Age-specific fitness components and their temporal variation in the barn owl.

Theory predicts that temporal variability plays an important role in the evolution of life histories, but empirical studies evaluating this prediction are rare. In constant environments, fitness can be measured by the population growth rate lambda, and the sensitivity of lambda to changes in fitness components estimates selection on these traits. In variable environments, fitness is measured by the stochastic growth rate lambda(S), and stochastic sensitivities estimate selection pressure. Here we examine age-specific schedules for reproduction and survival in a barn owl population (Tyto alba). We estimated how temporal variability affected fitness and selection, accounting for sampling variance. Despite large sample sizes of old individuals, we found no strong evidence for senescence. The most variable fitness components were associated with reproduction. Survival was less variable. Stochastic simulations showed that the observed variation decreased fitness by about 30%, but the sensitivities of lambda and lambda(S) to changes in all fitness components were almost equal, suggesting that temporal variation had negligible effects on selection. We obtained these results despite high observed variability in the fitness components and relatively short generation time of the study organism, a situation in which temporal variability should be particularly important for natural selection and early senescence is expected.

EBV+ cutaneous B-cell lymphoproliferation of the leg in an elderly patient with mycosis fungoides and methotrexate treatment.

A 77-year-old man with a 5-year history of mycosis fungoides (MF) who had received several lines of therapy, including intravenous courses of Methotrexate (MTX) for the past 2 years, went on to develop several ulcerated cutaneous nodules on the left leg. Biopsy revealed diffuse sheets of EBV-positive large B cells (CD20+ CD30 ± IgM Lambda), with an angiocentric distribution and a monoclonal IGH gene rearrangement. Although the pathological features were diagnostic for an EBV-positive diffuse large B-cell lymphoma (DLBCL), several possibilities could be considered for assignment to a specific entity: EBV-positive DLBCL of the elderly, methotrexate-induced lymphoproliferative disorder (LPD), lymphomatoid granulomatosis, or the more recently described EBV-positive mucocutaneous ulcer. The development of EBV+ lymphoproliferations has been reported in two other patients with MF under MTX, and occurred as skin lesions of the leg in one of these and in the current case, which may question the relatedness to primary cutaneous DLCBL, leg-type.

An anti-CD19 antibody coupled to a tetanus toxin peptide induces efficient Fas ligand (FasL)-mediated cytotoxicity of a transformed human B cell line by specific CD4+ T cells.

Treatment of B cell lymphoma patients with MoAbs specific for the common B cell marker (CD20) has shown a good overall response rate, but the number of complete remissions is still very low. The use of MoAbs coupled to radioisotopes can improve the results, but induces undesirable myelodepression. As an alternative, we proposed to combine the specificity of MoAbs with the immunogenicity of T cell epitopes. We have previously shown that an anti-Ig lambda MoAb coupled to an MHC class II-restricted universal T cell epitope peptide P2 derived from tetanus toxin induces efficient lysis of a human B cell lymphoma by a specific CD4+ T cell line. Here we demonstrate that the antigen presentation properties of the MoAb peptide conjugate are maintained using a MoAb directed against a common B cell marker, CD19, which is known to be co-internalized with the B cell immunoglobulin receptor. In addition, we provide evidence that B cell lysis is mediated by the Fas apoptosis pathway, since Fas (CD95), but not tumour necrosis factor receptor (TNFr) or TNF-related receptors, is expressed by the target B cells, and FasL, but not perforin, is expressed by the effector T cells. These results show that B cell lymphomas can be 'foreignized' by MoAb-peptide P2 conjugates directed against the common B cell marker CD19 and eliminated by peptide P2-specific CD4+ T cells, via the ubiquitous Fas receptor. This approach, which bridges the specificity of passive antibody therapy with an active T cell immune response, may be complementary to and more efficient than the present therapy results with unconjugated chimeric anti-CD20 MoAbs.

