Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.

Geometric and long run aspects of Granger causality

This paper extends multivariate Granger causality to take into account the subspacesalong which Granger causality occurs as well as long run Granger causality. The propertiesof these new notions of Granger causality, along with the requisite restrictions, are derivedand extensively studied for a wide variety of time series processes including linear invertibleprocess and VARMA. Using the proposed extensions, the paper demonstrates that: (i) meanreversion in L2 is an instance of long run Granger non-causality, (ii) cointegration is a specialcase of long run Granger non-causality along a subspace, (iii) controllability is a special caseof Granger causality, and finally (iv) linear rational expectations entail (possibly testable)Granger causality restriction along subspaces.

Simultaneous determination of antidementia drugs by HPLC-MS: validation data of the method and plasma level determinations in 300 patients

Aims: A rapid and simple HPLC-MS method was developed for the simultaneousdetermination of antidementia drugs, including donepezil, galantamine, rivastigmineand its major metabolite NAP 226 - 90, and memantine, for TherapeuticDrug Monitoring (TDM). In the elderly population treated with antidementiadrugs, the presence of several comorbidities, drug interactions resulting frompolypharmacy, and variations in drug metabolism and elimination, are possiblefactors leading to the observed high interindividual variability in plasma levels.Although evidence for the benefit of TDM for antidementia drugs still remains tobe demonstrated, an individually adapted dosage through TDM might contributeto minimize the risk of adverse reactions and to increase the probability of efficienttherapeutic response. Methods: A solid-phase extraction procedure with amixed-mode cation exchange sorbent was used to isolate the drugs from 0.5 mL ofplasma. The compounds were analyzed on a reverse-phase column with a gradientelution consisting of an ammonium acetate buffer at pH 9.3 and acetonitrile anddetected by mass spectrometry in the single ion monitoring mode. Isotope-labeledinternal standards were used for quantification where possible. The validatedmethod was used to measure the plasma levels of antidementia drugs in 300patients treated with these drugs. Results: The method was validated accordingto international standards of validation, including the assessment of the trueness(-8 - 11 %), the imprecision (repeatability: 1-5%, intermediate imprecision:2 - 9 %), selectivity and matrix effects variability (less than 6 %). Furthermore,short and long-term stability of the analytes in plasma was ascertained. Themethod proved to be robust in the calibrated ranges of 1 - 300 ng/mL for rivastigmineand memantine and 2 - 300 mg/mL for donepezil, galantamine and NAP226 - 90. We recently published a full description of the method (1). We found ahigh interindividual variability in plasma levels of these drugs in a study populationof 300 patients. The plasma level measurements, with some preliminaryclinical and pharmacogenetic results, will be presented. Conclusion: A simpleLC-MS method was developed for plasma level determination of antidementiadrugs which was successfully used in a clinical study with 300 patients.

Financial development, financial fragility and growth

This paper studies the apparent contradiction between two strands of the literature on the effects of financial intermediation on economic activity. On the one hand, the empirical growth literature finds a positive effect of financial depth as measured by, for instance, private domestic credit and liquid liabilities (e.g., Levine, Loayza, and Beck 2000). On the other hand, the banking and currency crisis literature finds that monetary aggregates, such as domestic credit, are among the best predictors of crises and their related economic downturns (e.g., Kaminski and Reinhart 1999). The paper accounts for these contrasting effects based on the distinction between the short- and long-run impacts of financial intermediation. Working with a panel of cross-country and time-series observations, the paper estimates an encompassing model of short- and long-run effects using the Pooled Mean Group estimator developed by Pesaran, Shin, and Smith (1999). The conclusion from this analysis is that a positive long-run relationship between financial intermediation and output growth co-exists with a, mostly, negative short-run relationship. The paper further develops an explanation for these contrasting effects by relating them to recent theoretical models, by linking the estimated short-run effects to measures of financial fragility(namely, banking crises and financial volatility), and by jointly analyzing the effects of financial depth and fragility in classic panel growth regressions.

Laparoscopic gastric banding: a prospective, randomized study comparing the Lapband and the SAGB: early results.

OBJECTIVE: The objective of this study was to evaluate the results of laparoscopic gastric banding using 2 different bands (the Lapband [Bioenterics, Carpinteria, CA] and the SAGB [Swedish Adjustable Gastric Band; Obtech Medical, 6310 Zug, Switzerland]) in terms of weight loss and correction of comorbidities, short-and long-term complications, and improvement of quality of life in morbidly obese patients SUMMARY BACKGROUND DATA: During the past 10 years, gastric banding has become 1 of the most common bariatric procedures, at least in Europe and Australia. Weight loss can be excellent, but it is not sufficient in a significant proportion of patients, and a number of long-term complications can develop. We hypothesized that the type of band could be of importance in the outcome. METHODS: One hundred eighty morbidly obese patients were randomly assigned to receive the Lapband or the SAGB. All the procedures were performed by the same surgeon. The primary end point was weight loss, and secondary end points were correction of comorbidities, early- and long-term complications, importance of food restriction, and improvement of quality of life. RESULTS: Initial weight loss was faster in the Lapband group, but weight loss was eventually identical in the 2 groups. There was a trend toward more early band-related complications and more band infections with the SAGB, but the study had limited power in that respect. Correction of comorbidities, food restriction, long-term complications, and improvement of quality of life were identical. Only 55% to 60% of the patients achieved an excess weight loss of at least 50% in both groups. There was no difference in the incidence of long-term complications. CONCLUSIONS: Gastric banding can be performed safely with the Lapband or the SAGB with similar short- and midterm results with respect to weight loss and morbidity. Only 50% to 60% of the patients will achieve sufficient weight loss, and close to 10% at least will develop severe long-term complications.

