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.

CONTINUITY OF GLOBAL ATTRACTORS FOR A CLASS OF NON LOCAL EVOLUTION EQUATIONS

In this work we prove that the global attractors for the flow of the equation partial derivative m(r, t)/partial derivative t = -m(r, t) + g(beta J * m(r, t) + beta h), h, beta >= 0, are continuous with respect to the parameters h and beta if one assumes a property implying normal hyperbolicity for its (families of) equilibria.

Comparative study of analytical methods by direct and first-derivative UV spectrophotometry for evaluation of losartan potassium in capsules

O losartano potássico é um agente anti-hipertensivo não peptídico, que exerce sua ação por bloqueio específico dos receptores da angiotensina II. Este trabalho propôs a validação e aplicação de métodos analíticos orientados ao controle de qualidade de losartano potássico 50 mg na forma farmacêutica cápsula, utilizando a espectrofotometria direta e derivada de primeira ordem na região do UV. Baseado nas características espectrofotométricas de losartano potássico, um sinal a 205 nm do espectro de ordem zero e um sinal a 234 nm do espectro de primeira derivada foram adequados para a quantificação. Os resultados foram usados para comparar essas duas técnicas instrumentais. O coeficiente de correlação entre as respostas e as concentrações de losartano potássico na faixa de 3,0-7,0 mg L-1 e 6,0-14,0 mg L-1 para espectrofotometria direta e derivada de primeira ordem em solução aquosa, respectivamente, foi de (r) of 0,9999 para ambos os casos. Os métodos foram aplicados para quantificação de losartano potássico em cápsulas obtidas de farmácias de manipulação locais e demonstraram ser eficientes, fáceis de aplicar e de baixo custo. Além disso, não necessitam de reagentes poluentes e requerem equipamentos economicamente viáveis.

Gravitation and the local symmetry group of space-time

According to general relativity, the interaction of a matter field with gravitation requires the simultaneous introduction of a tetrad field, which is a field related to translations, and a spin connection, which is a field assuming values in the Lie algebra of the Lorentz group. These two fields, however, are not independent. By analyzing the constraint between them, it is concluded that the relevant local symmetry group behind general relativity is provided by the Lorentz group. Furthermore, it is shown that the minimal coupling prescription obtained from the Lorentz covariant derivative coincides exactly with the usual coupling prescription of general relativity. Instead of the tetrad, therefore, the spin connection is to be considered as the fundamental field representing gravitation.

LIMITS on THE COUPLING CONSTANT of HIGHER-DERIVATIVE ELECTROMAGNETISM

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Invariant conserved currents in gravity theories with local Lorentz and diffeomorphism symmetry

We discuss conservation laws for gravity theories invariant under general coordinate and local Lorentz transformations. We demonstrate the possibility to formulate these conservation laws in many covariant and noncovariant(ly looking) ways. An interesting mathematical fact underlies such a diversity: there is a certain ambiguity in a definition of the (Lorentz-) covariant generalization of the usual Lie derivative. Using this freedom, we develop a general approach to the construction of invariant conserved currents generated by an arbitrary vector field on the spacetime. This is done in any dimension, for any Lagrangian of the gravitational field and of a (minimally or nonminimally) coupled matter field. A development of the regularization via relocalization scheme is used to obtain finite conserved quantities for asymptotically nonflat solutions. We illustrate how our formalism works by some explicit examples. © 2006 The American Physical Society.

Local classification of singular hexagonal 3-webs with holomorphic Chern connection form and infinitesimal symmetries

Implicit ODE, cubic in derivative, generically has no infinitesimal symmetries even at regular points with distinct roots. Cartan showed that at regular points, ODEs with hexagonal 3-web of solutions have symmetry algebras of the maximal possible dimension 3. At singular points such a web can lose all its symmetries. In this paper we study hexagonal 3-webs having at least one infinitesimal symmetry at singular points. In particular, we establish sufficient conditions for the existence of non-trivial symmetries and show that under natural assumptions such a symmetry is semi-simple, i.e. is a scaling in some coordinates. Using the obtained results, we provide a complete classification of hexagonal singular 3-web germs in the complex plane, satisfying the following two conditions: 1) the Chern connection form is holomorphic at the singular point, 2) the web admits at least one infinitesimal symmetry at this point. As a by-product, a classification of hexagonal weighted homogeneous 3-webs is obtained.

On partial derivative-Neumann's problem in generalized functions framework

In this paper, we show that the equation delta u/delta (z) over bar + Gu = f, where the elements involved are in generalized functions context, has a local solution in the generalized functions context.

