Natural Hedging of Exchange Rate Risk: The Role of Imported Input Prices

In this paper, we estimate ERPT into imported input prices and export prices using disaggregated quarterly trade data for Switzerland over 2004–2011. We find evidence for high pass-through rates into imported input prices. This demonstrates the effectiveness of natural hedging. On the export side, ERPT exhibits substantial sectoral heterogeneity and changes in imported input costs are not transmitted to foreign consumers in most cases. This suggests the use of cheaper imported inputs to offset adverse effects of currency appreciation on export profit margins.

Intermittent spike-wave dynamics in a heterogeneous, spatially extended neural mass model

Generalised epileptic seizures are frequently accompanied by sudden, reversible transitions from low amplitude, irregular background activity to high amplitude, regular spike-wave discharges (SWD) in the EEG. The underlying mechanisms responsible for SWD generation and for the apparently spontaneous transitions to SWD and back again are still not fully understood. Specifically, the role of spatial cortico-cortical interactions in ictogenesis is not well studied. We present a macroscopic, neural mass model of a cortical column which includes two distinct time scales of inhibition. This model can produce both an oscillatory background and a pathological SWD rhythm. We demonstrate that coupling two of these cortical columns can lead to a bistability between out-of-phase, low amplitude background dynamics and in-phase, high amplitude SWD activity. Stimuli can cause state-dependent transitions from background into SWD. In an extended local area of cortex, spatial heterogeneities in a model parameter can lead to spontaneous reversible transitions from a desynchronised background to synchronous SWD due to intermittency. The deterministic model is therefore capable of producing absence seizure-like events without any time dependent adjustment of model parameters. The emergence of such mechanisms due to spatial coupling demonstrates the importance of spatial interactions in modelling ictal dynamics, and in the study of ictogenesis.

Benefits of Induced Host Responses against an Ectoparasite

As a consequence of the deleterious effects of parasites on host fitness, hosts have evolved responses to minimize the negative impact of parasite infection. Facultative parasite-induced responses are favoured when the risk of infection is unpredictable and host responses are costly. In vertebrates, induced responses are generally viewed as being adaptive, although evidence for fitness benefits arising from these responses in natural host populations is lacking. Here we provide experimental evidence for direct reproductive benefits in flea-infested great tit nests arising from exposure during egg production to fleas. In the experiment we exposed a group of birds to fleas during egg laying (the exposed group), thereby allowing for induced responses, and kept another group free of parasites (the unexposed group) over the same time period. At the start of incubation, we killed the parasites in both groups and all nests were reinfested with fleas. If induced responses occur and are adaptive, we expect that birds of the exposed group mount earlier responses and achieve higher current reproductive success than birds in the unexposed group. In agreement with this prediction, our results show that birds with nests infested during egg-laying have (i) fewer breeding failures and raise a higher proportion of hatchlings to hedging age; () offspring that reach greater body mass, grow longer feathers, and hedge earlier, and (iii) a higher number of recruits and first-year grandchildren than unexposed birds. Flea reproduction and survival did not differ significantly between the two treatments. These results provide the first evidence for the occurrence and the adaptiveness of induced responses against a common ectoparasite in a wild population of vertebrates. [References: 50]

Cortical local and long-range synchronization interplay in human absence seizure initiation

Brain activity relies on transient, fluctuating interactions between segregated neuronal populations. Synchronization within a single and between distributed neuronal clusters reflects the dynamics of these cooperative patterns. Thus absence epilepsy can be used as a model for integrated, large-scale investigation of the emergence of pathological collective dynamics in the brain. Indeed, spike-wave discharges (SWD) of an absence seizure are thought to reflect abnormal cortical hypersynchronization. In this paper, we address two questions: how and where do SWD arise in the human brain? Therefore, we explored the spatio-temporal dynamics of interactions within and between widely distributed cortical sites using magneto-encephalographic recordings of spontaneous absence seizures. We then extracted, from their time-frequency analysis, local synchronization of cortical sources and long-range synchronization linking distant sites. Our analyses revealed a reproducible sequence of 1) long-range desynchronization, 2) increased local synchronization and 3) increased long-range synchronization. Although both local and long-range synchronization displayed different spatio-temporal profiles, their cortical projection within an initiation time window overlap and reveal a multifocal fronto-central network. These observations contradict the classical view of sudden generalized synchronous activities in absence epilepsy. Furthermore, they suggest that brain states transition may rely on multi-scale processes involving both local and distant interactions.

Self-dual continuous processes

The important application of semi-static hedging in financial markets naturally leads to the notion of conditionally quasi self-dual processes which is, for continuous semimartingales, related to conditional symmetry properties of both their ordinary as well as their stochastic logarithms. We provide a structure result for continuous conditionally quasi self-dual processes. Our main result is to give a characterization of continuous Ocone martingales via a strong version of self-duality.

A Stieltjes approach to static hedges

Static hedging of complicated payoff structures by standard instruments becomes increasingly popular in finance. The classical approach is developed for quite regular functions, while for less regular cases, generalized functions and approximation arguments are used. In this note, we discuss the regularity conditions in the classical decomposition formula due to P. Carr and D. Madan (in Jarrow ed, Volatility, pp. 417–427, Risk Publ., London, 1998) if the integrals in this formula are interpreted as Lebesgue integrals with respect to the Lebesgue measure. Furthermore, we show that if we replace these integrals by Lebesgue–Stieltjes integrals, the family of representable functions can be extended considerably with a direct approach.

Quasi-Self-Dual Exponential Lévy Processes

The important application of semistatic hedging in financial markets naturally leads to the notion of quasi--self-dual processes. The focus of our study is to give new characterizations of quasi--self-duality. We analyze quasi--self-dual Lévy driven markets which do not admit arbitrage opportunities and derive a set of equivalent conditions for the stochastic logarithm of quasi--self-dual martingale models. Since for nonvanishing order parameter two martingale properties have to be satisfied simultaneously, there is a nontrivial relation between the order and shift parameter representing carrying costs in financial applications. This leads to an equation containing an integral term which has to be inverted in applications. We first discuss several important properties of this equation and, for some well-known Lévy-driven models, we derive a family of closed-form inversion formulae.

Sleep-wake disorders persist 18 months after traumatic brain injury but remain underrecognized

OBJECTIVE This study is a prospective, controlled clinical and electrophysiologic trial examining the chronic course of posttraumatic sleep-wake disturbances (SWD). METHODS We screened 140 patients with acute, first-ever traumatic brain injury of any severity and included 60 patients for prospective follow-up examinations. Patients with prior brain trauma, other neurologic or systemic disease, drug abuse, or psychiatric comorbidities were excluded. Eighteen months after trauma, we performed detailed sleep assessment in 31 participants. As a control group, we enrolled healthy individuals without prior brain trauma matched for age, sex, and sleep satiation. RESULTS In the chronic state after traumatic brain injury, sleep need per 24 hours was persistently increased in trauma patients (8.1 ± 0.5 hours) as compared to healthy controls (7.1 ± 0.7 hours). The prevalence of chronic objective excessive daytime sleepiness was 67% in patients with brain trauma compared to 19% in controls. Patients significantly underestimated excessive daytime sleepiness and sleep need, emphasizing the unreliability of self-assessments on SWD in trauma patients. CONCLUSIONS This study provides prospective, controlled, and objective evidence for chronic persistence of posttraumatic SWD, which remain underestimated by patients. These results have clinical and medicolegal implications given that SWD can exacerbate other outcomes of traumatic brain injury, impair quality of life, and are associated with public safety hazards.