The black-white test score gap widens with age?

We re-examine the theoretical concept of a production function for cognitive achievement, and argue that an indirect production function that depends upon the variables that constrain parents' choices is both moretractable from an econometric point of view, and more interesting from an economic point of view than is a direct production function that depends upon a detailed list of direct inputs such as number of books in the household. We estimate flexible econometric models of indirect production functions for two achievement measures from the Woodcock-Johnson Revised battery, using data from two waves of the Child Development Supplement to the PSID. Elasticities of achievement measures with respect to family income and parents' educational levels are positive and significant. Gaps between scores of black and white children narrow or remain constant as children grow older, a result that differs from previous findings in the literature. The elasticities of achievement scores with respect to family income are substantially higher for children of black families, and there are some notable difference in elasticities with respect to parents' educational levels across blacks and whites.

Service offshoring and white-collar employment

This paper empirically studies the effects of service offshoring on white-collar employment, using data for more than one hundred U.S. occupations. A model of firm behavior based on separability allows to derive the labor demand elasticity with respect to service offshoring for each occupation. Estimation is performed with Quasi-Maximum Likelihood, to account for high degrees of censoring in the employment variable. The estimated elasticities are then related to proxies for the skill level and the degree of tradability of the occupations. Results show that service offshoring increases high skilled employment and decreases medium and low skilled employment. Within each skill group, however, service offshoring penalizes tradable occupations and benefits non-tradable occupations.

Investment, duration, and exit strategies for corporate and independent venture capital-backed start-ups

We propose a model of investment, duration, and exit strategies for start-ups backed by venture capital (VC) funds that accounts for the high level of uncertainty, the asymmetry of information between insiders and outsiders, and the discount rate. Our analysis predicts that start-ups backed by corporate VC funds remain for a longer period of time before exiting and receive larger investment amounts than those financed by independent VC funds. Although a longer duration leads to a higher likelihood of an exit through an acquisition, a larger investment increases the probability of an IPO exit. These predictions find strong empirical support.

A generalization of Hull and White formula and applications to option pricing approximation

By means of Malliavin Calculus we see that the classical Hull and White formulafor option pricing can be extended to the case where the noise driving thevolatility process is correlated with the noise driving the stock prices. Thisextension will allow us to construct option pricing approximation formulas.Numerical examples are presented.

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).

White luminescence from Si+ and C+ ion-implanted SiO2 films

The microstructural and optical analysis of SiO2 layers emitting white luminescence is reported. These structures have been synthesized by sequential Si+ and C+ ion implantation and high-temperature annealing. Their white emission results from the presence of up to three bands in the photoluminescence (PL) spectra, covering the whole visible spectral range. The microstructural characterization reveals the presence of a complex multilayer structure: Si nanocrystals are only observed outside the main C-implanted peak region, with a lower density closer to the surface, being also smaller in size. This lack of uniformity in their density has been related to the inhibiting role of C in their growth dynamics. These nanocrystals are responsible for the band appearing in the red region of the PL spectrum. The analysis of the thermal evolution of the red PL band and its behavior after hydrogenation shows that carbon implantation also prevents the formation of well passivated Si/SiO2 interfaces. On the other hand, the PL bands appearing at higher energies show the existence of two different characteristics as a function of the implanted dose. For excess atomic concentrations below or equal to 10%, the spectra show a PL band in the blue region. At higher doses, two bands dominate the green¿blue spectral region. The evolution of these bands with the implanted dose and annealing time suggests that they are related to the formation of carbon-rich precipitates in the implanted region. Moreover, PL versus depth measurements provide a direct correlation of the green band with the carbon-implanted profile. These PL bands have been assigned to two distinct amorphous phases, with a composition close to elemental graphitic carbon or stoichiometric SiC.

Valoración de credit default swaps: una aplicación del modelo de Hull-White al mercado español

En este trabajo se presenta una aplicación empírica del modelo de Hull-White (2000) al mercado de renta fija español. Este modelo proporciona la expresión por el cálculo de los pagos hechos por el comprador de un credit default swap (CDS), bajo la hipótesis de que no existe riesgo de contrapartida. Se supone, además, que la curva cupón cero, la tasa de recuperación constante y el momento del suceso de crédito son independientes. Se utilizan bonos del Banco Santander Central Hispano para mesurar la probabilidad neutra al riesgo de quiebra y, bajo hipótesis de no arbitraje, se calculan las primas de un CDS, por un bono subyacente con la misma calificación crediticia que la entidad de referencia. Se observa que las primas se ajustan bien a los spreads crediticios del mercado, que se acostumbran a utilizar como alternativa a las mismas.

Relaxation times in a bistable system with parametric, white noise: Theory and experiment

We consider the effects of external, multiplicative white noise on the relaxation time of a general representation of a bistable system from the points of view provided by two, quite different, theoretical approaches: the classical Stratonovich decoupling of correlations and the new method due to Jung and Risken. Experimental results, obtained from a bistable electronic circuit, are compared to the theoretical predictions. We show that the phenomenon of critical slowing down appears as a function of the noise parameters, thereby providing a correct characterization of a noise-induced transition.

