Essays on the treatment of cash flows under stochastic interest rates

Abstract This paper shows how to calculate recursively the moments of the accumulated and discounted value of cash flows when the instantaneous rates of return follow a conditional ARMA process with normally distributed innovations. We investigate various moment based approaches to approximate the distribution of the accumulated value of cash flows and we assess their performance through stochastic Monte-Carlo simulations. We discuss the potential use in insurance and especially in the context of Asset-Liability Management of pension funds.

A comparative long-memory Analysis between Spanish, Mexican and U.S. interest rates

Evidence exists that many natural facts are described better as a fractal. Although fractals are very useful for describing nature, it is also appropiate to review the concept of random fractal in finance. Due to the extraordinary importance of Brownian motion in physics, chemistry or biology, we will consider the generalization that supposes fractional Brownian motion introduced by Mandelbrot.The main goal of this work is to analyse the existence of long range dependence in instantaneous forward rates of different financial markets. Concretelly, we perform an empirical analysis on the Spanish, Mexican and U.S. interbanking interest rate. We work with three time series of daily data corresponding to 1 day operations from 28th March 1996 to 21st May 2002. From among all the existing tests on this matter we apply the methodology proposed in Taqqu, Teverovsky and Willinger (1995).

Term structure of interest rates. European financial integration

In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countries¿Spain, France, Germany and Italy¿are included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.*****

Taxonomic status and origin of the shrews (Soricidae) from the Canary islands inferred from a mtDNA comparison with the European Crocidura species.

European island shrews are either relicts of the endemic Pleistocene fauna, e.g.,. Crocidura zimmermanni, or were introduced from continental source populations. In order to clarify the taxonomic status and the origin of the two shrew species from the Canary islands, a 981bp fragment of cytochrome b gene was investigated in all European Crocidura species and compared with the Canary shrew (Crocidura canariensis) and the Osorio shrew (Crocidura osorio). The first shares its karyotype with the Sicilian shrew Crocidura sicula (2N=36), the second with the Greater white-toothed shrew Crocidura russula (2N=42), suggesting possible sister species relationships. Results confirm the monophyly of taxa sharing the same karyotype. Genetic distances between C. sicula and C. canariensis suggest a separation since 5 Myr. The first was probably isolated from the North African ancestor after the Messinian desiccation; the second arrived on the Canary islands by natural jump dispersal. Within the 2N=42 cluster, a first split separated an Eastern line (Tunisia) from a western line (Morocco/Europe) of C. russula. C. osorio clusters together with C. russula from Spain, indicating conspecificy. This suggests a recent introduction from Spain by human.

The development of a web page for lipid science and research. Main web sites of interest

En internet encontramos gran cantidad de información científico-técnica cuya validez no suele estar controlada por comités correctores. Para aprovechar estos recursos es necesario filtrar y facilitar el acceso del usuario a la información. En este artículo se expone la experiencia práctica en el desarrollo de una página WEB centrada en las actividades del grupo de investigación «Calidad Nutricional y Tecnología de los Lípidos». Los objetivos de esta página WEB fueron los siguientes: difusión de las actividades del grupo de investigación, aprovechar los recursos que ofrece internet y fomentar y facilitar su uso. Esta experiencia permitió presentar una metodología de trabajo eficaz para conseguir estos objetivos. Finalmente, se presentan un gran número de direcciones WEB agrupadas por apartados en el ámbito de los lípidos. Estas direcciones han sido rigurosamente seleccionadas, entre un gran número de referencias consultadas, siguiendo una serie de criterios que se discuten en este trabajo, para ofrecer aquellas que presentan un mayor interés práctico.

Intérêt de l'échographie du diamètre de l'enveloppe du nerf optique pour la détection non invasive de l'hypertension intracrânienne [Interest of optic nerve sheath diameter ultrasonography in dectecting non-invasively raised intracranial pressure].

Intracranial hypertension is an emergency suspected from clinical symptoms, imaging data and ophthalomologic signs. Intracranial hypertension is confirmed by invasive intracranial monitoring, which is the gold standard technique to measure intracranial pressure (ICP). Because of complications, hemorrhage or infection, non-invasive methods have been developed such as neuroimaging, transcranial Doppler sonography and optic nerve sheath diameter (ONSD) ultrasonography. We have reviewed ONSD technique that detects intracranial hypertension related volume variations of subarachnoid space along the retro bulbar segment of the optic nerve. Technique, indications and prospects are discussed.

Machine learning analysis and modeling of interest rate curves

The present research deals with the review of the analysis and modeling of Swiss franc interest rate curves (IRC) by using unsupervised (SOM, Gaussian Mixtures) and supervised machine (MLP) learning algorithms. IRC are considered as objects embedded into different feature spaces: maturities; maturity-date, parameters of Nelson-Siegel model (NSM). Analysis of NSM parameters and their temporal and clustering structures helps to understand the relevance of model and its potential use for the forecasting. Mapping of IRC in a maturity-date feature space is presented and analyzed for the visualization and forecasting purposes.

