions for him or herself. The least restrictive alternative is an option, which allows a person to keep as much autonomy, and self-determination as possible while providing only the level of protection and supervision that is necessary. Some examples may include: representative payee for certain government benefit checks, joint bank accounts or advance directives for health care.

Study Regarding Implementation of a Uniform Statewide System to Allow for Electronic Transactions for the Registration and Titling of Motor Vehicles

LEGISLATIVE STUDY – The 83rd General Assembly of the Iowa Legislature, in Senate File 2273, directed the Iowa Department of Transportation (DOT) to conduct a study of how to implement a uniform statewide system to allow for electronic transactions for the registration and titling of motor vehicles. PARTICIPANTS IN STUDY – As directed by Senate File 2273, the DOT formed a working group to conduct the study that included representatives from the Consumer Protection Division of the Office of the Attorney General, the Department of Public Safety, the Department of Revenue, the Iowa State County Treasurer’s Association, the Iowa Automobile Dealers Association, and the Iowa Independent Automobile Dealers Association. CONDUCT OF THE STUDY – The working group met eight times between June 17, 2010, and October 1, 2010. The group discussed the costs and benefits of electronic titling from the perspectives of new and used motor vehicle dealers, county treasurers, the DOT, lending institutions, consumers and consumer protection, and law enforcement. Security concerns, legislative implications, and implementation timelines were also considered. In the course of the meetings the group: 1. Reviewed the specific goals of S.F. 2273, and viewed a demonstration of Iowa’s current vehicle registration and titling system so participants that were not users of the system could gain an understanding of its current functionality and capabilities. 2. Reviewed the results of a survey of county treasurers conducted by the DOT to determine the extent to which county treasurers had processing backlogs and the extent to which county treasurers limited the number of dealer registration and titling transactions that they would process in a single day and while the dealer waited. Only eight reported placing a limit on the number of dealer transactions that would be processed while the dealer waited (with the number ranging from one to four), and only 11 reported a backlog in processing registration and titling transactions as of June 11, 2010, with most backlogs being reported in the range of one to three days. 3. Conducted conference calls with representatives of the American Association of Motor Vehicle Administrators (AAMVA) and representatives of three states -- Kansas, which has an electronic lien and titling (ELT) program, and Wisconsin and Florida, each of which have both an ELT program and an electronic registration and titling (ERT) program – to assess current and best practices for electronic transactions. In addition, the DOT (through AAMVA) submitted a survey to all U.S. jurisdictions to determine how, if at all, other states implemented electronic transactions for the registration and titling of motor vehicles. Twenty-eight states responded to the survey; of the 28 states that responded, only 13 allowed liens to be added or released electronically, and only five indicated allowing applications for registration and titling to be submitted electronically. DOT staff also heard a presentation from South Dakota on its ERT system at an AAMVA regional meeting. ELT information that emerged suggests a multi-vendor approach, in which vendors that meet state specifications for participation are authorized to interface with the state’s system to serve as a portal between lenders and the state system, will facilitate electronic lien releases and additions by offering lenders more choices and the opportunity to use the same vendor in multiple states. The ERT information that emerged indicates a multi-interface approach that offers an interface with existing dealer management software (DMS) systems and through a separate internet site will facilitate ERT by offering access that meets a variety of business needs and models. In both instances, information that emerged indicates that, in the long-term, adoption rates are positively affected by making participation above a certain minimum threshold mandatory. 4. To assess and compare functions or services that might be offered by or through a vendor, the group heard presentations from vendors that offer products or services that facilitate some aspect of ELT or ERT. 5. To assess the concerns, needs and interest of Iowa motor vehicle dealers, the group surveyed dealers to assess registration and titling difficulties experienced by dealers, the types of DMS systems (if any) used by dealers, and the dealers’ interest and preference in using an electronic interface to submit applications for registration and titling. Overall, 40% of the dealers that responded indicated interest and 57% indicated no interest, but interest was pronounced among new car dealers (75% were interested) and dealers with a high number of monthly transactions (85% of dealers averaging more than 50 sales per month were interested). The majority of dealers responding to the dealer survey ranked delays in processing and problems with daily limits on transaction as ―minor difficulty or ―no difficulty. RECOMMENDATIONS -- At the conclusion of the meetings, the working group discussed possible approaches for implementation of electronic transactions in Iowa and reached a consensus that a phased implementation of electronic titling that addressed first electronic lien and title transactions (ELT) and electronic fund transfers (EFT), and then electronic applications for registration and titling (ERT) is recommended. The recommendation of a phased implementation is based upon recognition that aspects of ELT and EFT are foundational to ERT, and that ELT and EFT solutions are more readily and easily attained than the ERT solution, which will take longer and be somewhat more difficult to develop and will require federal approval of an electronic odometer statement to fully implement. ELT – A multi-vendor approach is proposed for ELT. No direct costs to the state, counties, consumers, or dealers are anticipated under this approach. The vendor charges participating lenders user or transaction fees for the service, and it appears the lenders typically absorb those costs due to the savings offered by ELT. Existing staff can complete the programming necessary to interface the state system with vendors’ systems. The estimated time to implement ELT is six to nine months. Mandatory participation is not recommended initially, but should be considered after ELT has been