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

Trimestralización y conciliación de magnitudes económicas : una ampliación del método Chow-Lin

Una de las herramientas estadísticas más importantes para el seguimiento y análisis de la evolución de la actividad económica a corto plazo es la disponibilidad de estimaciones de la evolución trimestral de los componentes del PIB, en lo que afecta tanto a la oferta como a la demanda. La necesidad de disponer de esta información con un retraso temporal reducido hace imprescindible la utilización de métodos de trimestralización que permitan desagregar la información anual a trimestral. El método más aplicado, puesto que permite resolver este problema de manera muy elegante bajo un enfoque estadístico de estimador óptimo, es el método de Chow-Lin. Pero este método no garantiza que las estimaciones trimestrales del PIB en lo que respecta a la oferta y a la demanda coincidan, haciendo necesaria la aplicación posterior de algún método de conciliación. En este trabajo se desarrolla una ampliación multivariante del método de Chow-Lin que permite resolver el problema de la estimación de los valores trimestrales de manera óptima, sujeta a un conjunto de restricciones. Una de las aplicaciones potenciales de este método, que hemos denominado método de Chow-Lin restringido, es precisamente la estimación conjunta de valores trimestrales para cada uno de los componentes del PIB en lo que afecta tanto a la demanda como a la oferta condicionada a que ambas estimaciones trimestrales del PIB sean iguales, evitando así la necesidad de aplicar posteriormente métodos de conciliación

Estudi de l'estat de Salut autopercebut: Modelització de l'índex d'utilitat EQ-5D mitjançant un model tobit

Objective: Health status measures usually have an asymmetric distribution and present a highpercentage of respondents with the best possible score (ceiling effect), specially when they areassessed in the overall population. Different methods to model this type of variables have beenproposed that take into account the ceiling effect: the tobit models, the Censored Least AbsoluteDeviations (CLAD) models or the two-part models, among others. The objective of this workwas to describe the tobit model, and compare it with the Ordinary Least Squares (OLS) model,that ignores the ceiling effect.Methods: Two different data sets have been used in order to compare both models: a) real datacomming from the European Study of Mental Disorders (ESEMeD), in order to model theEQ5D index, one of the measures of utilities most commonly used for the evaluation of healthstatus; and b) data obtained from simulation. Cross-validation was used to compare thepredicted values of the tobit model and the OLS models. The following estimators werecompared: the percentage of absolute error (R1), the percentage of squared error (R2), the MeanSquared Error (MSE) and the Mean Absolute Prediction Error (MAPE). Different datasets werecreated for different values of the error variance and different percentages of individuals withceiling effect. The estimations of the coefficients, the percentage of explained variance and theplots of residuals versus predicted values obtained under each model were compared.Results: With regard to the results of the ESEMeD study, the predicted values obtained with theOLS model and those obtained with the tobit models were very similar. The regressioncoefficients of the linear model were consistently smaller than those from the tobit model. In thesimulation study, we observed that when the error variance was small (s=1), the tobit modelpresented unbiased estimations of the coefficients and accurate predicted values, specially whenthe percentage of individuals wiht the highest possible score was small. However, when theerrror variance was greater (s=10 or s=20), the percentage of explained variance for the tobitmodel and the predicted values were more similar to those obtained with an OLS model.Conclusions: The proportion of variability accounted for the models and the percentage ofindividuals with the highest possible score have an important effect in the performance of thetobit model in comparison with the linear model.

Anàlisi factorial confirmatòria per a variables categòriques: Aplicació al qüestionari de discapacitat WHODAS-II

