Valuing American Derivatives by Least Squares Methods

Least Squares estimators are notoriously known to generate sub-optimal exercise decisions when determining the optimal stopping time. The consequence is that the price of the option is underestimated. We show how variance reduction methods can be implemented to obtain more accurate option prices. We also extend the Longsta¤ and Schwartz (2001) method to price American options under stochastic volatility. These are two important contributions that are particularly relevant for practitioners. Finally, we extend the Glasserman and Yu (2004b) methodology to price Asian options and basket options.

Optimal Martingales and American Option Pricing

Pricing American options is an interesting research topic since there is no analytical solution to value these derivatives. Different numerical methods have been proposed in the literature with some, if not all, either limited to a specific payoff or not applicable to multidimensional cases. Applications of Monte Carlo methods to price American options is a relatively new area that started with Longstaff and Schwartz (2001). Since then, few variations of that methodology have been proposed. The general conclusion is that Monte Carlo estimators tend to underestimate the true option price. The present paper follows Glasserman and Yu (2004b) and proposes a novel Monte Carlo approach, based on designing "optimal martingales" to determine stopping times. We show that our martingale approach can also be used to compute the dual as described in Rogers (2002).

Immunopathology of american cutaneous leishmaniasis. Modulation of MHC class II gene products by Keratinocytes before and after glucantime therapy

Epidermal changes from 32 cutaneous and 3 mucosal American leishmaniasis (ACL) active lesions were studied for HLA-DR, -DP expression, Lanerhans cells and lymphocyte infiltration. In addition to a DR and DQ positivity at the surface of the cells of the inflammatory infiltrate, a strong reaction for DR antigens was detected on keratinocytes. Hyperplasia of Langerhans cells was present in al cutaneous lesions and epidermis was infiltrated by T lymphocytes. When healed lesions of 14 of these subjects were re-biopsied 1 to 12 months after the end of pentavalent antimonial therapy, MHC class antigens could no longer be seen on keratinocytes. Our data represrn evidence for hhe reversibility of the abnormal HLA-DR expression by keratinocytes in ACL after Glucantime therapy or spontaneous scar formation, demonstrating that this expresion is restricted to the period of active lesions. The present findings can be regarded as an indirect evidence that keratinocytes may be involved in the immunopathology of ACL.

A new species of whipworm from a south american hystricomorph rodent

A new species of whipworm, Trichuris robusti, is described from the cecum and large intestine of rodent, Ctnomys robusti, collected in northern Chile. The nematode shows close affinityto T. bradleyi and T. chilensis, both having been described from Chile but because of the possession of ceertain specific morphological chareacters, particularly the disposition of the proximal cloacal tube, could not be assigned to either of them. A key is presented to some of the Trichuris species reported from hystricomorph rodents in Chile and the biographical significance of speciation of chilean trichurids is discussed.

Determinants of public education expenditure: Evidence from Indian states

Public education expenditure varies significantly across Indian states. Using data on sixteen Indian states from 2001-2010, the paper tries to identify the determinants of per capita education expenditure of state governments in India. The econometric findings indicate that richer states spend more on education compared to the poorer states. A lower share of child population (0-14 years) is found to significantly enhance education expenditure at the state level. We do not find any evidence that political factors such as political ideology of the ruling party and level of corruption affect education expenditure of state governments.

Evaluation of the histopathological classifications of American cutaneous and mucocutaneous leishmaniasis

In order to evaluate the reliability of histopathological classifications of cutaneous and mucocutaneous leishmaniasis the authors compared the histopathological patterns of two biopsies taken simultaneously from the same patient, and classified the material according to Ridley et al. (1980), to Magalhães et al. (1986a), and to a more simplified classification with only three patterns. District histopathological aspects, were observed in different lesions or even in the same lesion. The authors concluded that histopathological patterns do not represent a stage of tegumentary leishmaniasis, thus they can not be correlated with prognosis and therapeutical response as suggested in the literature.

Effect of deltamethrin spraying on the sandfly populations in a focus of American cutaneous leismaniasis

The effect of deltamethrin of the sandfly population in a focus of American Cutaneous Leishmaniasis in Viana, Espírito Santo State is desvribed. The phlebotomine population density was determined inside and outside houses during a one year period in a treated and untreated area. The results showed a significant reduction in the number of sandflies inside houses in the treated area compared with both the untreated area and the same area before sparying. Despite having a residual action for 12 months after spraying the insecticide was ineffective outside houses. It is concluded therefore that deltamethrin is an efficient insecticide for reducing the number of phlebotomine sandflies inside houses.

Cardiac glycosides isolated from the Indian-snuff, Maquira sclerophylla Ducke

The hydroalcoholic extract of the powdered bark of the Indian-snuff Maquira sclerophylla Ducke was purified by column chromatography in silica-gel and the major cardenolide isolated from preparative TLC was identified by 1H-NMR, 1 2 C-NMR and IR analyses. The spectra showed that the active substance has strophanthidin as aglicone.

Disseminated American muco-cutaneous leishmaniasis caused by Leishmania brasiliensis brasiliensis in a patient with AIDS: a case report

The authors report a case of culture-proven disseminated American muco-cutaneous leishmaniasis caused by Leishmania brasiliensis brasiliensis in an HIV positive patient. Lesions began in the oropharynx and nasal mucosa eventually spreading to much of the skin surface. The response to a short course of glucantime therapy was good.

South American monkeys in the development and testing of malarial vaccines - a review

South American Aoutus an d Saimiri monkeys, which are susceptible to infection with human malarias, have been used to develop models for the testing of huma malaria vaccines. Studies indicate that blood-stage and sporozoite vaccines can be tested in these monkeys using appropriate strains of parasites.

Immunopathology of American cutaneous leishmaniasis

American mucocutaneous leishmaniasis is a granulomatous disease clinically characterized by ulcerated skin lesions that can regress spontaneously. A small percentage of the affected individuals can however develop a severe destruction of the nasal, oral, pharyngeal and/or laryngeal mucous membranes many years after the healing of the primary lesion. The human immune response to the infection and the possible mechanisms underlying the pathogenesis of the disease, determining either the self-healing or the development of chronic and destructive mucosal lesions, are discussed.

Epidemiological aspects of American Cutaneous Leishmaniasis in a periurban area of the metropolitan region of Belo Horizonte, Minas Gerais, Brazil

In order to characterize the epidemiology of American Cutaneous Leishmaniasis (ACL) in a periurban area of the municipality of Sabará in the metropolitan region of Belo Horizonte (MRBH), an area until then considered free of the disease, a cross sectional survey was undertaken in 1990. The survey of the population consisted of 1119 interviews and 881 clinical examinations using Montenegro's skin test (MST). A low prevalence (3.7%) of positive MST was encountered. The disease had been occuring in the area for about 20 years in the form of sporadic cases. The predominant species of sandfly both in domestic areas and nearby areas of secondary vegetation was Lutzomyia whitmani. A canine survey of delayed hypersensitivity to the antigen P10,000 identified only one dog with a positive reaction out of 113 examined. The transmission of ACL in MRBH was confirmed. The occurrence of the disease in women, children and individuals with no contact with forest areas as well as the presence of potential vector species in the domiciliar environment, suggests the transmission of the disease in this environment.