Calibration of stochastic volatility models via second order approximation: the Heston model case

Using a suitable Hull and White type formula we develop a methodology to obtain asecond order approximation to the implied volatility for very short maturities. Using thisapproximation we accurately calibrate the full set of parameters of the Heston model. Oneof the reasons that makes our calibration for short maturities so accurate is that we alsotake into account the term-structure for large maturities. We may say that calibration isnot "memoryless", in the sense that the option's behavior far away from maturity doesinfluence calibration when the option gets close to expiration. Our results provide a wayto perform a quick calibration of a closed-form approximation to vanilla options that canthen be used to price exotic derivatives. The methodology is simple, accurate, fast, andit requires a minimal computational cost.

Measuring and explaining farm inefficiency in a panel data set of mixed farms

This paper aims to estimate a translog stochastic frontier production function in the analysis of a panel of 150 mixed Catalan farms in the period 1989-1993, in order to attempt to measure and explain variation in technical inefficiency scores with a one-stage approach. The model uses gross value added as the output aggregate measure. Total employment, fixed capital, current assets, specific costs and overhead costs are introduced into the model as inputs. Stochasticfrontier estimates are compared with those obtained using a linear programming method using a two-stage approach. The specification of the translog stochastic frontier model appears as an appropriate representation of the data, technical change was rejected and the technical inefficiency effects were statistically significant. The mean technical efficiency in the period analyzed was estimated to be 64.0%. Farm inefficiency levels were found significantly at 5%level and positively correlated with the number of economic size units.

Evolutionary rates of Jurassic ammonites in relation to sea-level fluctuations

An analysis is presented of the diversity and faunal turnover of Jurassic ammonites related to transgressive /regressive events. The data set contained 400 genera and 1548 species belonging to 67 ammonite zones covering the entire Jurassic System. These data were used in the construction of faunal turnover curves and ammonite diversities, that correlate with sea-level fluctuation curves. Twenty-four events of ammonite faunal turnover are analyzed throughout the Jurassic. The most important took place at the Sinemurian-Carixian boundary, latest Carixian-Middle Domerian, Domerian-Toarcian boundary, latest Middle Toarcian-Late Toarcian, Toarcian-Aalenian boundary, latest Aalenian-earliest Bajocian, latest Early Bajocian-earliest Late Bojocian, Early Bathonian-Middle Bathonian boundary, latest Middle Bathonian-earliest Late Bathonian, latest Bathonian-Early Callovian, earliest Early Oxfordian-Middle Oxfordian, earliest Late Oxfordian-latest Oxfordian, latest Early Kimmeridgian, Late Kimmeridgian, middle Early Tithonian and Early Tithonian-Late Tithonian boundary. More than 75 percent of these turnovers correlate with regressive-transgressive cycles in the Exxon, and /or Hallam's sea-level curves. Inmost cases the extinction events coincide with regressive intervals, whereas origination and radiation events are related to transgressive cycles. The turnovers frequently coincide with major or minor discontinuities in the Subbetic basin (Betic Cordillera).

Couple and family treatments: study quality and level of evidence.

This paper examines the application of the guidelines for evidence-based treatments in family therapy developed by Sexton and collaborators to a set of treatment models. These guidelines classify the models using criteria that take into account the distinctive features of couple and family treatments. A two-step approach was taken: (1) The quality of each of the studies supporting the treatment models was assessed according to a list of ad hoc core criteria; (2) the level of evidence of each treatment model was determined using the guidelines. To reflect the stages of empirical validation present in the literature, nine models were selected: three models each with high, moderate, and low levels of empirical validation, determined by the number of randomized clinical trials (RCTs). The quality ratings highlighted the strengths and limitations of each of the studies that provided evidence backing the treatment models. The classification by level of evidence indicated that four of the models were level III, "evidence-based" treatments; one was a level II, "evidence-informed treatment with promising preliminary evidence-based results"; and four were level I, "evidence-informed" treatments. Using the guidelines helped identify treatments that are solid in terms of not only the number of RCTs but also the quality of the evidence supporting the efficacy of a given treatment. From a research perspective, this analysis highlighted areas to be addressed before some models can move up to a higher level of evidence. From a clinical perspective, the guidelines can help identify the models whose studies have produced clinically relevant results.

