Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

A general continuous auction model with insiders

We analyse in a unified way how the presence of a trader with privilege information makes the market to be efficient when the release time is known. We establish a general relation between the problem of finding an equilibrium and the problem of enlargement of filtrations. We also consider the case where the time of announcement is random. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time.

Transboard : Aplicación web colaborativa para traducción de aplicaciones web

El proyecto consiste en una aplicación web que permita a diferentes grupos de usuarios colaborar en la internacionalización y traducción de aplicaciones de una manera coordinada y eficiente. En su desarrollo se han evaluado diferentes aproximaciones de cara a obtener las mejores soluciones para este problema.

Aplicación web para informes de asignaturas de trabajo en grupo

Este Proyecto Fin de Carrera tiene como principal objetivo el desarrollo de una aplicación web que permita el registro de profesores y usuarios dentro de ella, con el fin de que los profesores elaboren cuestionarios con preguntas de diversa índole (preguntas con más de una respuesta correcta, con varias respuestas entre las que se deberá elegir una de ellas, respuestas textuales, etc.) y los alumnos responder a ellas.

Implantación de sistema VoIP en alta disponibilidad y distribución de carga

Este documento describe el proceso de diseño, configuración e implantación de un sistema clúster VoIP basado íntegramente en software libre.

Discrimination in Bankruptcy Situations

In a bankruptcy situation, not all claimants are affected in the same way. In particular, some depositors may enter into a situation of personal bankruptcy if they lose part of their investments. Events of this kind may lead to a social catastrophe. We propose discrimination among the claimants as a possible solution. A fact considered in the American bankruptcy law (among others) that establishes some discrimination on the claimants, or the Santander Bank that in the Madoff’s case reimbursed only the deposits to its particular customers. Moreover, the necessity of discriminating has already been mentioned in different contexts by Young (1988), Bossert (1995), Thomson (2003) and Pulido et al. (2002, 2007), for instance. In this paper, we take a bankruptcy solution as the reference point. Given this initial allocation, we make transfers from richer to poorer with the purpose of distributing not only the personal incurred losses as evenly as possible but also the transfers in a progressive way. The agents are divided into two groups depending on their personal monetary value (wealth, net-income, GDP or any other characteristic). Then, we impose a set of Axioms that bound the maximal transfer that each net-contributor can make and each net-receiver can obtain. Finally, we define a value discriminant solution, and we characterize it by means of the Lorenz criterion. Endogenous convex combinations between solutions are also considered. Keywords: Bankruptcy, Discrimination, Compensation, Rules JEL classification: C71, D63, D71.

A note on discrete claims problems

In this note, we consider claims problems with indivisible goods. Specifically, by applying recursively the P-rights lower bound (Jiménez-Gómez and Marco-Gil (2008)), we ensure the fulfillment of Weak Order Preservation, considered by many authors as a minimal requirement of fairness. Moreover, we retrieve the Discrete Constrained Equal Losses and the Discrete Constrained Equal Awards rules (Herrero and Martíınez (2008)). Finally, by the recursive double imposition of a lower and an upper bound, we obtain the average between them. Keywords: Claims problems, Indivisibilities, Order Preservation, Constrained Egalitarian rules, Midpoint. JEL classification: C71, D63, D71.

Fair bounds based solidarity

How should scholarships be distributed among the (public) higher education students? We raise this situation as a redistribution problem. Following the approach developed in Fleurbaey (1994) and Bossert (1995), redistribution should be based on the notion of solidarity and it re-allocates resources taking into account only agents’ relevant characteristics. We also follow Luttens (2010a), who considers that compensation of relevant characteristics must be based on a lower bound on what every individual deserves. In doing so, we use the so-called fair bound (Moulin (2002)) to define an egalitarian redistribution mechanism and characterize it in terms of non-negativity, priority in lower bound and solidarity. Finally, we apply our approach to the scholarships redistribution problem. Keywords: Redistribution mechanism, Lower bounds, Scholarship, Solidarity. JEL classification: C71, D63, D71

Posicionament de vehicles en mapes mitjançant GPS

El projecte consisteix en el desenvolupament d'un algorisme que millori el posicionament final d'un sistema que adquireix les dades d'una antena de GPS estàndard. Aquest sistema en certs moments té pèrdua total de senyal GPS o rep senyal amb pertorbacions, derivant en un mal posicionament. Nosaltres hem proposat una solució que utilitza les coordenades del GPS, el filtre Kalman per resoldre els problemes de pertorbacions de senyal, bases de dades digitals geogràfiques per garantir la circulació del vehicle per sobre la carretera, i finalment combina la informació temporal de posicions anteriors i la de les bases de dades per posicionar el vehicle quan hi ha pèrdua total de senyal. Els experiments realitzats ens indiquen que s'obté una millora del posicionement.