Brownian pump powered by a white-noise flasing ratchet

A Brownian pump of particles powered by a stochastic flashing ratchet mechanism is studied. The pumping device is embedded in a finite region and bounded by particle reservoirs. In the steady state, we exactly calculate the spatial density profile, the concentration ratio between both reservoirs and the particle flux. We propose a simulation framework for the consistent evaluation of such observable quantities.

Exact solution to the mean exit time problem for free inertial processes driven by Gaussian white noise

We obtain the exact analytical expression, up to a quadrature, for the mean exit time, T(x,v), of a free inertial process driven by Gaussian white noise from a region (0,L) in space. We obtain a completely explicit expression for T(x,0) and discuss the dependence of T(x,v) as a function of the size L of the region. We develop a new method that may be used to solve other exit time problems.

Bistability driven by white shot noise

We consider mean-first-passage times and transition rates in bistable systems driven by white shot noise. We obtain closed analytical expressions, asymptotic approximations, and numerical simulations in two cases of interest: (i) jumps sizes exponentially distributed and (ii) jumps of the same size.

Exact solution to the exit-time problem for an undamped free particle driven by Gaussian white noise

In a recent paper [Phys. Rev. Lett. 75, 189 (1995)] we have presented the exact analytical expression for the mean exit time, T(x,v), of a free inertial process driven by Gaussian white noise out of a region (0,L) in space. In this paper we give a detailed account of the method employed and present results on asymptotic properties and averages of T(x,v).

Valoración de credit default swaps: una aplicación del modelo de Hull-White al mercado español

En este trabajo se presenta una aplicación empírica del modelo de Hull-White (2000) al mercado de renta fija español. Este modelo proporciona la expresión por el cálculo de los pagos hechos por el comprador de un credit default swap (CDS), bajo la hipótesis de que no existe riesgo de contrapartida. Se supone, además, que la curva cupón cero, la tasa de recuperación constante y el momento del suceso de crédito son independientes. Se utilizan bonos del Banco Santander Central Hispano para mesurar la probabilidad neutra al riesgo de quiebra y, bajo hipótesis de no arbitraje, se calculan las primas de un CDS, por un bono subyacente con la misma calificación crediticia que la entidad de referencia. Se observa que las primas se ajustan bien a los spreads crediticios del mercado, que se acostumbran a utilizar como alternativa a las mismas.

Comparative effects of oleoyl-estrone and a specific b3-adrenergic agonist (CL316, 243) on the expression of genes involved in energy metabolism of rat white adipose tissue

Background: The combination of oleoyl-estrone (OE) and a selective b3-adrenergic agonist (B3A; CL316,243) treatment in rats results in a profound and rapid wasting of body reserves (lipid). Methods: In the present study we investigated the effect of OE (oral gavage) and/or B3A (subcutaneous constant infusion) administration for 10 days to overweight male rats, compared with controls, on three distinct white adipose tissue (WAT) sites: subcutaneous inguinal, retroperitoneal and epididymal. Tissue weight, DNA (and, from these values cellularity), cAMP content and the expression of several key energy handling metabolism and control genes were analyzed and computed in relation to the whole site mass. Results: Both OE and B3A significantly decreased WAT mass, with no loss of DNA (cell numbers). OE decreased and B3A increased cAMP. Gene expression patterns were markedly different for OE and B3A. OE tended to decrease expression of most genes studied, with no changes (versus controls) of lipolytic but decrease of lipogenic enzyme genes. The effects of B3A were widely different, with a generalized increase in the expression of most genes, including the adrenergic receptors, and, especially the uncoupling protein UCP1. Discussion: OE and B3A, elicit widely different responses in WAT gene expression, end producing similar effects, such as shrinking of WAT, loss of fat, maintenance of cell numbers. OE acted essentially on the balance of lipolysislipogenesis and the blocking of the uptake of substrates; its decrease of synthesis favouring lipolysis. B3A induced a shotgun increase in the expression of most regulatory systems in the adipocyte, an effect that in the end favoured again the loss of lipid; this barely selective increase probably produces inefficiency, which coupled with the increase in UCP1 expression may help WAT to waste energy through thermogenesis. Conclusions: There were considerable differences in the responses of the three WAT sites. OE in general lowered gene expression and stealthily induced a substrate imbalance. B3A increasing the expression of most genes enhanced energy waste through inefficiency rather than through specific pathway activation. There was not a synergistic effect between OE and B3A in WAT, but their combined action increased WAT energy waste.

Different modulation of adipocytokine expression in four main white adipose tissue sites in the rat: mesenteric, perigonadal, retroperitoneal and subcutaneous

White adipose tissue (WAT) is a disperse organ acting as energy storage depot and endocrine/paracrine controlling factor in the management of energy availability and inflammation. WAT sites response under energy-related stress is not uniform. In the present study we have analyzed how different WAT sites respond to limited food restriction as a way to better understand the role of WAT in the pathogenesis of the metabolic syndrome.