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).

Lévy area for Gaussian processes: A double Wiener--Itô integral approach

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

On moments and tail behaviors of storage processes

We study the existence of moments and the tail behaviour of the densitiesof storage processes. We give sufficient conditions for existence andnon-existence of moments using the integrability conditions ofsubmultiplicative functions with respect to Lévy measures. Then, we studythe asymptotical behavior of the tails of these processes using the concaveor convex envelope of the release rate function.

Integrated random processes exhibiting long tails, finite moments, and power-law spectra

A dynamical model based on a continuous addition of colored shot noises is presented. The resulting process is colored and non-Gaussian. A general expression for the characteristic function of the process is obtained, which, after a scaling assumption, takes on a form that is the basis of the results derived in the rest of the paper. One of these is an expansion for the cumulants, which are all finite, subject to mild conditions on the functions defining the process. This is in contrast with the Lévy distribution¿which can be obtained from our model in certain limits¿which has no finite moments. The evaluation of the spectral density and the form of the probability density function in the tails of the distribution shows that the model exhibits a power-law spectrum and long tails in a natural way. A careful analysis of the characteristic function shows that it may be separated into a part representing a Lévy process together with another part representing the deviation of our model from the Lévy process. This

Anticipating linear stochastic differential equations driven by a Lévy process

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we extend the method based on Girsanov transformations on Wiener space and developped by Buckdahn [7] to the canonical Lévy space, which is introduced in [25].

Selecting negotiation processes with Health Care

We address the question of how a third-party payer (e.g. an insurer) decides what providers to contract with. Three different mechanisms are studied and their properties compared. A first mechanism consists in the third-party payer setting up a bargaining procedure with both providers jointly and simultaneously. A second mechanism envisages the outcome of the same simultaneous bargaining but independently with every provider. Finally, the last mechanism is of different nature. It is the so-called "any willing provider" where the third-party payer announces a contract and every provider freely decides to sign it or not. The main finding is that the decision of the third-party payer depends on the surplus to be shared. When it is relatively high the third-party payer prefers the any willing provider system. When, on the contrary, the surplus is relatively low, the third-party payer will select one of the other two systems accor ing to how bargaining power is distributed.

Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise

We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

Coupling and monotonicity of queueing processes

The main purpose of this work is to give a survey of main monotonicity properties of queueing processes based on the coupling method. The literature on this topic is quite extensive, and we do not consider all aspects of this topic. Our more concrete goal is to select the most interesting basic monotonicity results and give simple and elegant proofs. Also we give a few new (or revised) proofs of a few important monotonicity properties for the queue-size and workload processes both in single-server and multi- server systems. The paper is organized as follows. In Section 1, the basic notions and results on coupling method are given. Section 2 contains known coupling results for renewal processes with focus on construction of synchronized renewal instants for a superposition of independent renewal processes. In Section 3, we present basic monotonicity results for the queue-size and workload processes. We consider both discrete-and continuous-time queueing systems with single and multi servers. Less known results on monotonicity of queueing processes with dependent service times and interarrival times are also presented. Section 4 is devoted to monotonicity of general Jackson-type queueing networks with Markovian routing. This section is based on the notable paper [17]. Finally, Section 5 contains elements of stability analysis of regenerative queues and networks, where coupling and monotonicity results play a crucial role to establish minimal suficient stability conditions. Besides, we present some new monotonicity results for tandem networks.

The role of attention in multisensory integration processes

Report for the scientific sojourn at the University of Queensland, Australia, between June to October 2007. The integration of sensory information coming from different modalities is a subjectively effortless and automatic process. However, recent findings converge on the idea that there might be some limitations on how much multisensory information can our brains integrate at a given moment. The overall objective of this research visit was to expand and reinforce our current line of research addressing the role that attention plays on the mechanisms responsible for multisensory integration. There is also a critical review of the literature as well as a list of research questions of potential interest in the area of the neuropsychology of multisensory attention.

Nano-electro-mechanical in dynamical cellular processes

Report for the scientific sojourn carried out at the Department of Structure and Constituents of Matter during 2007.The main focus of the work was on phenomena related to nano-electromechanical processes that take place on a cellular level. Additionally, it has also been performed independent work related to charge and energy transfer in bio molecules, energy transfer in coupled spin systems as well as electrodynamics of nonlinear metamaterials.

Aprender investigando. Una experiencia formativa en el ámbito de la enfermería = Research teaching processes used as a methodological strategy in the education of healthcare professionals

Este trabajo tiene como propósito presentar y valorar, desde la perspectiva del alumnado participante, un proyecto de investigación-formación puesto en marcha durante el curso 2003-2004 en la elaboración del trabajo de tesina, fin de carrera, en la Escuela de Enfermería de Vitoria, dentro del programa de Licenciatura Europea de Enfermería. Constituye el punto de partida de un proyecto a largo plazo, iniciado con la intención de desarrollar principios teóricos y procedimientos prácticos que nos permitan sistematizar procesos formativos que, centrados en la investigación, articulen la teoría y la práctica e integren una perspectiva comunicativa y cooperativa.

The participation of women in peace processes: the other tables

This paper argues that women’s absence in peace processes cannot be explained by their alleged lack of experience in dialogue and negotiation, but by a serious lack of will to include them in such important initiatives of change. Women have wide ranging experience in dialogue processes including many war and post-war contexts, but there has been a deliberate lack of effort to integrate them in formal peace processes. After introducing the research framework, the paper addresses women’s involvement in peace, and analyzes the role played by women in peace processes, through the cases of Sri Lanka and Northern Ireland. The paper concludes that peace processes are as gendered as wars, and for that reason gender has to be a guiding line for including women in peace processes.

The Peace Processes in the Basque Country and Northern Ireland (1994-2006): a Comparative Approach

The peace process in Northern Ireland demonstrates that new sovereignty formulas need to be explored in order to meet the demands of the populations and territories in conflict. The profound transformation of the classic symbolic elements of the nation-state within the context of the European Union has greatly contributed to the prospects for a resolution of this old conflict. Today’s discussions are focused on the search for instruments of shared sovereignty that are adapted to a complex and plural social reality. This new approach for finding a solution to the Irish conflict is particularly relevant to the Basque debate about formulating creative and modern solutions to similar conflicts over identity and sovereignty. The notion of shared sovereignty implemented in Northern Ireland –a formula for complex interdependent relations– is of significant relevance to the broader international community and is likely to become an increasingly potent and transcendent model for conflict resolution and peace building.

Interpolation methods for stochastic processes spaces

In this paper the scales of classes of stochastic processes are introduced. New interpolation theorems and boundedness of some transforms of stochastic processes are proved. Interpolation method for generously-monotonous rocesses is entered. Conditions and statements of interpolation theorems concern he xed stochastic process, which diers from the classical results.