A generalization of Hull and White formula and applications to option pricing approximation

By means of Malliavin Calculus we see that the classical Hull and White formulafor option pricing can be extended to the case where the noise driving thevolatility process is correlated with the noise driving the stock prices. Thisextension will allow us to construct option pricing approximation formulas.Numerical examples are presented.

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

Report of the Regulated Materials Facility Revenue Bond Funds of Iowa State University of Science and Technology as of and for the year ended June 30, 2008

Report of the Regulated Materials Facility Revenue Bond Funds of Iowa State University of Science and Technology as of and for the year ended June 30, 2008

DIGITAL LIBRARY FOR DIGITAL DIVIDE AND ENVIRONMENT OF SCARCE ACCESS TO PRINTED MATERIALS: THE CASE OF UNIVERSITY JEAN PIAGET OF CAPE VERDE

With the failure of the traditional mechanisms of distributing bibliographic materials into developing countries, digital libraries show up as a strong alternative in accomplishing such job, despite the challenges of the digital divide. This paper discusses the challenges of building a digital library (DL) in a developing country. The case of Cape Verde as a digital divide country is analyzed, in terms of current digital library usage and its potentiality for fighting the difficulties in accessing bibliographic resources in the country. The paper also introduces an undergoing project of building a digital library at the University Jean Piaget of Cape Verde.

Possibles materials amb destinació a obres portuàries a la Costa Brava (Girona)

The metodology used in the research of materials destinated to port constructions in the Costa Brava is described. This metodology follows a set of work steps. The first three allow to do a selection of the stone quarries that exist in the zone. The other steps consists in studing the materials and the characteristics of the chosen quarries and the zones closed to them, as to order them according to their utility in port constmctions. Finally, the main results obtained are explained

Síntesi de nous catecols amb aplicació en materials funcionals bioinspirats

Els catecols (compostos aromàtics amb dos hidroxils veïnals) són una unitat estructural present en la naturalesa de formes molt diverses. En el present treball es sintetitza el catecol amb una cadena alquílica saturada de 32 carbonis. L’objectiu és mimetitzar el comportament de les proteïnes segregades pels musclos que formen els filaments pels quals aquest mol·lusc pot adherir-se sobre diverses superfícies de manera hidrofòbica permanent i que li permet mantenir-se adherit tot i estar submergit en l’aigua del mar. Aquesta síntesi es realitza gràcies a l’obtenció d’un valuós intermedi tipus sal de fosfoni que permet introduïr la cadena hidrocarbonada a l’esquelet catecol.

Molecular and isotopic characterization of organic samples from the wreck of the Saint-Etienne merchant ship (XVIIIth century): Identification of pitch, fat, hair and sulfur

The wreck U Pezzo, excavated within the Saint Florent Gulf in northern Corsica was identified as the pink, Saint Etienne, a merchant ship which sank on January 31, 1769. In order to determine the composition of organic materials used to coat the hull or to waterproof different parts of the pink, a study of several samples, using molecular biomarker and carbon isotopic analysis, was initiated. The results revealed that the remarkable yellow coat, covering the outside planks of the ship's bottom under the water line, is composed of sulfur, tallow (of ox and not of cetacean origin) and black pitch which corresponds to a mixture called ``couroi'' or ``stuff'. Onboard ropes had been submitted to a tarring treatment with pitch. Hairs mixed with pitch were identified in samples collected between the two layers of the hull or under the sheathing planking. The study also provides a key model for weathering of pitch, as different degrees of degradation were found between the surface and the heart of several samples. Accordingly, molecular parameters for alteration were proposed. Furthermore novel mixed esters between terpenic and diterpenic alcohols and the free major fatty acids (C(14:0), C(16:0), C(18:0)) were detected in the yellow coat. (C) 2009 Elsevier Ltd. All rights reserved.

Artificial Urinary Sphincter based on smart materials

Objective: There are only a few established artificial urinary sphincters for treatment of incontinence. We have developed a new device composed by three parts: the actuator, three contractile rings and a control unit. The actuator is made of Nitinol fibers, driven by microprocessor. The fibers are linked to the rings placed around the urethra. They function with alternance in their open and closed position. This concept is called piano concept. With this set-up, the constant compression on the urethra is strongly reduced. Methods: Six male sheep have been used for this study. The sphincter was open each hour for a period of 10 min., to guaranty urination. The bladder was filled with water while one cuff was closed and bladder pressure was monitored. The animals were sacrificed. Two biopsies around two cuffs of each explant and all three cuffs from each explant including urethra were analyzed. Urethra not surrounded by a cuff was taken as control. Results: The pressure exerted by the sphincter around the urethra provided continence. Simulated incontinence occurred at a pressure of 1bar measured on the bladder wall using a pressure probe. The closing force of the cuff was approx. 0·7N. No difference in tissue structure and organization of the urethra with and without artificial sphincter was observed. Conclusions: This device has several advantages compared to other urinary sphincters. It is easy to implant, has no hydraulic nature and reduces ischemic injury of the urethra by the alternance of urethral part compressed. Proof of concept in vivo has been demonstrated. Other studies are planned to determine long-term outcome.