Hiring and firing costs, adverse selection and long-term unemployment

In this paper, we present a matching model with adverse selection that explains why flows into and out of unemployment are much lower in Europe compared to North America, while employment-to-employment flows are similar in the two continents. In the model,firms use discretion in terms of whom to fire and, thus, low quality workers are more likely to be dismissed than high quality workers. Moreover, as hiring and firing costs increase, firms find it more costly to hire a bad worker and, thus, they prefer to hire out of the pool of employed job seekers rather than out of the pool of the unemployed, who are more likely to turn out to be 'lemons'. We use microdata for Spain and the U.S. and find that the ratio of the job finding probability of the unemployed to the job finding probability of employed job seekers was smaller in Spain than in the U.S. Furthermore, using U.S. data, we find that the discrimination of the unemployed increased over the 1980's in those states that raised firing costs by introducing exceptions to the employment-at-will doctrine.

Trade, migration and regional unemployment

We formulate a dynamic core-periphery model with frictions in the job matching process to study the interplay between trade costs, migration and regional unemploymentin the short- and long-run. We find that the spatial distribution of unemployment mirrors (inversely) the distribution of economic activities. Further, we highlight a contrast between the short-run and the long-run effects of trade-induced migration on regional unemployment. In particular, an inßow of immigrants from the periphery into the core reduces the unemployment gap in the short-run, but exacerbates unemployment disparities in the long-run.

Psychothérapie et mécanismes de défense = Psychotherapy and defense mechanisms

Dans cet article, les auteurs mettent en dialogue deux facettes des mécanismes de défense en situation psychothérapeutique : la psychopathologie et le changement. Pour commencer, les instruments de mesure les plus utilisés sont présentés, avec un accent sur les échelles d'évaluation par un juge externe. Les conceptions de Vaillant et de Perry sont présentées et discutées. L'article se continue avec une synthèse des travaux empiriques de recherche en psychothérapie se focalisant sur les changements des mécanismes de défense au cours des psychothérapies, principalement d'orientation psychanalytique. Une réflexion autour du lien avec le concept d'alliance thérapeutique, ainsi qu'avec celui du coping complète cette synthèse. Des travaux récents concernant des psychothérapies de courte et de longue durée sont ensuite abordés. Les défenses sont également discutées du point de vue de la psychopathologie, à travers deux exemples d'études empiriques mettant en évidence des spécificités dans des troubles psychiatriques. Les retombées de ces résultats de recherche pour la pratique psychanalytique sont mentionnées tout au long de cet article de synthèse. With the present article, we aim to develop a dialogue between two aspects of defense mechanisms in psychotherapy : psychopathology and change. First, the most frequently used instruments will be presented, with a particular focus on observer-rated scales, and Vaillant's and Perry's models are sketched and discussed. Then, we review empirical research on changes in defense mechanisms over the course of psychotherapy, mainly psychoanalytic. An elaboration on the links with the concept of therapeutic alliance and the concept of coping completes this overview. Recent studies on change in short- and long-term psychotherapy are then discussed. Defense mechanisms are then examined from a psychopathology point of view, using two examples of empirical studies pointing to distinctive characteristics of mental disorders. Clinical implications for psychoanalytic practice are discussed throughout the article.

Serum procalcitonin as a marker of post-cardiac arrest syndrome and long-term neurological recovery, but not of early-onset infections, in comatose post-anoxic patients treated with therapeutic hypothermia.

OBJECTIVE: To examine the relationship of early serum procalcitonin (PCT) levels with the severity of post-cardiac arrest syndrome (PCAS), long-term neurological recovery and the risk of early-onset infections in patients with coma after cardiac arrest (CA) treated with therapeutic hypothermia (TH). METHODS: A prospective cohort of adult comatose CA patients treated with TH (33°C, for 24h) admitted to the medical/surgical intensive care unit, Lausanne University Hospital, was studied. Serum PCT was measured early after CA, at two time-points (days 1 and 2). The SOFA score was used to quantify the severity of PCAS. Diagnosis of early-onset infections (within the first 7 days of ICU stay) was made after review of clinical, radiological and microbiological data. Neurological recovery at 3 months was assessed with Cerebral Performance Categories (CPC), and was dichotomized as favorable (CPC 1-2) vs. unfavorable (CPC 3-5). RESULTS: From December 2009 to April 2012, 100 patients (median age 64 [interquartile range 55-73] years, median time from collapse to ROSC 20 [11-30]min) were studied. Peak PCT correlated with SOFA score at day 1 (Spearman's R=0.44, p<0.0001) and was associated with neurological recovery at 3 months (peak PCT 1.08 [0.35-4.45]ng/ml in patients with CPC 1-2 vs. 3.07 [0.89-9.99] ng/ml in those with CPC 3-5, p=0.01). Peak PCT did not differ significantly between patients with early-onset vs. no infections (2.14 [0.49-6.74] vs. 1.53 [0.46-5.38]ng/ml, p=0.49). CONCLUSIONS: Early elevations of serum PCT levels correlate with the severity of PCAS and are associated with worse neurological recovery after CA and TH. In contrast, elevated serum PCT did not correlate with early-onset infections in this setting.

