Calibration of stochastic volatility models via second order approximation: the Heston model case

Using a suitable Hull and White type formula we develop a methodology to obtain asecond order approximation to the implied volatility for very short maturities. Using thisapproximation we accurately calibrate the full set of parameters of the Heston model. Oneof the reasons that makes our calibration for short maturities so accurate is that we alsotake into account the term-structure for large maturities. We may say that calibration isnot "memoryless", in the sense that the option's behavior far away from maturity doesinfluence calibration when the option gets close to expiration. Our results provide a wayto perform a quick calibration of a closed-form approximation to vanilla options that canthen be used to price exotic derivatives. The methodology is simple, accurate, fast, andit requires a minimal computational cost.

Business cycles, unemployment insurance and the calibration of matching models

This paper theoretically and empirically documents a puzzle that arises when an RBC economy with a job matching function is used to model unemployment. The standard model can generate sufficiently large cyclical fluctuations in unemployment, or a sufficiently small response of unemployment to labor market policies, but it cannot do both. Variable search and separation, finite UI benefit duration, efficiency wages, and capital all fail to resolve this puzzle. However, either sticky wages or match-specific productivity shocks can improve the model's performance by making the firm's flow of surplus more procyclical, which makes hiring more procyclical too.

Use of NIR spectroscopy and multivariate process spectra calibration methodology for pharmaceutical solid samples analysis

Accomplish high quality of final products in pharmaceutical industry is a challenge that requires the control and supervision of all the manufacturing steps. This request created the necessity of developing fast and accurate analytical methods. Near infrared spectroscopy together with chemometrics, fulfill this growing demand. The high speed providing relevant information and the versatility of its application to different types of samples lead these combined techniques as one of the most appropriated. This study is focused on the development of a calibration model able to determine amounts of API from industrial granulates using NIR, chemometrics and process spectra methodology.

Unified formalism for non-autonomous mechanical systems

We present a unified geometric framework for describing both the Lagrangian and Hamiltonian formalisms of regular and non-regular time-dependent mechanical systems, which is based on the approach of Skinner and Rusk (1983). The dynamical equations of motion and their compatibility and consistency are carefully studied, making clear that all the characteristics of the Lagrangian and the Hamiltonian formalisms are recovered in this formulation. As an example, it is studied a semidiscretization of the nonlinear wave equation proving the applicability of the proposed formalism.

Calibration and application of the MN2D dynamics model to the avalanches of Las Leñas (Argentina)

During the winters of 1999 and 2000 large avalanches occurred in the ski resort of Las Leñas (Los Andes, Mendoza, Argentina). On 8 September 1999 an avalanche of new, dry snow ran over a path with a 1000 m vertical drop. On 30 June and on 1 July 2000 five avalanches of similar vertical drop, which start with new snow, entrained very wet snow during their descent, and evolved into dense snow avalanches. To use the MN2D dynamics model correctly, calibration of model parameters is necessary. Also, no previous works with the use of dynamics models exist in South America. The events used to calibrate the model occurred during the winters of 1999 and 2000 and are a good sample of the kind of avalanches which can occur in this area of the Andes range. By considering the slope morphology and topography, the snow and meteorological conditions and the results of the model simulations, it was estimated that these avalanches were not extreme events with a return period greater than one hundred years. This implies that, in natural conditions, bigger, extreme avalanches could happen. In this work, the MN2D dynamics model is calibrated with two different avalanches of the same magnitude: dry and wet. The importance of the topographic data in the simulation is evaluated. It is concluded that MN2D dynamics model can be used to simulate dry extreme avalanches in Argentinean Andes but not to simulate extreme wet avalanches, which are much more sensitive to the topography.

Integrability and non-integrability of periodic non-autonomous Lyness recurrences

This paper studies non-autonomous Lyness type recurrences of the form x_{n+2}=(a_n+x_n)/x_{n+1}, where a_n is a k-periodic sequence of positive numbers with prime period k. We show that for the cases k in {1,2,3,6} the behavior of the sequence x_n is simple(integrable) while for the remaining cases satisfying k not a multiple of 5 this behavior can be much more complicated(chaotic). The cases k multiple of 5 are studied separately.

