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.

Multi-sample analysis of moment-structures: Asymptotic validity of inferences based on second-order moments

In moment structure analysis with nonnormal data, asymptotic valid inferences require the computation of a consistent (under general distributional assumptions) estimate of the matrix $\Gamma$ of asymptotic variances of sample second--order moments. Such a consistent estimate involves the fourth--order sample moments of the data. In practice, the use of fourth--order moments leads to computational burden and lack of robustness against small samples. In this paper we show that, under certain assumptions, correct asymptotic inferences can be attained when $\Gamma$ is replaced by a matrix $\Omega$ that involves only the second--order moments of the data. The present paper extends to the context of multi--sample analysis of second--order moment structures, results derived in the context of (simple--sample) covariance structure analysis (Satorra and Bentler, 1990). The results apply to a variety of estimation methods and general type of statistics. An example involving a test of equality of means under covariance restrictions illustrates theoretical aspects of the paper.

A new order, a new family and a new genus of Paleozoic Radiolaria: Latentifistularia, Cauletellidae and Cauletella

Since the genus Deflandrella De Wever and Caridroit 1984 is a homonym of Deflandrella Loeblich and Tappan 1961, the new name Cauletella is :herein proposed, and the genus is redefined. Consequently, the family name Deflandrellidae De Wever and Caridroit, previously erected, becomes Cauletellidae, and its definiton is emended. This important radiolarian group, typical of the Permian times, is closely related to the families Ruzhencevispongidae Kozur 1980 and Latentifistulidae Nazarov and Ormiston 1983. These Paleozoic radiolarians are characterized by an initial skeleton quite different from that of the other radiolarian orders and are assigned to the new order Latentifistularia, which is herein defined and briefly discussed. ((C) 1999 Academie des sciences/ Editions scientifiques et medicales Elsevier SAS.).

Plastic brain mechanisms for attaining auditory temporal order judgment proficiency.

Accurate perception of the order of occurrence of sensory information is critical for the building up of coherent representations of the external world from ongoing flows of sensory inputs. While some psychophysical evidence reports that performance on temporal perception can improve, the underlying neural mechanisms remain unresolved. Using electrical neuroimaging analyses of auditory evoked potentials (AEPs), we identified the brain dynamics and mechanism supporting improvements in auditory temporal order judgment (TOJ) during the course of the first vs. latter half of the experiment. Training-induced changes in brain activity were first evident 43-76 ms post stimulus onset and followed from topographic, rather than pure strength, AEP modulations. Improvements in auditory TOJ accuracy thus followed from changes in the configuration of the underlying brain networks during the initial stages of sensory processing. Source estimations revealed an increase in the lateralization of initially bilateral posterior sylvian region (PSR) responses at the beginning of the experiment to left-hemisphere dominance at its end. Further supporting the critical role of left and right PSR in auditory TOJ proficiency, as the experiment progressed, responses in the left and right PSR went from being correlated to un-correlated. These collective findings provide insights on the neurophysiologic mechanism and plasticity of temporal processing of sounds and are consistent with models based on spike timing dependent plasticity.

Partial cricotracheal resection for severe pediatric subglottic stenosis: update of the Lausanne experience.

Until recently, severe pediatric subglottic stenosis (SGS) has been treated almost exclusively by laryngotracheoplasty procedures. Even in the most experienced centers, the results of single-stage operations for Cotton's grade III and IV stenoses have been disappointing. This paper reports our experience on 31 partial cricotracheal resections for severe SGS in infants and children. The stenosis was congenital in 6 cases and acquired after prolonged intubation in 25 cases. Twenty-seven patients were tracheotomy-dependent at the time of surgery. Twenty-two cases were classified as grade III and 9 cases as grade IV stenoses according to Cotton. The decannulation rate was 97% (30 of 31 cases) after an open procedure. There were no fatalities and no lesions to the recurrent laryngeal nerves, but there was 1 complete restenosis. Twenty-seven patients show no exertional dyspnea, 3 have a slight stridor with some dyspnea while exercising, and 1 patient is not decannulated. The voice is normal in 21 cases, a dysphonia is present in 9 cases, and the patient with complete restenosis acquired an esophageal voice. Postoperative follow-up is longer than 10 years in 8 cases and longer than 5 years in an additional 6 cases. All patients who reached adulthood show normal growth of the larynx and trachea. Considering the excellent results obtained in this consecutive series of 31 cases, partial cricoid resection with primary thyrotracheal anastomosis should be considered an important treatment option for severe SGS in infants and children.

