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.

Nyssomyia intermedia (Lutz & Neiva) and Nyssomyia neivai (Pinto) (Diptera, Psychodidae, Phlebotominae) in a sympatric area: seasonal and nocturnal hourly rhythm in black and white modified Shannon traps

Captures with black and white Shannon traps were undertaken to identify aspects of the behavior of the two cryptic and sympatric species implicated as vectors of cutaneous leishmaniasis, Nyssomyia intermedia (Lutz & Neiva, 1912) and Nyssomyia neivai (Pinto, 1926). The traps were installed side by side, monthly, from July 2001 to June 2002, from 18 to 07 hours, in a peridomicile of Iporanga municipality, state of São Paulo, Brazil. A total of 2,142 specimens were captured, Ny. intermedia (47.4%) and Ny. neivai (50.5%). The white trap was more attractive to both sexes of both species. Males of Ny. neivai predominated (70%) over those of Ny. intermedia on the two traps; on the black trap, the females of Ny. intermedia predominated (63.3%) over those of Ny. neivai (36.7%). Seventy percent of the specimens of both species were captured between 18 and 24 h. Females of Ny. intermedia presented the highest peak at 19-20 h, and those of Ny. neivai at 20-21 h. The highest hourly average for females of Ny. intermedia on the black trap occurred in the winter and that for males in the summer. For Ny. neivai, both sexes predominated in the summer. The two species probably transmit the cutaneous leishmaniasis in the area due to their great predominance.

Audit report on the Black Hawk County Criminal Justice Information System for the year ended June 30, 2008

Audit report on the Black Hawk County Criminal Justice Information System for the year ended June 30, 2008

Infestation and natural parasitism of aphids in single and mixed pastures of black oats and ryegrass

Some species of aphids are major pests on cereal crops and grass pastures. Usually these pests are not adequately controlled in pasture lands that become sources of aphid infestations to cereal crops. The dynamics of aphids and the incidence of natural enemies are less known in pasture systems than in cereal fields. The objective of this work was to assess the aphid infestation and natural aphid parasitism in different pasture composition. Three hypotheses were tested: 1- the aphid species composition in pastures may vary according to the cereal species in the field; 2- the mixture of two plant species can modify the amount and diversity of aphids; 3- the plant species composition of pasture fields influences the parasitism of aphids. Empirical data were obtained from three Poaceae fields: black oats (Avena strigosa L.), ryegrass (Lolium multiflorum L.), and a mixed field of black oats and ryegrass. The most abundant aphid species was Rhopalosiphum padi followed by Sitobion avenae. Plant species composition increases the amount and the parasitism rates of aphids. The mixture of heavily infested black oats with a poorly infested ryegrass resulted in reduction of aphid infestation in comparison with heavily-infested single plant species field. This is possible because the conditions are favorable for the development of parasitoid populations. Aphidius colemani was the main parasitoid found in these areas.

Statistical discrimination of black gel pen inks analysed by laser desorption/ionization mass spectrometry

Pearson correlation coefficients were applied for the objective comparison of 30 black gel pen inks analysed by laser desorption ionization mass spectrometry (LDI-MS). The mass spectra were obtained for ink lines directly on paper using positive and negative ion modes at several laser intensities. This methodology has the advantage of taking into account the reproducibility of the results as well as the variability between spectra of different pens. A differentiation threshold could thus be selected in order to avoid the risk of false differentiation. Combining results from positive and negative mode yielded a discriminating power up to 85%, which was better than the one obtained previously with other optical comparison methodologies. The technique also allowed discriminating between pens from the same brand.

Ongoing Covenant with Black Iowa, 2006

This Manual is designed to help targeted communities organize and train local steering groups and task force leaders. The Ongoing Covenant with Black Iowa (OCBI) model will engage and empower African Americans in various communities to work together in developing strategies that bridge local priorities to statewide goals. Trained Task Force Leaders play a critical role in establishing productive dialogue and planning that is essential to moving the OCBI forward in meeting its goals. They must ensure consistency within each Task Force as the OCBI is a multilevel partnership and collaboration among local communities, the Commission on the Status of African Americans and the Covenant with Black America. Task Force Leaders assist with constructive dialogue among local residents to engage and focus on the issues, and work collectively towards a solution. Patience in developing a strategy and trained Task Force Leaders are essential to the success of the OCBI. It is our hope that this Manual will serve as a guide to assist you in all aspects of building your local strategic plan.

Free-breathing black-blood coronary MR angiography: initial results

The authors developed a free-breathing black-blood coronary magnetic resonance (MR) angiographic technique with a potential for exclusive visualization of the coronary blood pool. Results with the MR angiographic technique were evaluated in eight healthy subjects and four patients with coronary disease identified at conventional angiography. This MR angiographic technique accurately depicted luminal disease in the patients and permitted visualization of extensive continuous segments of the native coronary tree in both the healthy subjects and the patients. Black-blood coronary MR angiography provides an alternative source of contrast enhancement.

Nuclear well logging in soils. Calibration of slim hole nuclear tools gamma-gamma and neutron-thermal neutron.

