Stochastic model for market stocks with strong resistance

We present several models to describe the stochastic evolution of stocks that show some strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related in a certain way we show that our model can be integrated in an exact way. The related problem of how to prize general securities that pay dividends at a continuous rate and earn a terminal payoff at maturity is solved via the martingale probability approach.Comment: Proceedings of the conference APFA

The effect of non-ideal market conditions on option pricing

Option pricing is mainly based on ideal market conditions which are well represented by the Geometric Brownian Motion (GBM) as market model. We study the effect of non-ideal market conditions on the price of the option. We focus our attention on two crucial aspects appearing in real markets: The influence of heavy tails and the effect of colored noise. We will see that both effects have opposite consequences on option pricing.Comment: 26 pages and 8 colored figures. Invited Talk in "Horizons in complex systems", Messina, 5-8 December 2001. To appear in Physica-

What makes an operational Farm Soil Carbon Code? Insights from a global comparison of existing soil carbon codes using a structured analytical framework

Soils have the potential to sequester and store significant amounts of carbon, contributing towards climate change mitigation. Soil carbon markets are now emerging to pay farmers for changes in land use or management that absorb carbon from the atmosphere, governed by codes that ensure additionality, permanence and non-leakage whilst protecting against unintentional reversals. This paper represents the first global comparative analysis of agricultural soil carbon codes, providing new insights into the wide range of approaches currently used to govern these emerging markets internationally. To do this, the paper first develops an analytical framework for the systematic comparison of codes, which could be applied to the analysis of codes in other land uses and habitats. This framework was then used to identify commonalities and differences in methods, projects, administration and commercialisation and associated code documents for 12 publicly available codes from the UK, France, Australia, USA and international bodies. Codes used a range of mechanisms to manage: additionality (including legal, adoption, financial viability and investment tests); uncertainty and risks around soil carbon sequestration (including minimum permanence periods, carbon buffers, contractual arrangements and/or insurance policies); leakage (including restriction of eligible practices and monitoring to subtract leakage from verified sequestration); baselines (including multi-year and variable buffers based on empirical data or models); measurement, reporting and verification methods (stipulating time intervals, methods, data sources and assessments of uncertainty); auditing; resale of carbon units; stakeholder engagement; and approaches to ensure market integrity (such as buyer checks). The paper concludes by discussing existing MRV methods and codes that could be adapted for use in the UK and evaluates the need for an over-arching standard for soil carbon codes in the UK, to which existing codes and other schemes already generating soil carbon credits could be assessed and benchmarked

Using stable isotopes and continuous meltwater river monitoring to investigate the hydrology of a rapidly retreating Icelandic outlet glacier

Virkisjökull is a rapidly retreating outlet glacier draining the western flanks of Öræfajökull in SE Iceland. Since 2011 there have been continuous measurements of flow in the proglacial meltwater channel and regular campaigns to sample stable isotopes δ2H and δ18O from the river, ice, moraine springs and groundwater. The stable isotopes provide reliable end members for glacial ice and shallow groundwater. Analysis of data from 2011 to 2014 indicates that although ice and snowmelt dominate summer riverflow (mean 5.3–7.9 m3 s−1), significant flow is also observed in winter (mean 1.6–2.4 m3 s−1) due primarily to ongoing glacier icemelt. The stable isotope data demonstrate that the influence of groundwater discharge from moraines and the sandur aquifer increases during winter and forms a small (15–20%) consistent source of baseflow to the river. The similarity of hydrological response across seasons reflects a highly efficient glacial drainage system, which makes use of a series of permanent englacial channels within active and buried ice throughout the year. The study has shown that the development of an efficient year round drainage network within the lower part of the glacier has been coincident with the stagnation and subsequent rapid retreat of the glacier

