Model risk in the pricing of exotic options

The growth experimented in recent years in both the variety and volume of structured products implies that banks and other financial institutions have become increasingly exposed to model risk. In this article we focus on the model risk associated with the local volatility (LV) model and with the Variance Gamma (VG) model. The results show that the LV model performs better than the VG model in terms of its ability to match the market prices of European options. Nevertheless, both models are subject to significant pricing errors when compared with the stochastic volatility framework.

Impact of the background region of interest in the relative renal function

Renal scintigraphy with 99mTc-dimercaptosuccinic acid (99mTc-DMSA) is performed with the aim of detect cortical abnormalities related to urinary tract infection and accurately quantify relative renal function (RRF). For this quantitative assessment Nuclear Medicine Technologist should draw regions of interest (ROI) around each kidney (KROI) and peri-renal background (BKG) ROI, although, controversy still exists about BKG-ROI. The aim of this work was to evaluate the effect of the normalization procedure, number and location of BKG-ROI on the RRF in 99mTc-DMSA scintigraphy.

Occupational exposure to formaldehyde: effects of years of exposure in the frequency of micronucleus

Formaldehyde: an important industrial compound used in the manufacture of synthetic resins and chemical compounds such as lubricants and adhesives; also applied as a disinfectant, preservative and in cosmetics productions; relevant workplace exposure to FA also occurs in anatomy, pathology and in mortuaries; classified by IARC as carcinogenic to humans (Group 1), based on sufficient evidence in humans and experimental animals; manifold in vitro studies indicated that FA can induce genotoxic effects in proliferating cultured mammalian cells. Aim of the study: to evaluate if years of exposure induced a genotoxic biomarkers increase, namely MN in lymphocytes and buccal cells, in workers occupationally exposed to FA (factory and pathology anatomy laboratory).

Impact of the background Region of Interest in the relative renal function

Renal scintigraphy with 99mTc-dimercaptosuccinic acid (99mTc-DMSA) is performed with the aim of detect cortical abnormalities related to urinary tract infection and accurately quantify relative renal function (RRF). For this quantitative assessment Nuclear Medicine Technologist should draw regions of interest (ROI) around each kidney (KROI) and peri-renal background (BKG) ROI although controversy still exists about BKG-ROI. The aim of this work was to evaluate the effect of the normalization procedure, number and location of BKG-ROI on the RRF in 99mTc-DMSA scintigraphy.

The usefulness of ultrasound in the classification of chronic liver disease

Chronic Liver Disease is a progressive, most of the time asymptomatic, and potentially fatal disease. In this paper, a semi-automatic procedure to stage this disease is proposed based on ultrasound liver images, clinical and laboratorial data. In the core of the algorithm two classifiers are used: a k nearest neighbor and a Support Vector Machine, with different kernels. The classifiers were trained with the proposed multi-modal feature set and the results obtained were compared with the laboratorial and clinical feature set. The results showed that using ultrasound based features, in association with laboratorial and clinical features, improve the classification accuracy. The support vector machine, polynomial kernel, outperformed the others classifiers in every class studied. For the Normal class we achieved 100% accuracy, for the chronic hepatitis with cirrhosis 73.08%, for compensated cirrhosis 59.26% and for decompensated cirrhosis 91.67%.

The influence of number of counts in the myocardium in the determination of reproducible functional parameters in gated-SPECT studies simulated with GATE

Myocardial perfusion gated-single photon emission computed tomography (gated-SPECT) imaging is used for the combined evaluation of myocardial perfusion and left ventricular (LV) function. The aim of this study is to analyze the influence of counts/pixel and concomitantly the total counts in the myocardium for the calculation of myocardial functional parameters. Material and methods: Gated-SPECT studies were performed using a Monte Carlo GATE simulation package and the NCAT phantom. The simulations of these studies use the radiopharmaceutical 99mTc-labeled tracers (250, 350, 450 and 680MBq) for standard patient types, effectively corresponding to the following activities of myocardium: 3, 4.2, 5.4-8.2MBq. All studies were simulated using 15 and 30s/projection. The simulated data were reconstructed and processed by quantitative-gated-SPECT software, and the analysis of functional parameters in gated-SPECT images was done by using Bland-Altman test and Mann-Whitney-Wilcoxon test. Results: In studies simulated using different times (15 and 30s/projection), it was noted that for the activities for full body: 250 and 350MBq, there were statistically significant differences in parameters Motility and Thickness. For the left ventricular ejection fraction (LVEF), end-systolic volume (ESV) it was only for 250MBq, and 350MBq in the end-diastolic volume (EDV), while the simulated studies with 450 and 680MBq showed no statistically significant differences for global functional parameters: LVEF, EDV and ESV. Conclusion: The number of counts/pixel and, concomitantly, the total counts per simulation do not significantly interfere with the determination of gated-SPECT functional parameters, when using the administered average activity of 450MBq, corresponding to the 5.4MBq of the myocardium, for standard patient types.

Study of thermochemical treatments of cork in the 150-400ºC range using colour analysis and Ftir spectroscopy

A study of chemical transformations of cork during heat treatments was made using colour variation and FTIR analysis. The cork enriched fractions from Quercus cerris bark were subjected to isothermal heating in the temperature range 150–400 ◦C and treatment time from 5 to 90 min. Mass loss ranged from 3% (90 min at 150 ◦C) to 71% (60 min at 350 ◦C). FTIR showed that hemicelluloses were thermally degraded first while suberin remained as the most heat resistant component. The change of CIE-Lab parameters was rapid for low intensity treatments where no significant mass loss occurred (at 150 ◦C L* decreased from the initial 51.5 to 37.3 after 20 min). The decrease in all colour parameters continued with temperature until they remained substantially constant with over 40% mass loss. Modelling of the thermally induced mass loss could be made using colour analysis. This is applicable to monitoring the production of heat expanded insulation agglomerates.