A new look at the Heston characteristic function

A new expression for the characteristic function of log-spot in Heston model is presented. This expression more clearly exhibits its properties as an analytic characteristic function and allows us to compute the exact domain of the moment generating function. This result is then applied to the volatility smile at extreme strikes and to the control of the moments of spot. We also give a factorization of the moment generating function as product of Bessel type factors, and an approximating sequence to the law of log-spot is deduced.

A critical analysis of dimensions and curve fitting practice in economics

When dealing with sustainability we are concerned with the biophysical as well as the monetary aspects of economic and ecological interactions. This multidimensional approach requires that special attention is given to dimensional issues in relation to curve fitting practice in economics. Unfortunately, many empirical and theoretical studies in economics, as well as in ecological economics, apply dimensional numbers in exponential or logarithmic functions. We show that it is an analytical error to put a dimensional unit x into exponential functions ( a x ) and logarithmic functions ( x a log ). Secondly, we investigate the conditions of data sets under which a particular logarithmic specification is superior to the usual regression specification. This analysis shows that logarithmic specification superiority in terms of least square norm is heavily dependent on the available data set. The last section deals with economists’ “curve fitting fetishism”. We propose that a distinction be made between curve fitting over past observations and the development of a theoretical or empirical law capable of maintaining its fitting power for any future observations. Finally we conclude this paper with several epistemological issues in relation to dimensions and curve fitting practice in economics

Aspects of Iwasawa theory over function fields

"Vegeu el resum a l'inici del document del fitxer adjunt."

Sobolev mappings, degree, homotopy classes and rational homology spheres

"Vegeu el resum a l'inici del document del fitxer adjunt."

Cirp function and characterisation in RNA and microRNAs

In order to search for novel genes involved in cell proliferation, the hypothesis was that by infecting primary cells with a cDNA library of immortal cells would render immortalizing genes. Consequently it has been discovered CIRP (Cold inducible RNA-binding protein). Mammalian cells exposed to mild hypothermia show a general inhibition of protein synthesis and a concomitant increase in the expression of a small number of cold-shock mRNAs and proteins. Rbm3, another RNA binding protein belonging to the same family, has been postulated to facilitate protein synthesis at mild cold shock. To investigate if the same occurs for CIRP, CIRP was overexpressed in primary cells and protein sintesis was measured. Interestingly, CIRP increased protein synthesis, however, such increase did not involve an increase in the polysome fraction or affected the ribosome profile. In addition, the effect caused by CIRP inhibition or knockdown was also analyzed. Different siRNAs against CIRP were tested. Once checked their efficiency by decreasing CIRP at mRNA and protein levels, proliferation was tested by BrdU, cell number (DAPI) and proliferation curves were performed. Interestingly, CIRP provoke a decreased proliferation in primary cells: MEFs, HMEC; and cancer cells: TERA2 and HeLa. In conclusion, we describe for the first time that CIRP bypasses replicative senescence when over-expressed at physiological temperature (37ºC) by increasing a general protein synthesis. This effect is achieved through ERK1/2 activation in MEFs.The decrease in growth rate found in mammalian cells treated with mild cold stress is not entirely attributable to arrested metabolism. This decrease may also involve an active process in which CIRP and other stress-responsive proteins play a fundamental role in stimulating proliferation. Although most cell proteins are down-regulated or inhibited with cold stress, CIRP is activated to maintain cells in an active proliferative status and its overexpression at 37°C might be potentially oncogenic.

Variability of North Atlantic hurricanes: seasonal versus individual-event features

Tropical cyclones are affected by a large number of climatic factors, which translates into complex patterns of occurrence. The variability of annual metrics of tropical-cyclone activity has been intensively studied, in particular since the sudden activation of the North Atlantic in the mid 1990’s. We provide first a swift overview on previous work by diverse authors about these annual metrics for the North-Atlantic basin, where the natural variability of the phenomenon, the existence of trends, the drawbacks of the records, and the influence of global warming have been the subject of interesting debates. Next, we present an alternative approach that does not focus on seasonal features but on the characteristics of single events [Corral et al., Nature Phys. 6, 693 (2010)]. It is argued that the individual-storm power dissipation index (PDI) constitutes a natural way to describe each event, and further, that the PDI statistics yields a robust law for the occurrence of tropical cyclones in terms of a power law. In this context, methods of fitting these distributions are discussed. As an important extension to this work we introduce a distribution function that models the whole range of the PDI density (excluding incompleteness effects at the smallest values), the gamma distribution, consisting in a powerlaw with an exponential decay at the tail. The characteristic scale of this decay, represented by the cutoff parameter, provides very valuable information on the finiteness size of the basin, via the largest values of the PDIs that the basin can sustain. We use the gamma fit to evaluate the influence of sea surface temperature (SST) on the occurrence of extreme PDI values, for which we find an increase around 50 % in the values of these basin-wide events for a 0.49 C SST average difference. Similar findings are observed for the effects of the positive phase of the Atlantic multidecadal oscillation and the number of hurricanes in a season on the PDI distribution. In the case of the El Niño Southern oscillation (ENSO), positive and negative values of the multivariate ENSO index do not have a significant effect on the PDI distribution; however, when only extreme values of the index are used, it is found that the presence of El Niño decreases the PDI of the most extreme hurricanes.

