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).

Risk Aversion, Intertemporal Substitution, and Option Pricing

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price, the necessary statistical hypotheses for homogeneity provide BS-shaped option prices in equilibrium. This BS-shaped option-pricing formula allows us to derive interesting characterizations of the volatility smile, that is, the pattern of BS implicit volatilities as a function of the option moneyness. First, the asymmetry of the smile is shown to be equivalent to a particular form of asymmetry of the equivalent martingale measure. Second, this asymmetry appears precisely when there is either a premium on an instantaneous interest rate risk or on a generalized leverage effect or both, in other words, whenever the option pricing formula is not preference-free. Therefore, the main conclusion of our analysis for practitioners should be that an asymmetric smile is indicative of the relevance of preference parameters to price options.

Nyssomyia intermedia (Lutz & Neiva) and Nyssomyia neivai (Pinto) (Diptera, Psychodidae, Phlebotominae) in a sympatric area: seasonal and nocturnal hourly rhythm in black and white modified Shannon traps

Captures with black and white Shannon traps were undertaken to identify aspects of the behavior of the two cryptic and sympatric species implicated as vectors of cutaneous leishmaniasis, Nyssomyia intermedia (Lutz & Neiva, 1912) and Nyssomyia neivai (Pinto, 1926). The traps were installed side by side, monthly, from July 2001 to June 2002, from 18 to 07 hours, in a peridomicile of Iporanga municipality, state of São Paulo, Brazil. A total of 2,142 specimens were captured, Ny. intermedia (47.4%) and Ny. neivai (50.5%). The white trap was more attractive to both sexes of both species. Males of Ny. neivai predominated (70%) over those of Ny. intermedia on the two traps; on the black trap, the females of Ny. intermedia predominated (63.3%) over those of Ny. neivai (36.7%). Seventy percent of the specimens of both species were captured between 18 and 24 h. Females of Ny. intermedia presented the highest peak at 19-20 h, and those of Ny. neivai at 20-21 h. The highest hourly average for females of Ny. intermedia on the black trap occurred in the winter and that for males in the summer. For Ny. neivai, both sexes predominated in the summer. The two species probably transmit the cutaneous leishmaniasis in the area due to their great predominance.

The Influence of Calcium Chloride on the Setting Time, Solubility, Disintegration, and pH of Mineral Trioxide Aggregate and White Portland Cement with a Radiopacifier

This study evaluated the influence of addition of 10% calcium chloride (CaCl(2)) on the setting time, solubility, disintegration, and pH of white MTA (WMTA) and white Portland cement (WPC). A test of the setting time was performed following the #57 ADA specifications and a test of the final setting time according to the ASTM. For the solubility tests disintegration and pH, Teflon rings were filled with the cements and weighed after setting. After 24 h in a desiccator, they were once again weighed. Thereafter, they were immersed in MiliQ water for 24 and 72 h and 7, 14, and 28 days, with maintenance in the desiccator and weighing between periods. The pH of water in which the rings were immersed was measured immediately after contact with them and in the other periods. The addition of CaCl(2) provided a significant reduction (50%) in the initial setting time of cements. The final setting time of WMTA was reduced in 35.5% and the final setting time of WPC in 68.5%. The WMTA with CaCl(2) absorbed water and gained weight with time, except for in the 24-h period. The addition of CaCl(2) to the WPC reduced its solubility. The addition of CaCl(2) increased the pH of WMTA in the immediate period and at 24 and 72 h and for WPC in the immediate period and at 24 h. The addition of CaCl(2) to WMTA and WPC reduced the setting times and solubility of both and increased the pH of cements in the initial periods. (J Endod 2009;35:550-554)

