An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

A Non-Parametric Dimension Test of the Term Structure

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.

Influence of Training Set Selection in Artificial Neural Network-Based Propagation Path Loss Predictions

This paper analyzes the use of artificial neural networks (ANNs) for predicting the received power/path loss in both outdoor and indoor links. The approach followed has been a combined use of ANNs and ray-tracing, the latter allowing the identification and parameterization of the so-called dominant path. A complete description of the process for creating and training an ANN-based model is presented with special emphasis on the training process. More specifically, we will be discussing various techniques to arrive at valid predictions focusing on an optimum selection of the training set. A quantitative analysis based on results from two narrowband measurement campaigns, one outdoors and the other indoors, is also presented.

Increased opioid dependence in a mouse model of panic disorder

[EN] Panic disorder is a highly prevalent neuropsychiatric disorder that shows co-occurrence with substance abuse. Here, we demonstrate that TrkC, the high-affinity receptor for neurotrophin-3, is a key molecule involved in panic disorder and opiate dependence, using a transgenic mouse model (TgNTRK3). Constitutive TrkC overexpression in TgNTRK3 mice dramatically alters spontaneous firing rates of locus coeruleus (LC) neurons and the response of the noradrenergic system to chronic opiate exposure, possibly related to the altered regulation of neurotrophic peptides observed. Notably, TgNTRK3 LC neurons showed an increased firing rate in saline-treated conditions and profound abnormalities in their response to met5-enkephalin. Behaviorally, chronic morphine administration induced a significantly increased withdrawal syndrome in TgNTRK3 mice. In conclusion, we show here that the NT-3/TrkC system is an important regulator of neuronal firing in LC and could contribute to the adaptations of the noradrenergic system in response to chronic opiate exposure. Moreover, our results indicate that TrkC is involved in the molecular and cellular changes in noradrenergic neurons underlying both panic attacks and opiate dependence and support a functional endogenous opioid deficit in panic disorder patients.

Dual-path methods for propagating quantum microwaves

We study quantum state tomography, entanglement detection and channel noise reconstruction of propagating quantum microwaves via dual-path methods. The presented schemes make use of the following key elements: propagation channels, beam splitters, linear amplifiers and field quadrature detectors. Remarkably, our methods are tolerant to the ubiquitous noise added to the signals by phase-insensitive microwave amplifiers. Furthermore, we analyse our techniques with numerical examples and experimental data, and compare them with the scheme developed in Eichler et al (2011 Phys. Rev. Lett. 106 220503; 2011 Phys. Rev. Lett. 107 113601), based on a single path. Our methods provide key toolbox components that may pave the way towards quantum microwave teleportation and communication protocols.

Selected topics in financial engineering: first-exit times and dependence structures of Marshall-Olkin Kind

146 p.

Computational study of the vortex path variation with the VG height

An extensive range of conventional, vane-type, passive vortex generators (VGs) are in use for successful applications of flow separation control. In most cases, the VG height is designed with the same thickness as the local boundary layer at the VG position. However, in some applications, these conventional VGs may produce excess residual drag. The so-called low-profile VGs can reduce the parasitic drag associated to this kind of passive control devices. As suggested by many authors, low-profile VGs can provide enough momentum transfer over a region several times their own height for effective flow-separation control with much lower drag. The main objective of this work is to study the variation of the path and the development of the primary vortex generated by a rectangular VG mounted on a flat plate with five different device heights h = delta, h(1) = 0.8 delta, h(2) = 0.6 delta, h(3) = 0.4 delta and h(4) = 0.2 delta, where delta is the local boundary layer thickness. For this purpose, computational simulations have been carried out at Reynolds number Re = 1350 based on the height of the conventional VG h = 0.25m with the angle of attack of the vane to the oncoming flow beta = 18.5 degrees. The results show that the VG scaling significantly affects the vortex trajectory and the peak vorticity generated by the primary vortex.