Judges' cognition and market order

We argue that during the crystallization of common and civil law in the 19th century, the optimal degree of discretion in judicial rulemaking, albeit influenced by the comparative advantages of both legislative and judicial rulemaking, was mainly determined by the anti-market biases of the judiciary. The different degrees of judicial discretion adopted in both legal traditions were thus optimally adapted to different circumstances, mainly rooted in the unique, market-friendly, evolutionary transition enjoyed by English common law as opposed to the revolutionary environment of the civil law. On the Continent, constraining judicial discretion was essential for enforcing freedom of contract and establishing a market economy. The ongoing debasement of pro-market fundamentals in both branches of the Western legal system is explained from this perspective as a consequence of increased perceptions of exogenous risks and changes in the political system, which favored the adoption of sharing solutions and removed the cognitive advantage of parliaments and political leaders.

Restless bandits, partial conservation laws and indexability

We show that if performance measures in a stochastic scheduling problem satisfy a set of so-called partial conservation laws (PCL), which extend previously studied generalized conservation laws (GCL), then the problem is solved optimally by a priority-index policy for an appropriate range of linear performance objectives, where the optimal indices are computed by a one-pass adaptive-greedy algorithm, based on Klimov's. We further apply this framework to investigate the indexability property of restless bandits introduced by Whittle, obtaining the following results: (1) we identify a class of restless bandits (PCL-indexable) which are indexable; membership in this class is tested through a single run of the adaptive-greedy algorithm, which also computes the Whittle indices when the test is positive; this provides a tractable sufficient condition for indexability; (2) we further indentify the class of GCL-indexable bandits, which includes classical bandits, having the property that they are indexable under any linear reward objective. The analysis is based on the so-called achievable region method, as the results follow fromnew linear programming formulations for the problems investigated.

Liver segmentation: Practical tips.

The liver segmentation system, described by Couinaud, is based on the identification of the three hepatic veins and the plane passing by the portal vein bifurcation. Nowadays, Couinaud's description is the most widely used classification since it is better suited for surgery and more accurate for the localisation and monitoring of intra-parenchymal lesions. Knowledge of the anatomy of the portal and venous system is therefore essential, as is knowledge of the variants resulting from changes occurring during the embryological development of the vitelline and umbilical veins. In this paper, the authors propose a straightforward systematisation of the liver in six steps using several additional anatomical points of reference. These points of reference are simple and quickly identifiable in any radiological examination with section imaging, in order to avoid any mistakes in daily practice. In fact, accurate description impacts on many diagnostic and therapeutic applications in interventional radiology and surgery. This description will allow better preparation for biopsy, portal vein embolisation, transjugular intrahepatic portosystemic shunt, tumour resection or partial hepatectomy for transplantation. Such advance planning will reduce intra- and postoperative difficulties and complications.

Psychological pressure in competitive environments: Evidence from a randomized natural experiment

Much like cognitive abilities, emotional skills can have major effects on performance and economic outcomes. This paper studies the behavior of professionalsubjects involved in a dynamic competition in their own natural environment. Thesetting is a penalty shoot-out in soccer where two teams compete in a tournamentframework taking turns in a sequence of five penalty kicks each. As the kicking order is determined by the random outcome of a coin flip, the treatment and control groups are determined via explicit randomization. Therefore, absent any psychological effects, both teams should have the same probability of winning regardless of the kicking order. Yet, we find a systematic first-kicker advantage. Using data on 2,731 penalty kicks from 262 shoot-outs for a three decade period, we find that teams kicking first win the penalty shoot-out 60.5% of the time. A dynamic panel data analysis shows that the psychological mechanism underlying this result arises from the asymmetry in the partial score. As most kicks are scored, kicking first typically means having the opportunity to lead in the partial score, whereas kicking second typically means lagging in the score and having the opportunity to, at most, get even. Having a worse prospect than the opponent hinders subjects' performance.Further, we also find that professionals are self-aware of their own psychological effects. When a recent change in regulations gives winners of the coin toss the chance to choose the kicking order, they rationally react to it by systematically choosing to kick first. A survey of professional players reveals that when asked to explain why they prefer to kick first, they precisely identify the psychological mechanism for which we find empirical support in the data: they want to lead in the score inorder to put pressure on the opponent.

Dynamic higher order expectations

In models where privately informed agents interact, agents may need to formhigher order expectations, i.e. expectations of other agents' expectations. This paper develops a tractable framework for solving and analyzing linear dynamic rational expectationsmodels in which privately informed agents form higher order expectations. The frameworkis used to demonstrate that the well-known problem of the infinite regress of expectationsidentified by Townsend (1983) can be approximated to an arbitrary accuracy with a finitedimensional representation under quite general conditions. The paper is constructive andpresents a fixed point algorithm for finding an accurate solution and provides weak conditions that ensure that a fixed point exists. To help intuition, Singleton's (1987) asset pricingmodel with disparately informed traders is used as a vehicle for the paper.

