Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.

Long diagnostic delay in Crohn's disease is associated with complicated disease course and increased operation rate

Background: We have recently shown that the median diagnostic delay to establish Crohn's disease (CD) diagnosis (i.e. the period from first symptom onset to diagnosis) in the Swiss IBD Cohort (SIBDC) was 9 months. Seventy five percent of all CD patients were diagnosed within 24 months. The clinical impact of a long diagnostic delay on the natural history of CD is unknown. Aim: To compare the frequency and type of CD-related complications in the patient groups with long diagnostic delay (>24 months) vs. the ones diagnosed within 24 months. Methods: Retrospective analysis of data from the SIBDCS, comprising a large sample of CD patients followed in hospitals and private practices across Switzerland. The proportions of the following outcomes were compared between groups of patients diagnosed 1, 2-5, 6-10, 11-15, and ≥ 16 years ago and stratified according to the length of diagnostic delay: bowel stenoses, internal fistulas, perianal fistulas, CD-related surgical interventions, and extraintestinal manifestations. Results: Two hundred CD patients (121 female, mean age 44.9 ± 15.0 years, 38% smokers, 71% ever treated with immunomodulators and 35% with anti-TNF) with long diagnostic delay were compared to 697 CD patients (358 female, mean age 39.1 ± 14.9 years, 33% smokers, 74% ever treated with immunomodulators and 33% with anti-TNF) diagnosed within 24 months. No differences in the outcomes were observed between the two patient groups within year one after CD diagnosis. Among those diagnosed 2-5 years ago, CD patients with long diagnostic delay (n = 45) presented more frequently with internal fistulas (11.1% vs. 3.1%, p = 0.03) and bowel stenoses (28.9% vs. 15.7%, p = 0.05), and they more frequently underwent CD-related operations (15.6% vs. 5.0%, p = 0.02) compared to the patients diagnosed within 24 months (n = 159). Among those diagnosed 6-10 years ago, CD patients with long diagnostic delay (n = 48) presented more frequently with extraintestinal manifestations (60.4% vs. 34.6%, p = 0.001) than those diagnosed within 24 months (n = 182). For the patients diagnosed 11-15 years ago, no differences in outcomes were found between the long diagnostic delay group (n = 106) and the one diagnosed within 24 months (n = 32). Among those diagnosed ≥ 16 years ago, the group with long diagnostic delay (n = 71) more frequently underwent CD-related operations (63.4% vs. 46.5%, p = 0.01) compared to the group diagnosed with CD within 24 months (n = 241). Conclusions: A long diagnostic delay in CD patients is associated with a more complicated disease course and higher number of CD-related operations in the years following the diagnosis. Our results indicate that efforts should be undertaken to shorten the diagnostic delay in CD patients in order to reduce the risk for progression towards a complicated disease phenotype.

Productivity growth and the exchange rate regime: The role of financial development

This paper offers empirical evidence that a country's choice of exchange rate regime can have a signifficant impact on its medium-term rate of productivity growth. Moreover, the impact depends critically on the country's level of financial development, its degree of market regulation, and its distance from the global technology frontier. We illustrate how each of these channels may operate in a simple stylized growth model in which real exchange rate uncertainty exacerbates the negative investment e¤ects of domestic credit market constraints. The empirical analysis is based on an 83 country data set spanning the years 1960-2000. Our approach delivers results that are in striking contrast to the vast existing empirical exchange rate literature, which largely finds the effects of exchange rate volatility on real activity to be relatively small and insignificant.

Artérite á cellules géantes et vitesse de sédimentation normale: plus qu'une exception [Giant cell arteritis and normal sedimentation rate: more than an exception!]

BACKGROUND: Giant cell arteritis (GCA) is a systemic segmental vasculitis of unknown etiology, typically affecting elderly patients. Elevated erythrocyte-sedimentation rate (ESR) is usually found in such patients. PATIENTS AND METHODS: One hundred and twenty three patients underwent temporal artery biopsy in our institution between 1977 and 1995. Among them, 66 (53.7%) biopsies were positive (i.e. histologic findings were very suggestive of GCA). The clinical charts from all patients with positive biopsies were retrieved and 47 were eligible for our study (inadequate data in 19 cases). RESULTS: Seven of the 47 patients with positive biopsies (15%) had a normal ESR and 70% (33/47 cases) had neuro-ophthalmic complications including anterior ischemic optic neuropathy, central retinal artery occlusion, choroidal ischemia and extraocular muscle and/or cranial nerve palsy (III, IV, VI). No differences were found between the groups with normal or elevated ESR as 87.5% (6/7 cases) of the group with normal ESR exhibited neuro-ophthalmic complications. CONCLUSIONS: ESR was normal in 15% of our GCA patients and these patients had the same frequency of neuro-ophthalmic complications as the GCA patients with elevated ESR. Thus, our study does not support the previous concept that patients with higher ESR are more at risk for neuro-ophthalmic complications. GCA with normal ESR is not rare and such patients should be investigated with other blood studies (C-reactive protein) and with fluorescein angiography.

