Renewal equations for option pricing

In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits.

Langevin equations with multiplicative noise: Application to domain growth

Langevin Equations of Ginzburg-Landau form, with multiplicative noise, are proposed to study the effects of fluctuations in domain growth. These equations are derived from a coarse-grained methodology. The Cahn-Hiliard-Cook linear stability analysis predicts some effects in the transitory regime. We also derive numerical algorithms for the computer simulation of these equations. The numerical results corroborate the analytical predictions of the linear analysis. We also present simulation results for spinodal decomposition at large times.

Estudio de algunos cambios bioquímicos durante el crecimiento y hasta la cosecha del fruto de champa(Campomanesia lineatifolia R. & P. Familia Myrtaceae)

La champa es una especie de la familia Myrtaceae cuyo fruto es muy apetecido por los consumidores, debido a su exquisito sabor y aroma. El objetivo de esta investigación fue realizar el estudio de algunos cambios bioquímicos durante el crecimiento y hasta la cosecha del fruto de champa, en el municipio de Miraflores, Boyacá-Colombia. Se marcaron flores de 30 árboles seleccionados al azar. Se hicieron cinco muestreos desde el día 26 después de la floración hasta la cosecha. Se llevó registro de la temperatura para calcular la acumulación de grados calor día (GDC). En el período de floración a cosecha del fruto (145 días) se acumularon 1489,1 GDC. Previo a la cosecha los azúcares aumentaron y los ácidos disminuyeron, pero su concentración fue elevada. Se detectó sacarosa (mayor concentración), fructosa y glucosa, ácidos cítrico (predominante en la cosecha), succínico, málico y oxálico. La actividad poligalacturonasa inició desde los 582,06 GDC y aumentó hasta la cosecha. La tasa respiratoria fue alta al inicio y disminuyó hasta los 1422,8 GDC, punto que coincide con la madurez fisiológica, en este momento también se detectó producción de etileno. Los frutos de champa presentaron alta acidez y un representativo contenido de azúcares que determinan su sabor característico.

Análisis de la infección de Colletotrichum gloeosporioides (Penz.) Penz. & Sacc. de frutos de aguacatero

La patogénesis de Colletotrichum gloeosporioides (Penz.) Penz. & Sacc. del estado de Michoacán, México se caracterizó en frutos de aguacatero (Persea americana L.) cultivar 'Hass'. El hongo causó los síntomas característicos de la enfermedad denominada 'antracnosis' a partir de los diez días después de la inoculación. La tasa de infección del hongo entre tratamientos fue significativamente diferente (p<0.05) a partir del sexto día de la inoculación y el desarrollo de la enfermedad se explicó por un modelo de regresión lineal simple (Y = 1.123 + 0.1133X). No se detectó la formación de apresorios pero sí la síntesis de una capa mucilaginosa asociada con los tubos germinativos. El proceso infectivo del hongo se manifestó con la penetración de las hifas intra e inter-celularmente y con la producción de acérvulos a partir de los 12 días después de la inoculación. Los síntomas de la antracnosis se asociaron con la degradación de polifenoles, plasmólisis, necrosis y desintegración celular.

Anticipating linear stochastic differential equations driven by a Lévy process

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we extend the method based on Girsanov transformations on Wiener space and developped by Buckdahn [7] to the canonical Lévy space, which is introduced in [25].

Nitrogênio e potássio no crescimento de mudas de pitaia [Hylocereus undatus (Haw.) Britton & Rose]

A pitaia ainda é uma cultura carente de estudos e informações que subsidiem a definição/adaptação de sistemas de produção mais adequados às condições edafoclimáticas brasileiras, embora nos últimos anos tenha havido aumento de sua expansão agrícola, tanto no Brasil quanto em outros países. Assim, o objetivo deste estudo foi avaliar o efeito da adubação mineral sobre o crescimento de mudas de pitaia e, dessa maneira, obter informações direcionadas para a definição de manejos de fertilização adequados à exploração agrícola da cultura. Para isto, foram testadas cinco doses de nitrogênio (N) (0; 150; 300; 450 e 600 mg dm-3) e potássio (K) (0; 75; 150; 225 e 300 mg dm-3), sendo os níveis de cada nutriente arranjados em esquema fatorial 5x5, com quatro blocos. Para a interação significativa a (p<0,05), procedeu-se ao ajuste em superfícies de resposta do tipo Y = β0 + β1(A) + β2(A)² + β3(B) + β4(B)² + β5(A).(B) + e. As estimativas das correlações fenotípicas foram obtidas considerando apenas o intervalo das doses de N e K, que promoveram as melhores respostas do acesso de pitaia para os caracteres estudados. Ao término do presente estudo, foi constatado que a aplicação de doses crescentes de N e K, e a interação NxP afetam os teores de ambos os nutrientes no solo, o sistema radicular e a parte aérea, influenciando, desse modo, sobre o crescimento inicial das plantas de pitaia. Os rendimentos mais satisfatórios ocorrem quando há 0,7 mmol dm-3 de K no solo, e 20 - 25 g kg-1 de N com 30 - 40 g kg-1 de K na parte aérea. Esses valores foram obtidos para a aplicação de 300 - 450 mg dm-3 de N com 150 - 225 mg dm-3 de K. O somatório do comprimento dos cladódios (SCC) e a massa seca do sistema radicular (MSSR) são as variáveis explicativas que apresentam maiores efeitos diretos sobre a massa seca dos cladódios (MSC).

