Nitrogen and phosphorus limitation of oceanic microbial growth during spring in the Gulf of Aqaba

Bioassay experiments were performed to identify how growth of key groups within the microbial community was simultaneously limited by nutrient (nitrogen and phosphorus) availability during spring in the Gulf of Aqaba's oceanic waters. Measurements of chlorophyll a (chl a) concentration and fast repetition rate (FRR) fluorescence generally demonstrated that growth of obligate phototrophic phytoplankton was co-limited by N and P and growth of facultative aerobic anoxygenic photoheterotropic (AAP) bacteria was limited by N. Phytoplankton exhibited an increase in chl a biomass over 24 to 48 h upon relief of nutrient limitation. This response coincided with an increase in photosystem II (PSII) photochemical efficiency (F v /F m), but was preceded (within 24 h) by a decrease in effective absorption crosssection (σPSII) and electron turnover time (τ). A similar response for τ and bacterio-chl a was observed for the AAPs. Consistent with the up-regulation of PSII activity with FRR fluorescence were observations of newly synthesized PSII reaction centers via low temperature (77K) fluorescence spectroscopy for addition of N (and N + P). Flow cytometry revealed that the chl a and thus FRR fluorescence responses were partly driven by the picophytoplankton (æ10 μm) community, and in particular Synechococcus. Productivity of obligate heterotrophic bacteria exhibited the greatest increase in response to a natural (deep water) treatment, but only a small increase in response to N and P addition, demonstrating the importance of additional substrates (most likely dissolved organic carbon) in moderating the heterotrophs. These data support previous observations that the microbial community response (autotrophy relative to heterotrophy) is critically dependent upon the nature of transient nutrient enrichment. © Inter-Research 2009

EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY

We discuss the general optimization problem of choosing a copula with minimum entropy relative to a specified copula and a computationally intensive procedure to solve its dual. These techniques are applied to constructing an empirical copula for CDO tranche pricing. The empirical copula is chosen to be as close as possible to the industry standard Gaussian copula while ensuring a close fit to market tranche quotes. We find that the empirical copula performs noticeably better than the base correlation approach in pricing non-standard tranches and that the market view of default dependence is influenced by maturity.Portfolio credit risk, CDO, copula, entropy, non-parametric estimation

Designing minimum guaranteed return funds

In recent years there has been a significant growth of investment products aimed at attracting investors who are worried about the downside potential of the financial markets. This paper introduces a dynamic stochastic optimization model for the design of such products. The pricing of minimum guarantees as well as the valuation of a portfolio of bonds based on a three-factor term structure model are described in detail. This allows us to accurately price individual bonds, including the zero-coupon bonds used to provide risk management, rather than having to rely on a generalized bond index model.Dynamic stochastic programming, Asset & liability management, Guaranteed returns, Yield curve, Economic factor model,