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.

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).

Evaluation of Soybean Varieties Resistant to Soybean Cyst Nematode in Iowa, 2007

Use of resistant soybean varieties is a very effective strategy for managing soybean cyst nematode (SCN), and numerous SCN-resistant soybean varieties are available for Iowa soybean growers. Each year, public and private SCN-resistant soybean varieties are evaluated in SCN-infested fields throughout Iowa by Iowa State University personnel. The research described in this report was performed to assess the agronomic performance of maturity group (MG) I, II, and III SCN-resistant soybean varieties and to determine the effects of the varieties on SCN numbers or population densities.

No impact of Bt soybean that express Cry1Ac protein on biological traits of Euschistus heros (Hemiptera, Pentatomidae) and its egg parasitoid Telenomus podisi (Hymenoptera, Platygastridae)

No impact of Bt soybean that express Cry1Ac protein on biological traits of Euschistus heros (Hemiptera, Pentatomidae) and its egg parasitoid Telenomus podisi (Hymenoptera, Platygastridae). Biological traits of the stink bug Euschistus heros and its main biological control agent Telenomus podisi were evaluated under controlled environmental conditions (25 ± 2ºC; 60 ± 10% RH; and 14/10 h photoperiod) by placing first instar nymphs into Petri dishes with pods originating from two soybean isolines (Bt-soybean MON 87701 × MON 89788, which expresses the Cry1Ac protein, and its near non-Bt isoline A5547) where they remained until the adult stage. Due to gregarious behavior exhibited by first instar nymphs, they were individualized only when at the second instar. Adults were separated by sex and weighed, and pronotum width of each individual was subsequently measured. They were placed into plastic boxes containing soybean grains of the same soybean isoline as food source. Egg viability and female fecundity were assessed in adult individuals. Adult females of T. podisi (up to 24h old) were placed with eggs of E. heros from mothers reared on both soybean isolines. Nymphal development time, insect weight, pronotum width, sex ratio, female fecundity, and egg viability (% emergence) of Euschistus heros did not differ between treatments. Eggto-adult development time, female longevity, sex ratio, and percentage of parasitized eggs were not impacted by the Bt-soybean (expressing Cry1Ac protein). Results indicate that the Bt-soybean, MON 87701 × MON 89788, has no direct significant impact on the two studied species.

Biology and reproductive capacity of Spodoptera eridania (Cramer) (Lepidoptera, Noctuidae) in different soybean cultivars

This study aimed to evaluate the development, survival and reproductive capacity of Spodoptera eridania in four soybean cultivars. The experiment was conducted in the laboratory, in a climatic chamber at 25 °C ± 1 °C, 70 ± 10% relative humidity and 12 h photophase. The cultivars used were: FMT Tabarana, BRS/MT Pintado, FMT Tucunaré and Monsoy 8757, all conventional cultivars with medium cycles. All cultivars tested allowed the development of S. eridania. However, Monsoy 8757 was the cultivar that most affected the prolonged in the duration larval, pupal and total cycle, showed lower pupal weight as well as reduction in the intrinsic rate increase. These results contribute to the management of this species in regions of outbreaks in soybean areas.

Managing Soybean Cyst Nematode, 2007

Soybean cyst nematode (SCN) causes the greatest yield loss of any single pathogen of soybean in Iowa. An estimated 50 million bushels were lost in Iowa to SCN in 2004. Damage from SCN is not limited to yield loss from root feeding; SCN also makes other diseases like sudden death syndrome, iron deficiency chlorosis, Pythium, Phytophthora root and stem rot and brown stem rot worse. Once established in a field, SCN cannot be eradicated. However, the use of multiple management tactics can help minimize yield loss.

Managing Soybean for High Yield, 2007

Producers continually strive for high yielding soybeans. The state-wide average yield for Iowa is now more than 50 bu./acre. The “yield plateau” reported by many producers does not exist, and is a perception largely brought on by misuse of an oversimplified management system. High yielding soybeans are achieved through improved and targeted management decisions. Improved agronomic decisions for soybeans are critical since soybean is very sensitive to stresses that influence soybean growth, development and yield.

Soybean Planting Date, 2007

The planting date for soybeans should be based on seedbed conditions and calendar date rather than soil temperature. The optimum time to plant soybeans in Iowa is the last week of April for the southern two thirds of Iowa and the first week of May for the northern one third of Iowa.

Soybean Planting Date, 2007

The planting date for soybeans should be based on seedbed conditions and calendar date rather than soil temperature. The optimum time to plant soybeans in Iowa is the last week of April for the southern two thirds of Iowa and the first week of May for the northern one third of Iowa.

