The escape problem under stochastic volatility: the Heston model

We solve the escape problem for the Heston random diffusion model. We obtain exact expressions for the survival probability (which ammounts to solving the complete escape problem) as well as for the mean exit time. We also average the volatility in order to work out the problem for the return alone regardless volatility. We look over these results in terms of the dimensionless normal level of volatility --a ratio of the three parameters that appear in the Heston model-- and analyze their form in several assymptotic limits. Thus, for instance, we show that the mean exit time grows quadratically with large spans while for small spans the growth is systematically slower depending on the value of the normal level. We compare our results with those of the Wiener process and show that the assumption of stochastic volatility, in an apparent paradoxical way, increases survival and prolongs the escape time.Comment: 29 pages, 12 figure

Accounting for risk of non linear portfolios: a novel Fourier approach

The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.Comment: 10 pages, 12 figures. Final version accepted for publication on Eur. Phys. J.

Potenciales agentes de biocontrol de las principales enfermedades de poscosecha del Kiwi en Argentina

El objetivo de este trabajo fue identificar enfermedades del fruto de Kiwi en poscosecha, conocer sus agentes causales y disponer de métodos de control alternativos que minimicen el uso de agroquímicos. El uso de microorganismos antagonistas ofrece una alternativa complementaria de escasos antecedentes y no explorada en Argentina. Se identificaron enfermedades fúngicas a partir de frutos enfermos y se seleccionaron potenciales antagonistas desde la micoflora asociada al filoplano, fruto y suelo del cultivo de kiwi. La capacidad antagónica se evaluó in vitro. Se identificaron como agentes causales de podredumbres a Botrytis cinerea, Alternaria alternata y Pestalotiopsis sp. Los antagonistas seleccionados fueron Epicoccum nigrum y Trichoderma harzianum. Las cepas de T. harzianum presentaron efecto antagónico reduciendo significativamente la expresión de la enfermedad. Existen hongos saprobios que pueden utilizarse en el manejo integrado de enfermedades del kiwi.There is little information about diseases of Kiwi fruit in postharvest. It is necessary to know their causal agents and alternative control methods to minimize the use of agrochemicals. Antagonistic microorganisms offer a complementary alternative to analyze. The objectives of this study were to identify postharvest diseases and select antagonists to be used as biocontrol agents. Microorganisms were isolated from diseased fruits and pathogenicity tests were performed. Potential antagonists were selected from micoflora associated to phyloplane, fruit and soil cultivation. The antagonistic capability was assessed in vitro. Botrytis cinerea, Alternaria alternata, and Pestalotiopsis sp. were identified as causal agents of kiwi rot. Epicoccum nigrum and three strains of Trichoderma harzianum were selected as antagonists to perform biocontrol bioassays under in vitro conditions. T. harzianum strains tested showed antagonistic effect when compared with the controls. This saprophytes fungi could be used into an integrated kiwi diseases management.Eje A1 Sistemas de producción de base agroecológica (Trabajos científicos

Potenciales agentes de biocontrol de las principales enfermedades de poscosecha del Kiwi en Argentina

El objetivo de este trabajo fue identificar enfermedades del fruto de Kiwi en poscosecha, conocer sus agentes causales y disponer de métodos de control alternativos que minimicen el uso de agroquímicos. El uso de microorganismos antagonistas ofrece una alternativa complementaria de escasos antecedentes y no explorada en Argentina. Se identificaron enfermedades fúngicas a partir de frutos enfermos y se seleccionaron potenciales antagonistas desde la micoflora asociada al filoplano, fruto y suelo del cultivo de kiwi. La capacidad antagónica se evaluó in vitro. Se identificaron como agentes causales de podredumbres a Botrytis cinerea, Alternaria alternata y Pestalotiopsis sp. Los antagonistas seleccionados fueron Epicoccum nigrum y Trichoderma harzianum. Las cepas de T. harzianum presentaron efecto antagónico reduciendo significativamente la expresión de la enfermedad. Existen hongos saprobios que pueden utilizarse en el manejo integrado de enfermedades del kiwi.There is little information about diseases of Kiwi fruit in postharvest. It is necessary to know their causal agents and alternative control methods to minimize the use of agrochemicals. Antagonistic microorganisms offer a complementary alternative to analyze. The objectives of this study were to identify postharvest diseases and select antagonists to be used as biocontrol agents. Microorganisms were isolated from diseased fruits and pathogenicity tests were performed. Potential antagonists were selected from micoflora associated to phyloplane, fruit and soil cultivation. The antagonistic capability was assessed in vitro. Botrytis cinerea, Alternaria alternata, and Pestalotiopsis sp. were identified as causal agents of kiwi rot. Epicoccum nigrum and three strains of Trichoderma harzianum were selected as antagonists to perform biocontrol bioassays under in vitro conditions. T. harzianum strains tested showed antagonistic effect when compared with the controls. This saprophytes fungi could be used into an integrated kiwi diseases management.Eje A1 Sistemas de producción de base agroecológica (Trabajos científicos

Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model

We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein-Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones Index data.Comment: 26 pages, 6 colored figure

Extreme times in financial markets

We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage time. We set the general equations for these extremes and evaluate the mean exit time for actual data.Comment: 6 pages, 3 figure

Extreme times for volatility processes

We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major financial indices. We find in all these data sets a very similar behavior that is far from being that of a simple Wiener process. It seems necessary to include a framework like the one provided by stochastic volatility models with a reverting force driving volatility toward its normal level to take into account memory and clustering effects in volatility dynamics. We also detect in data a very different behavior in the mean first-passage time depending whether the level is higher or lower than the normal level of volatility. For this reason, we discuss asymptotic approximations and confront them to empirical results with a good agreement, specially with the ExpOU model.Comment: 10, 6 colored figure

Discounting the Distant Future: What Do Historical Bond Prices Imply about the Long-Term Discount Rate?

