Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Hardy’s inequalities for monotone functions on partly ordered measure spaces

We characterize the weighted Hardy inequalities for monotone functions in Rn +. In dimension n = 1, this recovers the standard theory of Bp weights. For n > 1, the result was previously only known for the case p = 1. In fact, our main theorem is proved in the more general setting of partly ordered measure spaces.

Dyrk1A is dynamically expressed on subsets of motor neurons and in the neuromuscular junction: possible role in Down syndrome

Individuals with Down syndrome (DS) present important motor deficits that derive from altered motor development of infants and young children. DYRK1A, a candidate gene for DS abnormalities has been implicated in motor function due to its expression in motor nuclei in the adult brain, and its overexpression in DS mouse models leads to hyperactivity and altered motor learning. However, its precise role in the adult motor system, or its possible involvement in postnatal locomotor development has not yet been clarified. During the postnatal period we observed time-specific expression of Dyrk1A in discrete subsets of brainstem nuclei and spinal cord motor neurons. Interestingly, we describe for the first time the presence of Dyrk1A in the presynaptic terminal of the neuromuscular junctions and its axonal transport from the facial nucleus, suggesting a function for Dyrk1A in these structures. Relevant to DS, Dyrk1A overexpression in transgenic mice (TgDyrk1A) produces motor developmental alterations possibly contributing to DS motor phenotypes and modifies the numbers of motor cholinergic neurons, suggesting that the kinase may have a role in the development of the brainstem and spinal cord motor system.

The connection between distortion risk measures and ordered weighted averaging operators

Distortion risk measures summarize the risk of a loss distribution by means of a single value. In fuzzy systems, the Ordered Weighted Averaging (OWA) and Weighted Ordered Weighted Averaging (WOWA) operators are used to aggregate a large number of fuzzy rules into a single value. We show that these concepts can be derived from the Choquet integral, and then the mathematical relationship between distortion risk measures and the OWA and WOWA operators for discrete and finite random variables is presented. This connection offers a new interpretation of distortion risk measures and, in particular, Value-at-Risk and Tail Value-at-Risk can be understood from an aggregation operator perspective. The theoretical results are illustrated in an example and the degree of orness concept is discussed.

Coexistence of Two Kinds of Fluorinated Hydrogenated Micelles as Building Blocks for the Design of Bimodal Mesoporous Silica with Two Ordered Mesopore Networks

A simple and effective route has been developed for the synthesis of bimodal (3.6 and 9.4 nm) mesoporous silica materials that have two ordered interconnected pore networks. Mesostructures have been prepared through the self assembly mechanism by using a mixture of polyoxyethylene fluoroalkyl ether and triblock copolymer as building block. The investigation of the RF8(EO)9/P123/water phase diagram evidences that in the considered surfactant range of concentrations, the system is micellar (L1). DLS measurements indicate that this micellar phase is composed of two types of micelles, the size of the first one at around 7.6 nm corresponds unambiguously to the pure fluorinated micelles. The second type of micelles at higher diameter consists of fluorinated micelles which have accommodated a weak fraction of P123 molecules. Thus, in this study the bimodal mesoporous silica are really templated by two kinds of micelles.

Seniority-based pay: is it used as a motivation device?

The purpose of this article is to explain what factors determine the use of seniority-based pay for production workers in Spanish manufacturing industry. The data used in order to achieve these objectives was taken from 774 Spanish industrial plants. The estimation of several ordered probit models enabled us to see that in firms where it was more costly for management to engage in opportunistic behaviour, deferred payment shows a negative relation to the use of devices, like monitoring or incentive payment, designed to align workers’ objectives with those of the company.

RECASTING THE ELLIOTT CONJECTURE

Let A be a simple, unital, finite, and exact C*-algebra which absorbs the Jiang-Su algebra Z tensorially. We prove that the Cuntz semigroup of A admits a complete order embedding into an ordered semigroup which is obtained from the Elliott invariant in a functorial manner. We conjecture that this embedding is an isomor phism, and prove the conjecture in several cases. In these same cases - Z-stable algebras all - we prove that the Elliott conjecture in its strongest form is equivalent to a conjecture which appears much weaker. Outside the class of Z-stable C*-algebras, this weaker conjecture has no known counterexamples, and it is plausible that none exist. Thus, we reconcile the still intact principle of Elliott's classification conjecture -that K-theoretic invariants will classify separable and nuclear C*-algebras- with the recent appearance of counterexamples to its strongest concrete form.

The optimal behaviour of firms facing stochastic costs

This paper aims at assessing the optimal behavior of a firm facing stochastic costs of production. In an imperfectly competitive setting, we evaluate to what extent a firm may decide to locate part of its production in other markets different from which it is actually settled. This decision is taken in a stochastic environment. Portfolio theory is used to derive the optimal solution for the intertemporal profit maximization problem. In such a framework, splitting production between different locations may be optimal when a firm is able to charge different prices in the different local markets.

