Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

SPINAL POSTURAL ALIGNMENT VARIANCE ACCORDING TO SEX AND AGE IN 7-AND 8-YEAR-OLD CHILDREN

Purpose: Children`s postural alignment undergoes many adjustments due to the changes in body proportions during the stages of growth. The objective of this study was to quantitatively characterize and analyze spinal postural standards in 7- and 8-year-old children to verify which of the differences found were correlated to age and sex. Methods: Two hundred thirty public school students (Amparo, Sao Paulo, Brazil) aged 7 to 8 years were divided into groups according to postural alignment, which were further subdivided by sex and age, for comparison. Digital photos of upright Subjects were analyzed to evaluate posture. Lumbar and thoracic curvature, pelvic inclination, head posture, and lateral spine deviation were measured using CorelDraw (Ottawa, Canada) software guidelines and bone landmarks. Descriptive statistics and analysis of variance data analysis were utilized to verify differences among the groups. This was a cross-sectional, descriptive study. Results: Mean values for the variables analyzed were calculated. For lumbar lordosis, 7-year-old boys showed 38.49 degrees +/- 15.32 degrees in comparison to all other groups (42.29 degrees +/- 7.13 degrees). For thoracic kyphosis, the 7-year-old children presented 28.07 degrees +/- 7.73 degrees. and the 8-year-olds 30.32 degrees +/- 7.73 degrees. Pelvic inclination presented a mean value of 15.82 degrees +/- 5.46 degrees and single lateral spine deviation mean value of 3.48 degrees +/- 2.12 degrees. Conclusion: For the sample studied, differences based on sex and age were found for some of the body segments analyzed. The values found in this study may contribute to improved physiotherapeutic treatment when associated with other aspects of the clinical assessment and symptomatology. (J Manipulative Physiol Ther 2009;32: 154-159)

Fertility and female work force participation in Bangladesh: Causality and cointegration

This paper examines the causal links between fertility and female labor force participation in Bangladesh over the period 1974-2000 by specifying a bivariate and several trivariate models in a vector error correction framework. The three trivariate models alternatively include average age at first marriage for females, per capita GDP and infant mortality rate, which control for the effects of other socio-economic factors on fertility and female labor force participation. All the specified models indicate an inverse long-run relationship between fertility and female labor force participation. While the bivariate model also indicates bidirectional causality, the multivariate models confirm only a unidirectional causality – from labor force participation to fertility. Further, per capita GDP and infant mortality rate appear to Granger-cause both fertility and female labor force participation.

Genetic influence on the variance in P3 amplitude and latency

The P3(00) event-related potential (ERP) component is widely used as a measure of cognitive functioning and provides a sensitive electrophysiological index of the attentional and working memory demands of a task. This study investigated what proportion of the variance in the amplitude and latency of the P3, elicited in a delayed response working memory task, could be attributed to genetic factors. In 335 adolescent twin pairs and 48 siblings, the amplitude and latency of the P3 were examined at frontal, central, and parietal sites. Additive genetic factors accounted for 48% to 61% of the variance in P3 amplitude. Approximately one-third of the genetic variation at frontal sites was mediated by a common genetic factor that also influenced the genetic variation at parietal and central sites. Familial resemblance in P3 latency was due to genetic influence that accounted for 44% to 50% of the variance. Genetic covariance in P3 latency across sites was substantial, with a large part of the variance found at parietal, central, and frontal sites attributed to a common genetic factor. The findings provide further evidence that the P3 is a promising phenotype of neural activity of the brain and has the potential to be used in linkage and association analysis in the search for quantitative trait loci (QTLs) influencing cognition.

Evolution of additive and nonadditive genetic variance in development time along a cline in Drosophila serrata

Latitudinal clines provide natural systems that may allow the effect of natural selection on the genetic variance to be determined. Ten clinal populations of Drosophila serrata collected from the eastern coast of Australia were used to examine clinal patterns in the trait mean and genetic variance of the life-history trait egg-to-adult development time. Development time significantly lengthened from tropical areas to temperate areas. The additive genetic variance for development time in each population was not associated with latitude but was associated with the population mean development time. Additive genetic variance tended to be larger in populations with more extreme development times and appeared to be consistent with allele frequency change. In contrast, the nonadditive genetic variance was not associated with the population mean but was associated with latitude. Levels of nonadditive genetic variance were greatest in the region of the cline where the gradient in the change in mean was greatest, consistent with Barton's (1999) conjecture that the generation of linkage disequilibrium may become an important component of the genetic variance in systems with a spatially varying optimum.