We present a thorough empirical study on real interest rates by also including risk aversion through the introduction of the market price of risk. From the viewpoint of complex systems science and its multidisciplinary approach, we use the theory of bond pricing to study the long-term discount rate to estimate the rate when taking historical US and UK data, and to further contribute to the discussion about the urgency of climate action in the context of environmental economics and stochastic methods. Century-long historical records of 3-month bonds, 10-year bonds, and inflation allow us to estimate real interest rates for the UK and the US. Real interest rates are negative about a third of the time and the real yield curves are inverted more than a third of the time, sometimes by substantial amounts. This rules out most of the standard bond-pricing models, which are designed for nominal rates that are assumed to be positive. We, therefore, use the Ornstein–Uhlenbeck model, which allows negative rates and gives a good match to inversions of the yield curve. We derive the discount function using the method of Fourier transforms and fit it to the historical data. The estimated long-term discount rate is 1.7% for the UK and 2.2% for the US. The value of 1.4% used by Stern is less than a standard deviation from our estimated long-run return rate for the UK, and less than two standard deviations of the estimated value for the US. All of this once more reinforces the need for immediate and substantial spending to combat climate change

Impact of the new handling recommendations for hazardous drugs in a hospital pharmacy service

Objective: To describe the actions taken by the Pharmacy Unit in a tertiary hospital in order to adapt to the recommendations established by NIOSH 2014 for handling Hazardous Drugs. Method: A retrospective observational study. A list was prepared including all hazardous drugs according to NIOSH 2014 that were available at the hospital as marketed or foreign drugs, or used in clinical trials, and there was a review of the processes of acquisition, repackaging, preparation, circuits, organizational, dispensing and identification. Results: After the analysis, a report including all needs was prepared and sent to the Hospital Management. Any relevant information about the handling and administration of hazardous drugs was included in the prescription computer program. There were changes in the acquisition process of two drugs, in order to avoid splitting and multi-dose formulations. An alternative or improvement was found for 35 253 of the 75 779 units of hazardous drugs repackaged in one year. The Pharmacy Unit took over the preparation of four non-sterile medications, as well as the preparation of all sterile parenteral medications included in Lists 1 and 2 that were not previously prepared there, as well as one from List 3. Information was also included about the preparation processes of Magistral Formulations that involved hazardous drugs from Lists 2 or 3

Anatomical and chemical modifications in the wood of specimens of trees of La Plata city (Buenos Aires) caused by Laetiporus sulphureus (Basidiomycota, Polyporales).

A nivel mundial, Laetiporus sulphureus es un importante patógeno causante de pudriciones castañas en el arbolado urbano. En la ciudad de La Plata, dicho hongo fue hallado en ejemplares de álamo blanco, fresno americano, eucalipto y paraíso gigante. El objetivo del trabajo fue analizar las alteraciones estructurales y químicas ocasionadas por L. sulphureus en el leño de álamo blanco, fresno americano, eucalipto y paraíso gigante con el propósito de dimensionar el riesgo que implica su deterioro para los habitantes, sus bienes y la diversidad arbórea de la ciudad. Los estudios anatómicos fueron realizados con microscopios óptico y electrónico de barrido. Los análisis químicos se llevaron a cabo en muestras de fresno y paraíso, según normas TAPPI. En todos los ejemplares el daño se localizó en el duramen, registrándose caracteres típicos de estadios avanzados de pudrición castaña. En cada especie se registraron alteraciones particulares a nivel anatómico y químico, compatibles con las diferencias estructurales entre ellas. Esta es la primera contribución regional sobre el tipo y grado de deterioro registrados en especies infectadas naturalmente por L. sulphureus, de utilidad para la comprensión de los riesgos que ello implica en el contexto urbano.L. sulphureus is an important pathogen causing brown rot in urban trees worldwide. In La Plata city, this fungus was found in specimens of white poplar, green ash, eucalyptus and chinaberry. The objective of this study was to analyze the structural and chemical alterations caused by L. sulphureus in white poplar, green ash, eucalyptus and chinaberry in order to contribute to the diagnosis of the risk that implies their deterioration for inhabitants, their goods and tree diversity in the city. Anatomical studies were performed using light and scanning electron microscopes. Chemical analyses were carried out on samples of green ash and chinaberry, according to TAPPI standards. In all instances the damage was located in the heartwood, showing typical characteristics of advanced stages of brown rot decay. For each species specific alterations at the anatomical and chemical levels were registered, compatible with their structural differences. This is the first regional contribution on the type and degree of deterioration recorded in species naturally affected by L. sulphureus, useful for understanding the risks involved in the urban context.Facultad de Ciencias Agrarias y Forestale