Treball de selecció de materials

L’objectiu principal de l’activitat és desenvolupar l’aprenentatge autònom mitjançant eldesenvolupament d’un treball en grup relacionat amb l’àmbit dels materials.

Bateries de qüestions bàsiques de materials

Fomentar l’estudi i l’aprenentatge autònom de continguts bàsics de les assignatures troncals de materials (Fonaments de Ciència dels Materials, Tecnologia dels Materials i Materials Aeroespacials), de les titulacions d’Enginyeria Industrial i Enginyeria Aeronàutica.

Lateral condyle fracture of the humerus in children treated with bioabsorbable materials

Les fractures du condyle externe de l'enfant sont un traumatisme relativement fréquent qui survient le plus souvent chez l'enfant entre 5 et 15 ans. Elles sont classées en 3 grades : le grade 1 sans déplacement qui peuvent être traitées conservativement et les grades 2 (déplacées) et 3 (disloquées) qui nécessitent une prise en charge chirurgicale par réduction ouverte et embrochage. Le traitement traditionnel de ces fractures consistent en la mise en place de broches/vis métalliques qui doivent être retirées quelques semaines plus tard lors d'une seconde intervention. Depuis les années 90, des matériaux bio-résorbables à base d'acide polyglycoliques sont apparus en chirurgie orthopédique et traumatologique. En raison de la survenue de complications telles que réactions inflammatoires, formation de séromes ou ostéolyse, l'utilisation du matériel conventionnel a été préférée. Cependant, depuis quelques années, de nouveaux matériaux en acide polylactique sont apparus sur le marché. La période de résorption étant beaucoup plus lente, ces matériaux induisent des réactions beaucoup plus faibles, sans conséquences cliniques relevées jusqu'à présent. Chez l'adulte, de récentes études ont prouvés l'efficacité et l'absence d'effets secondaires liés à ces matériaux. Par contre, chez l'enfant, peu d'études à moyen terme ont été réalisées et l'impact sur l'os en croissance est peu connu, même si pour l'heure aucune conséquence clinique n'a été relevée. Dans le cadre de notre étude, nous avons comparé 2 groupes d'enfants traités pour des fractures du condyle externe du coude. Le premier groupe traité par du matériel conventionnel et le second par matériel résorbable. Les enfants ont tous étés suivis de manière très étroite durant la première année et la récupération clinique est similaire pour les 2 groupes. A 4 ans du traumatisme, les résultats fonctionnels sont identiques pour les 2 groupes et aucune complication liée au matériel résorbable n'a été mise en évidence. Par ailleurs, à 1 et 4 ans, les clichés radiologiques montrent l'absence de lésions liées au matériel résorbable. En conclusion, dans le cadre de notre travail nous avons pu montrer l'efficacité des matériaux résorbables dans la prise en charge des fractures du condyle externe du coude chez l'enfant. Ces matériaux permettent d'optimiser la prise en charge de ce type de fracture en prévenant un risque opératoire et anesthésique liés à une seconde intervention nécessaire au retrait du matériel d'ostéosynthèse conventionnel. Par ailleurs le coût lié à la prise en charge globale de ce type de fracture est moindre lors de l'utilisation de matériel résorbable.

Fact Sheet: Hazards Materials Accidents, 2009

A hazardous materials accident can occur anywhere. Communities located near chemical manufacturing plants are particularly at risk. However, hazardous materials are transported on our roadways, railways and waterways daily, so any area is considered vulnerable to an accident.

Production of fungal volatile organic compounds in bedding materials

Selostus: Haihtuvien orgaanisten yhdisteiden muodostuminen kuivikkeissa

Valoración de credit default swaps: una aplicación del modelo de Hull-White al mercado español

En este trabajo se presenta una aplicación empírica del modelo de Hull-White (2000) al mercado de renta fija español. Este modelo proporciona la expresión por el cálculo de los pagos hechos por el comprador de un credit default swap (CDS), bajo la hipótesis de que no existe riesgo de contrapartida. Se supone, además, que la curva cupón cero, la tasa de recuperación constante y el momento del suceso de crédito son independientes. Se utilizan bonos del Banco Santander Central Hispano para mesurar la probabilidad neutra al riesgo de quiebra y, bajo hipótesis de no arbitraje, se calculan las primas de un CDS, por un bono subyacente con la misma calificación crediticia que la entidad de referencia. Se observa que las primas se ajustan bien a los spreads crediticios del mercado, que se acostumbran a utilizar como alternativa a las mismas.