Soybean response to starter nitrogen and Bradyrhizobium inoculation on a Cerrado oxisol under no-tillage and conventional tillage systems

In Brazil, Bradyrhizobium inoculation has successfully replaced the use of N fertilizer on soybean [Glycine max (L) Merr.] crops. However, with the expansion of no-tillage cropping systems in the Cerrados region, the idea that it is necessary to use small N rates at the sowing to overcome problems related with N immobilization has become widespread, mainly when soybean is cultivated after a non-legume crop. In this study we examined soybean response to small rates of N fertilizer under no-tillage (NT) and conventional tillage (CT) systems. Four experiments (a completely randomized block with five replicates) were carried out in a red yellow oxisol, during the periods of 1998/1999 and 1999/ 2000, under NT and CT. The treatments consisted of four urea rates (0, 20, 30 and 40 kg ha-1 N). All treatments were inoculated with Bradyrhizobium japonicum strains SEMIA 5080 and SEMIA 5079, in the proportion 1 kg of peat inoculant (1,5 x 10(9) cells g-1) per 50 kg of seeds. In both experiments, soybean was cultivated after corn and the N fertilizer was band applied at sowing. In all experiments, N rates promoted reductions of up to 50 % in the nodule number at 15 days after the emergence. Regardless of the management system, these reductions disappeared at the flowering stage and there was no effect of N rates on either the number and dry weight of nodules or on soybean yields. Therefore, in the Brazilian Cerrados, when an efficient symbiosis is established, it is not necessary to apply starter N rates on soybean, even when cultivated under notillage systems.

Phosphate forms in plant and their internal buffering in five soybean cultivars

Differences among plants in their ability to support nutritional stress periods may be caused by a differential vacuole capacity of ion storage and release and may also depend on the intensity of nutrient re-translocation under such conditions. In five soybean cultivars, submitted to eight days of P deprivation, the dry matter production and the contents of three phosphorus (P) forms - inorganic (Pi), organic (Po), and acid-soluble total (Pts) of different plant organs were determined. Pi release velocity (RSPi) was estimated as the tangent to the equations obtained for Pi f(t) at the point t = 2 days (the mean point in the period of greatest Pi decrease), considering that -deltaPi/deltat expresses the rate of Pi release. The internal Pi buffering capacity (IBCPi) was calculated as the inverse of the RSPi. Cultivars' differences in size of the non-metabolic Pi pool, RSPi, and the ability to transport Pi from less to more actively metabolizing regions were evaluated. The preferential Pi source and sink compartments under limited P absorption conditions were also evaluated. The cultivar Santa Rosa showed the highest Pi storage ability when the external supply was high, and a more intensive release under low P supply conditions than IAC8 and UFV1. The cultivar Uberaba was superior to Doko in its ability to store and use Pi. In all cultivars, upper leaves and roots were the main sink of Pi stored in the middle and lower leaves. Roots and upper leaves showed larger RSPi and lower IBCPi values than middle and lower leaves.

Interactions between magnesium, calcium, and aluminum on soybean root elongation

Alleviation of Al rhizotoxicity by Ca and Mg can differ among species and genotypes. Root elongation of soybean [Glycine max (L.) Merr.] line N93-S-179 and cvs. Young and Ransom exposed to varying concentrations of Al, Ca and Mg were compared in two experiments using a vertically split root system. Roots extending from a surface compartment with limed soil grew for 12 days into a subsurface compartment with nutrient solution treatments maintained at pH 4.6 with either 0 or 15 µmol L-1 Al. Calcium and Mg concentrations in treatments ranging from 0 to 20 mmol L-1. Although an adequate supply of Mg was provided in the surface soil compartment for soybean top growth, an inclusion of Mg was necessary in the subsurface solutions to promote root elongation in both the presence and absence of Al. In the absence of Al in the subsurface solution, tap root length increased by 74 % and lateral root length tripled when Mg in the solutions was increased from 0 to either 2 or 10 mmol L-1. In the presence of 15 µmol L-1 Al, additions of 2 or 10 mmol L-1 Mg increased tap root length fourfold and lateral root length by a factor of 65. This high efficacy of Mg may have masked differences in Al tolerance between genotypes N93 and Young. Magnesium was more effective than Ca in alleviating Al rhizotoxicity, and its ameliorative properties could not be accounted for by estimated electrostatic changes in root membrane potential and Al3+ activity at the root surface. The physiological mechanisms of Mg alleviation of Al injury in roots, however, are not known.

