Adaptive Continuous time Markov Chain Approximation Model to General Jump-Diusions

We propose a non-equidistant Q rate matrix formula and an adaptive numerical algorithm for a continuous time Markov chain to approximate jump-diffusions with affine or non-affine functional specifications. Our approach also accommodates state-dependent jump intensity and jump distribution, a flexibility that is very hard to achieve with other numerical methods. The Kolmogorov-Smirnov test shows that the proposed Markov chain transition density converges to the one given by the likelihood expansion formula as in Ait-Sahalia (2008). We provide numerical examples for European stock option pricing in Black and Scholes (1973), Merton (1976) and Kou (2002).

Unionisation, International Integration and Selection

We study how unionisation affects competitive selection between heterogeneous firms when wage negotiations can occur at the rm or at the profit-centre level. With productivity specific wages, an increase in union power has: (i) a selection-softening; (ii) a counter-competitive; (iii) a wage-inequality; and (iv) a variety effect. In a two-country asymmetric setting, stronger unions soften competition for domestic firms and toughen it for exporters. With profit-centre bargaining, we show how trade liberalisation can affect wage inequality among identical workers both across firms (via its effects on competitive selection) and within firms (via wage discrimination across destination markets).

EMU, EU, Market Integration and Consumption Smoothing

We take a new approach to the study of the impact of EMU on consumption smoothing. Rather than relying on inferences based on the behavior of consumption levels or growth, we focus on consumption volatility and therefore on smoothing more directly. Consequently, we find that even though EMU tends to smooth consumption, it is not through cross-country property and claims. Rather it comes through the promotion of the tradability of goods, capital in particular: specifically, the encouragement of price competition, contestable home markets, ability to borrow and buy insurance at home, and the harmonization of regulations. Some of the consumption smoothing may also depend on EU membership rather than EMU as such but EMU adds to it. As a fundamental part of the analysis, the paper uses a new index of currency union which focuses on the ratio of trade with other countries sharing the same currency relative to total foreign trade.

A Simple Characterization of Dynamic Completeness in Continuous Time

This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities dividends geometric Brownian motions. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, was established recently in the literature for single-commodity, pure-exchange economies with many heterogenous agents, under the assumption that the intermediate flows of all dividends, utilities, and endowments are analytic functions. For the current setting, a different mathematical argument in which analyticity is not needed shows that a slightly weaker condition suffices for general pricing kernels. That is, dynamic completeness obtains irrespectively of preferences, endowments, and other structural elements (such as whether or not the budget constraints include only pure exchange, whether or not the time horizon is finite with lump-sum dividends available on the terminal date, etc.)

Globalization and international relations: the Olympic Movement and European Integration

Essay elaborated by Shaelyne Johnson, undergraduate student of Global Studies at the University of California-Santa Barbara, during her internship at CEO-UAB for the academic course 2008/2009. She compares the organisational structure, goals and objectives of the institutions in the Olympic Movement and the European Integration, in order to find connections between both movements which were caused by globalization. The paper begins with an introduction of the changing world nowadays, followed by an overview on the structural similarities in the historical unfolding between these two parallel movements and, before concluding, new means for international relations are considered. This document is available in English through the digital library at the CEO-UAB Portal of Olympic Studies and the digital repository RECERCAT.

Unionisation, International Integration and Selection

We study how unionisation affects competitive selection between heterogeneous firms when wage negotiations can occur at the firm or at the profit-centre level. With productivity specific wages, an increase in union power has: (i) a selection-softening; (ii) a counter-competitive; (iii) a wage-inequality; and (iv) a variety effect. In a two-country asymmetric setting, stronger unions soften competition for domestic firms and toughen it for exporters. With profit-centre bargaining, we show how trade liberalisation can affect wage inequality among identical workers both across firms (via its effects on competitive selection) and within firms (via wage discrimination across destination markets).

Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices

We re-examine the dynamics of returns and dividend growth within the present-value framework of stock prices. We find that the finite sample order of integration of returns is approximately equal to the order of integration of the first-differenced price-dividend ratio. As such, the traditional return forecasting regressions based on the price-dividend ratio are invalid. Moreover, the nonstationary long memory behaviour of the price-dividend ratio induces antipersistence in returns. This suggests that expected returns should be modelled as an AFIRMA process and we show this improves the forecast ability of the present-value model in-sample and out-of-sample.

Structured and unstructured continuous models for Wolbachia infections

We introduce and investigate a series of models for an infection of a diplodiploid host species by the bacterial endosymbiont Wolbachia. The continuous models are characterized by partial vertical transmission, cytoplasmic incompatibility and fitness costs associated with the infection. A particular aspect of interest is competitions between mutually incompatible strains. We further introduce an age-structured model that takes into account different fertility and mortality rates at different stages of the life cycle of the individuals. With only a few parameters, the ordinary differential equation models exhibit already interesting dynamics and can be used to predict criteria under which a strain of bacteria is able to invade a population. Interestingly, but not surprisingly, the age-structured model shows significant differences concerning the existence and stability of equilibrium solutions compared to the unstructured model.

Fractional hepatic de novo lipogenesis in healthy subjects during near-continuous oral nutrition and bed rest: a comparison with published data in artificially fed, critically ill patients.

BACKGROUND AND AIMS: In critically ill patients, fractional hepatic de novo lipogenesis increases in proportion to carbohydrate administration during isoenergetic nutrition. In this study, we sought to determine whether this increase may be the consequence of continuous enteral nutrition and bed rest. We, therefore, measured fractional hepatic de novo lipogenesis in a group of 12 healthy subjects during near-continuous oral feeding (hourly isoenergetic meals with a liquid formula containing 55% carbohydrate). In eight subjects, near-continuous enteral nutrition and bed rest were applied over a 10 h period. In the other four subjects, it was extended to 34 h. Fractional hepatic de novo lipogenesis was measured by infusing(13) C-labeled acetate and monitoring VLDL-(13)C palmitate enrichment with mass isotopomer distribution analysis. Fractional hepatic de novo lipogenesis was 3.2% (range 1.5-7.5%) in the eight subjects after 10 h of near continuous nutrition and 1.6% (range 1.3-2.0%) in the four subjects after 34 h of near-continuous nutrition and bed rest. This indicates that continuous nutrition and physical inactivity do not increase hepatic de novo lipogenesis. Fractional hepatic de novo lipogenesis previously reported in critically ill patients under similar nutritional conditions (9.3%) (range 5.3-15.8%) was markedly higher than in healthy subjects (P<0.001). These data from healthy subjects indicate that fractional hepatic de novo lipogenesis is increased in critically ill patients.

Quantifying rates of landscape evolution and tectonic processes by thermochronology and numerical modeling of crustal heat transport using PECUBE

PECUBE is a three-dimensional thermal-kinematic code capable of solving the heat production-diffusion-advection equation under a temporally varying surface boundary condition. It was initially developed to assess the effects of time-varying surface topography (relief) on low-temperature thermochronological datasets. Thermochronometric ages are predicted by tracking the time-temperature histories of rock-particles ending up at the surface and by combining these with various age-prediction models. In the decade since its inception, the PECUBE code has been under continuous development as its use became wider and addressed different tectonic-geomorphic problems. This paper describes several major recent improvements in the code, including its integration with an inverse-modeling package based on the Neighborhood Algorithm, the incorporation of fault-controlled kinematics, several different ways to address topographic and drainage change through time, the ability to predict subsurface (tunnel or borehole) data, prediction of detrital thermochronology data and a method to compare these with observations, and the coupling with landscape-evolution (or surface-process) models. Each new development is described together with one or several applications, so that the reader and potential user can clearly assess and make use of the capabilities of PECUBE. We end with describing some developments that are currently underway or should take place in the foreseeable future. (C) 2012 Elsevier B.V. All rights reserved.

