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The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims
No full textInternational audienceThe dynamic hedging theory only makes sense in the setup of one given model, whereas the practice of dynamic hedging is just the opposite, with models fleeing after the data through daily recalibration. This is quite of a quantitative finance paradox. In this paper we revisit Burnett (2021) & Burnett and Williams (2021)’s notion of hedging valuation adjustment (HVA), originally intended to deal with dynamic hedging frictions, in the direction of recalibration and model risks.Specifically, we extend to callable assets the HVA model risk approach of Bénézet and Crépey (2024). The classical way to deal with model risk is to reserve the differences between the valuations in reference models and in the local models used by traders. However, while traders' prices are thus corrected, their hedging strategies and their exercise decisions are still wrong, which necessitates a risk-adjusted reserve. We illustrate our approach on a stylized callable range accrual representativeof huge amounts of structured products on the market. We show that a model risk reserve adjusted for the risk of wrong exercise decisions may largely exceed a basic reserve only accounting for valuation differences
On the problem of minimizing the epidemic final size for SIR model by social distancing
No full textInternational audienceWe revisit the problem of minimizing the epidemic final size in the SIR model through social distancing of bounded intensity. In the existing literature, this problem has been considered imposing a priori interval structure on the time period when interventions are enforced. We show that when considering the more general class of controls with an L1 constraint on the confinement effort that reduces the infection rate, the support of the optimal control is still a single time interval. This shows that, for this problem, there is no benefit in splitting interventions on several disjoint time periods. However, if the infection rate is known beforehand to change with time once from one value to another one, then we show that the optimal solution could consist in splitting the interventions in at most two disjoint time periods
Carbon fluxes and partitioning in Eucalyptus and Pinus plantations across a climatic gradient in Brazil
No full textSource Agritrop Cirad (https://agritrop.cirad.fr/616093/)International audienceBrazilian Eucalyptus and Pinus forests are the most productive forests worldwide. The growth rates of these intensively managed plantations depend strongly on environmental conditions and matching genotypes to local environments. Changing climates underscore the value of understanding the intricacies of how these plantations can fix high amounts of carbon (C) and grow so much wood. We measured the full C budgets of Eucalyptus and Pinus forests across climate gradients in Brazil, focusing on the rates of C uptake, the allocation of C to belowground roots and mycorrhizae, and stem growth. We found that gross primary production (GPP) varied more than sixfold across the climate conditions in Brazil. Maximum temperature was the main climatic driver of productivity, where extreme temperatures reduced fluxes to stem production while increasing fluxes to root production. Net ecosystem production varied with management and age across the sites. The ecophysiological investigation presented in this work is fundamental for understanding C partitioning behavior under extreme temperature conditions. In this way, our results provide tools for forest managers to support their decision-making processes as well as starting points for strategies to be implemented in projects aimed at mitigating the effects of climate change
Cutting date impact on the herbaceous layer in Sahelian rangeland during the wet season
No full textSource Agritrop Cirad (https://agritrop.cirad.fr/615940/)International audienceAnnual herbaceous vegetation is a crucial source of forage for pastoral livestock in the Sahel region. These species grow during the wet season, which coincides with the peak grazing period. Understanding the impact of disturbances on annual herbaceous vegetation is then essential. This study focuses on the temporal aspects of disturbance. In northern Senegal, we established nine different plots and cut them weekly during the wet season and returned to each plot at the end of the season to create a gradient of cutting dates. We measured the plant's phenology, height, dry biomass, and fodder quality. Our results indicated that vegetation growth occurs in three phases: establishment, growth, and flowering. The impact of cutting varied across these phases. Plots cut during the establishment phase exhibited vegetation characteristics similar to those of uncut plots. Plots cut during the growth phase had reduced vegetation height but all individuals completed their growth cycle. Plots cut during the flowering phase had significantly lower biomass at the end of the season and experienced a slight delay in phenological development and increase the quality of the fodder at the end of the season. These findings highlight the importance of cutting timing on vegetation dynamics
