Perpetual Options and Canadization Through Fluctuation Theory

In this article it is shown that one is able to evaluate the price of perpetual calls, puts, Russian and integral options directly as the Laplace transform of a stopping time of an appropriate diusion using standard uctuation theory. This approach is oered in contrast to the approach of optimal stopping through free boundary problems [see volume 39,1 of Theory of Probability and its Applications]. Following ideas in [5], we discuss the Canadization of these options as a method of approximation to their nite time counterparts. Fluctuation theory is again used in this case

Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk

For a given Markov process $X$ and survival function $\overline{H}$ on $\mathbb{R}^+$, the inverse first-passage time problem (IFPT) is to find a barrier function $b:\mathbb{R}^+\to[-\infty,+\infty]$ such that the survival function of the first-passage time $\tau_b=\inf \{t\ge0:X(t)<b(t)\}$ is given by $\overline{H}$. In this paper, we consider a version of the IFPT problem where the barrier is fixed at zero and the problem is to find an initial distribution $\mu$ and a time-change $I$ such that for the time-changed process $X\circ I$ the IFPT problem is solved by a constant barrier at the level zero. For any L\'{e}vy process $X$ satisfying an exponential moment condition, we derive the solution of this problem in terms of $\lambda$-invariant distributions of the process $X$ killed at the epoch of first entrance into the negative half-axis. We provide an explicit characterization of such distributions, which is a result of independent interest. For a given multi-variate survival function $\overline{H}$ of generalized frailty type, we construct subsequently an explicit solution to the corresponding IFPT with the barrier level fixed at zero. We apply these results to the valuation of financial contracts that are subject to counterparty credit risk.Comment: Published at http://dx.doi.org/10.1214/14-AAP1051 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

The fetal profile line:a proposal for a sonographic reference line to classify forehead and mandible anomalies in the second and third trimester

Objectives To test the fetal profile (FP) line, defined as the line that passes through the anterior border of the mandible and the nasion, as a reference line for forehead and mandible anomalies. Methods Volumes of 248 normal and 24 pathological fetuses (1636 and 1937?weeks gestation, respectively) were analysed retrospectively. When the FP line passes anteriorly, across or posteriorly to the frontal bone, this was defined as negative, zero or positive, respectively. When the FP line was positive the distance (F distance) between the FP line and the frontal bone was measured. Results No cases with a negative FP line were found in the normal fetuses. Before 27?weeks gestation the FP line was always zero except in one case. After 27?weeks gestation the FP line was positive in up to 25% (F distance (mean, range): 2.8, 2.13.6?mm). The FP line correctly identified 13 cases with retrognathia, 5 cases with frontal bossing and 3 cases with a sloping forehead. Conclusion Although large prospective studies are needed, the FP line may be a useful tool to detect second trimester profile anomalies such as retrognathia, sloping forehead and frontal bossing with the possibility of quantifying the latter. (c) 2012 John Wiley & Sons, Ltd

The Pan-African Gorée Institute at Thirty: A Tribute to Breyten Breytenbach and the Power of the Imagination

Amid mounting assaults on political freedom and self-determination – both on the African continent and further afield, the work of the Pan-African Gorée Institute for Democracy, Development and Culture in Africa is more urgent than ever. This article reflects on the first thirty years of the Institute’s existence. It pays special attention to GORIN’s creative projects, developed under the motto ‘Imagine Africa’, and reflects on South African poet Breyten Breytenbach’s formative role in the establishment of GORIN’s cultural activities. The article concludes with a call for renewed engagement with GORIN’s pan-African democratic endeavours

From working collections to the World Germplasm Project: agricultural modernization and genetic conservation at the Rockefeller Foundation

This paper charts the history of the Rockefeller Foundation’s participation in the collection and long-term preservation of genetic diversity in crop plants from the 1940s through the 1970s. In the decades following the launch of its agricultural program in Mexico in 1943, the Rockefeller Foundation figured prominently in the creation of world collections of key economic crops. Through the efforts of its administrators and staff, the foundation subsequently parlayed this experience into a leadership role in international efforts to conserve so-called plant genetic resources. Previous accounts of the Rockefeller Foundation’s interventions in international agricultural development have focused on the outcomes prioritized by foundation staff and administrators as they launched assistance programs and especially their characterization of the peoples and ‘‘problems’’ they encountered abroad. This paper highlights instead how foundation administrators and staff responded to a newly emergent international agricultural concern—the loss of crop genetic diversity. Charting the foundation’s responses to this concern, which developed only after agricultural modernization had begun and was understood to be produced by the successes of the foundation’s own agricultural assistance programs, allows for greater interrogation of how the foundation understood and projected its central position in international agricultural research activities by the 1970s.Research for this article was supported in part by a grant-in-aid from the Rockefeller Archive Center