The behavior of money velocity in low and high inflation countries

This paper presents a general equilibrium model of money demand where the velocity of money changes in response to endogenous fluctuations in the interest rate. The parameter space can be divided into two subsets: one where velocity is constant as in standard cash-in-advance models, and another one where velocity fluctuates as in Baumol (1952). The model provides an explanation of why, for a sample of 79 countries, the correlation between the velocity of money and the inflation rate appears to be low, unlike common wisdom would suggest. The reason is the diverse transaction technologies available in different economies.

On group strategy-proof mechanisms for a many-to-one matching model

For the many-to-one matching model in which firms have substitutable and quota q-separable preferences over subsets of workers we show that the workers-optimal stable mechanism is group strategy-proof for the workers. In order to prove this result, we also show that under this domain of preferences (which contains the domain of responsive preferences of the college admissions problem) the workers-optimal stable matching is weakly Pareto optimal for the workers and the Blocking Lemma holds as well. We exhibit an example showing that none of these three results remain true if the preferences of firms are substitutable but not quota q-separable.

Voting by committees under constraints

We consider social choice problems where a society must choose a subset from a set of objects. Specifically, we characterize the families of strategy-proof voting procedures when not all possible subsets of objects are feasible, and voters' preferences are separable or additively representable.

Asymmetries in the capacity-inflation trade-off

This paper analyzes the joint dynamics of two key macroeconomic variables for the conduct of monetary policy: inflation and the aggregate capacity utilization rate. An econometric procedure useful for estimating dynamic rational expectation models with unobserved components is developed and applied in this context. The method combines the flexibility of the unobserved components approach, based on the Kalman recursion, with the power of the general method of moments estimation procedure. A 'hyb id' Phillips curve relating inflation to the capacity utilization gap and incorporating forward and backward looking components is estimated. The results show that such a relationship in non-linear: the slope of the Phillips curve depends significantly on the magnitude of the capacity gap. These findings provide support for studying the implications of asymmetricmonetary policy rules.

Aproximació al disseny de procediments i instruments per a la personalització de l'ensenyament a l'etapa primària des d'una perspectiva inclusiva

The main objective of this research is to found a new process about the personalization's curriculum for pupils with especial educational needs. In this research there are two objectives: the first objective is to describe a procedure for to do the individual planning for this pupils. This procedure is called "Procediment per cartes de personalització" (Pedragosa 2002). The other objective is centered to validate this procedure for teachers who are in active service in primary's etapa and to check if it's a good process for to do the individual planning in an inclusive approach. The procedure's cobcretion is about three basic referents: In the first, we consult with the current regulations, in the second we incorporate the inclusion's approach and the fundamentals of universal learning design, and finally we consult Ruiz's (1999) provides. We obtain the information for the research until, during and after of the formation's course (in 2003/2004). We introduced two questionnaire (until and after of formation sessions) and we register all of the sessions with a parlimentary report. About the main research results we can to affirm that the procedure is a good option for the professional's practice. It's an organized, ordered and coherent design with our curriculum. But, in spite of, we can to probate that there some interesting variables which are to influence to the procedure's efficiency.

Inequality in CO2 emissions across countries and its relationship with income inequality: a distributive approach

This paper analyses the inequality in CO2 emissions across countries (and groups of countries) and the relationship of this inequality with income inequality across countries for the period (1971-1999). The research employs the tools that are usually applied in income distribution analysis. The methodology used here gives qualitative and quantitative information on some of the features of the inequalities across countries that are considered most relevant for the design and discussion of policies aimed at mitigating climate change. The paper studies the relationship between CO2 emissions and GDP and shows that income inequality across countries has been followed by an important inequality in the distribution of emissions. This inequality has diminished mildly, although the inequality in emissions across countries ordered in the increasing value of income (inequality between rich and poor countries) has diminished less than the “simple” inequality in emissions. Lastly, the paper shows that the inequality in CO2 emissions is mostly explained by the inequality between groups with different per capita income level. The importance of the inequality within groups of similar per capita income is much lower and has diminished during the period, especially in the low-middle income group.

Demand elasticity and market power in the spanish electricity market

In this paper we check whether generator's bid behavior at the Spanish whosale electricity market is consistent with the hypothesis of profit maximization on their residual demands. Using OMEL data, we find the arc-elacticity of the residual demand around the system marginal price. The results suggest thet the larger firms are not actually profit-msximization. We argue how the regulatory environment may drive these results. Finally, we repeat the analysis for the first session of the intra-day market where presumably firms may not have the same incentives as in the day-ahead market.