A prelude to the fractional calculus applied to tumor dynamic

In order to refine the solution given by the classical logistic equation and extend its range of applications in the study of tumor dynamics, we propose and solve a generalization of this equation, using the so-called Fractional Calculus, i.e., we replace the ordinary derivative of order 1, in one version of the usual equation, by a non-integer derivative of order 0 < α < 1, and recover the classical solution as a particular case. Finally, we analyze the applicability of this model to describe the growth of cancer tumors.

Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Effect of enamel matrix derivative and parathyroid hormone on bone formation in standardized osseous defects: an experimental study in minipigs

Previous experimental studies have indicated that locally administered enamel matrix derivative (EMD) and parathyroid hormone (PTH) may have a stimulatory effect on bone formation. However, it is not clear if the positive effect of EMD is related to its effect on the periodontium as a whole or directly on the bone-forming cells. In addition, it is not known if the presentation of PTH by adding the amino acid sequence Arg-Gly-Asp (RGD) is essential for its osteopromotive effect. Local delivery of a bioactive substance at the right time and in the right concentration often constitutes a major challenge. Polyethylene glycol-based hydrogel (PEG) is a degradable vehicle developed for delivery of bioactive proteins. To enhance the mechanical stability of the PEG-bioactive substance complex, an osteoconductive bone substitute material is often needed.

Significance of bound water to local chain conformations in protein crystals.

We examine how the polypeptide chain in protein crystal structures exploits the multivalent hydrogen-bonding potential of bound water molecules. This shows that multiple interactions with a single water molecule tend to occur locally along the chain. A distinctive internal-coordinate representation of the local water-binding segments reveals several consensus conformations. The fractional water occupancy of each was found by comparison of the total number of conformations in the database regardless of the presence or absence of bound water. The water molecule appears particularly frequently in type II beta-turn geometries and an N-terminal helix feature. This work constitutes a first step into assessing not only the generality but also the significance of specific water binding in globular proteins.

Mach edges: a key role for 3rd derivative filters in spatial vision

Edges are key points of information in visual scenes. One important class of models supposes that edges correspond to the steepest parts of the luminance profile, implying that they can be found as peaks and troughs in the response of a gradient (first-derivative) filter, or as zero-crossings (ZCs) in the second-derivative. A variety of multi-scale models are based on this idea. We tested this approach by devising a stimulus that has no local peaks of gradient and no ZCs, at any scale. Our stimulus profile is analogous to the classic Mach-band stimulus, but it is the local luminance gradient (not the absolute luminance) that increases as a linear ramp between two plateaux. The luminance profile is a smoothed triangle wave and is obtained by integrating the gradient profile. Subjects used a cursor to mark the position and polarity of perceived edges. For all the ramp-widths tested, observers marked edges at or close to the corner points in the gradient profile, even though these were not gradient maxima. These new Mach edges correspond to peaks and troughs in the third-derivative. They are analogous to Mach bands - light and dark bars are seen where there are no luminance peaks but there are peaks in the second derivative. Here, peaks in the third derivative were seen as light-to-dark edges, troughs as dark-to-light edges. Thus Mach edges are inconsistent with many standard edge detectors, but are nicely predicted by a new model that uses a (nonlinear) third-derivative operator to find edge points.

The primal sketch revisited: locating and representing edges in human vision via Gaussian-derivative filtering

Marr's work offered guidelines on how to investigate vision (the theory - algorithm - implementation distinction), as well as specific proposals on how vision is done. Many of the latter have inevitably been superseded, but the approach was inspirational and remains so. Marr saw the computational study of vision as tightly linked to psychophysics and neurophysiology, but the last twenty years have seen some weakening of that integration. Because feature detection is a key stage in early human vision, we have returned to basic questions about representation of edges at coarse and fine scales. We describe an explicit model in the spirit of the primal sketch, but tightly constrained by psychophysical data. Results from two tasks (location-marking and blur-matching) point strongly to the central role played by second-derivative operators, as proposed by Marr and Hildreth. Edge location and blur are evaluated by finding the location and scale of the Gaussian-derivative `template' that best matches the second-derivative profile (`signature') of the edge. The system is scale-invariant, and accurately predicts blur-matching data for a wide variety of 1-D and 2-D images. By finding the best-fitting scale, it implements a form of local scale selection and circumvents the knotty problem of integrating filter outputs across scales. [Supported by BBSRC and the Wellcome Trust]

Fractional Calculus of the Generalized Wright Function

Mathematics Subject Classification: 26A33, 33C20.