Do seismic waves and fluid flow sense the same permeability?

We study the discrepancy between the effective flow permeability and the effective seismic permeability, that is, the effective permeability controlling seismic attenuation due to wave-induced fluid flow, in 2D rock samples having mesoscopic heterogeneities and in the presence of strong permeability fluctuations. In order to do so, we employ a numerical oscillatory compressibility test to determine attenuation and velocity dispersion due to wave-induced fluid flow in these kinds of media and compare the responses with those obtained by replacing the heterogeneous permeability field by constant values, including the average permeability as well as the effective flow permeability of the sample. The latter is estimated in a separate upscaling procedure by solving the steady-state flow equation in the rock sample under study. Numerical experiments let us verify that attenuation levels are less significant and the attenuation peak gets broader in the presence of such strong permeability fluctuations. Moreover, we observe that for very low frequencies the effective seismic permeability is similar to the effective flow permeability, while for very high frequencies it approaches the arithmetic average of the permeability field.

Inhibition of Na(+)-K(+)-ATPase by digoxin and its relation with energy expenditure and nutrient oxidation rate.

This study investigates the effects of digoxin, an inhibitor of the Na+ pump (Na(+)-K(+)-ATPase), on resting metabolic rate (RMR), respiratory quotient (RQ), and nutrient oxidation rate. Twelve healthy male subjects followed a double-blind protocol design and received either 1 mg/day digoxin or a placebo 2 days before indirect calorimetry measurements. Digoxin induced a 0.22 +/- 0.07 kJ/min or 3.8 +/- 1.5% (mean +/- SE, P = 0.01) decrease in RMR and a 0.40 +/- 0.13 kJ/min (P = 0.01) decrease in fat oxidation rate, whereas carbohydrate and protein oxidation rates did not change significantly. A dose-response relationship between serum digoxin and RQ was observed. These results suggest that digoxin reduces not only RMR but also fat oxidation rate by mechanisms that remain to be elucidated. Because a linkage and an association between genes coding the Na(+)-K(+)-ATPase and the RQ have been previously observed, the present demonstration of an effect of Na(+)-K(+)-ATPase inhibition on fat oxidation rate strengthens the concept that the activity of this enzyme may play a role in body weight regulation.

Fatigue shifts and scatters heart rate variability in elite endurance athletes

PURPOSE: This longitudinal study aimed at comparing heart rate variability (HRV) in elite athletes identified either in 'fatigue' or in 'no-fatigue' state in 'real life' conditions. METHODS: 57 elite Nordic-skiers were surveyed over 4 years. R-R intervals were recorded supine (SU) and standing (ST). A fatigue state was quoted with a validated questionnaire. A multilevel linear regression model was used to analyze relationships between heart rate (HR) and HRV descriptors [total spectral power (TP), power in low (LF) and high frequency (HF) ranges expressed in ms(2) and normalized units (nu)] and the status without and with fatigue. The variables not distributed normally were transformed by taking their common logarithm (log10). RESULTS: 172 trials were identified as in a 'fatigue' and 891 as in 'no-fatigue' state. All supine HR and HRV parameters (Beta+/-SE) were significantly different (P<0.0001) between 'fatigue' and 'no-fatigue': HRSU (+6.27+/-0.61 bpm), logTPSU (-0.36+/-0.04), logLFSU (-0.27+/-0.04), logHFSU (-0.46+/-0.05), logLF/HFSU (+0.19+/-0.03), HFSU(nu) (-9.55+/-1.33). Differences were also significant (P<0.0001) in standing: HRST (+8.83+/-0.89), logTPST (-0.28+/-0.03), logLFST (-0.29+/-0.03), logHFST (-0.32+/-0.04). Also, intra-individual variance of HRV parameters was larger (P<0.05) in the 'fatigue' state (logTPSU: 0.26 vs. 0.07, logLFSU: 0.28 vs. 0.11, logHFSU: 0.32 vs. 0.08, logTPST: 0.13 vs. 0.07, logLFST: 0.16 vs. 0.07, logHFST: 0.25 vs. 0.14). CONCLUSION: HRV was significantly lower in 'fatigue' vs. 'no-fatigue' but accompanied with larger intra-individual variance of HRV parameters in 'fatigue'. The broader intra-individual variance of HRV parameters might encompass different changes from no-fatigue state, possibly reflecting different fatigue-induced alterations of HRV pattern.