The HP-filter in cross-country comparisons

Many empirical studies of business cycles have followed the practise ofapplying the Hodrick-Prescott filter for cross-country comparisons. Thestandard procedure is to set the weight \lambda, which determines the'smoothness' of the trend equal to 1600. We show that if this value isused for against common wisdom about business cycles. As an example, weshow that the long recession occurred inSpain between 1975 and 1985 goesunnotoced by the HP filter. We propose a method for adjusting \lambda byreinterpreting the HP-filter as the solution to a constrained minimizationproblem. We argue that the common practice of fixing \lambda across countriesamounts to chankging the constraints on trend variability across countries.Our proposed method is easy to apply, retains all the virtues of thestandard HP-filter and when applied to Spanish data the results are inthe line with economic historian's view. Applying the method to a numberof OECD countries we find that, with the exception of Spain, Italy andJapan, the standard choice of \lambda=1600 is sensible.

On the closed-form approximation of short-time random strike options

In this paper we propose a general technique to develop first and second order closed-form approximation formulas for short-time options withrandom strikes. Our method is based on Malliavin calculus techniques andallows us to obtain simple closed-form approximation formulas dependingon the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches ontwo-assets and three-assets spread options as Kirk's formula or the decomposition mehod presented in Alòs, Eydeland and Laurence (2011).

Additional utility of insiders with imperfect dynamical information

In this paper we consider an insider with privileged information thatis affected by an independent noise vanishing as the revelation timeapproaches. At this time, information is available to every trader. Ourfinancial markets are based on Wiener space. In probabilistic terms weobtain an infinite dimensional extension of Jacod s theorem to covercases of progressive enlargement of filtrations. The application ofthis result gives the semimartingale decomposition of the originalWiener process under the progressively enlarged filtration. As anapplication we prove that if the rate at which the additional noise inthe insider s information vanishes is slow enough then there is noarbitrage and the additional utility of the insider is finite.

Asymptotic behaviour of the density in a parabolic SPDE

Consider the density of the solution $X(t,x)$ of a stochastic heat equation with small noise at a fixed $t\in [0,T]$, $x \in [0,1]$.In the paper we study the asymptotics of this density as the noise is vanishing. A kind of Taylor expansion in powers of the noiseparameter is obtained. The coefficients and the residue of the expansion are explicitly calculated.In order to obtain this result some type of exponential estimates of tail probabilities of the difference between the approximatingprocess and the limit one is proved. Also a suitable local integration by parts formula is developped.

A generalization of Hull and White formula and applications to option pricing approximation

By means of Malliavin Calculus we see that the classical Hull and White formulafor option pricing can be extended to the case where the noise driving thevolatility process is correlated with the noise driving the stock prices. Thisextension will allow us to construct option pricing approximation formulas.Numerical examples are presented.

Tabela de vida de fertilidade de Lysiphlebus testaceipes (Cresson) (Hymenoptera, Braconidae, Aphidiinae) em Rhopalosiphum maidis (Fitch) e Aphis gossypii Glover (Hemiptera, Aphididae)

Avaliar o potencial de crescimento de Lysiphlebus testaceipes (Cresson) é importante para seu uso em programas de controle biológico de pulgões. Este trabalho teve como objetivo determinar a tabela de vida de fertilidade de L. testaceipes em Rhopalosiphum maidis (Fitch) e Aphis gossypii Glover. Na avaliação da mortalidade de imaturos, do desenvolvimento e da razão sexual foram utilizadas 12 fêmeas do parasitóide e 480 ninfas de cada pulgão testado. Na avaliação da longevidade e da fertilidade foram utilizadas 15 fêmeas do parasitóide e uma colônia por dia de cada pulgão, até a morte da fêmea do parasitóide, sendo 300 (1º dia); 250 (2º dia); 200 (3º dia); 150 (4º dia); 100 (5º dia) e 50 ninfas nos demais dias. L. testaceipes apresentou taxas de mortalidade de imaturos de 5,6% em R. maidis e de 9,2% em A. gossypii, desenvolvimento de 10,2 e 10,1 dias e razão sexual de 0,71 e 0,66, respectivamente. L. testaceipes apresentou fecundidade de 498,2 ovos em R. maidis e de 327,8 ovos em A. gossypii. Os parâmetros de crescimento de L. testaceipes em R. maidis e A. gossypii foram, respectivamente, R O= 205,38 e 164,08 fêmeas; r m= 0,449 e 0,431 fêmeas/fêmeas/dia; lambda = 1,57 e 1,54 fêmeas/dia; T= 11,86 e 11,83 dias e TD= 10,78 e 11,27 dias. L. testaceipes apresenta alto potencial de crescimento em R. maidis e A. gossypii. R. maidis mostrou ser hospedeiro adequado aos propósitos de criação massal e utilização em sistema de criação aberta para L. testaceipes.