Neural correlations during brain activation in arithmetical tasks – an approach using electroencephalographic data

Dissertação apresentada na Faculdade de Ciências e Tecnologiea da Universidade Nova de Lisboa, para obtenção do Grau de Mestre em Engenharia Biomédica

Calculation of the variance in surveys of the economic climate

Public opinion surveys have become progressively incorporated into systems of official statistics. Surveys of the economic climate are usually qualitative because they collect opinions of businesspeople and/or experts about the long-term indicators described by a number of variables. In such cases the responses are expressed in ordinal numbers, that is, the respondents verbally report, for example, whether during a given trimester the sales or the new orders have increased, decreased or remained the same as in the previous trimester. These data allow to calculate the percent of respondents in the total population (results are extrapolated), who select every one of the three options. Data are often presented in the form of an index calculated as the difference between the percent of those who claim that a given variable has improved in value and of those who claim that it has deteriorated. As in any survey conducted on a sample the question of the measurement of the sample error of the results has to be addressed, since the error influences both the reliability of the results and the calculation of the sample size adequate for a desired confidence interval. The results presented here are based on data from the Survey of the Business Climate (Encuesta de Clima Empresarial) developed through the collaboration of the Statistical Institute of Catalonia (Institut d’Estadística de Catalunya) with the Chambers of Commerce (Cámaras de Comercio) of Sabadell and Terrassa.

(No)competition in the Spanish retailing gasoline market: a variance filter approach

Various methodologies in economic literature have been used to analyse the international hydrocarbon retail sector. Nevertheless at a Spanish level these studies are much more recent and most conclude that generally there is no effective competition present in this market, regardless of the approach used. In this paper, in order to analyse the price levels in the Spanish petrol market, our starting hypothesis is that in uncompetitive markets the prices are higher and the standard deviation is lower. We use weekly retail petrol price data from the ten biggest Spanish cities, and apply Markov chains to fill the missing values for petrol 95 and diesel, and we also employ a variance filter. We conclude that this market demonstrates reduced price dispersion, regardless of brand or city.

The additive genetic variance after bottlenecks is affected by the number of loci involved in epistatic interactions.

We investigated the role of the number of loci coding for a neutral trait on the release of additive variance for this trait after population bottlenecks. Different bottleneck sizes and durations were tested for various matrices of genotypic values, with initial conditions covering the allele frequency space. We used three different types of matrices. First, we extended Cheverud and Routman's model by defining matrices of "pure" epistasis for three and four independent loci; second, we used genotypic values drawn randomly from uniform, normal, and exponential distributions; and third we used two models of simple metabolic pathways leading to physiological epistasis. For all these matrices of genotypic values except the dominant metabolic pathway, we find that, as the number of loci increases from two to three and four, an increase in the release of additive variance is occurring. The amount of additive variance released for a given set of genotypic values is a function of the inbreeding coefficient, independently of the size and duration of the bottleneck. The level of inbreeding necessary to achieve maximum release in additive variance increases with the number of loci. We find that additive-by-additive epistasis is the type of epistasis most easily converted into additive variance. For a wide range of models, our results show that epistasis, rather than dominance, plays a significant role in the increase of additive variance following bottlenecks.

Incidence of liver damage of uncertain origin in HIV patients not co-infected with HCV/HBV.

BACKGROUND AND AIMS Several studies have reported that a significant number of HIV patients not co-infected with HCV/HBV develop liver damage of uncertain origin (LDUO). The objective of our study was to evaluate the incidence of and risk factors for the development of LDUO in HIV infected patients not co-infected with HCV/HBV. METHODS Prospective longitudinal study that included HIV-infected patients free of previous liver damage and viral hepatitis B or C co-infections. Patients were followed up at 6-monthly intervals. Liver stiffness was measured at each visit. Abnormal liver stiffness (ALS) was defined as a liver stiffness value greater than 7.2 kPa at two consecutive measurements. For patients who developed ALS, a protocol was followed to diagnose the cause of liver damage. Those patients who could not be diagnosed with any specific cause of liver disease were diagnosed as LDUO and liver biopsy was proposed. RESULTS 210 patients matched the inclusion criteria and were included. 198 patients completed the study. After a median (Q1-Q3) follow-up of 18 (IQR 12-26) months, 21 patients (10.6%) developed ALS. Of these, fifteen patients were diagnosed as LDUO. The incidence of LDUO was 7.64 cases/100 patient-years. Histological studies were performed on ten (66.6%) patients and all showed liver steatosis. A higher HOMA-IR value and body mass index were independently associated with the development of LDUO. CONCLUSION We found a high incidence of LDUO in HIV-infected patients associated with metabolic risk factors. The leading cause of LDUO in our study was non-alcoholic fatty liver disease.

