58 resultados para implied volatility smile

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Performing accurate movements requires preparation, execution, and monitoring mechanisms. The first two are coded by the motor system, the latter by the sensory system. To provide an adaptive neural basis to overt behaviors, motor and sensory information has to be properly integrated in a reciprocal feedback loop. Abnormalities in this sensory-motor loop are involved in movement disorders such as focal dystonia, a hyperkinetic alteration affecting only a specific body part and characterized by sensory and motor deficits in the absence of basic motor impairments. Despite the fundamental impact of sensory-motor integration mechanisms on daily life, the general principles of healthy and pathological anatomic-functional organization of sensory-motor integration remain to be clarified. Based on the available data from experimental psychology, neurophysiology, and neuroimaging, we propose a bio-computational model of sensory-motor integration: the Sensory-Motor Integrative Loop for Enacting (SMILE). Aiming at direct therapeutic implementations and with the final target of implementing novel intervention protocols for motor rehabilitation, our main goal is to provide the information necessary for further validating the SMILE model. By translating neuroscientific hypotheses into empirical investigations and clinically relevant questions, the prediction based on the SMILE model can be further extended to other pathological conditions characterized by impaired sensory-motor integration.

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The article is concerned with the formal definition of a largely unnoticed factor in narrative structure. Based on the assumptions that (1) the semantics of a written text depend, among other factors, directly on its visual alignment in space, that (2) the formal structure of a text has to meet that of its spatial presentation and that (3) these assumptions hold true also for narrative texts (which, however, in modern times typically conceal their spatial dimensions by a low-key linear layout), it is argued that, how ever low-key, the expected material shape of a given narrative determines the configuration of its plot by its author. The ,implied book' thus denotes an author's historically assumable, not necessarily conscious idea of how his text, which is still in the process of creation, will be dimensionally presented and under these circumstances visually absorbed. Assuming that an author's knowledge of this later (potentially) substantiated material form influences the composition, the implied book is to be understood as a text-genetically determined, structuring moment of the text. Historically reconstructed, it thus serves the methodical analysis of structural characteristics of a completed text.

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Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

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Purpose: Diabetic myocardium is particularly vulnerable to develop heart failure in response to chronic stress conditions including hypertension or myocardial infarction. We have recently observed that angiotensin II (Ang II)-mediated downregulation of the fatty acid oxidation pathway favors occurrence of heart failure by myocardial accumulation of lipids (lipotoxicity). Because diabetic heart is exposed to high levels of circulating fatty acid, we determined whether insulin resistance favors development of heart failure in mice with Ang II-mediated myocardial remodeling.Methods: To study the combined effect of diabetes and Ang II-induced heart remodeling, we generated leptin-deficient/insulin resistant (Lepob/ob) mice with cardiac targeted overexpression of angiotensinogen (TGAOGN). Left ventricular (LV) failure was indicated by pulmonary congestion (lung weight/tibial length>+2SD of wild-type mice). Myocardial metabolism and function were assessed during in vitro isolated working heart perfusion.Results: Forty-eight percent of TGAOGN mice without insulin resistance exhibited pulmonary congestion at the age of 6 months associated with increased myocardial BNP expression (+375% compared with WT) and reduced LV power (developed pressure x cardiac output; -15%). The proportion of mice presenting heart failure was markedly increased to 71% in TGAOGN mice with insulin resistance (TGAOGN/Lepob/ob). TGAOGN/Lepob/ob mice with heart failure exhibited further increase of BNP compared with failing non-diabetic TGAOGN mice (+146%) and further reduction of cardiac power (-59%). Mice with insulin resistance alone (Lepob/ob) did not exhibit signs of heart failure or LV dysfunction. Myocardial fatty acid oxidation measured during in vitro perfusion was markedly increased in non-failing hearts from Lepob/ob mice (+380% compared with WT) and glucose oxidation decreased (-72%). In contrast, fatty acid and glucose oxidation did not differ from Lepob/ob mice in hearts from TGAOGN/Lepob/ob mice without heart failure. However, both fatty acid and glucose oxidation were markedly decreased (-47% and -48%, respectively, compared with WT/Lepob/+) in failing hearts from TGAOGN/Lepob/ob mice. Reduction of fatty acid oxidation was associated with marked reduction of protein expression of a number of regulatory enzymes implied in fatty acid oxidation.Conclusions: Insulin resistance favors the progression to heart failure during chronic exposure of the myocardium to Ang II. Our results are compatible with a role of Ang II-mediated downregulation of fatty acid oxidation, potentially promoting lipotoxicity.

