Résidence, tenure foncière, alliance dans une société bilinéaire (Sérèr du Sine et du Baol, Sénégal)

M. Dupire, A. Lericollais, B. Delpech et J.-M. Gastellu — Residence, Land Tenure and Marriage in a Double-Descent Society: The Serer from the Sine and Baol Regions of Senegal. This society is characterized by virilocal residence, double-descent, and matrilineal inheritance of non-consumable goods. Residential compounds are inherited in both the agnatic and the uterine lines, the relative proportion of each type of succession varying in the four villages under study. A compound may be divided into 'wards', 'kitchens', and, further down, 'uterine huts', each of these units corresponding to a specifie economic function. Starting from K. Gough's five types of residential categories, we define seven different patterns, the form most frequently found being the patrilocal extended family, the elementary family and a composite type of avuncular family, in that order. There is a significant correlation between residence patterns and inheritance of traditional offices. 'Kitchens' differ from compounds insofar as they can be matrilocal and chiefly consist of elementary families. While married sons often live in the same 'kitchen' with their fathers, nephews seldom cohabit with their MB. The 'uterine hut' is the primary unit of economic accumulation. The bilineal pattern of inheritance is also found in the four-level System of land-rights, with a correlation between land-rights and residence. Residential patterns and pre-ferential marriages tend to counterbalance the dispersal of a matrilineage's women resulting from virilocality.Dupire Marguerite, Lericollais André, Delpech Bernard, Gastellu Jean-Marc. Résidence, tenure foncière, alliance dans une société bilinéaire (Serer du Sine et du Baol, Sénégal).. In: Cahiers d'études africaines, vol. 14, n°55, 1974. pp. 417-452

Root to Kellerer

We revisit Kellerer's Theorem, that is, we show that for a family of real probability distributions $(\mu_t)_{t\in [0,1]}$ which increases in convex order there exists a Markov martingale $(S_t)_{t\in[0,1]}$ s.t.\ $S_t\sim \mu_t$. To establish the result, we observe that the set of martingale measures with given marginals carries a natural compact Polish topology. Based on a particular property of the martingale coupling associated to Root's embedding this allows for a relatively concise proof of Kellerer's theorem. We emphasize that many of our arguments are borrowed from Kellerer \cite{Ke72}, Lowther \cite{Lo07}, and Hirsch-Roynette-Profeta-Yor \cite{HiPr11,HiRo12}.Comment: 8 pages, 1 figur

Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model

Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the returns. We derive this distribution function using for C(K) a Black-Scholes (BS) expression with volatility in the form of a volatility smile. We show that this approach based on a volatility smile leads to relative minima for the distribution function ("bad" probabilities) never observed in real data and, in the worst cases, negative probabilities. We show that these undesirable effects can be eliminated by requiring "adiabatic" conditions on the volatility smile

Advances on antiviral activity of Morus spp. plant extracts: Human coronavirus and virus-related respiratory tract infections in the spotlight

(1) Background: Viral respiratory infections cause life-threatening diseases in millions of people worldwide every year. Human coronavirus and several picornaviruses are responsible for worldwide epidemic outbreaks, thus representing a heavy burden to their hosts. In the absence of specific treatments for human viral infections, natural products offer an alternative in terms of innovative drug therapies. (2) Methods: We analyzed the antiviral properties of the leaves and stem bark of the mulberry tree (Morus spp.). We compared the antiviral activity of Morus spp. on enveloped and nonenveloped viral pathogens, such as human coronavirus (HCoV 229E) and different members of the Picornaviridae family—human poliovirus 1, human parechovirus 1 and 3, and human echovirus 11. The antiviral activity of 12 water and water–alcohol plant extracts of the leaves and stem bark of three different species of mulberry—Morus alba var. alba, Morus alba var. rosa, and Morus rubra—were evaluated. We also evaluated the antiviral activities of kuwanon G against HCoV-229E. (3) Results: Our results showed that several extracts reduced the viral titer and cytopathogenic effects (CPE). Leaves’ water-alcohol extracts exhibited maximum antiviral activity on human coronavirus, while stem bark and leaves’ water and water-alcohol extracts were the most effective on picornaviruses. (4) Conclusions: The analysis of the antiviral activities of Morus spp. offer promising applications in antiviral strategies

Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature

In this work a finite difference approach together with a bivariate Gauss-Hermite quadrature technique is developed for partial-integro differential equations related to option pricing problems on two underlying asset driven by jump-diffusion models. Firstly, the mixed derivative term is removed using a suitable transformation avoiding numerical drawbacks such as slow convergence and inaccuracy due to the appearance of spurious oscillations. Unlike the more traditional truncation approach we use 2D Gauss-Hermite quadrature with the additional advantage of saving computational cost. The explicit finite difference scheme becomes consistent, conditionally stable and positive. European and American option cases are treated. Numerical results are illustrated and analyzed with experiments and comparisons with other well recognized methods.This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and the Ministerio de Economía y Competitividad Spanish grant MTM2013-41765-P

Analogy making and the structure of implied volatility skew

An analogy based option pricing model is put forward. If option prices are determined in accordance with the analogy model, and the Black Scholes model is used to back-out implied volatility, then the implied volatility skew arises, which flattens as time to expiry increases. The analogy based stochastic volatility and the analogy based jump diffusion models are also put forward. The analogy based stochastic volatility model generates the skew even when there is no correlation between the stock price and volatility processes, whereas, the analogy based jump diffusion model does not require asymmetric jumps for generating the skew

Preference-Free Option Pricing with Path-Dependent Volatility: A Closed-Form Approach

This paper shows how one can obtain a continuous-time preference-free option pricing model with a path-dependent volatility as the limit of a discrete-time GARCH model. In particular, the continuous-time model is the limit of a discrete-time GARCH model of Heston and Nandi (1997) that allows asymmetry between returns and volatility. For the continuous-time model, one can directly compute closed-form solutions for option prices using the formula of Heston (1993). Toward that purpose, we present the necessary mappings, based on Foster and Nelson (1994), such that one can approximate (arbitrarily closely) the parameters of the continuous-time model on the basis of the parameters of the discrete-time GARCH model. The discrete-time GARCH parameters can be estimated easily just by observing the history of asset prices. ; Unlike most option pricing models that are based on the absence of arbitrage alone, a parameter related to the expected return/risk premium of the asset does appear in the continuous-time option formula. However, given other parameters, option prices are not at all sensitive to the risk premium parameter, which is often imprecisely estimated