On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

Seeking theta's desperately: Estimating the distribution of consumers under increasing block rates

This paper shows that the distribution of observed consumption is not a good proxy for the distribution of heterogeneous consumers when the current tariff is an increasing block tariff. We use a two step method to recover the "true" distribution of consumers. First, we estimate the demand function induced by the current tariff. Second, using the demand system, we specify the distribution of consumers as a function of observed consumption to recover the true distribution. Finally, we design a new two-part tariff which allows us to evaluate the equity of the existence of an increasing block tariff.

PyRate: a new program to estimate speciation and extinction rates from incomplete fossil data

Despite the advancement of phylogenetic methods to estimate speciation and extinction rates, their power can be limited under variable rates, in particular for clades with high extinction rates and small number of extant species. Fossil data can provide a powerful alternative source of information to investigate diversification processes. Here, we present PyRate, a computer program to estimate speciation and extinction rates and their temporal dynamics from fossil occurrence data. The rates are inferred in a Bayesian framework and are comparable to those estimated from phylogenetic trees. We describe how PyRate can be used to explore different models of diversification. In addition to the diversification rates, it provides estimates of the parameters of the preservation process (fossilization and sampling) and the times of speciation and extinction of each species in the data set. Moreover, we develop a new birth-death model to correlate the variation of speciation/extinction rates with changes of a continuous trait. Finally, we demonstrate the use of Bayes factors for model selection and show how the posterior estimates of a PyRate analysis can be used to generate calibration densities for Bayesian molecular clock analysis. PyRate is an open-source command-line Python program available at http://sourceforge.net/projects/pyrate/.

The effect of divorce laws on divorce rates in Europe

This paper analyzes a panel of 18 European countries spanning from 1950 to 2003 toexamine the extent to which the legal reforms leading to easier divorce that took placeduring the second half of the 20th century have contributed to the increase in divorce rates across Europe. We use a quasi-experimental set-up and exploit the different timing of the reforms in divorce laws across countries. We account for unobserved country-specificfactors by introducing country fixed effects, and we include country-specific trends tocontrol for time-varying factors at the country level that may be correlated with divorcerates and divorce laws, such as changing social norms or slow moving demographictrends. We find that the reforms were followed by significant increases in divorce rates.Overall, we estimate that the introduction of no-fault, unilateral divorce increased thedivorce rate by about 1, a sizeable effect given the average rate of 4.2 divorces per 1,000married people in 2002.

Speculative dynamics in the term structure of interest rates

When long maturity bonds are traded frequently and traders have non-nestedinformation sets, speculative behavior in the sense of Harrison and Kreps (1978) arises.Using a term structure model displaying such speculative behavior, this paper proposesa conceptually and observationally distinct new mechanism generating time varying predictableexcess returns. It is demonstrated that (i) dispersion of expectations about futureshort rates is sufficient for individual traders to systematically predict excess returns and(ii) the new term structure dynamics driven by speculative trade is orthogonal to publicinformation in real time, but (iii) can nevertheless be quantified using only publicly availableyield data. The model is estimated using monthly data on US short to medium termTreasuries from 1964 to 2007 and it provides a good fit of the data. Speculative dynamicsare found to be quantitatively important, potentially accounting for a substantial fractionof the variation of bond yields and appears to be more important at long maturities.

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).

Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

Effect of a novel beta-adrenoceptor agonist (Ro 40-2148) on resting energy expenditure in obese women.

The aim of this single-blind, placebo-controlled study was to investigate the effects of the new beta-adrenergic compound Ro 40-2148 on resting energy expenditure (REE) at rest and after an oral glucose load in non-diabetic obese women before and after two weeks of treatment. After one week of placebo administration and after an overnight fast and one hour rest, REE and glucose and lipid oxidation rates were measured by indirect calorimetry (hood system) before and for 6 h after a single dose of placebo solution. A 75 g oral glucose tolerance test (OGTT) was performed during this period starting 90 min after the placebo administration. During the following two weeks, using a randomization design, six patients received Ro 40-2148 at a dose of 400 mg diluted in 100 ml water twice a day (i.e. 800 mg per day), while six others continued with the placebo administration. The same tests and measurements were repeated after two weeks, except for the treatment group which received the drug instead of the placebo. The 14-day period of drug administration did not increase REE measured in post-absorptive conditions. Similarly, there was no acute effect on REE of a 400 mg dose of Ro 40-2148. In contrast, glucose-induced thermogenesis was significantly increased after two weeks in the treatment group (means +/- s.e.m.: 3.7 +/- 1.3%, P = 0.047), while no change was observed in the placebo group (-0.8 +/- 0.7%, not significant). Since there was no significant change in the respiratory quotient, the increase in energy expenditure observed in the treatment group was due to stimulation of both lipid and glucose oxidation. The drug induced no variations in heart rate, blood pressure, axillary temperature or in plasma glucose, insulin and free fatty acid levels. In conclusion, this study shows that Ro 40-2148 activates glucose-induced thermogenesis in obese non-diabetic patients.