Child/Adolescent Anxiety Multimodal Study (CAMS): rationale, design, and methods

<p>Abstract</p> <p>Objective</p> <p>To present the design, methods, and rationale of the Child/Adolescent Anxiety Multimodal Study (CAMS), a recently completed federally-funded, multi-site, randomized placebo-controlled trial that examined the relative efficacy of cognitive-behavior therapy (CBT), sertraline (SRT), and their combination (COMB) against pill placebo (PBO) for the treatment of separation anxiety disorder (SAD), generalized anxiety disorder (GAD) and social phobia (SoP) in children and adolescents.</p> <p>Methods</p> <p>Following a brief review of the acute outcomes of the CAMS trial, as well as the psychosocial and pharmacologic treatment literature for pediatric anxiety disorders, the design and methods of the CAMS trial are described.</p> <p>Results</p> <p>CAMS was a six-year, six-site, randomized controlled trial. Four hundred eighty-eight (N = 488) children and adolescents (ages 7-17 years) with DSM-IV-TR diagnoses of SAD, GAD, or SoP were randomly assigned to one of four treatment conditions: CBT, SRT, COMB, or PBO. Assessments of anxiety symptoms, safety, and functional outcomes, as well as putative mediators and moderators of treatment response were completed in a multi-measure, multi-informant fashion. Manual-based therapies, trained clinicians and independent evaluators were used to ensure treatment and assessment fidelity. A multi-layered administrative structure with representation from all sites facilitated cross-site coordination of the entire trial, study protocols and quality assurance.</p> <p>Conclusions</p> <p>CAMS offers a model for clinical trials methods applicable to psychosocial and psychopharmacological comparative treatment trials by using state-of-the-art methods and rigorous cross-site quality controls. CAMS also provided a large-scale examination of the relative and combined efficacy and safety of the best evidenced-based psychosocial (CBT) and pharmacologic (SSRI) treatments to date for the most commonly occurring pediatric anxiety disorders. Primary and secondary results of CAMS will hold important implications for informing practice-relevant decisions regarding the initial treatment of youth with anxiety disorders.</p> <p>Trial registration</p> <p>ClinicalTrials.gov NCT00052078.</p

Tidal flat deposits of the Lower Proterozoic Campbell Group along the southwestern margin of the Kaapvaal Craton, Northern Cape Province, South Africa

Lower Proterozoic stromatolites and associated clastic carbonate deposits of the Campbell Group, from the southern margin (Prieska area) of the Kaapvaal Craton, northern Cape Province, are described. Contrary to previous interpretations (Beukes, 1978; 1980a) shallow subtidal to supratidal facies are recognised and discussed in regional context. An alternative model for the facies development of the Campbell Group is proposed

The 1.6 micron near infrared nuclei of 3C radio galaxies: Jets, thermal emission or scattered light?

Using HST NICMOS 2 observations we have measured 1.6-micron near infrared nuclear luminosities of 100 3CR radio galaxies with z<0.3, by modeling and subtracting the extended emission from the host galaxy. We performed a multi-wavelength statistical analysis (including optical and radio data) of the properties of the nuclei following classification of the objects into FRI and FRII, and LIG (low-ionization galaxies), HIG (high-ionization galaxies) and BLO (broad-lined objects) using the radio morphology and optical spectra, respectively. The correlations among near infrared, optical, and radio nuclear luminosity support the idea that the near infrared nuclear emission of FRIs has a non-thermal origin. Despite the difference in radio morphology, the multi-wavelength properties of FRII LIG nuclei are statistically indistinguishable from those of FRIs, an indication of a common structure of the central engine. All BLOs show an unresolved near infrared nucleus and a large near infrared excess with respect to FRII LIGs and FRIs of equal radio core luminosity. This requires the presence of an additional (and dominant) component other than the non-thermal light. Considering the shape of their spectral energy distribution, we ascribe the origin of their near infrared light to hot circumnuclear dust. A near infrared excess is also found in HIGs, but their nuclei are substantially fainter than those of BLO. This result indicates that substantial obscuration along the line-of-sight to the nuclei is still present at 1.6 micron. Nonetheless, HIGs nuclei cannot simply be explained in terms of dust obscuration: a significant contribution from light reflected in a circumnuclear scattering region is needed to account for their multiwavelength properties.Comment: 20 pages, 16 figures. Accepted for publication on Ap

Rationale, design and methods of the Study of Work and Pain (SWAP): a cluster randomised controlled trial testing the addition of a vocational advice service to best current primary care for patients with musculoskeletal pain (ISRCTN 52269669)