Queues with Lévy input and hysteretic control

We consider a (doubly) reflected Lévy process where the Lévy exponent is controlled by a hysteretic policy consisting of two stages. In each stage there is typically a different service speed, drift parameter, or arrival rate. We determine the steady-state performance, both for systems with finite and infinite capacity. Thereby, we unify and extend many existing results in the literature, focusing on the special cases of M/G/1 queues and Brownian motion. © The Author(s) 2009

Trisomy 21 screening with αlpha software and the Fetal Medicine Foundation algorithm

Background. Screening for trisomy 21 provides pregnant women with accurate risk information. Different algorithms are used to screen for trisomy 21 in South Africa (SA). The Fetal Medicine Foundation (FMF) provides software to screen for trisomy 21 in the first trimester by ultrasound or a combination of ultrasound and biochemistry (combined screening), and requires regular and stringent quality control. With αlpha software, first trimester combined screening and screening with biochemistry alone in the first or second trimester are possible. The αlpha screening requires quality control of biochemical tests, but not of ultrasound measurements. Ideally, a screening test should have a high detection and a low screen positive rate. Despite the availability of these screening programmes, only a minority of infants with trisomy 21 are detected prenatally, raising questions about the effectiveness of screening. Objectives. To determine the screen positive and detection rates of prenatal screening for trisomy 21 in the SA private healthcare system. Methods. Data from the three largest laboratories collected between 2010 and 2015 were linked with genetic tests to assess screen positive and detection rates. Biochemical screening alone with αlpha software (first or second trimester) and combined screening using either FMF or αlpha software were compared. Results. One-third of an estimated 675 000 pregnancies in private practice in the 6-year study period underwent screening. There were 687 cases of trisomy 21 in 225 021 pregnancies, with only 239 (35%) diagnosed prenatally. The screen positive rates were 11.8% for first trimester biochemistry, 7.6% for second trimester biochemistry, 7.3% for first trimester FMF software ultrasound alone, 3.7% for combined first trimester screening with FMF software, and 3.5% for combined first trimester screening with αlpha software. The detection rates for a 5% false positive rate were 63% for first trimester biochemistry, 69% for second trimester biochemistry, 95% for combined first trimester screening with FMF software and 80% for combined first trimester screening with αlpha software. Detection and confirmation rates were highest with FMF software. Conclusion. Screening with FMF software has a similar screen positive rate and better detection rate than screening with αlpha software. The low prenatal detection rate of trisomy 21 is mainly due to a low prevalence of screening. More research is needed in the SA setting to explore why screening and confirmatory testing after high-risk results are not performed in many pregnancies

Discourses of conflict and collaboration and institutional context in the implementation of forest conservation policies in Soria, Spain

This article examines the emergence of conflict and collaboration in the implementation of forest conservation policies in Soria, Spain. We draw insights from discursive institutionalism and use a comparative case study approach to analyse and compare a situation of social conflict over the Natural Park declaration in the Sierra de Urbión, and a civil society led collaborative process to develop management plans for the “Sierra de Cabrejas” in Soria. The implementation of the EU Habitats Directive generated different outcomes in these two cases, which unfolded in the context of the same nature conservation legislation and national and provincial administrative structures but differed in terms of types of forests involved, property rights arrangements and forest use histories. We critically examine the influence of the institutional context and dominant discourses on the emergence of outcomes: conflict emerged where local institutions and discourses were threatened by the EU directive, while collaboration was possible where local institutions and counter-discourses were weak. We find that the institutional context plays an important part in determining local discourses in the implementation of forest conservation policies. Yet local counter-discourses have limited influence in the implementation and policy processes in the face of contestation by the discourses of regional civil servants conservation activists