Basis set effects on the energy and hardness profiles of the hydrogen fluoride dimer

In earlier work, the present authors have shown that hardness profiles are less dependent on the level of calculation than energy profiles for potential energy surfaces (PESs) having pathological behaviors. At variance with energy profiles, hardness profiles always show the correct number of stationary points. This characteristic has been used to indicate the existence of spurious stationary points on the PESs. In the present work, we apply this methodology to the hydrogen fluoride dimer, a classical difficult case for the density functional theory methods

Grabbing your ear: rapid auditory-somatosensory multisensory interactions in low-level sensory cortices are not constrained by stimulus alignment.

Multisensory interactions are observed in species from single-cell organisms to humans. Important early work was primarily carried out in the cat superior colliculus and a set of critical parameters for their occurrence were defined. Primary among these were temporal synchrony and spatial alignment of bisensory inputs. Here, we assessed whether spatial alignment was also a critical parameter for the temporally earliest multisensory interactions that are observed in lower-level sensory cortices of the human. While multisensory interactions in humans have been shown behaviorally for spatially disparate stimuli (e.g. the ventriloquist effect), it is not clear if such effects are due to early sensory level integration or later perceptual level processing. In the present study, we used psychophysical and electrophysiological indices to show that auditory-somatosensory interactions in humans occur via the same early sensory mechanism both when stimuli are in and out of spatial register. Subjects more rapidly detected multisensory than unisensory events. At just 50 ms post-stimulus, neural responses to the multisensory 'whole' were greater than the summed responses from the constituent unisensory 'parts'. For all spatial configurations, this effect followed from a modulation of the strength of brain responses, rather than the activation of regions specifically responsive to multisensory pairs. Using the local auto-regressive average source estimation, we localized the initial auditory-somatosensory interactions to auditory association areas contralateral to the side of somatosensory stimulation. Thus, multisensory interactions can occur across wide peripersonal spatial separations remarkably early in sensory processing and in cortical regions traditionally considered unisensory.

SET translocation is associated with increase in caspase cleaved amyloid precursor protein in CA1 of Alzheimer and Down syndrome patients.

Caspase cleaved amyloid precursor protein (APPcc) and SET are increased and mislocalized in the neuronal cytoplasm in Alzheimer Disease (AD) brains. Translocated SET to the cytoplasm can induce tau hyperphosphorylation. To elucidate the putative relationships between mislocalized APPcc and SET, we studied their level and distribution in the hippocampus of 5 controls, 3 Down syndrome and 10 Alzheimer patients. In Down syndrome and Alzheimer patients, APPcc and SET levels were increased in CA1 and the frequency of both localizations in the neuronal cytoplasm was high in CA1, and low in CA4. As the increase of APPcc is already present at early stages of AD, we overexpressed APPcc in CA1 and the dentate gyrus neurons of adult mice with a lentiviral construct. APPcc overexpression in CA1 and not in the dentate gyrus induced endogenous SET translocation and tau hyperphosphorylation. These data suggest that increase in APPcc in CA1 neurons could be an early event leading to the translocation of SET and the progression of AD through tau hyperphosphorylation.

A two-level analysis of the determinants of direct democratic choices in European, immigration and foreign policy in Switzerland

This article employs a unique data set - covering 25 popular votes on foreign, European and immigration/asylum policy held between 1992 and 2006 in Switzerland - in order to examine the conditional impact of context upon utilitarian, cultural, political and cognitive determinants of individual attitudes toward international openness. Our results reveal clear patterns of cross-level interactions between individual determinants and the project-related context of the vote. Thus, although party cues and political competence have a strong impact on individuals' support for international openness, this impact is substantially mediated by the type of coalition that is operating within the party elite. Similarly, subjective utilitarian and cultural considerations influence the voters' decision in interaction with the content of the proposal submitted to the voters as well as with the framing of the voting campaign.

Fertilizer Use by Crop at the Country Level (1990–2010)

We compute the fertilizer use in corn, cotton, soybeans, and rapeseed in the period from 1990 to 2010 for a set of selected countries. In each case, we present the consumption of nitrogen, phosphate, and potash by crop and by year, reporting both the fertilizer application rates (in kilograms per hectare) and the fertilizer consumption (in thousand metric tonnes). We allocate a country’s total nutrient consumption in a given year among competing crops based on publicly available statistics. The resulting allocation of fertilizer among crops is a function of the country’s nutrients total use, the country’s cropped areas, crop world prices, and crop- and country-specific fertilizer application rates for some years. In this report we show results on fertilizer consumption by crop for the top fertilizer consuming countries, and a downloadable MS Excel file “FertilizerDemandByCropData.xls” shows the complete set of results.

