Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is correlated to the non-traded asset. Our main contribution to this particular problem is to show that our seller/buyer prices are the upper/lower good deal bounds of Cochrane and Sa\'{a}-Requejo (2000) and of Bj\"{o}rk and Slinko (2006) and to determine the analytical properties of these prices. Second, we apply our method to price options in the presence of stochastic volatility. Our main contribution to this problem is to show that the instantaneous Sharpe ratio, an integral ingredient in our methodology, is the negative of the market price of volatility risk, as defined in Fouque, Papanicolaou, and Sircar (2000).Comment: Keywords: Pricing derivative securities, incomplete markets, Sharpe ratio, correlated assets, stochastic volatility, non-linear partial differential equations, good deal bound

Hypogene Calcitization: Evaporite Diagenesis in the Western Delaware Basin

Evaporite calcitization within the Castile Formation of the Delaware Basin is more widespread and diverse than originally recognized. Coupled field and GIS studies have identified more than 1000 individual occurrences of calcitization within the Castile Formation outcrop area, which includes both calcitized masses (limestone buttes) and laterally extensive calcitized horizons (limestone sheets). Both limestone buttes and sheets commonly contain a central brecciated zone that we attribute to hypogene dissolution. Lithologic fabric of calcitized zones ranges from little alteration of original varved laminae to fabrics showing extensive laminae distortion as well as extensive vuggy and open cavernous porosity. Calcitization is most abundant in the western portion of the Castile outcrop region where surface denudation has been greatest. Calcitization often forms linear trends, indicating fluid migration along fractures, but also occurs as dense clusters indicating focused, ascending, hydrocarbon-rich fluids. Native sulfur, secondary tabular gypsum (i.e. selenite) and hypogene caves are commonly associated with clusters of calcitization. This assemblage suggests that calcium sulfate diagenesis within the Castile Formation is dominated by hypogene speleogemesis

Towards liver-directed gene therapy: Retrovirus-mediated gene transfer into human hepatocytes

Liver-directed gene therapy is being considered in the treatment of inherited metabolic diseases. One approach we are considering is the transplantation of autologous hepatocytes that have been genetically modified with recombinant retroviruses ex vivo. We describe, in this report, techniques for isolating human hepatocytes and efficiently transducing recombinant genes into primary cultures. Hepatocytes were isolated from tissue of four different donors, plated in primary culture, and exposed to recombinant retroviruses expressing either the LacZ reporter gene or the cDNA for rabbit LDL receptor. The efficiency of gene transfer under optimal conditions, as determined by Southern blot analysis, varied from a maximum of one proviral copy per cell to a minimum of 0.1 proviral copy per cell. Cytochemical assays were used to detect expression of the recombinant derived proteins, E. coli β-galactosidase and rabbit LDL receptor. Hepatocytes transduced with the LDL receptor gene expressed levels of receptor protein that exceeded the normal endogenous levels. The ability to isolate and genetically modify human hepatocytes, as described in this report, is an important step towards the development of liver-directed gene therapies in humans.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/45540/1/11188_2005_Article_BF01233625.pd

Graph Minors and Parameterized Algorithm Design

Abstract. The Graph Minors Theory, developed by Robertson and Sey-mour, has been one of the most influential mathematical theories in pa-rameterized algorithm design. We present some of the basic algorithmic techniques and methods that emerged from this theory. We discuss its direct meta-algorithmic consequences, we present the algorithmic appli-cations of core theorems such as the grid-exclusion theorem, and we give a brief description of the irrelevant vertex technique

Towards an understanding of neuroscience for science educators

Advances in neuroscience have brought new insights to the development of cognitive functions. These data are of considerable interest to educators concerned with how students learn. This review documents some of the recent findings in neuroscience, which is richer in describing cognitive functions than affective aspects of learning. A brief overview is presented here of the techniques used to generate data from imaging and how these findings have the possibility to inform educators. There are implications for considering the impact of neuroscience at all levels of education – from the classroom teacher and practitioner to policy. This relatively new cross-disciplinary area of research implies a need for educators and scientists to engage with each other. What questions are emerging through such dialogues between educators and scientists are likely to shed light on, for example, reward, motivation, working memory, learning difficulties, bilingualism and child development. The sciences of learning are entering a new paradigm

Measurement of the B+B^+ Total Cross Section and B+B^+ Differential Cross Section dσ/dpTd\sigma/dp_T in ppˉp \bar p Collisions at s=1.8\sqrt{s}=1.8 TeV

We present measurements of the B+ meson total cross section and differential cross section $d\sigma/ dp_T$. The measurements use a $98\pm 4$ pb^{-1} sample of $p \bar p$ collisions at $\sqrt{s}=1.8$ TeV collected by the CDF detector. Charged $B$ meson candidates are reconstructed through the decay $B^{\pm} \to J/\psi K^{\pm}$ with $J/\psi\to \mu^+ \mu^-$. The total cross section, measured in the central rapidity region $|y|6.0$ GeV/$c$, is $3.6 \pm 0.6 ({\rm stat} \oplus {\rm syst)} \mu$b. The measured differential cross section is substantially larger than typical QCD predictions calculated to next-to-leading order