A two-mean reverting-factor model of the term structure of interest rates

This paper presents a two--factor model of the term structure ofinterest rates. We assume that default free discount bond prices aredetermined by the time to maturity and two factors, the long--term interestrate and the spread (difference between the long--term rate and theshort--term (instantaneous) riskless rate). Assuming that both factorsfollow a joint Ornstein--Uhlenbeck process, a general bond pricing equationis derived. We obtain a closed--form expression for bond prices andexamine its implications for the term structure of interest rates. We alsoderive a closed--form solution for interest rate derivatives prices. Thisexpression is applied to price European options on discount bonds andmore complex types of options. Finally, empirical evidence of the model'sperformance is presented.

Three essays on liquidity risk

Preface In this thesis we study several questions related to transaction data measured at an individual level. The questions are addressed in three essays that will constitute this thesis. In the first essay we use tick-by-tick data to estimate non-parametrically the jump process of 37 big stocks traded on the Paris Stock Exchange, and of the CAC 40 index. We separate the total daily returns in three components (trading continuous, trading jump, and overnight), and we characterize each one of them. We estimate at the individual and index levels the contribution of each return component to the total daily variability. For the index, the contribution of jumps is smaller and it is compensated by the larger contribution of overnight returns. We test formally that individual stocks jump more frequently than the index, and that they do not respond independently to the arrive of news. Finally, we find that daily jumps are larger when their arrival rates are larger. At the contemporaneous level there is a strong negative correlation between the jump frequency and the trading activity measures. The second essay study the general properties of the trade- and volume-duration processes for two stocks traded on the Paris Stock Exchange. These two stocks correspond to a very illiquid stock and to a relatively liquid stock. We estimate a class of autoregressive gamma process with conditional distribution from the family of non-central gamma (up to a scale factor). This process was introduced by Gouriéroux and Jasiak and it is known as Autoregressive gamma process. We also evaluate the ability of the process to fit the data. For this purpose we use the Diebold, Gunther and Tay (1998) test; and the capacity of the model to reproduce the moments of the observed data, and the empirical serial correlation and the partial serial correlation functions. We establish that the model describes correctly the trade duration process of illiquid stocks, but have problems to adjust correctly the trade duration process of liquid stocks which present long-memory characteristics. When the model is adjusted to volume duration, it successfully fit the data. In the third essay we study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris Stock Exchange. We distinguish the case of parameters which are constant through the day from time-varying ones. An optimization problem incorporating this realistic microstructure model is presented and solved. Our model endogenizes the number of trades required before the position is liquidated. A comparative static exercise demonstrates the realism of our model. We find that a sell decision taken in the morning will be liquidated by the early afternoon. If price impacts increase over the day, the liquidation will take place more rapidly.

The role of climatic tolerances and seed traits in reduced extinction rates of temperate polygonaceae.

The latitudinal diversity gradient (LDG) is one of the most striking and consistent biodiversity patterns across taxonomic groups. We investigate the species richness gradient in the buckwheat family, Polygonaceae, which exhibits a reverse LDG and is, thus, decoupled from dominant gradients of energy and environmental stability that increase toward the tropics and confound mechanistic interpretations. We test competing age and evolutionary diversification hypotheses, which may explain the diversification of this plant family over the past 70 million years. Our analyses show that the age hypothesis, which posits that clade richness is positively correlated with the ecological and evolutionary time since clade origin, fails to explain the richness gradient observed in Polygonaceae. However, an evolutionary diversification hypothesis is highly supported, with diversification rates being 3.5 times higher in temperate clades compared to tropical clades. We demonstrate that differences in rates of speciation, migration, and molecular evolution insufficiently explain the observed patterns of differential diversification rates. We suggest that reduced extinction rates in temperate clades may be associated with adaptive responses to selection, through which seed morphology and climatic tolerances potentially act to minimize risk in temporally variable environments. Further study is needed to understand causal pathways among these traits and factors correlated with latitude.