Thidiazuron effects on shoot growth, return bloom, fruit set and nutrition of apples

Apple (Malus domestica Borkh.) trees, cultivars Gala and Fuji, were sprayed at full bloom with thidiazuron (TDZ) at doses of 0, 5, 10, or 20 g ha-1 of a.i. in order to evaluate its effects on plant growth and development, return bloom, fruit set, nutrition, and fruit yield. Fruit set increased with TDZ dose in 'Gala' but not in 'Fuji'. TDZ did not affect fruit yield in any cultivar. In 'Gala', the return bloom was reduced in about 50% at TDZ doses of 10 or 20 g ha-1. TDZ increased shoot growth in both cultivars. In leaves, TDZ decreased the concentration of Ca and Mg in 'Gala' and of Mg in 'Fuji', but did not affect the chlorophyll content, leaf area, length, width, and dry mass per cm² regardless of cultivar. In fruits, the effect of TDZ varied according to the portion evaluated. Highest doses of TDZ decreased the concentration of Ca and K in 'Gala' and of K in 'Fuji' in the entire fruits (flesh + skin); in the skin, highest doses of TDZ reduced the levels of N, Ca, and Mg in both cultivars, in addition to the level of K in 'Fuji'.

On the tractability of the piecewise-linear approximation for general discrete-choice network revenue management

The choice network revenue management (RM) model incorporates customer purchase behavioras customers purchasing products with certain probabilities that are a function of the offeredassortment of products, and is the appropriate model for airline and hotel network revenuemanagement, dynamic sales of bundles, and dynamic assortment optimization. The underlyingstochastic dynamic program is intractable and even its certainty-equivalence approximation, inthe form of a linear program called Choice Deterministic Linear Program (CDLP) is difficultto solve in most cases. The separation problem for CDLP is NP-complete for MNL with justtwo segments when their consideration sets overlap; the affine approximation of the dynamicprogram is NP-complete for even a single-segment MNL. This is in contrast to the independentclass(perfect-segmentation) case where even the piecewise-linear approximation has been shownto be tractable. In this paper we investigate the piecewise-linear approximation for network RMunder a general discrete-choice model of demand. We show that the gap between the CDLP andthe piecewise-linear bounds is within a factor of at most 2. We then show that the piecewiselinearapproximation is polynomially-time solvable for a fixed consideration set size, bringing itinto the realm of tractability for small consideration sets; small consideration sets are a reasonablemodeling tradeoff in many practical applications. Our solution relies on showing that forany discrete-choice model the separation problem for the linear program of the piecewise-linearapproximation can be solved exactly by a Lagrangian relaxation. We give modeling extensionsand show by numerical experiments the improvements from using piecewise-linear approximationfunctions.

Gene expression patterns unveil a new level of molecular heterogeneity in colorectal cancer.

The recognition that colorectal cancer (CRC) is a heterogeneous disease in terms of clinical behaviour and response to therapy translates into an urgent need for robust molecular disease subclassifiers that can explain this heterogeneity beyond current parameters (MSI, KRAS, BRAF). Attempts to fill this gap are emerging. The Cancer Genome Atlas (TGCA) reported two main CRC groups, based on the incidence and spectrum of mutated genes, and another paper reported an EMT expression signature defined subgroup. We performed a prior free analysis of CRC heterogeneity on 1113 CRC gene expression profiles and confronted our findings to established molecular determinants and clinical, histopathological and survival data. Unsupervised clustering based on gene modules allowed us to distinguish at least five different gene expression CRC subtypes, which we call surface crypt-like, lower crypt-like, CIMP-H-like, mesenchymal and mixed. A gene set enrichment analysis combined with literature search of gene module members identified distinct biological motifs in different subtypes. The subtypes, which were not derived based on outcome, nonetheless showed differences in prognosis. Known gene copy number variations and mutations in key cancer-associated genes differed between subtypes, but the subtypes provided molecular information beyond that contained in these variables. Morphological features significantly differed between subtypes. The objective existence of the subtypes and their clinical and molecular characteristics were validated in an independent set of 720 CRC expression profiles. Our subtypes provide a novel perspective on the heterogeneity of CRC. The proposed subtypes should be further explored retrospectively on existing clinical trial datasets and, when sufficiently robust, be prospectively assessed for clinical relevance in terms of prognosis and treatment response predictive capacity. Original microarray data were uploaded to the ArrayExpress database (http://www.ebi.ac.uk/arrayexpress/) under Accession Nos E-MTAB-990 and E-MTAB-1026. © 2013 Swiss Institute of Bioinformatics. Journal of Pathology published by John Wiley & Sons Ltd on behalf of Pathological Society of Great Britain and Ireland.

