Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Hematopoietic stem cells, overview and pathways implied on their self-renewal mechanisms

Blood tissue is composed approximately in 45% by cells and its derivatives, with a life span of around 120 days for erythrocytes and 3 years for certain type of lymphocytes. This lost is compensated with the hematopoietic system activity and the presence of an immature primitive cell population known as Hematopoietic Stem Cells (HSCs) which perform the hematopoiesis, a process that is active from the beginning of the fetal life and produces near to 2 x 1011 eritrocytes and 1010 white blood cells per day (1). Hematopoietic Stem Cells are capable of both self-renewal and differentiation into multiple lineages, are located in a particular niche and are identified by their own cell surface markers, as the CD34 antigen. Recently it has been possible to advance in the understanding of self-renewal, differentiation and proliferation processes and in the involvement of the signaling pathways Hedgehog, Notch and Wnt. Studying the influence of these mechanisms on in vivo and in vitro behavior and the basic biology of HSCs, has given valuable tools for the generation of alternative therapies for hematologic disorders as leukemias.

Credit spreads and monetary policy in a small open economy: an analysis of the colombian economy

This paper estimates Bejarano and Charry (2014)’s small open economy with financial frictions model for the Colombian economy using Bayesian estimation techniques. Additionally, I compute the welfare gains of implementing an optimal response to credit spreads into an augmented Taylor rule. The main result is that a reaction to credit spreads does not imply significant welfare gains unless the economic disturbances increases its volatility, like the disruption implied by a financial crisis. Otherwise its impact over the macroeconomic variables is null.

Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.