implemented and a suitable number of vendors have enrolled to provide a fair assessment of participation rates and opportunities. EFT – A previous attempt to implement ELT and EFT was terminated due to concern that it would negatively impact county revenues by reducing interest income earned on state funds collected by the county and held until the monthly transfer to the state. To avoid that problem in this implementation, the EFT solution should remain revenue neutral to the counties, by allowing fees submitted by EFT to be immediately directed to the proper county account. Because ARTS was designed and has the capacity to accommodate EFT, a vendor is not needed to implement EFT. The estimated time to implement EFT is six to nine months. It is expected that EFT development will overlap ELT development. ERT – ERT itself must be developed in phases. It will not be possible to quickly implement a fully functioning, paperless ERT system, because federal law requires that transfer of title be accompanied by a written odometer statement unless approval for an alternate electronic statement is granted by the National Highway Traffic Safety Administration (NHTSA). It is expected that it will take as much as a year or more to obtain NHTSA approval, and that NHTSA approval will require design of a system that requires the seller to electronically confirm the seller’s identity, make the required disclosure to the buyer, and then transfer the disclosure to the buyer, who must also electronically confirm the buyer’s identity and electronically review and accept the disclosure to complete and submit the transaction. Given the time that it will take to develop and gain approval for this solution, initial ERT implementation will focus on completing and submitting applications and issuing registration applied for cards electronically, with the understanding that this process will still require submission of paper documents until an electronic odometer solution is developed. Because continued submission of paper documents undermines the efficiencies sought, ―full‖ ERT – that is, all documents necessary for registration and titling should be capable of approval and/or acceptance by all parties, and should be capable of submission without transmittal or delivery of duplicate paper documents .– should remain the ultimate goal. ERT is not recommended as a means to eliminate review and approval of registration and titling transactions by the county treasurers, or to place registration and titling approval in the hands of the dealers, as county treasurers perform an important role in deterring fraud and promoting accuracy by determining the genuineness and regularity of each application. Authorizing dealers to act as registration agents that approve registration and title applications, issue registration receipts, and maintain and deliver permanent metal license plates is not recommended. Although distribution of permanent plates by dealers is not recommended, it is recommended that dealers participating in ERT generate and print registration applied for cards electronically. Unlike the manually-issued cards currently in use, cards issued in this fashion may be queried by law enforcement and are less susceptible to misuse by customers and dealers. The estimated time to implement the electronic application and registration applied for cards is 12 to 18 months, to begin after ELT and EFT have been implemented. It is recommended that focus during this time be on facilitating transfers through motor vehicle dealers, with initial deployment focused on higher-volume dealers that use DMS systems. In the long term an internet option for access to ERT must also be developed and maintained to allow participation for lower-volume dealers that do not use a DMS system. This option will also lay the ground work for an ERT option for sales between private individuals. Mandatory participation in Iowa is not recommended initially. As with ELT, it is recommended that mandatory participation be considered after at least an initial phase of ERT has been implemented and a suitable number of dealers have enrolled to provide a fair assessment of participation rates and opportunities. The use of vendors to facilitate ERT is not initially proposed because 1) DOT IT support staff is capable of developing a system that will interact with DMS systems and will still have to develop a dealer and public interface regardless of whether a vendor acts as intermediary between the DMS systems, and 2) there is concern that the cost of the vendor-based system, which is funded by transaction-based payments from the dealer to the vendor, will be passed to the consumer in the form of additional documentation or conveyance fees. However, the DOT recommends flexibility on this point, as development and pilot of the system may indicate that a multi-vendor approach similar to that recommended for ELT may increase the adoption rate by larger dealers and may ultimately decrease the user management to be exercised by DOT staff. If vendors are used in the process, additional legislation or administrative rules may be needed to control the fees that may be passed to the consumer. No direct cost to the DOT or county treasurers is expected, as the DOT expects that it may complete necessary programming with existing staff. Use of vendors to facilitate ERT transactions by dealers using DMS systems would result in transaction fees that may ultimately be passed to consumers. LEGISLATION – As a result of the changes implemented in 2004 under Senate File 2070, the only changes to Iowa statutes proposed are to section 321.69 of the Iowa Code, ―Damage disclosure statement,and section 321.71, ―Odometer requirements.‖ In each instance, authority to execute these statements by electronic means would be clarified by authorizing language similar to that used in section 321.20, subsections ―2‖ and ―3,‖ which allows for electronic applications and directs the department to ―adopt rules on the method for providing signatures for applications made by electronic means.‖ In these sections, the authorizing language might read as follows: Notwithstanding contrary provisions of this section, the department may develop and implement a program to allow for any statement required by this section to be made electronically. The department shall adopt rules on the method for providing signatures for statements made by electronic means. Some changes to DOT administrative rules will be useful but only to enable changes to work processes that would be desirable in the long term. Examples of long term work processes that would be enabled by rule changes include allowing for signatures created through electronic means and electronic odometer certifications. The DOT rules, as currently written, do not hinder the ability to proceed with ELT, EFT, and ERT.

