A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

Imitation of succesful behavior in Cournot markets

In an experimental standard Cournot Oligopoly we test the importance ofmodels of behavior characterized by imitation of succesful behavior. Wefind that the players appear to the rather reluctant to imitate.

The risk of divorce and household saving behavior

We analyze the impact of an increase in the risk of divorce on the savingbehaviour of married couples. From a theoretical perspective, the expected sign of theeffect is ambiguous. We take advantage of the legalization of divorce in Ireland in 1996as an exogenous increase in the likelihood of marital dissolution. We analyze the savingbehaviour over time of couples who were married before the law was passed. We proposea difference-in-differences approach where we use as comparison groups either marriedcouples in other European countries (not affected by the law change), or Irish familieswho did not experience a significant increase in the expected risk of divorce (such as veryreligious families, or single individuals). Our results suggest that the increase in the riskof divorce brought about by the law was followed by an increase in the propensity to saveof married couples, consistent with a rise in precautionary savings interpretation. Anincrease in the risk of marital dissolution of about 40 percent led to a 7 to 13 percent risein the proportion of married couples reporting positive savings.

A theory of reference-dependent behavior

Extensive field and experimental evidence in a variety of environments show that behavior depends on a reference point. This paper provides an axiomatic characterization of this dependence. We proceed by imposing gradually more structure on both choice correspondences and preference relations, requiring increasingly higher levels of rationality, and freeing the decision-maker from certain types of inconsistencies. The appropriate degree of behavioral structure will depend on the phenomenon that is to be modeled. Lastly, we provide two applications of our work: one to model the status-quo bias, and another to model addictive behavior.

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

Ethical differentiation and market behavior: An experimental approach

Does ethical differentiation of products affect market behavior? We examined this issue in triopolistic experimental markets where producers set prices. One producer s costs were higher than the others. In two treatments, the additional costs were attributed tocompliance with ethical guidelines. In the third, no justification was provided. Manyparticipants playing the role of consumers reduced their experimental gains by purchasing the ethically differentiated product at a higher price whether or not they knew the amount of extra cost. Individual differences were important (students of business/economics paid smaller premia than others). Finally, we speculate about the observed demand function for ethics and emphasize the use of experimental methodology to complement empirical studies designed to assess the potential market for ethically differentiated products.

On the complexity of rationalizing behavior

We study the complexity of rationalizing choice behavior. We do so by analyzing two polar cases, and a number of intermediate ones. In our most structured case, that is where choice behavior is defined in universal choice domains and satisfies the "weak axiom of revealed preference," finding the complete preorder rationalizing choice behavior is a simple matter. In the polar case, where no restriction whatsoever is imposed, either on choice behavior or on choice domain, finding the complete preordersthat rationalize behavior turns out to be intractable. We show that the task of finding the rationalizing complete preorders is equivalent to a graph problem. This allows the search for existing algorithms in the graph theory literature, for the rationalization of choice.

Europe and the Petersberg Tasks – Nation-State behavior through the prism of Strategic Culture

Les missions Petersberg són l'operatiu militar més ambiciós organitzat per la Unió Europea en el desenvolupament de la CSDP, Política Europea de Seguretat i Defensa. Amb l'objectiu d'aconseguir una organització efectiva y funcional d'aquestes missions, és desitjable que les cultures estratègiques dels diferents Estats membres siguin, en gran mesura, compatibles en benefici d'una cultura estratègica europea amb directrius clares. Aquest estudi compara les cultures estratègiques d'Alemanya, el Regne Unit i França en referència al seu nivell de compatibilitat contrastant-les amb dos casos recents, exemples paradigmàtics de cultures estratègiques integrals. D'aquesta manera, pretenem descriure les circumstàncies en què es desenvolupen les missions Petersberg.

A qualitative study of the impact of electronic journals on scholarly information behavior

A qualitative study of the impact of electronic journals on the information behavior of academics at Catalan universities shows that academics now read more, and more widely. However, their reading is becoming more superficial; they are compelled to improve their discrimination skills in order to decide what to read in more depth. The electronic accessibility of journals means that academics now make fewer library visits. Web browsing and TOC e-mail alerts are replacing physical browsing, and searching is a very popular option for keeping up to date with developments. Internet search engines, especially Google and Google Scholar, are becoming important sources of information for academics. However, they face problems in managing their personal scientific information.

Time-scale and other invariants of integrative mechanical behavior in living cells.