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Abstract Market prices of corporate bond spreads and of credit default swap (CDS) rates do not match each other. In this paper, we argue that the liquidity premium, the cheapest-to-deliver (CTD) option and actual market segmentation explain the pricing differences. Using the European transaction data from Reuters and Bloomberg, we estimate the liquidity premium that is time- varying and firm-specific. We show that when time-dependent liquidity premiums are considered, corporate bond spreads and CDS rates behave in a much closer way than previous studies have shown. We find that high equity volatility drives pricing differences that can be explained by the CTD option.

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The antigen-presenting cell-expressed CD40 is implied in the regulation of counteractive immune responses such as induction of pro-inflammatory and anti-inflammatory cytokines interleukin (IL)-12 and IL-10, respectively. The mechanism of this duality in CD40 function remains unknown. Here, we investigated whether such duality depends on ligand binding. Based on CD40 binding, we identifed two dodecameric peptides, peptide-7 and peptide-19, from the phage peptide library. Peptide-7 induces IL-10 and increases Leishmania donovani infection in macrophages, whereas peptide-19 induces IL-12 and reduces L. donovani infection. CD40-peptide interaction analyses by surface plasmon resonance and atomic force microscopy suggest that the functional differences are not associated with the studied interaction parameters. The molecular dynamic simulation of the CD40-peptides interaction suggests that these two peptides bind to two different places on CD40. Thus, we suggest for the first time that differential binding of the ligands imparts functional duality to CD40.

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In the fission yeast Schizosaccharomyces pombe, septum formation and cytokinesis are dependent upon the initiation, though not the completion of mitosis. A number of cell cycle mutants which show phenotypes consistent with a defect in the regulation of septum formation have been isolated. A mutation in the S. pombe cdc16 gene leads to the formation of multiple septa without cytokinesis, suggesting that the normal mechanisms that limit the cell to the formation of a single septum in each cycle do not operate. Mutations in the S. pombe early septation mutants cdc7, cdc11, cdc14 and cdc15 lead to the formation of elongated, multinucleate cells, as a result of S phase and mitosis continuing in the absence of cytokinesis. This suggests that in these cells, the normal mechanisms which initiate cytokinesis are defective and that they are unable to respond to this by preventing further nuclear cycles. Genetic analysis has implied that the products of some of these genes may interact with that of the cdc16 gene. To understand how the processes of septation and cytokinesis are regulated and coordinated with mitosis we are studying the early septation mutants and cdc16. In this paper, we present the cloning and analysis of the cdc16 gene. Deletion of the gene shows that it is essential for cell proliferation: spores lacking a functional cdc16 gene germinate, complete mitosis and form multiple septa without undergoing cell cleavage.(ABSTRACT TRUNCATED AT 250 WORDS)

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(Résumé de l'ouvrage) Seventeen innovative studies are collected in this volume which has been produced under the aegis of the Centre for Biblical Studies, University of Manchester, and L'Institut des sciences bibliques, Université de Lausanne. The majority of the studies engage with narrative through providing insightful working examples. Building on the many contributions of recent narratological research, for the most part the studies in this collection avoid the technical language of narratology as they present fresh insights at many levels. Some essays focus more on the implied author, some on the implied reader or hearer, and some on the way particular messages are constructed; some of the studies consider how author, message and reader are all interconnected. There are several creative proposals for refining genre definition, from law and wisdom to gospel and apocryphal writings. Some studies highlight the way in which narratives can contain ethical, religious, and cultural messages. Sensitivity to narrative is also shown by some contributors to expose in intruing ways the redactional processes behind the final form of texts. Students of narrative in the ancient world will find much to consider in this book, and others engaged with literary studies more generally will discover that scholars of the worlds of the Bible and Late Antiquity have much to offer them.