Intensification-driven changes in temperate ecosystem functions: comparison of managed grasslands and tree plantations using a cross-system index
No full textInternational audienceModern land management is faced by the challenge of meeting rising demands for food and biomass while maintaining ecosystem functions, but the interactions between management intensity and ecosystem functioning in perennial production systems remain unclear. Here we examined how management intensity affects carbon and nitrogen storage in contrasting perennial ecosystems using a novel cross-system index that harmonizes land-use intensity (LUI) calculations and enables direct comparison of different systems across an intensification gradient. Data from two long-term experimental management trials (pine plantations and upland grasslands, seven years after trial implementation) were used to explore the linkages between management intensity, carbon and nitrogen storage in soils and aboveground biomass. We found that managed grasslands showed a broaderrange of LUI values, highlighting differences in the levels of management considered to be ‘high intensity’ across systems. Photosynthetic biomass and aboveground nitrogen stocks showed a positive response to LUI gradient inboth tree and grassland systems, but the degree of response was stronger in tree plantations. Soil nitrogen decreased with LUI under tree plantations alone, and soil carbon showed no response to management intensity ineither system. In general, there was limited evidence of trade-offs between provisioning and regulating services. Our findings demonstrate the usefulness of a cross-system LUI index to compare diverse ecosystem responses. Byproviding a common framework, our LUI approach offers a valuable tool to disentangle the effects of management intensity on provisioning and regulating services, and identify strategies that reconcile productivity withlong-term sustainabilit
Functional traits shape tree growth response to winter freeze-thaw cycle and neighborhood crowding in humid temperate forests
No full textInternational audienceClimate change is intensifying the occurrence of hydric events, such as summer water availability and winter freeze-thaw cycles, which are increasingly significant in temperate regions. These events pose substantial threats to tree hydraulic functions and thereby limiting tree growth. In this study, we investigated the compound effects of climate-induced stressors and neighborhood crowding on tree growth, and tested how species functional traits mediate these responses. We combined annual growth data over 8 years from 593 individuals representing 20 tree species in Northeast China to evaluate the relative influence of water availability, freeze-thaw cycles, and their interaction with local crowding on tree growth, and how species functional traits mediate these responses. Our findings indicate that tree growth declined with increasing freeze-thaw cycles frequency, whereas summer water availability had no detectable effect. Tree growth was limited by neighborhood crowding, which appeared to operate largely independently of freeze-thaw cycles. In addition, species with higher xylem hydraulic efficiency, lower wood density and lower specific leaf area grew faster and were more sensitive to freeze-thaw cycles, while species with higher xylem hydraulic efficiency were less sensitive to neighborhood crowding. Our results demonstrate distinct and independent roles of freeze-thaw cycles and neighborhood crowding in shaping temperate tree growth, suggesting that considering the freeze-thaw cycles may improve predictions of temperate forest dynamics facing altered climate changes. Furthermore, species traits can capture how temperate trees cope with different stressors, highlighting the importance of integrating functional traits for a more comprehensive understanding of tree responses to environmental stressors
Transgenerational effects of a high temperature impair the resistance of the pest Spodoptera frugiperda to a parasitoid
No full textInternational audienceInsect parasitoids provide a useful ecosystem service to control pest insects. However, climate change could challenge this pest management, as insects are known to be sensitive to temperature. Furthermore, transgenerational effects, which are common in insects, could influence these effects of temperature on host-parasitoid systems. The present study therefore aimed to test the combined effects of developmental and host parental temperatures on a host-parasitoid system, using the fall armyworm (FAW) and the parasitoid Hyposoter didymator. We focused on mean temperatures of 25 and 29 °C, with a daily fluctuation of ±5 °C. The increase in mean temperatures had a significant effect on all the host parameters tested (survival, developmental rate, sex ratio, body mass) and on parasitoid success. Parasitoid success decreased between the developmental temperatures of 25 and 29 °C, and most effects of the increase in developmental temperature on FAW traits were detrimental to the parasitoid. Remarkably, we found transgenerational effects of temperature on the host resistance to parasitoids (the proportion of FAW escaping parasitism), as well as on host traits associated with the probability of parasitoids finding a host (effects on survival and developmental rates) and host quality (body mass, sex ratio). The parental temperature of 29 °C had a detrimental effect on the FAW resistance to parasitoids, but it reinforced the effects of developmental temperature on host traits that have a negative impact on parasitoids. The study shows the high thermal sensitivity of a host-parasitoid system and highlights that thermal transgenerational plasticity should be considered in host-parasitoid interactions