Radioimmunotherapy confers long-term survival to lymphoma patients with acceptable toxicity: registry analysis by the international radioimmunotherapy network.

The Radioimmunotherapy Network (RIT-N) is a Web-based, international registry collecting long-term observational data about radioimmunotherapy-treated patients with malignant lymphoma outside randomized clinical studies. The RIT-N collects unbiased data on treatment indications, disease stages, patients' conditions, lymphoma subtypes, and hematologic side effects of radioimmunotherapy treatment. Methods: RIT-N is located at the University of Gottingen, Germany, and collected data from 14 countries. Data were entered by investigators into a Web-based central database managed by an independent clinical research organization. Results: Patients (1,075) were enrolled from December 2006 until November 2009, and 467 patients with an observation time of at least 12 mo were included in the following analysis. Diagnoses were as follows: 58% follicular lymphoma and 42% other B-cell lymphomas. The mean overall survival was 28 mo for follicular lymphoma and 26 mo for other lymphoma subtypes. Hematotoxicity was mild for hemoglobin (World Health Organization grade II), with a median nadir of 10 g/dL, but severe (World Health Organization grade III) for platelets and leukocytes, with a median nadir of 7,000/mu L and 2.2/mu L, respectively. Conclusion: Clinical usage of radioimmunotherapy differs from the labeled indications and can be assessed by this registry, enabling analyses of outcome and toxicity data beyond clinical trials. This analysis proves that radioimmunotherapy in follicular lymphoma and other lymphoma subtypes is a safe and efficient treatment option.

Evaluation of PCC Long-Term Durability Using Intermediate Sized Gravels to Optimize Mix Gradations, April 2010

With the implementation of the 2000 Q-MC specification, an incentive is provided to produce an optimized gradation to improve placement characteristics. Also, specifications for slip-formed barrier rail have changed to require an optimized gradation. Generally, these optimized gradations have been achieved by blending an intermediate aggregate with the coarse and fine aggregate. The demand for this intermediate aggregate has been satisfied by using crushed limestone chips developed from the crushing of the parent concrete stone. The availability, cost, and physical limitations of crushed limestone chips can be a concern. A viable option in addressing these concerns is the use of gravel as the intermediate aggregate. Unfortunately, gravels of Class 3I durability are limited to a small geographic area in Mississippi river sands north of the Rock River. Class 3 or Class 2 durability gravels are more widely available across the state. The durability classification of gravels is based on the amount and quality of the carbonate fraction of the material. At present, no service histories or research exists to assess the impact of using Class 3 or 2 durability gravels would have on the long-term durability of Portland cement concrete (PCC) pavement requiring Class 3I aggregate.

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Ammonia losses estimated by an open collector from urea applied to sugarcane straw

The quantification of ammonia (NH3) losses from sugarcane straw fertilized with urea can be performed with collectors that recover the NH3 in acid-treated absorbers. Thus, the use of an open NH3 collector with a polytetrafluoroethylene (PTFE)-wrapped absorber is an interesting option since its cost is low, handling easy and microclimatic conditions irrelevant. The aim of this study was to evaluate the efficiency of an open collector for quantifying NH3-N volatilized from urea applied over the sugarcane straw. The experiment was carried out in a sugarcane field located near Piracicaba, São Paulo, Brazil. The NH3-N losses were estimated using a semi-open static collector calibrated with 15N (reference method) and an open collector with an absorber wrapped in PTFE film. Urea was applied to the soil surface in treatments corresponding to rates of 50, 100, 150 and 200 kg ha-1 N. Applying urea-N fertilizer on sugarcane straw resulted in losses NH3-N up to 24 % of the applied rate. The amount of volatile NH3-N measured in the open and the semi-open static collector did not differ. The effectiveness of the collection system varied non-linearly, with an average value of 58.4 % for the range of 100 to 200 kg ha-1 of urea-N. The open collector showed significant potential for use; however, further research is needed to verify the suitability of the proposed method.

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call