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.

Rate of convergence of a particle method to the solution of the Mc Kean-Vlasov's equation

This paper studies the rate of convergence of an appropriatediscretization scheme of the solution of the Mc Kean-Vlasovequation introduced by Bossy and Talay. More specifically,we consider approximations of the distribution and of thedensity of the solution of the stochastic differentialequation associated to the Mc Kean - Vlasov equation. Thescheme adopted here is a mixed one: Euler/weakly interactingparticle system. If $n$ is the number of weakly interactingparticles and $h$ is the uniform step in the timediscretization, we prove that the rate of convergence of thedistribution functions of the approximating sequence in the $L^1(\Omega\times \Bbb R)$ norm and in the sup norm is of theorder of $\frac 1{\sqrt n} + h $, while for the densities is ofthe order $ h +\frac 1 {\sqrt {nh}}$. This result is obtainedby carefully employing techniques of Malliavin Calculus.

Case study of intracerebral plasmacytoma as an initial presentation of multiple myeloma.

Cerebral involvement is an uncommon complication of multiple myeloma. We report on a 64-year-old man hospitalized for a partial seizure. MRI showed two intracerebral lesions, which proved to be plasmacytomas. After complete staging, we retained the diagnosis of immunoglobulin G lambda-type multiple myeloma with CNS involvement. Cytogenetic analysis of plasma cells detected a deletion in the p53 gene at 17p13.1. Despite cranial radiotherapy and systemic chemotherapy, the patient's disease progressed rapidly and he died five months after diagnosis. What makes this case unusual is that overt multiple myeloma had been absent before cerebral involvement was discovered. It confirms the extremely poor prognosis of patients with CNS myeloma even in the presence of aggressive treatment. Cytogenetic abnormalities could be a marker of chromosomal and genetic instability, conferring to multiple myeloma a more aggressive profile.

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

By means of classical Itô's calculus we decompose option prices asthe sum of the classical Black-Scholes formula with volatility parameterequal to the root-mean-square future average volatility plus a term dueby correlation and a term due to the volatility of the volatility. Thisdecomposition allows us to develop first and second-order approximationformulas for option prices and implied volatilities in the Heston volatilityframework, as well as to study their accuracy. Numerical examples aregiven.

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

Optimization of multiclass queueing networks with changeover times via the achievable region approach: Part I, the single-station case

We address the performance optimization problem in a single-stationmulticlass queueing network with changeover times by means of theachievable region approach. This approach seeks to obtainperformance bounds and scheduling policies from the solution of amathematical program over a relaxation of the system's performanceregion. Relaxed formulations (including linear, convex, nonconvexand positive semidefinite constraints) of this region are developedby formulating equilibrium relations satisfied by the system, withthe help of Palm calculus. Our contributions include: (1) newconstraints formulating equilibrium relations on server dynamics;(2) a flow conservation interpretation of the constraintspreviously derived by the potential function method; (3) newpositive semidefinite constraints; (4) new work decomposition lawsfor single-station multiclass queueing networks, which yield newconvex constraints; (5) a unified buffer occupancy method ofperformance analysis obtained from the constraints; (6) heuristicscheduling policies from the solution of the relaxations.