Comparative short-term response and remission rates for tacrolimus, cyclosporine, and infliximab for steroid-refractory ulcerative colitis

BACKGROUND: Calcineurin inhibitors (cyclosporine (CsA) and tacrolimus (Tcl)) and the anti-TNF-antibody infliximab (IFX) are established therapeutic options in steroid-refractory ulcerative colitis (UC). In acute severe UC failing steroids, a randomized trial showed an 85% short term response to CsA or IFX, with avoidance of colectomy. Comparative responses to the three drugs in outpatients with steroid-refractory UC are unknown. METHOD: Response to treatment in patients with steroid-refractory moderate to severe UC was retrospectively studied in three cohorts of patients: Cohort A (n=24) treated with oral Tcl (initially 0.05mg/kg twice daily, aiming for serum trough levels of 5-10 ng/mL); Cohort B (n=19) treated with intravenous CsA 2mg/kg/daily and then oral CsA 5mg/kg/daily; Cohort C. (n= 41) treated with IFX (5mg/kg intravenously at week 0, 2, 6 and then every 8 weeks). After successful rescue therapy with Tcl or CsA, thiopurine maintenance therapy was introduced. The endpoint was evaluation of clinical remission or response at week 6, on the basis of modified Truelove-Witts severity index (MTWSI). RESULTS: After 6 weeks, 42% (10/24) of patients treated with Tcl achieved remission (MTWSI score ≤4) compared to 47% (9/ 19) on CsA and 66% (27/41) of patients treated with IFX (Tcl & CsA vs IFX p=0.127). Clinical response (decrease of MTWSI score of more than 4 points) at week 6 was reached in 25% (6/24) patients on Tcl, compared to 11% (2/19) on CsA and 20% (8/41) given IFX (p=0.484). Subgroup analysis showed the highest rates of remission in those with moderate steroid-refractory UC treated with IFX: 29% (2/7) in Tcl group compared to 50% (2/4) in CsA group and 76 % (19/25) in IFX group (Tcl &CsA vs IFX p= 0.058) Patients with severe colitis showed similar rates of remission in all three groups: 47% (8/17) on Tcl, 47% (7/ 15) on CsA and 50% (8/16) on IFX (p= 0.700). Colectomy within 6 weeks occurred in 4% (1/24) after Tcl, 5% (1/19) after CsA and 0% (0/41) after IFX. Adverse effects in the first 6 weeks were observed in 13% (3/24) on Tcl, 26% (5/19) on CsA, and 10% (4/41) on IFX (p=0.224) CONCLUSION: No significant differences in response, remission, colectomy rate or adverse events between the three agents were found, although the study is too small for definitive conclusions. There are intriguing differences, with potentially greater response to IFX in moderate, steroid-refractory UC.

A low-dose stimulation protocol using highly purified follicle-stimulating hormone can lead to high pregnancy rates in in vitro fertilization patients with polycystic ovaries who are at risk of a high ovarian response to gonadotropins.

OBJECTIVE: To study the benefits of a low-dose stimulation (LDS) protocol with purified urinary follicle-stimulating hormone in patients with polycystic ovaries who have presented previously with a very high ovarian response to a standard hMG stimulation. DESIGN: Cohort study. SETTING: Fertility center in a university hospital. PATIENT(S): Sixty-one patients involved in an IVF/ICSI program from January 1995 to December 1996. INTERVENTION(S): The patients were first stimulated with a standard protocol using hMG and presented with a very high ovarian response. These patients were then stimulated a second time using a low-dose protocol. Cryopreserved embryos were transferred in later artificial or natural cycles until to December 1999. MAIN OUTCOME MEASURE(S): Number of gonadotropin ampules; estradiol level on the day of ovulation induction; follicles, oocytes, and cryopreserved zygotes; fertilization, implantation, and pregnancy rates; and number of ovarian hyperstimulation syndromes (OHSS). RESULT(S): The number of ampules used, the estradiol level reached, and the number of oocytes obtained were significantly lower under the LDS than the standard protocol. High implantation (21.8%) and clinical pregnancy (38.4%) rates were obtained after LDS. The cumulated deliveries per cycle started and per patient were, respectively, 41.6% and 52.5%. Five patients suffered OHSS with the standard protocol, and none with the LDS. CONCLUSION(S): The LDS protocol offers a safe and efficient treatment for patients who present with echographic polycystic ovaries and are at risk of an excessive ovarian response to standard IVF stimulation protocols.