Los Modelos Implícitos de Valoración de Opciones

[ES] Los modelos implícitos constituyen uno de los enfoques de valoración de opciones alternativos al modelo de Black-Scholes que ha conocido un mayor desarrollo en los últimos años. Dentro de este planteamiento existen diferentes alternativas: los árboles implícitos, los modelos con función de volatilidad determinista y los modelos con función de volatilidad implícita. Todos ellos se construyen a partir de una estimación de la distribución de probabilidades riesgo-neutral del precio futuro del activo subyacente, congruente con los precios de mercado de las opciones negociadas. En consecuencia, los modelos implícitos proporcionan buenos resultados en la valoración de opciones dentro de la muestra. Sin embargo, su comportamiento como instrumento de predicción para opciones fuera de muestra no resulta satisfactorio. En este artículo se analiza la medida en la que este enfoque contribuye a la mejora de la valoración de opciones, tanto desde un punto de vista teórico como práctico.

The Black Box of Mutual Fund Fees

This paper re-examines the determinants of mutual fund fees paid by mutual fund shareholders for management costs and other expenses. There are two novelties with respect to previous studies. First, each type of fee is explained separately. Second, the paper employs a new dataset consisting of Spanish mutual funds, making it the second paper to study mutual fund fees outside the US market. Furthermore, the Spanish market has three interesting characteristics: (i) both distribution and management are highly dominated by banks and savings banks, which points towards potential conflicts of interest; (ii) Spanish mutual fund law imposes caps on all types of fees; and (iii) Spain ranks first in terms of average mutual fund fees among similar countries. We find significant differences in mutual fund fees not explained by the fund’s investment objective. For instance, management companies owned by banks and savings banks charge higher management fees and redemption fees to nonguaranteed funds. Also, investors in older non-guaranteed funds and non-guaranteed funds with a lower average investment are more likely to end up paying higher management fees. Moreover, there is clear evidence that some mutual funds enjoy better conditions from custodial institutions than others. In contrast to evidence from the US market, larger funds are not associated with lower fees, but with higher custody fees for guaranteed funds and higher redemption fees for both types of funds. Finally, fee-setting by mutual funds is not related to fund before-fee performance.

About the Stabilization of a Nonlinear Perturbed Difference Equation

This paper investigates the local asymptotic stabilization of a very general class of instable autonomous nonlinear difference equations which are subject to perturbed dynamics which can have a different order than that of the nominal difference equation. In the general case, the controller consists of two combined parts, namely, the feedback nominal controller which stabilizes the nominal (i.e., perturbation-free) difference equation plus an incremental controller which completes the stabilization in the presence of perturbed or unmodeled dynamics in the uncontrolled difference equation. A stabilization variant consists of using a single controller to stabilize both the nominal difference equation and also the perturbed one under a small-type characterization of the perturbed dynamics. The study is based on Banach fixed point principle, and it is also valid with slight modification for the stabilization of unstable oscillatory solutions.

Black Holes, Cosmological Solutions, Future Singularities, and Their Thermodynamical Properties in Modified Gravity Theorie

54 p.

The forward problem for the electromagnetic Helmholtz equation

157 p.

Novel equation to determine the hepatic triglyceride concentration in humans by MRI: diagnosis and monitoring of NAFLD in obese patients before and after bariatric surgery

Background: Non-alcoholic fatty liver disease (NAFLD) is caused by abnormal accumulation of lipids within liver cells. Its prevalence is increasing in developed countries in association with obesity, and it represents a risk factor for non-alcoholic steatohepatitis (NASH), cirrhosis and hepatocellular carcinoma. Since NAFLD is usually asymptomatic at diagnosis, new non-invasive approaches are needed to determine the hepatic lipid content in terms of diagnosis, treatment and control of disease progression. Here, we investigated the potential of magnetic resonance imaging (MRI) to quantitate and monitor the hepatic triglyceride concentration in humans. Methods: A prospective study of diagnostic accuracy was conducted among 129 consecutive adult patients (97 obesity and 32 non-obese) to compare multi-echo MRI fat fraction, grade of steatosis estimated by histopathology, and biochemical measurement of hepatic triglyceride concentration (that is, Folch value). Results: MRI fat fraction positively correlates with the grade of steatosis estimated on a 0 to 3 scale by histopathology. However, this correlation value was stronger when MRI fat fraction was linked to the Folch value, resulting in a novel equation to predict the hepatic triglyceride concentration (mg of triglycerides/g of liver tissue = 5.082 + (432.104 * multi-echo MRI fat fraction)). Validation of this formula in 31 additional patients (24 obese and 7 controls) resulted in robust correlation between the measured and estimated Folch values. Multivariate analysis showed that none of the variables investigated improves the Folch prediction capacity of the equation. Obese patients show increased steatosis compared to controls using MRI fat fraction and Folch value. Bariatric surgery improved MRI fat fraction values and the Folch value estimated in obese patients one year after surgery. Conclusions: Multi-echo MRI is an accurate approach to determine the hepatic lipid concentration by using our novel equation, representing an economic non-invasive method to diagnose and monitor steatosis in humans.