Efficient Enumeration of Supported Solutions for General Multi-Objective Optimization Problems
No full textReal-life decision problems often involve multiple objectives, such as the integration of environmental cost and fairness concerns in industry. Since these objectives are usually conflicting, multi-objective optimization aims to enumerate all compromises (Pareto-optimal solutions). One standard approach is to transform the problem into a single-objective one through a weighted sum to benefit from the wide range of available solvers and algorithms. The main challenge is the computation of the weight vectors to enumerate all the supported solutions as many vectors can lead to the same solution. For two objectives, a systematic exploration can be done with a dichotomy scheme. We present the GeneralDichotomy algorithm, that generalizes this method to any number of objectives. It performs incremental exploration and can be combined with any single-objective solver. Our algorithm offers completeness guarantees when the set of solutions is enumerable. Experimentally, it consistently decreases runtime, up to two order of magnitudes. For ease of use, we provide C++ and Python libraries
Contrasting genomic routes to domestication in Occidental and Oriental pears
No full textAbstract The domestication of perennial fruit trees remains poorly understood compared with annual crops, which were shaped by strong bottlenecks and elevated genetic load. Pears ( Pyrus spp.) provide an ideal model for exploring how long-lived, outcrossing crops evolved under human selection. Here, we combined high-coverage whole-genome resequencing of 396 wild and cultivated accessions from Occidental and Oriental pears with analyses of nucleotide and transposable element (TE) polymorphisms to reconstruct the demographic and adaptive history of pear domestication. Demographic inferences revealed weak or no domestication bottlenecks and extensive gene flow between wild and cultivated populations. In the Occidental lineage, dessert and perry P. communis cultivars underwent independent domestications from the same wild progenitor, P. pyraster , with divergent selection linked to fruit use. In the Oriental lineage, regionally independent domestications gave rise to Chinese and Japanese P. pyrifolia cultivars, shaped by both environmental adaptation and human selection. Selection scans identified lineage- and use-specific targets related to fruit texture, metabolism, and immunity. Contrary to the classical “cost of domestication” hypothesis, cultivated pears carried fewer deleterious variants than their wild relatives, suggesting efficient purging through selection and introgression. TE insertions mirrored population structure and occasionally occurred near selected genes, indicating a limited but detectable adaptive role. Together, our findings go beyond confirming the dual origins of Pyrus domestication to reveal contrasting demographic and adaptive pathways in Occidental and Oriental pears, illustrating independent adaptive trajectories in perennial crops, where long lifespan, self-incompatibility, and recurrent introgression shape distinctive genomic outcomes
Biodiversity of skunaviruses isolated from dairy fermentation facilities employing undefined mesophilic starter cultures
No full textInternational audienceMesophilic starter cultures rely on the activity of lactic acid bacteria such as Lactococcus lactis and Lactococcus cremoris to acidify milk in dairy fermentations. Bacteriophage infection of starter bacteria remains one of the most significant threats to a successful fermentation, as they may cause costly disruptions and loss of production. The exclusively virulent skunaviruses represent one of the most problematic lactococcal phage genera in dairy fermentation facilities and have consequently been studied extensively in recent decades. In the present study, the diversity of lactococcal phages in whey samples originating from fermentations employing undefined mesophilic starter cultures was assessed by culture-dependent phage screening, targeted isolation based on predicted receptor binding protein specificity, and phage RBP-activated cell sorting (PhRACS). Through these approaches, 26 distinct Skunavirus isolates were characterized and their genomes were sequenced. A comparative genomic analysis and structure predictions of the proteins encoded by these 26 phages identified genes that encode tailassociated proteins with novel carbohydrate-binding domains. Furthermore, host range analysis revealed a clear correlation between specific Skunavirus receptor binding protein phylogroups and the cell wall polysaccharideassociated genotype of the corresponding host strain. Finally, phageome-derived Skunavirus contigs were analysed to determine the diversity of phages present in the dairy fermentation facilities