Chemical defenses in Sacoglossan Opisthobranchs: Taxonomic trends and evolutionary implications

Sacoglossan sea slugs (Mollusca: Opisthobranchia) are one of the few groups of specialist herbivores in the marine environment. Sacoglossans feed suctorially on the cell sap of macroalgae, from which they 'steal' chloroplasts (kleptoplasty) and deterrent substances (kleptochemistry), retaining intracellularly both host plastids and chemicals. The ingested chloroplasts continue to photosynthesize for periods ranging from a few hours or days up to 3 months in some species. Shelled, more primitive sacoglossans feed only on the siphonalean green algal genus Caulerpa, and they do not have functional kleptoplasty. The diet of sacoglossans has radiated out from this ancestral food. Among the shell-less Plakobranchidae (=Elysiidae), the more primitive species feed on other siphonales (families Derbesiaceae, Caulerpaceae, Bryopsidaceae and Codiaceae) and fix carbon, while the more 'advanced' species within the Plakobranchidae and Limapontioidae have a more broad dietary range. Most of these 'advanced' species are unable to fix carbon because the chloroplasts of their food algae are mechanically disrupted during ingestion. Mesoherbivores are likely to be eaten if they live on palatable seaweeds, their cryptic coloration and form not always keeping them safe from predators. Sacoglossans prefer to live on and eat chemically defended seaweeds, and they use ingested algal chemicals as deterrents of potential predators. The most ancestral shelled sacoglossans (Oxynoidae) and some Plakobranchidae such as Elysia translucens, Thuridilla hopei and Bosellia mimetica have developed a diet-derived chemical defense mechanism. Oxynoids and Thuridilla hopei are able to biomodify the algal metabolites. However, the Plakobranchidae Elysia timida and E. viridis, together with Limapontioidea species, are characterized by their ability to de novo synthesize polypropionate metabolites. A whole analysis of kleptoplasty and chemical defenses in sacoglossans may offer a better understanding of the ecology and evolution of these specialized opisthobranchs. In this paper we summarize some of the latest findings, related mainly to Mediterranean species, and offer a plausible evolutionary scenario based on the biological and chemical trends we can distinguish in them.

Trichoptera (INSECTA) collected in Mediterranean river basins in the Iberian Peninsula: taxonomic remarks and notes on ecology

As a result of the GUADALMED project, undertaken in Iberian Mediterranean basins, to which were added samples taken by the junior author in the area, we collected numerous caddisfly larvae, pupae and adults. Some larvae were also reared in the lab to obtain adults and allow proper identification. A total of 90 species were identified, which accounts for more than a fourth of the species known in the Iberian Peninsula and Balearic Islands. Here we confirm the presence of doubtful species in the Iberian Peninsula (Glyphotaelius pellucidus) and we expand the distribution range of others (Lype reducta, Micrasema minimum, Limnephilus guadarramicus, Sericostoma pyrenaicum). Moreover, because of the unconformity of morphological larval characteristics with present taxonomical keys (Mesophylax aspersus) or lack of larvae descriptions (Allogamus mortoni, Stenophylax espanioli), here we include some relevant taxonomical aspects that are useful to identify larvae. A brief description of the larva of a possible new species of Hydropsyche (from now on H. gr. instabilis) is also given. Los tricópteros (Insecta) recolectados en las cuencas mediterráneas de la Península Ibérica: notas taxonómicas y requerimientos ecológicos Como resultado de los estudios realizados en el proyecto GUADALMED en las cuencas de los ríos mediterráneos peninsulares y otros muestreos realizados por la primera autora del trabajo se han recolectado numerosas larvas, pupas y adultos de tricópteros. Algunas larvas fueron criadas en el laboratorio para la obtención de adultos y con ello asegurar su identificación. Se han identificado un total de 90 especies que suponen más de una cuarta parte de las especies actualmente conocidas en la Península Ibérica y Baleares. En este trabajo se confirma la presencia, hasta ahora dudosa en la Península Ibérica, de algunas especies (Glyphotaelius pellucidus) y se amplia el área de distribución de otras (Lype reducta, Micrasema minimum, Limnephilus guadarramicus, Sericostoma pyrenaicum). Además, se incluyen algunos aspectos taxonómicos relevantes para la identificación de algunas larvas en futuros estudios, debido a que las claves ya existentes no describen correctamente la larva (Mesophylax aspersus) o porque se trata de larvas sin describir (Allogamus mortoni, Stenophylax espanioli). Se añade también una somera descripción de la larva de una posible nueva especie de Hydropsyche (citada aquí como H. gr. instabilis) y que requiere un estudio más detallado.

Euphorbia L. subsect. Esula (Boiss. in DC.) Pax in the Iberian Peninsula. Leaf surface, chromosome numbers and taxonomic treatment

Presentem l'estudi taxonòmic dels représentants d'Euphorbia subsect. Esula a la Península Ibèrica. Prèviament, s'inclou un primer capítol dedicai a l'estudi de les epidermis foliars i un segon capítol sobre nombres cromosòmics...

Fruit and seed morphology of Euphorbia aggr. flavicoma. Taxonomic implications

Capsula and seed morphology of W. European species of Euphorbia aggr. flavicoma has been studied. A total of 1500 seeds coming from 13 taxa have been investigated under light microscope, scanning electron microscope and binocular stereoscope. Data were processed by multivariate analysis and the corresponding dendrogram is presented. At de end of the paper, a key is presented allowing to the separation of taxa down to the species level.