Development of Elispot and CFSE flow cytometric assays for detecting beryllium sensitivity

Background: Beryllium sensitization (BeS) is caused by exposure to beryllium in the workplace and may progress to chronic beryllium disease (CBD). This granulomatous lung disorder mimicks sarcoidosis clinically, but is characterized by beryllium specific CD4+ T-cells immune response. BeS is classically detected by beryllium lymphocyte proliferation test (BeLPT), but this assay requires radioactivity and is not very sensitive. In the context of a study aiming to evaluate if CBD patients are misdiagnosed as sarcoidosis patients in Switzerland, we developed EliSpot and CFSE beryllium flow cytometric test. Methods: 23 patients considered as having sarcoidosis (n = 21), CBD (n = 1) and possible CBD (n = 1) were enrolled. Elispot was performed using plate covered with gamma-IFN mAb. Cells were added to wells and incubated overnight at 37 °C with medium (neg ctrl), SEB (pos ctrl) or BeSO4 at 1, 10 and 100 microM. Anti-IFN-gamma biotinylated mAb were added and spots were visualized using streptavidinhorseradish peroxidase and AEC substrate reagent. Results were reported as spot forming unit (SFU). For Beryllium specific CFSE flow cytometry analysis, CFSE labelled cells were cultured in the presence of SEB and 1, 10 or 100 microM BeSO4. Unstimulated CFSE labeled cells were defined as controls. The cells were incubated for 6 days at 37 °C and 5% CO2. Surface labelling of T-lymphocytes and vivid as control of cells viability was performed at the time of harvest. Results: Using EliSpot technology, we were able to detect a BeS in 1/23 enrolled patients with a mean of 780 SFU (cut off value at 50 SFU). This positive result was confirmed using different concentration of BeSO4. Among the 23 patients tested, 22 showed negative results with EliSpot. Using CFSE flow cytometry, 1/7 tested patients showed a positive result with a beryllium specific CD4+ count around 30% versus 45% for SEB stimulation as positif control and 0.6 % for negative control. This patient was the one with a positive EliSpot assay. Conclusions: The preliminary data demonstrated the feasibility of Elispot and CFSE flow cytometry to detect BeS. The patient with a beryllium specific positive EliSpot and CFSE flow cytometry result had been exposed to beryllium at her workplace 20 years ago and is still regularly controlled for her pulmonary status. A positive BeLPT had already been described in 2001 in France for this patient. Further validation of these techniques are in progress.

Diallel analysis for grain yield and mineral absorption rate of soybeans grown in acid brazilian savannah soil

High available aluminium and low levels of calcium below the ploughed zone of the soil are limiting factors for agricultural sustainability in the Brazilian Cerrados (Savannahs). The mineral stresses compound with dry spells effect by preventing deep root growth of cultivated plants and causes yield instability. The mode of inheritance for grain yield and mineral absorption ratio of a diallel cross in soybeans [Glycine max (L.) Merrill] grown in high and low Al areas was identified. Differences among the genotypes for grain yield were more evident in the high Al, by grouping tolerant and non-tolerant genotypes for their respective arrays in the hybrids. A large proportion of genetic variance was additive for grain yield and mineral absorption ratio in both environments. High heritability values suggest that soybeans can be improved by crosses among Al-tolerant genotypes, using modified pedigree, early generation and recurrent selection schemes.

Genetic evidence for female-biased dispersal and gene flow in a polygynous primate.

Many models of sex-biased dispersal predict that the direction of sex-bias depends upon a species' mating system. In agreement with this, almost all polygynous mammals show male-biased dispersal whereas largely monogamous birds show female-biased dispersal (FBD). The hamadryas baboon (Papio hamadryas hamadryas) is polygynous and so dispersal is predicted to be male biased, as is found in all other baboon subspecies, but there are conflicting field data showing both female and male dispersal. Using 19 autosomal genetic markers genotyped in baboons from four Saudi Arabian populations, we found strong evidence for FBD in post-dispersal adults but not, as expected, in pre-dispersal infants and young juveniles, when we compared male and female: population structure (F(st)), inbreeding (F(is)), relatedness (r), and the mean assignment index (mAIc). Furthermore, we found evidence for female-biased gene flow as population genetic structure (F(st)), was about four times higher for the paternally inherited Y, than for either autosomal markers or for maternally inherited mtDNA. These results contradict the direction of sex-bias predicted by the mating system and show that FBD has evolved recently from an ancestral state of male-biased dispersal. We suggest that the cost-benefit balance of dispersal to males and females is tightly linked to the unique hierarchical social structure of hamadryas baboons and that dispersal and social organization have coevolved.

Concentration and estimated flow of soluble non-ammonia nitrogen entering the omasum of dairy cows as influenced by different protein supplements

Selostus: Valkuaistäydennyksen vaikutus lypsylehmän pötsistä virtaavan liukoisen rehuperäisen typen pitoisuuteen ja määrään sisärehuruokinnalla

Twenty-four-hour energy expenditure and resting metabolic rate in obese, moderately obese, and control subjects.