Presence of arsenic in different types of MTA and white and gray Portland cement

Objective. The presence of arsenic in various types of mineral trioxide aggregate (MTA) and Portland cements were evaluated to verify if they comply with the ISO-recommended limit for water-based cements of 2 mg arsenic/kg material. Study design. An amount of 5 mL of hydrochloric acid was added to 2 g each of MTA and Portland cement to be analyzed. After 15 minutes, the material was filtered and the volume of supernatant was diluted with reagent-grade water up to 40 mL. Atomic absorption spectrophotometry readings were performed in triplicate. Results. The following mean values were obtained: CPM (Egeo, Buenos Aires, Argentina) 11.06 mg/kg; CPM sealer (Egeo) 10.30 mg/kg; MTA- Obtura (Angelus, Londrina, PR, Brazil) 0.39 mg/kg; Experimental MTA: 10.30 mg/kg; White MTA- Angelus (Angelus) 1.03 mg/kg; Gray MTA- Angelus (Angelus) 5.91 mg/kg; ProRoot-MTA (Dentsply/Tulsa Dental Specialties, Tulsa, OK) 5.25 mg/kg; Gray Portland cement (Votorantim Cimentos, Cubatao, SP, Brazil): 34.27 mg/kg; and White Portland cement (Cimento Rio Branco, Rio de Janeiro, RJ, Brazil) 0.52 mg/kg. Conclusion. All tested materials presented arsenic in their composition. The form of arsenic was not analyzed nor the toxicity of the arsenic found. Only MTA- Obtura, White MTA- Angelus, and White Portland cement presented arsenic levels below the limit set in the ISO 9917-1 standard. (Oral Surg Oral Med Oral Pathol Oral Radiol Endod 2008; 106: 909-913)

Differences in physical activity between black and white girls living in rural and urban areas

This study examined the relationship of race and rural/urban setting to physical, behavioral, psychosocial, and environmental factors associated with physical activity. Subjects included 1,668 eighth-grade girls from 31 middle schools: 933 from urban settings, and 735 from rural settings. Forty-six percent of urban girls and 59% of rural girls were Black. One-way and two-way ANOVAs with school as a covariate were used to analyze the data. Results indicated that most differences were associated with race rather than setting. Black girls were less active than White girls, reporting significantly fewer 30-minute blocks of both vigorous and moderate-to-vigorous physical activity. Black girls also spent more time watching television, and had higher BMIs and greater prevalence of overweight than White girls. However, enjoyment of physical education and family involvement in physical activity were greater among Black girls titan White girls. Rural White girls and urban Black girls had more favorable attitudes toward physical activity. Access to sports equipment, perceived safety of neighborhood, and physical activity self-efficacy were higher in White girls than Black girls.

Black and white and re(a)d all over again: Indigenous minstrelsy in contemporary Canadian and Australian theatre

This essay considers processes by which community identities are challenged by discussing the use of whiteface as an activist strategy in recent indigenous theatre in Canada and Australia. To understand whiteface, I employ Susan Gubar's notion of racechange, processes that test and even transgress racial borders. I also situate whiteface in relation to the history of blackface minstrelsy. Noting the ways these racial performances affirm the hierarchies of color and how power becomes invested in such color codings, the essay highlights indigenous employment of whiteface as a potential form of critical historiography. I then analyze how whiteface functions in two productions, Daniel David Moses's Almighty Voice and His Wife (1991) in Canada and the Queensland Theatre Company's 2000 revival of George Landen Dann's Fountains Beyond in Australia. My analysis posits that such indigenous performances of whiteface can affirm the identity of the marginalized other even as they destabilize the fixity of race and its meanings.

Long-term prognosis of geriatric major depression in relation to cognition and white matter integrity: follow up of two cases

INTRODUCTION: The geriatric depression (GD) represents one of the most frequent psychiatric disorders in outpatient services specialized in old-age treatment. OBJECTIVE: The course of two illustrative cases of GD is discussed, highlighting its clinical picture after antidepressant treatment and underlining variables related to disease prognosis, treatment effectiveness and conversion to major cognitive disorders such as vascular dementia (VD). METHODS: The cognitive performance, depressive symptoms, autonomy and brain structural measurements as white matter hyperintensities (WMH) and hippocampal size, and microstructural integrity of WM with diffusion tensor imaging were followed during four years. RESULTS: Case 1, with a severe degree of WMH, was associated with worsening cognition and increasing functional disability. Case 2, with mild WMH, an improvement of cognitive functioning could be seen. CONCLUSIONS: The existence of different subtypes of GD, as presented in this report, points a pathophysiological heterogeneity of GD, and suggests a possible continuum vascular depression (VaDp) and vascular cognitive impairment (VCI).

Service offshoring and white-collar employment

This paper empirically studies the effects of service offshoring on white-collar employment, using data for more than one hundred U.S. occupations. A model of firm behavior based on separability allows to derive the labor demand elasticity with respect to service offshoring for each occupation. Estimation is performed with Quasi-Maximum Likelihood, to account for high degrees of censoring in the employment variable. The estimated elasticities are then related to proxies for the skill level and the degree of tradability of the occupations. Results show that service offshoring increases high skilled employment and decreases medium and low skilled employment. Within each skill group, however, service offshoring penalizes tradable occupations and benefits non-tradable occupations.