The role of fixed delays in neuronal rate models

Fixed delays in neuronal interactions arise through synaptic and dendritic processing. Previous work has shown that such delays, which play an important role in shaping the dynamics of networks of large numbers of spiking neurons with continuous synaptic kinetics, can be taken into account with a rate model through the addition of an explicit, fixed delay. Here we extend this work to account for arbitrary symmetric patterns of synaptic connectivity and generic nonlinear transfer functions. Specifically, we conduct a weakly nonlinear analysis of the dynamical states arising via primary instabilities of the stationary uniform state. In this way we determine analytically how the nature and stability of these states depend on the choice of transfer function and connectivity. While this dependence is, in general, nontrivial, we make use of the smallness of the ratio in the delay in neuronal interactions to the effective time constant of integration to arrive at two general observations of physiological relevance. These are: 1 - fast oscillations are always supercritical for realistic transfer functions. 2 - Traveling waves are preferred over standing waves given plausible patterns of local connectivity.

Migration and trade: Theory with an Application to the Eastern- Western European Integration

The remarkable increase in trade flows and in migratory flows of highly educated people are two important features of globalization of the last decades. This paper extends a two-country model of inter- and intraindustry trade to a rich environment featuring technological differences, skill differences and the possibility of international labor mobility. The model is used to explain the patterns of trade and migration as countries remove barriers to trade and to labor mobility. We parameterize the model to match the features of the Western and Eastern European members of the EU and analyze first the effects of the trade liberalization which occured between 1989 and 2004, and then the gains and losses from migration which are expected to occur if legal barriers to labor mobility are substantially reduced. The lower barriers to migration would result in significant migration of skilled workers from Eastern European countries. Interestingly, this would not only benefit the migrants and most Western European workers but, via trade, it would also benefit the workers remaining in Eastern Europe. Key Words: Skilled Migration, Gains from Variety, Real Wages, Eastern-Western Europe. JEL Codes: F12, F22, J61.

Rigorous derivation of a nonlinear diffusion equation as fast-reaction limit of a continuous coagulation-fragmentation model with diffusion

Weak solutions of the spatially inhomogeneous (diffusive) Aizenmann-Bak model of coagulation-breakup within a bounded domain with homogeneous Neumann boundary conditions are shown to converge, in the fast reaction limit, towards local equilibria determined by their mass. Moreover, this mass is the solution of a nonlinear diffusion equation whose nonlinearity depends on the (size-dependent) diffusion coefficient. Initial data are assumed to have integrable zero order moment and square integrable first order moment in size, and finite entropy. In contrast to our previous result [CDF2], we are able to show the convergence without assuming uniform bounds from above and below on the number density of clusters.

Looming signals reveal synergistic principles of multisensory integration.

Multisensory interactions are a fundamental feature of brain organization. Principles governing multisensory processing have been established by varying stimulus location, timing and efficacy independently. Determining whether and how such principles operate when stimuli vary dynamically in their perceived distance (as when looming/receding) provides an assay for synergy among the above principles and also means for linking multisensory interactions between rudimentary stimuli with higher-order signals used for communication and motor planning. Human participants indicated movement of looming or receding versus static stimuli that were visual, auditory, or multisensory combinations while 160-channel EEG was recorded. Multivariate EEG analyses and distributed source estimations were performed. Nonlinear interactions between looming signals were observed at early poststimulus latencies (∼75 ms) in analyses of voltage waveforms, global field power, and source estimations. These looming-specific interactions positively correlated with reaction time facilitation, providing direct links between neural and performance metrics of multisensory integration. Statistical analyses of source estimations identified looming-specific interactions within the right claustrum/insula extending inferiorly into the amygdala and also within the bilateral cuneus extending into the inferior and lateral occipital cortices. Multisensory effects common to all conditions, regardless of perceived distance and congruity, followed (∼115 ms) and manifested as faster transition between temporally stable brain networks (vs summed responses to unisensory conditions). We demonstrate the early-latency, synergistic interplay between existing principles of multisensory interactions. Such findings change the manner in which to model multisensory interactions at neural and behavioral/perceptual levels. We also provide neurophysiologic backing for the notion that looming signals receive preferential treatment during perception.