Twenty-four-hour energy expenditure (24-EE), resting metabolic rate (RMR) and body composition were determined in 30 subjects from three groups; control (103 +/- 2% ideal body weight, n = 10), moderately obese (129 +/- 1% ideal body weight, n = 6), and obese (170 +/- 5% ideal body weight, n = 14) individuals. Twenty-four EE was measured in a comfortable airtight respiration chamber. When expressed as absolute values, both RMR and 24-EE were significantly increased in obese subjects when compared to normal weight subjects. The RMR was 7592 +/- 351 kJ/day in the obese, 6652 +/- 242 kJ/day in the moderately obese, and 6118 +/- 405 kJ/day in the controls. Mean 24-EE values were 10043 +/- 363, 9599 +/- 277, and 8439 +/- 432 kJ/day in the obese, moderately obese, and controls, respectively. The larger energy expenditure in the obese over 24 h was mainly due to a greater VO2 during the daylight hours. However, 92% of the larger 24-EE in the obese, compared to the control group, was accounted for by the higher RMR and only 8% by other factors such as the increased cost of moving the extra weight of the obese. The higher RMR and 24-EE in the obese was best related to the increased fat free mass.

Diagnostic delay in Crohn's disease is associated with a complicated disease course and increased operation rate.

OBJECTIVES: The impact of diagnostic delay (a period from appearance of first symptoms to diagnosis) on the clinical course of Crohn's disease (CD) is unknown. We examined whether length of diagnostic delay affects disease outcomes. METHODS: Data from the Swiss IBD cohort study were analyzed. Patients were recruited from university centers (68%), regional hospitals (14%), and private practices (18%). The frequencies of occurrence of bowel stenoses, internal fistulas, perianal fistulas, and CD-related surgery (intestinal and perianal) were analyzed. RESULTS: A total of 905 CD patients (53.4% female, median age at diagnosis 26 (20-36) years) were stratified into four groups according to the quartiles of diagnostic delay (0-3, 4-9, 10-24, and ≥25 months, respectively). Median diagnostic delay was 9 (3-24) months. The frequency of immunomodulator and/or antitumor necrosis factor drug use did not differ among the four groups. The length of diagnostic delay was positively correlated with the occurrence of bowel stenosis (odds ratio (OR) 1.76, P=0.011 for delay of ≥25 months) and intestinal surgery (OR 1.76, P=0.014 for delay of 10-24 months and OR 2.03, P=0.003 for delay of ≥25 months). Disease duration was positively associated and non-ileal disease location was negatively associated with bowel stenosis (OR 1.07, P<0.001, and OR 0.41, P=0.005, respectively) and intestinal surgery (OR 1.14, P<0.001, and OR 0.23, P<0.001, respectively). CONCLUSIONS: The length of diagnostic delay is correlated with an increased risk of bowel stenosis and CD-related intestinal surgery. Efforts should be undertaken to shorten the diagnostic delay.

Long diagnostic delay in Crohn's disease is associated with complicated disease course and increased operation rate

Background and Aims: The impact of d iagnostic delay ( a period from appearance of f irst s ymptoms t o diagnosis) o n the clinical c ourse o f Crohn's disease (CD) i s unknown. W e examined whether length of d iagnostic delay a ffects d isease outcome. Methods: Data from the Swiss IBD cohort study were analyzed. T he frequencies of o ccurrence of b owel s tenoses, internal fistulas, perianal f istulas, and CD-related surgery at distinct i ntervals a fter C D diagnosis (0 - < 2 , 2 - < 6,  6 years) were c ompared f or g roups o f patients w ith different length of d iagnostic delay. Results: T he data from a g roup o f 200 CD patients with long diagnostic delay (> 24 months, 76th - 100th p ercentile) were c ompared to t hose from a group of 4 61 patients with a short diagnostic delay ( within 9 months, 1st - 50th p ercentile). T reatment r egimens d id n ot d iffer between t he two groups. Two years following diagnosis, p atients with long diagnostic delay presented more frequently with bowel stenoses (25% vs. 13.1%, p = 0.044), internal fistulas (10% vs. 2%, p = 0.018), perianal f istulas ( 20% vs. 8 .1%, p = 0.023) a nd more frequently underwent intestinal surgery (15% vs. 5 .1%, p = 0.024) t han patients with short diagnostic delay. Intestinal surgery was a lso m ore frequently p erformed  6 y ears after diagnosis in t he group with long d iagnostic delay ( 56.2% vs. 42.3%, p = 0.005) w hen compared to t he g roup with short diagnostic delay. Conclusions: L ong diagnostic delay i s associated with worse o utcome c haracterized by t he development o f increased bowel damage, n ecessitating more frequently operations in t he years following CD d iagnosis. Efforts should be undertaken to shorten the diagnostic delay.