Integrability and non-integrability of periodic non-autonomous Lyness recurrences (revised and enlarged version)

This paper studies non-autonomous Lyness type recurrences of the form xn+2 = (an+xn+1)=xn, where fang is a k-periodic sequence of positive numbers with primitive period k. We show that for the cases k 2 f1; 2; 3; 6g the behavior of the sequence fxng is simple (integrable) while for the remaining cases satisfying this behavior can be much more complicated (chaotic). We also show that the cases where k is a multiple of 5 present some di erent features.

Radial dose function of a 90Sr 90Y seed in water and A150: Comment on Calibration and characterization of beta-particle sources for intravascular brachytherapy

Intravascular brachytherapy with beta sources has become a useful technique to prevent restenosis after cardiovascular intervention. In particular, the Beta-Cath high-dose-rate system, manufactured by Novoste Corporation, is a commercially available 90Sr 90Y source for intravascular brachytherapy that is achieving widespread use. Its dosimetric characterization has attracted considerable attention in recent years. Unfortunately, the short ranges of the emitted beta particles and the associated large dose gradients make experimental measurements particularly difficult. This circumstance has motivated the appearance of a number of papers addressing the characterization of this source by means of Monte Carlo simulation techniques.

Standardisation of elemental analytical techniques applied to provenance studies of archaeological ceramics: an inter laboratory calibration study

Chemical analysis is a well-established procedure for the provenancing of archaeological ceramics. Various analytical techniques are routinely used and large amounts of data have been accumulated so far in data banks. However, in order to exchange results obtained by different laboratories, the respective analytical procedures need to be tested in terms of their inter-comparability. In this study, the schemes of analysis used in four laboratories that are involved in archaeological pottery studies on a routine basis were compared. The techniques investigated were neutron activation analysis (NAA), X-ray fluorescence analysis (XRF), inductively coupled plasma optical emission spectrometry (ICP-OES) and inductively coupled plasma mass spectrometry (ICP-MS). For this comparison series of measurements on different geological standard reference materials (SRM) were carried out and the results were statistically evaluated. An attempt was also made towards the establishment of calibration factors between pairs of analytical setups in order to smooth the systematic differences among the results.

Model-based objects recognition in industrial environments for autonomous vehicles control

Behavior-based navigation of autonomous vehicles requires the recognition of the navigable areas and the potential obstacles. In this paper we describe a model-based objects recognition system which is part of an image interpretation system intended to assist the navigation of autonomous vehicles that operate in industrial environments. The recognition system integrates color, shape and texture information together with the location of the vanishing point. The recognition process starts from some prior scene knowledge, that is, a generic model of the expected scene and the potential objects. The recognition system constitutes an approach where different low-level vision techniques extract a multitude of image descriptors which are then analyzed using a rule-based reasoning system to interpret the image content. This system has been implemented using a rule-based cooperative expert system

The scrutiny of the principle of subsidiarity by autonomous regional parliaments with particular reference to the participation of the Parliament of Catalonia in the early warning system

The purpose of this article is to offer a practical approach to the new European dimension for regional parliaments signified by the entry into force of the Treaty of Lisbon. The parliamentary scrutiny of subsidiarity by way of the early warning system has assigned a new mission to legislative assemblies with the aim of reinforcing the intervention of regions in the drafting of policies by Union institutions. In the Spanish case, the institutionalisation of this mechanism came about with Act nº 24/2009, which attributes to the Joint Committee for the European Union, in the name of the Cortes Generales [the Spanish Parliament], the function of receiving the proposals for legislative acts by the EU and transferring them to the regional parliaments in order for the latter to issue, in a brief period of four weeks, a report on compliance with the principle of subsidiarity. The majority of regional parliaments have also carried out normative reforms to regulate the procedure of participation in the early warning system.

The referendum and popular consultations in the Autonomous State

The referendum is a poorly used mechanism for direct participation in the Spanish system, at both state and regional level. The discussion on the feasibility of this system at regional level has been examined by the Constitutional Court. Influenced by the reluctance with which constituents viewed the mechanisms of direct democracy, they still have a reductive view of the referendum. The State therefore reserves the right to exercise very intensive controls on the provision and authorization of referendums and on the specific exercise of each referendum