Construcció d'una aplicació web utilitzant el mètode Rational Unified Process

Construcció d'una aplicació web a partir de les especificacions d'un client imaginari. Estudi i utilització del mètode Rational Unified Process, el més habitual actualment en la construcció de software. Disseny d'una base de dades i implementació del model lògic mitjançant un SGBD punter al mercat com Oracle.

Fast calculation of the CAC convolution algorithm using the multinomial distribution function

The authors focus on one of the methods for connection acceptance control (CAC) in an ATM network: the convolution approach. With the aim of reducing the cost in terms of calculation and storage requirements, they propose the use of the multinomial distribution function. This permits direct computation of the associated probabilities of the instantaneous bandwidth requirements. This in turn makes possible a simple deconvolution process. Moreover, under certain conditions additional improvements may be achieved

Econometrics on GPUs

A graphical processing unit (GPU) is a hardware device normally used to manipulate computer memory for the display of images. GPU computing is the practice of using a GPU device for scientific or general purpose computations that are not necessarily related to the display of images. Many problems in econometrics have a structure that allows for successful use of GPU computing. We explore two examples. The first is simple: repeated evaluation of a likelihood function at different parameter values. The second is a more complicated estimator that involves simulation and nonparametric fitting. We find speedups from 1.5 up to 55.4 times, compared to computations done on a single CPU core. These speedups can be obtained with very little expense, energy consumption, and time dedicated to system maintenance, compared to equivalent performance solutions using CPUs. Code for the examples is provided.

Application of discriminant function analysis and change-point problem in dating volcanic ashes

The application of Discriminant function analysis (DFA) is not a new idea in the studyof tephrochrology. In this paper, DFA is applied to compositional datasets of twodifferent types of tephras from Mountain Ruapehu in New Zealand and MountainRainier in USA. The canonical variables from the analysis are further investigated witha statistical methodology of change-point problems in order to gain a betterunderstanding of the change in compositional pattern over time. Finally, a special caseof segmented regression has been proposed to model both the time of change and thechange in pattern. This model can be used to estimate the age for the unknown tephrasusing Bayesian statistical calibration

Electron localization function at the correlated level

The electron localization function (ELF) has been proven so far a valuable tool to determine the location of electron pairs. Because of that, the ELF has been widely used to understand the nature of the chemical bonding and to discuss the mechanism of chemical reactions. Up to now, most applications of the ELF have been performed with monodeterminantal methods and only few attempts to calculate this function for correlated wave functions have been carried out. Here, a formulation of ELF valid for mono- and multiconfigurational wave functions is given and compared with previous recently reported approaches. The method described does not require the use of the homogeneous electron gas to define the ELF, at variance with the ELF definition given by Becke. The effect of the electron correlation in the ELF, introduced by means of configuration interaction with singles and doubles calculations, is discussed in the light of the results derived from a set of atomic and molecular systems

Rational Partisan Theory with fiscal policy and an independent central bank

The empirical evidence testing the validity of the rational partisan theory (RPT) has been mixed. In this article, we argue that the inclusion of other macroeconomic policies and the presence of an independent central bank can partly contribute to explain this inconclusiveness. This article expands Alesina s (1987) RPT model to include an extra policy and an independent central bank. With these extensions, the implications of RPT are altered signi ficantly. In particular, when the central bank is more concerned about output than public spending (an assumption made by many papers in this literature), then the direct relationship between in flation and output derived in Alesina (1987) never holds. Keywords: central bank, conservativeness, political uncertainty. JEL Classi fication: E58, E63.

Multifunctional ligands for application in Alzheimer’s Disease: molecular modelling and biological evaluation

Projecte de recerca elaborat a partir d’una estada a la University of British Columbia, Canadà, entre 2010 i 2012 La malaltia d'Alzheimer (MA) representa avui la forma més comuna de demència en la població envellida. Malgrat fa 100 anys que va ser descoberta, encara avui no existeix cap tractament preventiu i/o curatiu ni cap agent de diagnòstic que permeti valorar quantitativament l'evolució d'aquesta malaltia. L'objectiu en el que s'emmarca aquest treball és contribuir a aportar solucions al problema de la manca d'agents terapèutics i de diagnosi, unívocs i rigorosos, per a la MA. Des del camp de la química bioinorgànica és fàcil fixar-se en l'excessiva concentració d'ions Zn(II) i Cu(II) en els cervells de malalts de MA, plantejar-se la seva utilització com a dianes terapèutica i, en conseqüència, cercar agents quelants que evitin la formació de plaques senils o contribueixin a la seva dissolució. Si bé aquest va ser el punt de partida d’aquest projecte, els múltiples factors implicats en la patogènesi de la MA fan que el clàssic paradigma d’ ¨una molècula, una diana¨ limiti la capacitat de la molècula de combatre aquesta malaltia tan complexa. Per tant, un esforç considerable s’ha dedicat al disseny d’agentsmultifuncionals que combatin els múltiples factors que caracteritzen el desenvolupament de la MA. En el present treball s’han dissenyat agents multifuncionals inspirats en dos esquelets moleculars ben establers i coneguts en el camp de la química medicinal: la tioflavina-T (ThT) i la deferiprona (DFP). La utilització de tècniques in silico que inclouen càlculs farmacocinètics i modelatge molecular ha estat un procés cabdal per a l’avaluació dels millors candidats en base als següents requeriments: (a) compliment de determinades propietats farmacocinètiques que estableixin el seu possible ús com a fàrmac (b) hidrofobicitat adequada per travessar la BBB i (c) interacció amb el pèptid Aen solució.