Genetics of cadmium hyperaccumulation variance in Thlaspi caerulescens natural populations from Switzerland

SUMMARY Heavy metal presence in the environment is a serious concern since some of them can be toxic to plants, animals and humans once accumulated along the food chain. Cadmium (Cd) is one of the most toxic heavy metal. It is naturally present in soils at various levels and its concentration can be increased by human activities. Several plants however have naturally developed strategies allowing them to grow on heavy metal enriched soils. One of them consists in the accumulation and sequestration of heavy metals in the above-ground biomass. Some plants present in addition an extreme strategy by which they accumulate a limited number of heavy metals in their shoots in amounts 100 times superior to those expected for a non-accumulating plant in the same conditions. Understanding the genetic basis of the hyperaccumulation trait - particularly for Cd - remains an important challenge which may lead to biotechnological applications in the soil phytoremediation. In this thesis, Thlaspi caerulescens J. & C. Presl (Brassicaceae) was used as a model plant to study the Cd hyperaccumulation trait, owing to its physiological and genetic characteristics. Twenty-four wild populations were sampled in different regions of Switzerland. They were characterized for environmental and soil parameters as well as intrinsic characteristics of plants (i.e. metal concentrations in shoots). They were as well genetically characterized by AFLPs, plastid DNA polymorphism and genes markers (CAPS and microsatellites) mainly developed in this thesis. Some of the investigated genes were putatively linked to the Cd hyperaccumulation trait. Since the study of the Cd hyperaccumulation in the field is important as it allows the identification of patterns of selection, the present work offered a methodology to define the Cd hyperaccumulation capacity of populations from different habitats permitting thus their comparison in the field. We showed that Cd, Zn, Fe and Cu accumulations were linked and that populations with higher Cd hyperaccumulation capacity had higher shoot and reproductive fitness. Using our genetic data, statistical methods (Beaumont & Nichols's procedure, partial Mantel tests) were applied to identify genomic signatures of natural selection related to the Cd hyperaccumulation capacity. A significant genetic difference between populations related to their Cd hyperaccumulation capacity was revealed based on somè specific markers (AFLP and candidate genes). Polymorphism at the gene encoding IRTl (Iron-transporter also participating to the transport of Zn) was suggested as explaining part of the variation in Cd hyperaccumulation capacity of populations supporting previous physiological investigations. RÉSUMÉ La présence de métaux lourds dans l'environnement est un phénomène préoccupant. En effet, certains métaux lourds - comme le cadmium (Cd) -sont toxiques pour les plantes, les animaux et enfin, accumulés le long de la chaîne alimentaire, pour les hommes. Le Cd est naturellement présent dans le sol et sa concentration peut être accrue par différentes activités humaines. Certaines plantes ont cependant développé des stratégies leur permettant de pousser sur des sols contaminés en métaux lourds. Parmi elles, certaines accumulent et séquestrent les métaux lourds dans leurs parties aériennes. D`autres présentent une stratégie encore plus extrême. Elles accumulent un nombre limité de métaux lourds en quantités 100 fois supérieures à celles attendues pour des espèces non-accumulatrices sous de mêmes conditions. La compréhension des bases génétiques de l'hyperaccumulation -particulièrement celle du Cd - représente un défi important avec des applications concrètes en biotechnologies, tout particulièrement dans le but appliqué de la phytoremediation des sols contaminés. Dans cette thèse, Thlaspi caerulescens J. & C. Presl (Brassicaceae) a été utilisé comme modèle pour l'étude de l'hyperaccumulation du Cd de par ses caractéristiques physiologiques et génétiques. Vingt-quatre populations naturelles ont été échantillonnées en Suisse et pour chacune d'elles les paramètres environnementaux, pédologique et les caractéristiques intrinsèques aux plantes (concentrations en métaux lourds) ont été déterminés. Les populations ont été caractérisées génétiquement par des AFLP, des marqueurs chloroplastiques et des marqueurs de gènes spécifiques, particulièrement ceux potentiellement liés à l'hyperaccumulation du Cd (CAPS et microsatellites). La plupart ont été développés au cours de cette thèse. L'étude de l'hyperaccumulation du Cd en conditions naturelles est importante car elle permet d'identifier la marque, éventuelle de sélection naturelle. Ce travail offre ainsi une méthodologie pour définir et comparer la capacité des populations à hyperaccumuler le Cd dans différents habitats. Nous avons montré que les accumulations du Cd, Zn, Fe et Cu sont liées et que les populations ayant une grande capacité d'hyperaccumuler le Cd ont également une meilleure fitness végétative et reproductive. Des méthodes statistiques (l'approche de Beaumont & Nichols, tests de Martel partiels) ont été utilisées sur les données génétiques pour identifier la signature génomique de la sélection naturelle liée à la capacité d'hyperaccumuler le Cd. Une différenciation génétique des populations liée à leur capacité d'hyperaccumuler le Cd a été mise en évidence sur certains marqueurs spécifiques. En accord avec les études physiologiques connues, le polymorphisme au gène codant IRT1 (un transporteur de Fe impliqué dans le transport du Zn) pourrait expliquer une partie de la variance de la capacité des populations à hyperaccumuler le Cd.