Linear and nonlinear terrain deformation maps from a reduced set of interferometric SAR images

In this paper, an advanced technique for the generation of deformation maps using synthetic aperture radar (SAR) data is presented. The algorithm estimates the linear and nonlinear components of the displacement, the error of the digital elevation model (DEM) used to cancel the topographic terms, and the atmospheric artifacts from a reduced set of low spatial resolution interferograms. The pixel candidates are selected from those presenting a good coherence level in the whole set of interferograms and the resulting nonuniform mesh tessellated with the Delauney triangulation to establish connections among them. The linear component of movement and DEM error are estimated adjusting a linear model to the data only on the connections. Later on, this information, once unwrapped to retrieve the absolute values, is used to calculate the nonlinear component of movement and atmospheric artifacts with alternate filtering techniques in both the temporal and spatial domains. The method presents high flexibility with respect to the required number of images and the baselines length. However, better results are obtained with large datasets of short baseline interferograms. The technique has been tested with European Remote Sensing SAR data from an area of Catalonia (Spain) and validated with on-field precise leveling measurements.

A Topological Approach to Fuzzy Sets

This thesis presents a topological approach to studying fuzzy setsby means of modifier operators. Modifier operators are mathematical models, e.g., for hedges, and we present briefly different approaches to studying modifier operators. We are interested in compositional modifier operators, modifiers for short, and these modifiers depend on binary relations. We show that if a modifier depends on a reflexive and transitive binary relation on U, then there exists a unique topology on U such that this modifier is the closure operator in that topology. Also, if U is finite then there exists a lattice isomorphism between the class of all reflexive and transitive relations and the class of all topologies on U. We define topological similarity relation "≈" between L-fuzzy sets in an universe U, and show that the class LU/ ≈ is isomorphic with the class of all topologies on U, if U is finite and L is suitable. We consider finite bitopological spaces as approximation spaces, and we show that lower and upper approximations can be computed by means of α-level sets also in the case of equivalence relations. This means that approximations in the sense of Rough Set Theory can be computed by means of α-level sets. Finally, we present and application to data analysis: we study an approach to detecting dependencies of attributes in data base-like systems, called information systems.

Distance Transforms on Gray-Level Surfaces

This thesis studies gray-level distance transforms, particularly the Distance Transform on Curved Space (DTOCS). The transform is produced by calculating distances on a gray-level surface. The DTOCS is improved by definingmore accurate local distances, and developing a faster transformation algorithm. The Optimal DTOCS enhances the locally Euclidean Weighted DTOCS (WDTOCS) with local distance coefficients, which minimize the maximum error from the Euclideandistance in the image plane, and produce more accurate global distance values.Convergence properties of the traditional mask operation, or sequential localtransformation, and the ordered propagation approach are analyzed, and compared to the new efficient priority pixel queue algorithm. The Route DTOCS algorithmdeveloped in this work can be used to find and visualize shortest routes between two points, or two point sets, along a varying height surface. In a digital image, there can be several paths sharing the same minimal length, and the Route DTOCS visualizes them all. A single optimal path can be extracted from the route set using a simple backtracking algorithm. A new extension of the priority pixel queue algorithm produces the nearest neighbor transform, or Voronoi or Dirichlet tessellation, simultaneously with the distance map. The transformation divides the image into regions so that each pixel belongs to the region surrounding the reference point, which is nearest according to the distance definition used. Applications and application ideas for the DTOCS and its extensions are presented, including obstacle avoidance, image compression and surface roughness evaluation.