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Seventeen innovative studies are collected in this volume which has been produced under the aegis of the Centre for Biblical Studies, University of Manchester, and L'Institut des sciences bibliques, Université de Lausanne. The majority of the studies engage with narrative through providing insightful working examples. Building on the many contributions of recent narratological research, for the most part the studies in this collection avoid the technical language of narratology as they present fresh insights at many levels. Some essays focus more on the implied author, some on the implied reader or hearer, and some on the way particular messages are constructed; some of the studies consider how author, message and reader are all interconnected. There are several creative proposals for refining genre definition, from law and wisdom to gospel and apocryphal writings. Some studies highlight the way in which narratives can contain ethical, religious, and cultural messages. Sensitivity to narrative is also shown by some contributors to expose in intruing ways the redactional processes behind the final form of texts. Students of narrative in the ancient world will find much to consider in this book, and others engaged with literary studies more generally will discover that scholars of the worlds of the Bible and Late Antiquity have much to offer them.

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The treatment of back pain patients refers to the biopsychosocial model of care. This model includes illness in patient's personal and relational life. In this context, it is not only the physical symptom of the patient which is focused but also his psychological distress often hidden by algic complain. Clinical interviews conducted with back pain patients have highlighted psychosocial aspects able to influence the relationship between health care user and provider. Taking account of psychosocial aspects implies an interdisciplinary approach that identify and assesses patients' needs through adequate tools. As a result, the different health care providers implied with back pain patients have to collaborate in a structured network.

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This article analyses stability and volatility of party preferences using data from the Swiss Household-Panel (SHP), which, for the first time, allow studying transitions and stability of voters over several years in Switzerland. Analyses cover the years 1999- 2007 and systematically distinguish changes between party blocks and changes within party blocks. The first part looks at different patterns of change, which show relatively high volatility. The second part tests several theories on causes of such changes applying a multinomial random-effects model. Results show that party preferences stabilise with their duration and with age and that the electoral cycle, political sophistication, socio-structural predispositions, the household-context as well as party size and the number of parties each explain part of electoral volatility. Different results for withinand between party-block changes underlie the importance of that differentiation.

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(Résumé de l'ouvrage) Seventeen innovative studies are collected in this volume which has been produced under the aegis of the Centre for Biblical Studies, University of Manchester, and L'Institut des sciences bibliques, Université de Lausanne. The majority of the studies engage with narrative through providing insightful working examples. Building on the many contributions of recent narratological research, for the most part the studies in this collection avoid the technical language of narratology as they present fresh insights at many levels. Some essays focus more on the implied author, some on the implied reader or hearer, and some on the way particular messages are constructed; some of the studies consider how author, message and reader are all interconnected. There are several creative proposals for refining genre definition, from law and wisdom to gospel and apocryphal writings. Some studies highlight the way in which narratives can contain ethical, religious, and cultural messages. Sensitivity to narrative is also shown by some contributors to expose in intruing ways the redactional processes behind the final form of texts. Students of narrative in the ancient world will find much to consider in this book, and others engaged with literary studies more generally will discover that scholars of the worlds of the Bible and Late Antiquity have much to offer them.

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In this study, we compared a selective stop task (transition from a bimanual in-phase to a unimanual index fingers' tapping), with a non-selective stop task (stopping a bimanual in-phase tapping at all), and with a switching task (transition from in-phase to anti-phase bimanual tapping). The aim was twofold: 1) to identify the electro-cortical correlates of selective and non-selective inhibition processes and 2) to investigate which type of inhibition - selective or not - is required when switching between two bimanual motor patterns. The results revealed that all tasks led to enhanced activation (alpha power) of the left sensorimotor and posterior regions which seems to reflect an overall effort to stop the preferred bimanual in-phase tendency. Each task implied specific functional connectivity reorganizations (beta coherence) between cerebral motor areas, probably reflecting engagement in a new unimanual or bimanual movement.