Diagnóstico de la infección tuberculosa mediante IGRAs en pacientes con psoriasis

El úso de anti-TNF-α se ha asociado a reactivación de infección tuberculosa latente (ITL). Los IGRAs son pruebas in vitro más sensibles y mas específicas que la prueba de la prueba de la tuberculina (PT). El objetivo de este trabajo es el de contrastar la correlación entre los resultados de las técnicas in vitro y la PT. Analizamos 103 pacientes con psoriasis en tratamiento sistémico. Los resultados de nuestra serie permiten sugerir una mayor sensibilidad y especificidad de los IGRAs en la detección de ITL respecto a la PT, de forma independiente al estado de inmunosupresión y al fármaco empleado, con alta concordancia entre los IGRAs.

Implantació i integració d'un CRM en un holding empresarial

El TFC analitza la implantació en un holding empresarial d'un nou CRM i la seva connexió i integració amb la resta d'aplicacions ja existents.

A note on Luttens’ Minimal rights based solidarity

Following the approach developed by Luttens (2010), we consider a model where individuals with di fferent levels of skills exert di fferent levels of e ffor. Speci fically, we propose a redistribution mechanism based on a lower bound on what every individual deserves: the so-called minimal rights (O'Neill (1982)). Our re finement of Luttens' mechanism ensures at the same time minimal rights based solidarity, participation (non-negativity) and claims feasibility. Keywords: Redistribution mechanism, Minimal rights, Solidarity, Participation, Claims feasibility. JEL classi fication: C71, D63, D71.

From bargaining solutions to claims rules: a proportional approach

Is it important to negotiate on proportions rather than on numbers? To answer this question, we analyze the behavior of well-known bargaining solutions and the claims rules they induce when they are applied to a "proportionally transformed" bargaining set SP -so-called bargaining-in-proportions set. The idea of applying bargaining solutions to claims problems was already developed in Dagan and Volij (1993). They apply the bargaining solutions over a bargaining set that is the one de ned by the claims and the endowment. A comparison among our results and theirs is provided. Keywords: Bargaining problem, Claims problem, Proportional, Constrained Equal Awards, Constrained Equal Losses, Nash bargaining solution. JEL classi fication: C71, D63, D71.

Bradykinin, but not muscarinic, inhibition of M-current in rat sympathetic ganglion neurons involves phospholipase C-β4

Rat superior cervical ganglion (SCG) neurons express low-threshold noninactivating M-type potassium channels (I-K(M)), which can be inhibited by activation of M-1 muscarinic receptors (M-1 mAChR) and bradykinin (BK) B-2 receptors. Inhibition by the M1 mAChR agonist oxotremorine methiodide (Oxo-M) is mediated, at least in part, by the pertussis toxin-insensitive G-protein G alpha (q) (Caulfield et al., 1994; Haley et al., 1998a), whereas BK inhibition involves G alpha (q) and/or G alpha (11) (Jones et al., 1995). G alpha (q) and G alpha (11) can stimulate phospholipase C-beta (PLC-beta), raising the possibility that PLC is involved in I-K(M) inhibition by Oxo-M and BK. RT-PCR and antibody staining confirmed the presence of PLC-beta1, - beta2, - beta3, and - beta4 in rat SCG. We have tested the role of two PLC isoforms (PLC-beta1 and PLC-beta4) using antisense-expression constructs. Antisense constructs, consisting of the cytomegalovirus promoter driving antisense cRNA corresponding to the 3'-untranslated regions of PLC-beta1 and PLC-beta4, were injected into the nucleus of dissociated SCG neurons. Injected cells showed reduced antibody staining for the relevant PLC-beta isoform when compared to uninjected cells 48 hr later. BK inhibition of I-K(M) was significantly reduced 48 hr after injection of the PLC-beta4, but not the PLC-beta1, antisense-encoding plasmid. Neither PLC-beta antisense altered M-1 mAChR inhibition by Oxo-M. These data support the conclusion of Cruzblanca et al. (1998) that BK, but not M-1 mAChR, inhibition of I-K(M) involves PLC and extends this finding by indicating that PLC-beta4 is involved.