Stochastic volatility and leverage effect

We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-called ``leverage effect''. This quantitative measure allows us to fully estimate all parameters involved and it will entail a deeper study on correlated stochastic volatility models with practical applications on option pricing and risk management.Comment: 4 pages, 2 figure

Systems of Hess-Appel'rot type

We construct higher-dimensional generalizations of the classical Hess-Appel'rot rigid body system. We give a Lax pair with a spectral parameter leading to an algebro-geometric integration of this new class of systems, which is closely related to the integration of the Lagrange bitop performed by us recently and uses Mumford relation for theta divisors of double unramified coverings. Based on the basic properties satisfied by such a class of systems related to bi-Poisson structure, quasi-homogeneity, and conditions on the Kowalevski exponents, we suggest an axiomatic approach leading to what we call the "class of systems of Hess-Appel'rot type".Comment: 40 pages. Comm. Math. Phys. (to appear

QCD Corrections to QED Vacuum Polarization

We compute QCD corrections to QED calculations for vacuum polarization in background magnetic fields. Formally, the diagram for virtual $e\bar{e}$ loops is identical to the one for virtual $q\bar{q}$ loops. However due to confinement, or to the growth of $\alpha_s$ as $p^2$ decreases, a direct calculation of the diagram is not allowed. At large $p^2$ we consider the virtual $q\bar{q}$ diagram, in the intermediate region we discuss the role of the contribution of quark condensates \left and at the low-energy limit we consider the $\pi^0$, as well as charged pion $\pi^+\pi^-$ loops. Although these effects seem to be out of the measurement accuracy of photon-photon laboratory experiments they may be relevant for $\gamma$-ray burst propagation. In particular, for emissions from the center of the galaxy (8.5 kpc), we show that the mixing between the neutral pseudo-scalar pion $\pi_0$ and photons renders a deviation from the power-law spectrum in the $TeV$ range. As for scalar quark condensates \left and virtual $q\bar{q}$ loops are relevant only for very high radiation density $\sim 300 MeV/fm^3$ and very strong magnetic fields of order $\sim 10^{14} T$.Comment: 15 pages, 4 figures; Final versio

The Frequency Dependent Conductivity of Electron Glasses

Results of DC and frequency dependent conductivity in the quantum limit, i.e. hw > kT, for a broad range of dopant concentrations in nominally uncompensated, crystalline phosphorous doped silicon and amorphous niobium-silicon alloys are reported. These materials fall under the general category of disordered insulating systems, which are referred to as electron glasses. Using microwave resonant cavities and quasi-optical millimeter wave spectroscopy we are able to study the frequency dependent response on the insulating side of the metal-insulator transition. We identify a quantum critical regime, a Fermi glass regime and a Coulomb glass regime. Our phenomenological results lead to a phase diagram description, or taxonomy, of the electrodynamic response of electron glass systems

Stoichiometry of Heteromeric BAFF and APRIL Cytokines Dictates Their Receptor Binding and Signaling Properties.

The closely related TNF family ligands B cell activation factor (BAFF) and a proliferation-inducing ligand (APRIL) serve in the generation and maintenance of mature B-lymphocytes. Both BAFF and APRIL assemble as homotrimers that bind and activate several receptors that they partially share. However, heteromers of BAFF and APRIL that occur in patients with autoimmune diseases are incompletely characterized. The N and C termini of adjacent BAFF or APRIL monomers are spatially close and can be linked to create single-chain homo- or hetero-ligands of defined stoichiometry. Similar to APRIL, heteromers consisting of one BAFF and two APRILs (BAA) bind to the receptors B cell maturation antigen (BCMA), transmembrane activator and CAML interactor (TACI) but not to the BAFF receptor (BAFFR). Heteromers consisting of one APRIL and two BAFF (ABB) bind to TACI and BCMA and weakly to BAFFR in accordance with the analysis of the receptor interaction sites in the crystallographic structure of ABB. Receptor binding correlated with activity in reporter cell line assays specific for BAFFR, TACI, or BCMA. Single-chain BAFF (BBB) and to a lesser extent single-chain ABB, but not APRIL or single-chain BAA, rescued BAFFR-dependent B cell maturation in BAFF-deficient mice. In conclusion, BAFF-APRIL heteromers of different stoichiometries have distinct receptor-binding properties and activities. Based on the observation that heteromers are less active than BAFF, we speculate that their physiological role might be to down-regulate BAFF activity

Amnesic shellfish poisoning in the king scallop, Pecten maximus, from the west coast of Scotland