Water uptake by Annona diversifolia Saff. and A. purpurea Moc. & sessé ex dunal seeds (Annonaceae)

Annonaceae seeds are known by presenting dormancy mechanisms, whose reports ranging from coating impermeable to the physiological dormancy. By this way, the present study aimed to evaluate water uptake in Annona diversifolia Saff and Annona purpurea Moc & Sessé ex Dunal seeds. For this study, seeds were placed under immersion in distilled water, and used four replicates of 25 seeds of each species, which were weighed during the 480 hours that were immersed. To determine the place of purchase of water, Annona diversifolia seeds were sealed with paraffin at different locations. Based on the results, seeds from both species reached the phases I and II of water uptake, which indicates they are not hard; however, germination (Phase III) was not reached. Annona diversifolia seeds completed Phase I with, 50h and Annona purpurea with 70h from imbibitions begin, which shows that even slowly, water is acquire.

Sidelobe elimination for generalized synthetic discriminant functions by a two-filter correlation and subsequent postprocessing of the intensity distributions

One of the most important problems in optical pattern recognition by correlation is the appearance of sidelobes in the correlation plane, which causes false alarms. We present a method that eliminate sidelobes of up to a given height if certain conditions are satisfied. The method can be applied to any generalized synthetic discriminant function filter and is capable of rejecting lateral peaks that are even higher than the central correlation. Satisfactory results were obtained in both computer simulations and optical implementation.

The induced generalized OWA operator

We present the induced generalized ordered weighted averaging (IGOWA) operator. It is a new aggregation operator that generalizes the OWA operator by using the main characteristics of two well known aggregation operators: the generalized OWA and the induced OWA operator. Then, this operator uses generalized means and order inducing variables in the reordering process. With this formulation, we get a wide range of aggregation operators that include all the particular cases of the IOWA and the GOWA operator, and a lot of other cases such as the induced ordered weighted geometric (IOWG) operator and the induced ordered weighted quadratic averaging (IOWQA) operator. We further generalize the IGOWA operator by using quasi-arithmetic means. The result is the Quasi-IOWA operator. Finally, we also develop a numerical example of the new approach in a financial decision making problem.

Risk factors of postictal generalized EEG suppression in generalized convulsive seizures.

OBJECTIVE: To identify the clinical determinants of occurrence of postictal generalized EEG suppression (PGES) after generalized convulsive seizures (GCS). METHODS: We reviewed the video-EEG recordings of 417 patients included in the REPO2MSE study, a multicenter prospective cohort study of patients with drug-resistant focal epilepsy. According to ictal semiology, we classified GCS into 3 types: tonic-clonic GCS with bilateral and symmetric tonic arm extension (type 1), clonic GCS without tonic arm extension or flexion (type 2), and GCS with unilateral or asymmetric tonic arm extension or flexion (type 3). Association between PGES and person-specific or seizure-specific variables was analyzed after correction for individual effects and the varying number of seizures. RESULTS: A total of 99 GCS in 69 patients were included. Occurrence of PGES was independently associated with GCS type (p < 0.001) and lack of early administration of oxygen (p < 0.001). Odds ratio (OR) for GCS type 1 in comparison with GCS type 2 was 66.0 (95% confidence interval [CI 5.4-801.6]). In GCS type 1, risk of PGES was significantly increased when the seizure occurred during sleep (OR 5.0, 95% CI 1.2-20.9) and when oxygen was not administered early (OR 13.4, 95% CI 3.2-55.9). CONCLUSION: The risk of PGES dramatically varied as a function of GCS semiologic characteristics. Whatever the type of GCS, occurrence of PGES was prevented by early administration of oxygen.

AMP-activated protein kinase plays an important evolutionary conserved role in the regulation of glucose metabolism in fish skeletal muscle cells

AMPK, a master metabolic switch, mediates the observed increase of glucose uptake in locomotory muscle of mammals during exercise. AMPK is activated by changes in the intracellular AMP:ATP ratio when ATP consumption is stimulated by contractile activity but also by AICAR and metformin, compounds that increase glucose transport in mammalian muscle cells. However, the possible role of AMPK in the regulation of glucose metabolism in skeletal muscle has not been investigated in other vertebrates, including fish. In this study, we investigated the effects of AMPK activators on glucose uptake, AMPK activity, cell surface levels of trout GLUT4 and expression of GLUT1 and GLUT4 as well as the expression of enzymes regulating glucose disposal and PGC1α in trout myotubes derived from a primary muscle cell culture. We show that AICAR and metformin significantly stimulated glucose uptake (1.6 and 1.3 fold, respectively) and that Compound C completely abrogated the stimulatory effects of the AMPK activators on glucose uptake. The combination of insulin and AMPK activators did not result in additive nor synergistic effects on glucose uptake. Moreover, exposure of trout myotubes to AICAR and metformin resulted in an increase in AMPK activity (3.8 and 3 fold, respectively). We also provide evidence suggesting that stimulation of glucose uptake by AMPK activators in trout myotubes may take place, at least in part, by increasing the cell surface and mRNA levels of trout GLUT4. Finally, AICAR increased the mRNA levels of genes involved in glucose disposal (hexokinase, 6-phosphofructokinase, pyruvate kinase and citrate synthase) and mitochondrial biogenesis (PGC-1α) and did not affect glycogen content or glycogen synthase mRNA levels in trout myotubes. Therefore, we provide evidence, for the first time in non-mammalian vertebrates, suggesting a potentially important role of AMPK in stimulating glucose uptake and utilization in the skeletal muscle of fish.