Estudo das perceções da comunidade da Palmeira (Ilha do Sal, Cabo Verde) sobre a sustentabilidade das pescas

A pesca teve sempre grande importância socioeconómica para as comunidades costeiras de Cabo Verde, oferecendo meios de subsistência e, devido à vocação marítima do povo Cabo-verdiano, possibilidades de emprego. O peixe aparece como componente importante na alimentação da população e, por ser fonte de proteína e um animal de baixo custo para a população, requer que a sua exploração seja feita em moldes sustentáveis, perpetuando no tempo a disponibilidade desse recurso para toda a sociedade. Este trabalho apresenta o estudo das perceções dos pescadores sobre a sustentabilidade da exploração dos recursos haliêuticos pesqueiros e a pesca artesanal dominante na ilha. A pesca é uma das principais atividades económicas da zona costeira da Ilha do Sal, além de ser uma importante atividade de subsistência para as três comunidades haliêuticas da ilha. Com o objetivo de discutir caminhos sustentáveis para a atividade, reflete-se sobre a sustentabilidade da pesca artesanal na comunidade da Palmeira, Ilha do Sal, Cabo Verde. Numa comunidade como a Palmeira, onde a pesca é tipicamente artesanal, encontramos diversos elementos que garantem a sustentabilidade da atividade. Conhecer e desenvolver novos mecanismos que visam educar e criar políticas sustentáveis para a atividade e gestão dos recursos é importante para a nova conjuntura em que se vive. A educação e a organização dos pescadores, bem como a descentralização e a gestão participativa dos recursos pesqueiros, são condições fundamentais para a sustentabilidade da pesca. Este trabalho tenta responder à escassez de estudos sobre as comunidades piscatórias em Cabo Verde de modo a favorecer o conhecimento ambiental que potenciará a criação de estratégias-chave para a sustentabilidade, a análise dos projetos criados até à data e a respetiva implementação, permitindo a identificação das causas do insucesso total ou parcial, bem como a identificação das causas para o fraco envolvimento da comunidade piscatória na implementação dos projetos. Fishery has always been of great social economic importance for the coastal communities of Cape Verde, offering means of subsistence and employment opportunities due to their maritime vocation. Fish is an important food component for the population. Since fishery is a source of low-cost animal protein, its exploration must be sustainable in order to be permanently available for the community. This paper presents a study on the perception of fishermen on the sustainable exploitation of fishery resources in a symbiosis with the dominant artesanal fishing practiced on the island. Fishing is one of the main economic activities of the coastal zone of Sal island, besides being an important subsistence activity for the three fishing communities of the island. Aiming to discuss ways for sustainable activity, we will reflect on the sustainability of the traditional fishing in the community of Palmeira, Sal Island, Cape Verde. In a community like Palmeira, where fishing is typically artesanal, we find many elements that ensure the sustainability of the activity, such as the predominant use of renewable natural resources and the diversity of species caught. in Sal Inland knowing and developing new mechanisms to educate, create sustainable policies for the activity and resource management are important to the environment. Education and organization of fishermen, as well as decentralization and participatory management of fishery resources, are fundamental to the sustainability of fisheries. This work tries to answer the scarcity of studies on fishing communities in order to promote environmental knowledge that will enhance the creation of key strategies for sustainability, the analysis of projects created to date and the respective implementation, allowing the identification of the causes of the total or partial failure, as well as the identification of the causes for the poor involvement of the fishing community in the implementation of projects.

Fetal Diagnosis of Cardiac Rhabdomyoma, its Management and Outcome : P71

Objectives: This study analyses the long term cardiac and neurological outcome of patients with cardiac rhabdomyoma (CR) in order to allow comprehensive prenatal counselling. Because of the relative rarity of the disease, there is paucity of data concerning the outcome of patients with CR. Methods: A retrospective study including all cases with echocardiographic diagnosis of CR encountered between April 1986 and August 2006. Results: Of 24 CR patients identified, 7 were diagnosed in-utero at a gestational age (GA) between 28-35 weeks and 17 postnatally between 10 days and 5 years. 14 had multiple CR and 10 had one/two CR. The CRs were situated predominantly in the LV (70%), RV (52%) and IVS (48%) and to a lesser extent in the atria (13%) and pericardium (4%). Follow-up echocardiography in. 18'show\'ld complete postnatal regression of CR in 3, partial regression in 13 and no change in 2. Cardiac complications were encountered in 5 patients, 1 with WPW syndrome and SVT requiring anti-arrhythmic therapy, 1 with sub-aortic obstruction needing surgical intervention and 3 with occasional bouts of paroxysmal SVT. Long-term follow-up revealed tuberous sclerosis of Bourneville (TSB) as definite diagnosIs in 22 (92%), complicated by epilepsy in 16 (67%) and developmental delay in 14 (64%). Conclusions: CR generally regresses after birth and after the high risk perinatal period cardiac related problems are rare. The relatively poor neurodevelopmental outcome of the almost always associated TSB however should form a dominating aspect of the prenatal counselling of parents whose fetuses are diagnosed with this rare disease.