Copyright © 2001 D.A. Campbell et al. This is distributed under the Creative Commons Attribution License, which permits use provided the original work is properly cited. Peer reviewed.The king scallop, Pecten maximus, is a valuable economic resource in the UK. The industry relies on supplying premium "roe-on" processed scallops to the continental market. In July 1999, king scallops harboring the amnesic shellfish poisoning (ASP) toxin, domnic acid (DA), in gonadal tissue at levels above the regulatory limit (20 μg DA g-1) were detected across a wide area of northern and western Scotland. In response, a survey of the southern extent of the closed harvest areas was initiated to describe variability of ASP toxin levels over varying spatial scales (5 km); determine the anatomical distribution of the toxin, and identify, isolate, and culture causative Pseudo-nitzschia species. Toxin analysis was conducted using a liquid chromatography-tandem mass spectroscopy (LC-MS/MS) procedure. The DA content of tissues followed the predictable rank order: all other tissue -1 gonad -1 adductor. The toxin levels within all other tissue (95% Cl = 580-760 μg DA g-1, n = 170) consistently accounted for 99% of the total individual toxin burden. DA levels in the gonad (95% CI = 8.2-11.0 μg DA g- 1, n = 170) were an order of magnitude below levels in all other tissue and contributed to less than 0.5% of the total individual toxin burden, although levels above the regulatory limit were detected in individual gonad samples. Adductor muscle tissue contained the lowest concentration of DA (95% Cl = 0.38-0.82 μg DA g- 1, n = 170), and was typically within two to three orders of magnitude below levels in all other tissue. None of the scallops examined had DA toxicities in adductor muscle tissue exceeding the regulatory limit. Toxin variability among individuals and sites was high (range of coefficients of variation (CV) in all other tissue = 29&-l20% and gonadal = 45%-85%). The results do give an indication of the scale on which microhabitat differences may influence ASP toxicity in P. maximus populations, because significant differences were found in all other and gonadal tissue toxin levels between groups of individuals only 25-m apart. In total, seven species of Pseudo-nitzschia were identified from west coast waters. A suspected causative species, P. australis, was found to produce high levels of DA, in culture. The high individual variation in toxicities and the occurrence of DA in the gonad at levels above the regula1ory limit clearly demonstrate the complexity of managing the king scallop fishery during ASP events.The Scallop Association, the Highlands and Islands Enterprise, PESCA, and the Highland Council

Human Amygdala Sensitivity to the Pupil Size of Others

Stimulation of the amygdala produces pupil dilation in animal and human subjects. The present study examined whether the amygdala is sensitive to variations in the pupil size of others. Male subjects underwent event-related functional magnetic resonance imaging while passively viewing unfamiliar female faces whose pupils were either unaltered (natural variations in large and small pupils) or altered to be larger or smaller than their original size. Results revealed that the right amygdala and left amygdala/substantia innominata were sensitive to the pupil size of others, exhibiting increased activity for faces with relatively large pupils. Upon debrief, no subject reported being aware that the pupils had been manipulated. These results suggest a function for the amygdala in the detection of changes in pupil size, an index of arousal and/or interest on the part of a conspecific, even in the absence of explicit knowledge

Phase Separation of Rigid-Rod Suspensions in Shear Flow

We analyze the behavior of a suspension of rigid rod-like particles in shear flow using a modified version of the Doi model, and construct diagrams for phase coexistence under conditions of constant imposed stress and constant imposed strain rate, among paranematic, flow-aligning nematic, and log-rolling nematic states. We calculate the effective constitutive relations that would be measured through the regime of phase separation into shear bands. We calculate phase coexistence by examining the stability of interfacial steady states and find a wide range of possible ``phase'' behaviors.Comment: 23 pages 19 figures, revised version to be published in Physical Review

Anthropogenic Space Weather

Anthropogenic effects on the space environment started in the late 19th century and reached their peak in the 1960s when high-altitude nuclear explosions were carried out by the USA and the Soviet Union. These explosions created artificial radiation belts near Earth that resulted in major damages to several satellites. Another, unexpected impact of the high-altitude nuclear tests was the electromagnetic pulse (EMP) that can have devastating effects over a large geographic area (as large as the continental United States). Other anthropogenic impacts on the space environment include chemical release ex- periments, high-frequency wave heating of the ionosphere and the interaction of VLF waves with the radiation belts. This paper reviews the fundamental physical process behind these phenomena and discusses the observations of their impacts.Comment: 71 pages, 35 figure