In dealing with systems as complex as the cytoskeleton, we need organizing principles or, short of that, an empirical framework into which these systems fit. We report here unexpected invariants of cytoskeletal behavior that comprise such an empirical framework. We measured elastic and frictional moduli of a variety of cell types over a wide range of time scales and using a variety of biological interventions. In all instances elastic stresses dominated at frequencies below 300 Hz, increased only weakly with frequency, and followed a power law; no characteristic time scale was evident. Frictional stresses paralleled the elastic behavior at frequencies below 10 Hz but approached a Newtonian viscous behavior at higher frequencies. Surprisingly, all data could be collapsed onto master curves, the existence of which implies that elastic and frictional stresses share a common underlying mechanism. Taken together, these findings define an unanticipated integrative framework for studying protein interactions within the complex microenvironment of the cell body, and appear to set limits on what can be predicted about integrated mechanical behavior of the matrix based solely on cytoskeletal constituents considered in isolation. Moreover, these observations are consistent with the hypothesis that the cytoskeleton of the living cell behaves as a soft glassy material, wherein cytoskeletal proteins modulate cell mechanical properties mainly by changing an effective temperature of the cytoskeletal matrix. If so, then the effective temperature becomes an easily quantified determinant of the ability of the cytoskeleton to deform, flow, and reorganize.

Psychometric characteristics of the Spanish version of instruments to measure neck pain disability

Background: The NDI, COM and NPQ are evaluation instruments for disability due to NP. There was no Spanish version of NDI or COM for which psychometric characteristics were known. The objectives of this study were to translate and culturally adapt the Spanish version of the Neck Disability Index Questionnaire (NDI), and the Core Outcome Measure (COM), to validate its use in Spanish speaking patients with non-specific neck pain (NP), and to compare their psychometric characteristics with those of the Spanish version of the Northwick Pain Questionnaire (NPQ).Methods: Translation/re-translation of the English versions of the NDI and the COM was done blindly and independently by a multidisciplinary team. The study was done in 9 primary care Centers and 12 specialty services from 9 regions in Spain, with 221 acute, subacute and chronic patients who visited their physician for NP: 54 in the pilot phase and 167 in the validation phase. Neck pain (VAS), referred pain (VAS), disability (NDI, COM and NPQ), catastrophizing (CSQ) and quality of life (SF-12) were measured on their first visit and 14 days later. Patients' self-assessment was used as the external criterion for pain and disability. In the pilot phase, patients' understanding of each item in the NDI and COM was assessed, and on day 1 test-retest reliability was estimated by giving a second NDI and COM in which the name of the questionnaires and the order of the items had been changed.Results: Comprehensibility of NDI and COM were good. Minutes needed to fill out the questionnaires [median, (P25, P75)]: NDI. 4 (2.2, 10.0), COM: 2.1 (1.0, 4.9). Reliability: [ICC, (95%CI)]: NDI: 0.88 (0.80, 0.93). COM: 0.85 (0.75,0.91). Sensitivity to change: Effect size for patients having worsened, not changed and improved between days 1 and 15, according to the external criterion for disability: NDI: -0.24, 0.15, 0.66; NPQ: -0.14, 0.06, 0.67; COM: 0.05, 0.19, 0.92. Validity: Results of NDI, NPQ and COM were consistent with the external criterion for disability, whereas only those from NDI were consistent with the one for pain. Correlations with VAS, CSQ and SF-12 were similar for NDI and NPQ (absolute values between 0.36 and 0.50 on day 1, between 0.38 and 0.70 on day 15), and slightly lower for COM (between 0.36 and 0.48 on day 1, and between 0.33 and 0.61 on day 15). Correlation between NDI and NPQ: r = 0.84 on day 1, r = 0.91 on day 15. Correlation between COM and NPQ: r = 0.63 on day 1, r = 0.71 on day 15.Conclusion: Although most psychometric characteristics of NDI, NPQ and COM are similar, those from the latter one are worse and its use may lead to patients' evolution seeming more positive than it actually is. NDI seems to be the best instrument for measuring NP-related disability, since its results are the most consistent with patient's assessment of their own clinical status and evolution. It takes two more minutes to answer the NDI than to answer the COM, but it can be reliably filled out by the patient without assistance.

Critical behavior of a system with orientational and positional degrees of freedom: A Monte Carlo simulation study

The critical behavior of a system constituted by molecules with a preferred symmetry axis is studied by means of a Monte Carlo simulation of a simplified two-dimensional model. The system exhibits two phase transitions, associated with the vanishing of the positional order of the center of mass of the molecules and with the orientational order of the symmetry axis. The evolution of the order parameters and the specific heat is also studied. The transition associated with the positional degrees of freedom is found to change from a second-order to a first-order behavior when the two phase transitions are close enough, due to the coupling with the orientational degrees of freedom. This fact is qualitatively compared with similar results found in pure liquid crystals and liquid-crystal mixtures.

Intensity correlation function of dye lasers: Short-time behavior

We propose an equation to calculate the intensity correlation function of a dye-laser model with a pump parameter subject to finite-bandwidth fluctuations. The equation is valid, in the weak-noise limit, for all times. It incorporates novel non-Markovian features. Results are given for the short-time behavior of the correlation function. It exhibits a characteristic initial plateau. Our findings are supported by a numerical simulation of the model.