Objective: To describe the methodology of Confirmatory Factor Analyis for categorical items and to apply this methodology to evaluate the factor structure and invariance of the WHO-Disability Assessment Schedule (WHODAS-II) questionnaire, developed by the World HealthOrganization.Methods: Data used for the analysis come from the European Study of Mental Disorders(ESEMeD), a cross-sectional interview to a representative sample of the general population of 6 european countries (n=8796). Respondents were administered a modified version of theWHODAS-II, that measures functional disability in the previous 30 days in 6 differentdimensions: Understanding and Communicating; Self-Care, Getting Around, Getting Along withOthers, Life Activities and Participation. The questionnaire includes two types of items: 22severity items (5 points likert) and 8 frequency items (continuous). An Exploratory factoranalysis (EFA) with promax rotation was conducted on a random 50% of the sample. Theremaining half of the sample was used to perform a Confirmatory Factor Analysis (CFA) inorder to compare three different models: (a) the model suggested by the results obtained in theEFA; (b) the theoretical model suggested by the WHO with 6 dimensions; (c) a reduced modelequivalent to model b where 4 of the frequency items are excluded. Moreover, a second orderfactor was also evaluated. Finally, a CFA with covariates was estimated in order to evaluatemeasurement invariance of the items between Mediterranean and non-mediterranean countries.Results: The solution that provided better results in the EFA was that containing 7 factors. Twoof the frequency items presented high factor loadings in the same factor, and one of thempresented factor loadings smaller than 0.3 with all the factors. With regard to the CFA, thereduced model (model c) presented the best goodness of fit results (CFI=0.992,TLI=0.996,RMSEA=0.024). The second order factor structure presented adequate goodness of fit (CFI=0.987,TLI=0.991, RMSEA=0.036). Measurement non-invariance was detected for one of the items of thequestionnaire (FD20 ¿ Embarrassment due to health problems).Conclusions: AFC confirmed the initial hypothesis about the factorial structure of the WHODAS-II in 6factors. The second order factor supports the existence of a global dimension of disability. The use of 4of the frequency items is not recommended in the scoring of the corresponding dimensions.

What trees tell us: dendrochronological and statistical analysis of the data

Trees are a great bank of data, named sometimes for this reason as the "silentwitnesses" of the past. Due to annual formation of rings, which is normally influenced directly by of climate parameters (generally changes in temperature and moisture or precipitation) and other environmental factors; these changes, occurred in the past, are"written" in the tree "archives" and can be "decoded" in order to interpret what hadhappened before, mainly applied for the past climate reconstruction.Using dendrochronological methods for obtaining samples of Pinus nigra fromthe Catalonian PrePirineous region, the cores of 15 trees with total time spine of about 100 - 250 years were analyzed for the tree ring width (TRW) patterns and had quite high correlation between them (0.71 ¿ 0.84), corresponding to a common behaviour for the environmental changes in their annual growth.After different trials with raw TRW data for standardization in order to take outthe negative exponential growth curve dependency, the best method of doubledetrending (power transformation and smoothing line of 32 years) were selected for obtaining the indexes for further analysis.Analyzing the cross-correlations between obtained tree ring width indexes andclimate data, significant correlations (p<0.05) were observed in some lags, as forexample, annual precipitation in lag -1 (previous year) had negative correlation with TRW growth in the Pallars region. Significant correlation coefficients are between 0.27- 0.51 (with positive or negative signs) for many cases; as for recent (but very short period) climate data of Seu d¿Urgell meteorological station, some significant correlation coefficients were observed, of the order of 0.9.These results confirm the hypothesis of using dendrochronological data as aclimate signal for further analysis, such as reconstruction of climate in the past orprediction in the future for the same locality.

Spectral analysis of the luteinizing hormone in the blood samples

Generally, medicine books are concentrated almost exclusively in explaining methodology that analyzes fixed measures, measures done in a certain moment, nevertheless the evolution of the measurement and correct interpretation of the missed values are very important and sometimes can give the key information of the results obtained. Thus, the analysis of the temporary series and spectral analysis or analysis of the time series in the dominion of frequencies can be regarded as an appropriate tool for this kind of studies.In this work the frequency of the pulsating secretion of luteinizing hormone LH (thatregulates the fertile life of women) were analyzed in order to determine the existence of the significant frequencies obtained by analysis of Fourier. Detection of the frequencies, with which the pulsating secretion of the LH takes place, is a quite difficult question due topresence of the random errors in measures and samplings, i.e. that pulsating secretions of small amplitude are not detected and disregarded. In physiology it is accepted that cyclical patterns in the secretion of the LH exist and in the results of this research confirm this pattern and determine its frequency presented in the corresponded periodograms to each of studied cycle. The obtained results can be used as key pattern for future sampling frequencies in order to ¿catch¿ the significant picks of the luteinizing hormone and reflect on time forproductivity treatment of women.

