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.

Perfusion and diffusion MRI of glioblastoma progression in a four-year prospective temozolomide clinical trial.

PURPOSE: This study was performed to determine the impact of perfusion and diffusion magnetic resonance imaging (MRI) sequences on patients during treatment of newly diagnosed glioblastoma. Special emphasis has been given to these imaging technologies as tools to potentially anticipate disease progression, as progression-free survival is frequently used as a surrogate endpoint. METHODS AND MATERIALS: Forty-one patients from a phase II temolozomide clinical trial were included. During follow-up, images were integrated 21 to 28 days after radiochemotherapy and every 2 months thereafter. Assessment of scans included measurement of size of lesion on T1 contrast-enhanced, T2, diffusion, and perfusion images, as well as mass effect. Classical criteria on tumor size variation and clinical parameters were used to set disease progression date. RESULTS: A total of 311 MRI examinations were reviewed. At disease progression (32 patients), a multivariate Cox regression determined 2 significant survival parameters: T1 largest diameter (p < 0.02) and T2 size variation (p < 0.05), whereas perfusion and diffusion were not significant. CONCLUSION: Perfusion and diffusion techniques cannot be used to anticipate tumor progression. Decision making at disease progression is critical, and classical T1 and T2 imaging remain the gold standard. Specifically, a T1 contrast enhancement over 3 cm in largest diameter together with an increased T2 hypersignal is a marker of inferior prognosis.

Apoplastic diffusion barriers in Arabidopsis.

During the development of Arabidopsis and other land plants, diffusion barriers are formed in the apoplast of specialized tissues within a variety of plant organs. While the cuticle of the epidermis is the primary diffusion barrier in the shoot, the Casparian strips and suberin lamellae of the endodermis and the periderm represent the diffusion barriers in the root. Different classes of molecules contribute to the formation of extracellular diffusion barriers in an organ- and tissue-specific manner. Cutin and wax are the major components of the cuticle, lignin forms the early Casparian strip, and suberin is deposited in the stage II endodermis and the periderm. The current status of our understanding of the relationships between the chemical structure, ultrastructure and physiological functions of plant diffusion barriers is discussed. Specific aspects of the synthesis of diffusion barrier components and protocols that can be used for the assessment of barrier function and important barrier properties are also presented.

Technology diffusion and the spatial distribution of wages in the US

What explains the spatial distribution of wages across US counties? I find that two of the most important factors are spatial technology diffusion and externalities due to the aggregate scale of production. One empirical finding supporting the importance of spatial technology diffusion is that average wages in a county decrease with the average level of schooling in neighboring counties when employment in the county and average wages in neighboring counties are held constant. All empirical results are obtained using anovel instrument for (endogenous) employment at the county-leveland take into account other factors (e.g. productivity-differencesacross states, climate) that may determine wages.

Proton T1 relaxation times of metabolites in human occipital white and gray matter at 7 T.

Proton T1 relaxation times of metabolites in the human brain have not previously been published at 7 T. In this study, T1 values of CH3 and CH2 group of N-acetylaspartate and total creatine as well as nine other brain metabolites were measured in occipital white matter and gray matter at 7 T using an inversion-recovery technique combined with a newly implemented semi-adiabatic spin-echo full-intensity acquired localized spectroscopy sequence (echo time = 12 ms). The mean T1 values of metabolites in occipital white matter and gray matter ranged from 0.9 to 2.2 s. Among them, the T1 of glutathione, scyllo-inositol, taurine, phosphorylethanolamine, and N-acetylaspartylglutamate were determined for the first time in the human brain. Significant differences in T1 between white matter and gray matter were found for water (-28%), total choline (-14%), N-acetylaspartylglutamate (-29%), N-acetylaspartate (+4%), and glutamate (+8%). An increasing trend in T1 was observed when compared with previously reported values of N-acetylaspartate (CH3 ), total creatine (CH3 ), and total choline at 3 T. However, for N-acetylaspartate (CH3 ), total creatine, and total choline, no substantial differences compared to previously reported values at 9.4 T were discernible. The T1 values reported here will be useful for the quantification of metabolites and signal-to-noise optimization in human brain at 7 T. Magn Reson Med 69:931-936, 2013. © 2012 Wiley Periodicals, Inc.

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).

Optimization of multiclass queueing networks with changeover times via the achievable region approach: Part I, the single-station case

We address the performance optimization problem in a single-stationmulticlass queueing network with changeover times by means of theachievable region approach. This approach seeks to obtainperformance bounds and scheduling policies from the solution of amathematical program over a relaxation of the system's performanceregion. Relaxed formulations (including linear, convex, nonconvexand positive semidefinite constraints) of this region are developedby formulating equilibrium relations satisfied by the system, withthe help of Palm calculus. Our contributions include: (1) newconstraints formulating equilibrium relations on server dynamics;(2) a flow conservation interpretation of the constraintspreviously derived by the potential function method; (3) newpositive semidefinite constraints; (4) new work decomposition lawsfor single-station multiclass queueing networks, which yield newconvex constraints; (5) a unified buffer occupancy method ofperformance analysis obtained from the constraints; (6) heuristicscheduling policies from the solution of the relaxations.

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