Effect of fertilizer-N application and seed coating with rhizobial inoculants on soybean yield in eastern Paraguay

Nitrogen removal in soybean grains at harvest may exceed biological N2 fixation, particularly if grain yields are as high as typically achieved on "Terra Rossa" soils of Eastern Paraguay. Applying N fertilizer or coating seeds with rhizobial inoculants that enhance nodulation may represent a way of balancing the N budget. However, the effects of such treatments appear to be highly site-specific. The objective of this study was to examine the effects of N application (N) and rhizobial inoculation (I) on nodulation, N accumulation and soybean yields in Eastern Paraguay. Field experiments were conducted in two consecutive soybean seasons. Dry conditions in the first year delayed sowing and reduced plant number m-2 and pod number plant-1. Grain yields were generally below 2 t ha-1 but the +N+I treatment increased yields by about 75%. In the second year favorable conditions resulted in yields of around 4 t ha-1 and the treatments had no effect. Nitrogen accumulation was higher in the first year and could therefore not explain the observed yield differences between years and treatment combinations. The positive effect of the +N+I treatment in year one was associated with a more rapid root growth which could have reduced susceptibility to intermittent drought stress. Nodule biomass decreased between flowering and pod setting stages in the +I treatment whereas further increases in nodule biomass in the -I treatment may have led to competition for assimilates between nodules and developing pods. Based on these preliminary results we conclude that N application and seed inoculation can offer short-term benefits in unfavorable years without negative effects on yield in favorable years.

Protective effect of divalent cations against aluminum toxicity in soybean

A large proportion of soybean fields in Brazil are currently cultivated in the Cerrado region, where the area planted with this crop is growing considerably every year. Soybean cultivation in acid soils is also increasing worldwide. Since the levels of toxic aluminum (Al) in these acid soils is usually high it is important to understand how cations can reduce Al rhizotoxicity in soybean. In the present study we evaluated the ameliorative effect of nine divalent cations (Ca, Mg, Mn, Sr, Sn, Cu, Zn, Co and Ba) in solution culture on Al rhizotoxicity in soybean. The growth benefit of Ca and Mg to plants in an acid Inceptisol was also evaluated. In this experiment soil exchangeable Ca:Mg ratios were adjusted to reach 10 and 60 % base saturation, controlled by different amounts of CaCl2 or MgCl2 (at proportions from 100:0 up to 0:100), without altering the soil pH level. The low (10 %) and adequate (60 %) base saturation were used to examine how plant roots respond to Al at distinct (Ca + Mg)/Al ratios, as if they were growing in soils with distinct acidity levels. Negative and positive control treatments consisted of absence (under native soil or undisturbed conditions) or presence of lime (CaCO3) to reach 10 and 60 % base saturation, respectively. It was observed that in the absence of Aluminum, Cu, Zn, Co and Sn were toxic even at a low concentration (25 µmol L-1), while the effect of Mn, Ba, Sr and Mg was positive or absent on soybean root elongation when used in concentrations up to 100 µmol L-1. At a level of 10 µmol L-1 Al, root growth was only reverted to the level of control plants by the Mg treatment. Higher Tin doses led to a small alleviation of Al rhizotoxicity, while the other cations reduced root growth or had no effect. This is an indication that the Mg effect is ion-specific and not associated to an electrostatic protection mechanism only, since all ions were divalent and used at low concentrations. An increased exchangeable Ca:Mg ratio (at constant soil pH) in the acid soil almost doubled the soybean shoot and root dry matter even though treatments did not modify soil pH and exchangeable Al3+. This indicates a more efficient alleviation of Al toxicity by Mg2+ than by Ca2+. The reason for the positive response to Mg2+ was not the supply of a deficient nutrient because CaCO3 increased soybean growth by increasing soil pH without inducing Mg2+ deficiency. Both in hydroponics and acid soil, the reduction in Al toxicity was accompanied by a lower Al accumulation in plant tissue, suggesting a competitive cation absorption and/or exclusion of Al from plant tissue stimulated by an Mg-induced physiological mechanism.

Changes in anatomy and root cell ultrastructure of soybean genotypes under manganese stress

The deleterious effects of both Mn deficiency and excess on the development of plants have been evaluated with regard to aspects of shoot anatomy, ultrastructure and biochemistry, focusing mainly on the manifestation of visual symptoms. However, there is little information in the literature on changes in the root system in response to Mn supply. The objective of this study was to evaluate the effects of Mn doses (0.5, 2.0 and 200.0 μmol L-1) in a nutrient solution on the anatomy of leaves and roots of the Glycine max (L.) cultivars Santa Rosa, IAC-15 and IAC-Foscarin 31. Visual deficiency symptoms were first observed in Santa Rosa and IAC-15, which were also the only cultivars where Mn-toxicity symptoms were observed. Only in IAC-15, a high Mn supply led to root diameter thickening, but without alteration in cells of the bark, epidermis, exodermis and endodermis. The degree of disorganization of the xylem vessels, in particular the metaxylem, differed in the cultivars. Quantity and shape of the palisade parenchyma cells were influenced by both Mn deficiency and toxicity. A reduction in the number of chloroplasts was observed in the three Mn-deficient genotypes. The anatomical alterations in IAC-15 due to nutritional stress were greater, as expressed in extensive root cell cytoplasm disorganization and increased vacuolation at high Mn doses. The degree of changes in the anatomical and ultrastructural organization of roots and leaves of the soybean genotypes studied differed, suggesting the existence of tolerance mechanisms to different intensities of Mn deficiency or excess.