Inventory-routing model, for a multi-period problem with stochastic and deterministic demand

The need for integration in the supply chain management leads us to considerthe coordination of two logistic planning functions: transportation andinventory. The coordination of these activities can be an extremely importantsource of competitive advantage in the supply chain management. The battle forcost reduction can pass through the equilibrium of transportation versusinventory managing costs. In this work, we study the specific case of aninventory-routing problem for a week planning period with different types ofdemand. A heuristic methodology, based on the Iterated Local Search, isproposed to solve the Multi-Period Inventory Routing Problem with stochasticand deterministic demand.

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).

Monetary policy and exchange rate volatility in a small open economy

We lay out a small open economy version of the Calvo sticky price model, and show how the equilibrium dynamics can be reduced to simple representation in domestic inflation and the output gap. We use the resulting framework to analyze the macroeconomic implications of three alternative rule-based policy regimes for the small open economy: domestic inflation and CPI-based Taylor rules, and an exchange rate peg. We show that a key difference amongthese regimes lies in the relative amount of exchange rate volatility that they entail. We also discuss a special case for which domestic inflation targeting constitutes the optimal policy, and where a simple second order approximation to the utility of the representative consumer can be derived and used to evaluate the welfare losses associated with the suboptimal rules.

Minimum distance estimation of stationary and non-stationary ARFIMA processes

A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator iseasy to compute and is consistent and asymptotically normally distributed for fractionallyintegrated (FI) processes with an integration order d strictly greater than -0.75. Therefore, it can be applied to both stationary and non-stationary processes. Deterministic components are also allowed in the DGP. Furthermore, as a by-product, the estimation procedure provides an immediate check on the adequacy of the specified model. This is so because the criterion function, when evaluated at the estimated values, coincides with the Box-Pierce goodness of fit statistic. Empirical applications and Monte-Carlo simulations supporting the analytical results and showing the good performance of the estimator in finite samples are also provided.

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.

A note on the Malliavin differentiability of the Heston volatility

We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process is Malliavin differentiable and give an explicit expression for the derivative. This result assures the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model and the Cox-Ingersoll-Ross model for interest rates.

Labor market heterogeneity and the aggregate matching function

The matching function -a key building block in models of labor market frictions- impliesthat the job finding rate depends only on labor market tightness. We estimate such amatching function and find that the relation, although remarkably stable over 1967-2007,broke down spectacularly after 2007. We argue that labor market heterogeneities are notfully captured by the standard matching function, but that a generalized matching functionthat explicitly takes into account worker heterogeneity and market segmentation is fullyconsistent with the behavior of the job finding rate. The standard matching function canbreak down when, as in the Great Recession, the average characteristics of the unemployedchange too much, or when dispersion in labor market conditions -the extent to which somelabor markets fare worse than others- increases too much.

A limited area model intercomparison on the "Montserrat-2000" flash-flood event using statistical and deterministic methods

In the scope of the European project Hydroptimet, INTERREG IIIB-MEDOCC programme, limited area model (LAM) intercomparison of intense events that produced many damages to people and territory is performed. As the comparison is limited to single case studies, the work is not meant to provide a measure of the different models' skill, but to identify the key model factors useful to give a good forecast on such a kind of meteorological phenomena. This work focuses on the Spanish flash-flood event, also known as "Montserrat-2000" event. The study is performed using forecast data from seven operational LAMs, placed at partners' disposal via the Hydroptimet ftp site, and observed data from Catalonia rain gauge network. To improve the event analysis, satellite rainfall estimates have been also considered. For statistical evaluation of quantitative precipitation forecasts (QPFs), several non-parametric skill scores based on contingency tables have been used. Furthermore, for each model run it has been possible to identify Catalonia regions affected by misses and false alarms using contingency table elements. Moreover, the standard "eyeball" analysis of forecast and observed precipitation fields has been supported by the use of a state-of-the-art diagnostic method, the contiguous rain area (CRA) analysis. This method allows to quantify the spatial shift forecast error and to identify the error sources that affected each model forecasts. High-resolution modelling and domain size seem to have a key role for providing a skillful forecast. Further work is needed to support this statement, including verification using a wider observational data set.