Background Musculoskeletal pain is a major contributor to short and long term work absence. Patients seek care from their general practitioner (GP) and yet GPs often feel ill-equipped to deal with work issues. Providing a vocational case management service in primary care, to support patients with musculoskeletal problems to remain at or return to work, is one potential solution but requires robust evaluation to test clinical and cost-effectiveness. Methods/Design This protocol describes a cluster randomised controlled trial, with linked qualitative interviews, to investigate the effect of introducing a vocational advice service into general practice, to provide a structured approach to managing work related issues in primary care patients with musculoskeletal pain who are absent from work or struggling to remain in work. General practices (n = 6) will be randomised to offer best current care or best current care plus a vocational advice service. Adults of working age who are absent from or struggling to remain in work due to a musculoskeletal pain problem will be invited to participate and 330 participants will be recruited. Data collection will be through patient completed questionnaires at baseline, 4 and 12 months. The primary outcome is self-reported work absence at 4 months. Incremental cost-utility analysis will be undertaken to calculate the cost per additional QALY gained and incremental net benefits. A linked interview study will explore the experiences of the vocational advice service from the perspectives of GPs, nurse practitioners (NPs), patients and vocational advisors. Discussion This paper presents the rationale, design, and methods of the Study of Work And Pain (SWAP) trial. The results of this trial will provide evidence to inform primary care practice and guide the development of services to provide support for musculoskeletal pain patients with work-related issues. Trial registration Current Controlled Trials ISRCTN52269669

Evolutionary biology and anthropology suggest biome reconstitution as a necessary approach toward dealing with immune disorders

Industrialized society currently faces a wide range of non-infectious, immune-related pandemics. These pandemics include a variety of autoimmune, inflammatory and allergic diseases that are often associated with common environmental triggers and with genetic predisposition, but that do not occur in developing societies. In this review, we briefly present the idea that these pandemics are due to a limited number of evolutionary mismatches, the most damaging being ‘biome depletion’. This particular mismatch involves the loss of species from the ecosystem of the human body, the human biome, many of which have traditionally been classified as parasites, although some may actually be commensal or even mutualistic. This view, evolved from the ‘hygiene hypothesis’, encompasses a broad ecological and evolutionary perspective that considers host-symbiont relations as plastic, changing through ecological space and evolutionary time. Fortunately, this perspective provides a blueprint, termed 'biome reconstitution', for disease treatment and especially for disease prevention. Biome reconstitution includes the controlled and population-wide reintroduction (i.e. domestication) of selected species that have been all but eradicated from the human biome in industrialized society and holds great promise for the elimination of pandemics of allergic, inflammatory and autoimmune diseases

Upper mantle anisotropy beneath the Geoscope stations

International audienceSeismic anisotropy has been widely studied this last decade, particularly by measuring splitting of vertically propagating core shear waves. The main interest in this technique is to characterize upper mantle flow beneath seismic stations. On the other hand, the major restriction in this method is that a single station gives a single anisotropy measurement. Alternative methods have been developed in order to avoid this restriction. An accurate determination of upper mantle seismic anisotropy beneath a seismic station may allow one, by doing anisotropy correction, to characterize remote or deeper anisotropy. The Geoscope network is ideal for this purpose because it is composed of a large set (about 26) of high-quality, broadband seismometers globally distributed and because some of these stations have run for more than 10 years and most of them for more than 5 years. We selected about 100 events at each site, generally of magnitude (m b) > 6.0, and we performed systematic measurements of the splitting parameters (fast polarization direction φ and delay time δt) on SKS, SKKS, and PKS phases. Splitting on oceanic islands has been difficult to observe owing to the low quality of the signal but also perhaps owing to complex upper mantle structures beneath the stations. Station KIP (Kipapa, Hawaii) in the Pacific is the only oceanic Geoscope station with a clear anisotropy. We determined well-constrained splitting parameters for 10 of the 17 continental stations that may be explained by a single anisotropic layer. The poor correlation between fast polarization directions and the absolute plate motion together with the apparent incoherence between the plate velocities and the observed delay times suggest that a simple drag-induced asthenospheric flow alone fails to explain most of the observations. For some stations located on or near major lithospheric structures (TAM, Tamanrasset, Algeria, for instance), we observe a good correlation between fast polarization directions and regional structures. At station SCZ (Santa Cruz, California), we found clear variations of the splitting parameters as a function of the event backazimuth, compatible with two layers of anisotropy. Three stations (CAN (Canberra), HYB (Hyderabad, India) and SSB (Saint Sauveur Badole, France)) seem to be devoid of detectable anisotropy