On the consequences of misspecifing assumptions concerning residuals distribution in a repeated measures and nonlinear mixed modelling context

In this paper we describe the results of a simulation study performed to elucidate the robustness of the Lindstrom and Bates (1990) approximation method under non-normality of the residuals, under different situations. Concerning the fixed effects, the observed coverage probabilities and the true bias and mean square error values, show that some aspects of this inferential approach are not completely reliable. When the true distribution of the residuals is asymmetrical, the true coverage is markedly lower than the nominal one. The best results are obtained for the skew normal distribution, and not for the normal distribution. On the other hand, the results are partially reversed concerning the random effects. Soybean genotypes data are used to illustrate the methods and to motivate the simulation scenarios

Impact of incorrect assumptions on the covariance structure of random effects and/or residuals in nonlinear mixed models for repeated measures data

In this paper we analyse, using Monte Carlo simulation, the possible consequences of incorrect assumptions on the true structure of the random effects covariance matrix and the true correlation pattern of residuals, over the performance of an estimation method for nonlinear mixed models. The procedure under study is the well known linearization method due to Lindstrom and Bates (1990), implemented in the nlme library of S-Plus and R. Its performance is studied in terms of bias, mean square error (MSE), and true coverage of the associated asymptotic confidence intervals. Ignoring other criteria like the convenience of avoiding over parameterised models, it seems worst to erroneously assume some structure than do not assume any structure when this would be adequate.

Spanning avalanches in the three-dimensional Gaussian random-field Ising model with metastable dynamics: Field dependence and geometrical properties

Spanning avalanches in the 3D Gaussian Random Field Ising Model (3D-GRFIM) with metastable dynamics at T=0 have been studied. Statistical analysis of the field values for which avalanches occur has enabled a Finite-Size Scaling (FSS) study of the avalanche density to be performed. Furthermore, a direct measurement of the geometrical properties of the avalanches has confirmed an earlier hypothesis that several types of spanning avalanches with two different fractal dimensions coexist at the critical point. We finally compare the phase diagram of the 3D-GRFIM with metastable dynamics with the same model in equilibrium at T=0.

Introducció de l'ensenyament en línia en Humanitats: estudis de cas sobre l'acceptació d'activitats en línia per part del professorat de llengües clàssiques

L'objectiu d'aquest article és mostrar les percepcions del professorat de llengües clàssiques (grec antic i llatí) amb relació a les activitats en línia fetes durant els cursos. L'estudi es va fer a tres països: Grècia (a tres universitats importants), Espanya (a la Universitat de Barcelona) i els Estats Units (a la Universitat de Califòrnia a Berkeley) amb la participació de trenta-tres professors. Segons el nivell d'ús i d'acceptació de les TIC i a partir de la classificació de G. Moore, vam separar els docents participants en tres grups: els conservadors, el corrent principal i els adoptadors primerencs. El fet que el grup més petit sigui el tercer mostra clarament que hi ha una necessitat de preparació i formació dels professors abans d'introduir projectes innovadors a l'aula. Com que el punt d'inici de l'aplicació d'innovació a l'aula és el professorat, els responsable dels projectes d'innovació s'haurien de centrar a ajudar-los a conscienciar-se dels canvis en els mètodes d'ensenyament i a incloure la seva opinió durant el disseny dels esmentats projectes.

Collective dynamic properties in simple crystals: Influence of the structural disorder

Collective dynamic properties in Lennard-Jones crystals are investigated by molecular dynamics simulation. The study is focused on properties such as the dynamic structure factors, the longitudinal and transverse currents and the density of states. The influence on these properties of the structural disorder is analyzed by comparing the results for one-component crystals with those for liquids and supercooled liquids at analogous conditions. The effects of species-disorder on the collective properties of binary crystals are also discussed.

Self-dynamic structure factor of dense liquids: Theory and simulation

The self-intermediate dynamic structure factor Fs(k,t) of liquid lithium near the melting temperature is calculated by molecular dynamics. The results are compared with the predictions of several theoretical approaches, paying special attention to the Lovesey model and the Wahnstrm and Sjgren mode-coupling theory. To this end the results for the Fs(k,t) second memory function predicted by both models are compared with the ones calculated from the simulations.

Periodic points of holomorphic maps via Lefschetz numbers

In this paper we study the set of periods of holomorphic maps on compact manifolds, using the periodic Lefschetz numbers introduced by Dold and Llibre, which can be computed from the homology class of the map. We show that these numbers contain information about the existence of periodic points of a given period; and, if we assume the map to be transversal, then they give us the exact number of such periodic orbits. We apply this result to the complex projective space of dimension n and to some special type of Hopf surfaces, partially characterizing their set of periods. In the first case we also show that any holomorphic map of CP(n) of degree greater than one has infinitely many distinct periodic orbits, hence generalizing a theorem of Fornaess and Sibony. We then characterize the set of periods of a holomorphic map on the Riemann sphere, hence giving an alternative proof of Baker's theorem.

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