Cholesterol transport from late endosomes to the Golgi regulates t-SNARE trafficking, assembly, and function

Cholesterol regulates plasma membrane (PM) association and functioning of syntaxin-4 and soluble N-ethylmaleimide-sensitive fusion protein 23 (SNAP23) in the secretory pathway. However, the molecular mechanism and cellular cholesterol pools that determine the localization and assembly of these target membrane SNAP receptors (t-SNAREs) are largely unknown. We recently demonstrated that high levels of annexin A6 (AnxA6) induce accumulation of cholesterol in late endosomes, thereby reducing cholesterol in the Golgi and PM. This leads to an impaired supply of cholesterol needed for cytosolic phospholipase A2 (cPLA2) to drive Golgi vesiculation and caveolin transport to the cell surface. Using AnxA6-overexpressing cells as a model for cellular cholesterol imbalance, we identify impaired cholesterol egress from late endosomes and diminution of Golgi cholesterol as correlating with the sequestration of SNAP23/syntaxin-4 in Golgi membranes. Pharmacological accumulation of late endosomal cholesterol and cPLA2 inhibition induces a similar phenotype in control cells with low AnxA6 levels. Ectopic expression of Niemann-Pick C1 (NPC1) or exogenous cholesterol restores the location of SNAP23 and syntaxin-4 within the PM. Importantly, AnxA6-mediated mislocalization of these t-SNAREs correlates with reduced secretion of cargo via the SNAP23/syntaxin-4¿dependent constitutive exocytic pathway. We thus conclude that inhibition of late endosomal export and Golgi cholesterol depletion modulate t-SNARE localization and functioning along the exocytic pathway.

Dynamic and Regulated Association of Caveolin with Lipid Bodies: Modulation of Lipid Body Motility and Function by a Dominant Negative Mutant

Caveolins are a crucial component of caveolae but have also been localized to the Golgi complex, and, under some experimental conditions, to lipid bodies (LBs). The physiological relevance and dynamics of LB association remain unclear. We now show that endogenous caveolin-1 and caveolin-2 redistribute to LBs in lipid loaded A431 and FRT cells. Association with LBs is regulated and reversible; removal of fatty acids causes caveolin to rapidly leave the lipid body. We also show by subcellular fractionation, light and electron microscopy that during the first hours of liver regeneration, caveolins show a dramatic redistribution from the cell surface to the newly formed LBs. At later stages of the regeneration process (when LBs are still abundant), the levels of caveolins in LBs decrease dramatically. As a model system to study association of caveolins with LBs we have used brefeldin A (BFA). BFA causes rapid redistribution of endogenous caveolins to LBs and this association was reversed upon BFA washout. Finally, we have used a dominant negative LB-associated caveolin mutant (cavDGV) to study LB formation and to examine its effect on LB function. We now show that the cavDGV mutant inhibits microtubule-dependent LB motility and blocks the reversal of lipid accumulation in LBs.

The Oncoprotein BCL11A Binds to Orphan Nuclear Receptor TLX and Potentiates its Transrepressive Function

Nuclear orphan receptor TLX (NR2E1) functions primarily as a transcriptional repressor and its pivotal role in brain development, glioblastoma, mental retardation and retinopathologies make it an attractive drug target. TLX is expressed in the neural stem cells (NSCs) of the subventricular zone and the hippocampus subgranular zone, regions with persistent neurogenesis in the adult brain, and functions as an essential regulator of NSCs maintenance and self-renewal. Little is known about the TLX social network of interactors and only few TLX coregulators are described. To identify and characterize novel TLX-binders and possible coregulators, we performed yeast-two-hybrid (Y2H) screens of a human adult brain cDNA library using different TLX constructs as baits. Our screens identified multiple clones of Atrophin-1 (ATN1), a previously described TLX interactor. In addition, we identified an interaction with the oncoprotein and zinc finger transcription factor BCL11A (CTIP1/Evi9), a key player in the hematopoietic system and in major blood-related malignancies. This interaction was validated by expression and coimmunoprecipitation in human cells. BCL11A potentiated the transrepressive function of TLX in an in vitro reporter gene assay. Our work suggests that BCL11A is a novel TLX coregulator that might be involved in TLX-dependent gene regulation in the brain.

Modelos de tasas de interes en Chile: una revisión

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el método de Probabilidad Maximun permitimos que la volatilidad condicional también incluya los procesos inesperados de la información (el modelo GARCH ) y también que la volatilidad sea la función del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliación del tamaño y la frecuencia de la muestra a 4 producciones semanales con términos(condiciones) diferentes a la madurez: 1 año, 5 años, 10 años y 15 años. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversión tacañas, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparación con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)

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