The calculation of elasticity parameters by sonic and ultra sonic wave propagation in saturated soils using Biot's theory needs the following variables : forpiation density and porosity (p, ø), compressional and shear wave velocities (Vp, Vs), fluid density, viscosity and compressibility (Pfi Ilfi Ki), matrix density and compressibility (p" K), The first four parameters can be determined in situ using logging probes. Because fluid and matrix characteristics are not modified during core extraction, they can be obtained through laboratory measurements. All parameters necessitate precise calibrations in various environments and for specific range of values encountered in soils. The slim diameter of boreholes in shallow geophysics and the high cost of petroleum equipment demand the use of specific probes, which usually only give qualitative results. The measurement 'of density is done with a gamma-gamma probe and the measurement of hydrogen index, in relation to porosity, by a neutron probe. The first step of this work has been carried out in synthetic formations in the laboratory using homogeneous media of known density and porosity. To establish borehole corrections different casings have been used. Finally a comparison between laboratory and in situ data in cored holes of known geometry and casing has been performed.

Inferring transport characteristics in a fractured rock aquifer by combining single-hole ground-penetrating radar reflection monitoring and tracer test data

Investigations of solute transport in fractured rock aquifers often rely on tracer test data acquired at a limited number of observation points. Such data do not, by themselves, allow detailed assessments of the spreading of the injected tracer plume. To better understand the transport behavior in a granitic aquifer, we combine tracer test data with single-hole ground-penetrating radar (GPR) reflection monitoring data. Five successful tracer tests were performed under various experimental conditions between two boreholes 6 m apart. For each experiment, saline tracer was injected into a previously identified packed-off transmissive fracture while repeatedly acquiring single-hole GPR reflection profiles together with electrical conductivity logs in the pumping borehole. By analyzing depth-migrated GPR difference images together with tracer breakthrough curves and associated simplified flow and transport modeling, we estimate (1) the number, the connectivity, and the geometry of fractures that contribute to tracer transport, (2) the velocity and the mass of tracer that was carried along each flow path, and (3) the effective transport parameters of the identified flow paths. We find a qualitative agreement when comparing the time evolution of GPR reflectivity strengths at strategic locations in the formation with those arising from simulated transport. The discrepancies are on the same order as those between observed and simulated breakthrough curves at the outflow locations. The rather subtle and repeatable GPR signals provide useful and complementary information to tracer test data acquired at the outflow locations and may help us to characterize transport phenomena in fractured rock aquifers.

Audit report on the Black Hawk County Criminal Justice Information System for the year ended June 30, 2009

Audit report on the Black Hawk County Criminal Justice Information System for the year ended June 30, 2009

Amostragem e variabilidade espacial de atributos físicos de um latossolo vermelho em Mossoró, RN

Os solos, mesmo aqueles considerados homogêneos, exibem alguma variabilidade espacial e temporal em seus atributos físicos, químicos e biológicos. A definição dessa variabilidade é muito importante para um eficiente manejo do solo. Este trabalho objetivou estudar a variabilidade espacial de alguns atributos físicos de um Latossolo Vermelho, em Mossoró-RN, a fim de estabelecer o melhor procedimento na coleta de amostras de solo. Em uma área com dimensões de 100 x 100 m, marcada a cada 10 m em duas direções perpendiculares entre si, fez-se a coleta de amostras de solo na camada de 0,0-0,2 m de profundidade, totalizando 100 amostras. As análises compreenderam granulometria, densidade do solo, densidade de partículas, porosidade total e retenção de água nas tensões de 0,033 e 1,500 MPa. Os dados foram analisados por estatística descritiva e geoestatística. Concluiu-se que a variabilidade do solo, medida pelo coeficiente de variação, mostrou-se baixa para areia, densidade do solo, densidade de partículas e volume total de poros e média para silte, argila, capacidade de campo e ponto de murcha permanente; a maioria das variáveis analisadas segue distribuição normal de freqüências, excetuando-se areia, densidade do solo e volume total de poros; o mapeamento das variáveis estudadas sugere o estabelecimento de subáreas homogêneas, a fim de tornar o manejo dos recursos mais eficiente, especialmente o de água.

Atributos mineralógicos de três solos explorados com a cultura do melão na Chapada do Apodi: RN

Este trabalho teve o objetivo de caracterizar os principais solos explorados com a cultura do melão na Chapada do Apodi, Estado do Rio Grande do Norte, no tocante aos aspectos mineralógicos, visando fornecer subsídios para implantação de um manejo adequado à cultura e ao solo. Foram selecionados três solos: Cambissolo Háplico Ta eutrófico típico - CXve (Typic Haplocambids), Latossolo Vermelho-Amarelo eutrófico argissólico - LVAe (Typic Eutrotorrox) e Argissolo Vermelho distrófico arênico - PVd (Arenic Kandiustults). Foram realizadas análises mineralógicas nas frações areia, silte e argila, por difratometria de raios X, além de estudos complementares em amostras indeformadas por meio da microscopia eletrônica de varredura. A composição mineralógica é semelhante nos perfis estudados; o quartzo predomina nas frações areia e silte, enquanto a fração argila é constituída predominantemente por caulinita. O perfil 1 (CXve), comparado com os outros dois, é o menos evoluído na escala pedogenética. Os perfis 2 (LVAe) e 3 (PVd) apresentam praticamente a mesma maturidade, embora o primeiro seja um pouco mais evoluído. O fato de o perfil 1 (CXve) apresentar química de solo jovem e mineralogia de solo muito evoluído revela incoerência entre os atributos químicos e mineralógicos daquele solo. Pelas condições de semi-aridez do local em que os três perfis estão inseridos, o domínio da caulinita na fração argila sugere que os solos foram originados em condições climáticas diferentes das atuais, provavelmente mais úmidas, ou que eles tenham se desenvolvido a partir de um material pré-intemperizado.