Abnormalities of fuel utilization as predisposing to the development of obesity in humans.

A number of recent investigations in man have demonstrated that a low ratio of fat to carbohydrate oxidation (i.e., a high respiratory quotient or RQ) was associated with actual and/or subsequent body weight gain in obese non-diabetic Pima Indians, in American men of various ages and in post-obese European women investigated shortly after the cessation of a hypocaloric diet. It is well known that numerous exogenous and endogenous factors influence the RQ at rest such as: the level of feeding (positive vs. negative energy balance), the composition of food eaten (high vs. low carbohydrate), the size of the glycogen stores, the amount of adipose tissue as well as genetic factors. It should be stressed that some nutritional situations can co-exist during which a low ratio of fat to carbohydrate is observed (i.e., a high RQ) despite weight loss. Furthermore, in most studies mentioned above, the low fat to carbohydrate oxidation ratio explains less than 10% of the variance in weight gain, suggesting that numerous additional factors also play a substantial role in the onset of weight gain. It is concluded that: 1) a low fat to carbohydrate oxidation ratio or an abnormal fat oxidation is difficult to define quantitatively since it is largely influenced by the energy level and the composition of the diet.(ABSTRACT TRUNCATED AT 250 WORDS)

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach

We propose new spanning tests that assess if the initial and additional assets share theeconomically meaningful cost and mean representing portfolios. We prove their asymptoticequivalence to existing tests under local alternatives. We also show that unlike two-step oriterated procedures, single-step methods such as continuously updated GMM yield numericallyidentical overidentifyng restrictions tests, so there is arguably a single spanning test.To prove these results, we extend optimal GMM inference to deal with singularities in thelong run second moment matrix of the influence functions. Finally, we test for spanningusing size and book-to-market sorted US stock portfolios.

Breeding system and genetic variance in the monogamous, semi-social shrew, Crocidura russula

The population-genetic consequences of monogamy and male philopatry (a rare breeding system in mammals) were investigated using microsatellite markers in the semisocial and anthropophilic shrew Crocidura russula. A hierarchical sampling design over a 16-km geographical transect revealed a large genetic diversity (h = 0.813) with significant differentiation among subpopulations (F-ST = 5-6%), which suggests an exchange of 4.4 migrants per generation. Demic effective-size estimates were very high, due both to this limited gene inflow and to the inner structure of subpopulations. These were made of 13-20 smaller units (breeding groups), comprising an estimate of four breeding pairs each. Members of the same breeding groups displayed significant coancestries (F-LS = 9-10%), which was essentially due to strong male kinship: syntopic males were on average related at the half-sib level. Female dispersal among breeding groups was not complete (similar to 39%), and insufficient to prevent inbreeding. From our results, the breeding strategy of C. russula seems less efficient than classical mammalian systems (polygyny and male dispersal) in disentangling coancestry from inbreeding, but more so in retaining genetic variance.