Long-term expansion of transplantable human fetal liver hematopoietic stem cells

Hematopoietic stem cells (HSCs), with their dual ability for self-renewal and multilineage differentiation, constitute an essential component of hematopoietic transplantations. Human fetal liver (FL) represents a promising alternative HSC source, and we previously reported simple culture conditions allowing long-term expansion of FL hematopoietic progenitors. In the present study, we used the nonobese diabetic/severe combined immunodeficiency (NOD/SCID) mouse xenotransplantation assay to confirm that human FL is rich in NOD/SCID-repopulating cells (SRCs) and to show that these culture conditions repeatedly maintained short- and long-term SRCs from various FL samples for at least 28 days. Quantitative limited dilution analysis in NOD/SCID mice demonstrated for the first time that a 10- to over a 100-fold net expansion of FL SRCs could be achieved after 28 days of culture. The efficiency of this culture system may lead to an increase in the use of FL as a source of HSCs for transplantation in adult patients, as previously demonstrated with umbilical cord blood under different culture conditions.

Twenty-eight days and long term survival after severe sepsis and septic shock in adults

Résumé : Nous avons effectué une étude de cohorte examinant la survie de tous les patients qui ont présenté une sepsis sévère ou un choc septique aux soins intensifs de médecine et de chirurgie du CIIUV durant une période de 3 ans. Introduction: La sepsis sévère et le choc septique constituent la deuxième cause de mortalité dans les unités de soins intensifs non coronaires. La survie à long terme est mal connue. Nous avons comparé la survie à 28 jours de notre collectif avec les données de la littérature, examiné la survie à long terme des patients ayant survécus plus de 28 jours et identifié des paramètres prédictifs de la survie. Matériel et méthode : Nous avons classifié les patients ayant présenté un épisode septique rétrospectivement en sepsis sévère ou choc septique selon les critères de Bone (1). Les données cliniques et paracliniques ont été relevées au moment de l'épisode. Des courbes de survie uni- et multivariées ont été établies à 28 jours et à long terme chez ceux qui ont survécus plus de 28 jours, d'après les données de questionnaires envoyés aux médecins traitants. Résultats : Durant Ìa période de l'étude, 339 patients ont présenté un choc septique (169) ou une sepsis sévère (170). La mortalité à 28 jours a été de 33% (choc septique: 55%, sepsis sévère: 11.2%, p<10"5). Les données significativement associées à la mortalité à 28 jours dans l'analyse de régression multivariée selon Cox ont été le type d'épisode septique (choc septique vs. sepsis sévère, p=0.001), le «Acute Physiology Score» du score APACHE II (p=0.02) et le nombre de dysfonctions d'organes (plus de trois dysfunctions, p=0.04). 227 patients ont survécu plus de 28 jours et des données de suivi ont été obtenues chez 225. Le suivi moyen après 28 jours a été de 25.1 mois (5700 mois-patients). La mortalité globale de ces patients, extrapolée des courbes de Kaplan-Meyer, a été de l'ordre de 7% à 1 an et de 15% à 2 ans. Les données significativement associées à leur survie à long terme ont été les "chronic health points" du score APACHE II (p=0.02), l'âge (p=0.05) et le fait d'avoir subi une opération chirurgicale avant l'épisode septique (p=0.02). Conclusion : La mortalité à 28 jours de notre cohorte de patients s'est révélée comparable aux chiffres publiés. La survie à long terme des patients ayant survécu plus de 28 jours a été satisfaisante. Elle s'est révélée indépendante de la sévérité de l'épisode septique, mais dépendait plutôt des conditions de santé sous-jacentes.

Penetration and binding of radiolabeled anti-carcinoembryonic antigen monoclonal antibodies and their antigen binding fragments in human colon multicellular tumor spheroids.

The binding and penetration of two 125I-labeled anti-carcinoembryonic antigen (CEA) monoclonal antibodies (MAb) and their F(ab')2 and Fab fragments were measured in multicellular spheroids of poorly (HT29) and moderately well differentiated (Co112) human colon adenocarcinomas which express different amounts of CEA. Spheroids cultured in vitro model tumor microenvironments where poor vascular supply may modulate antigen expression and accessibility. The two MAb studied, 202 and 35, were shown previously to react with different CEA epitopes and to have high affinities of 1.2 and 5.8 X 10(9) M-1, respectively. MAb 202 has also been shown to cross-react with antigens present on human granulocytes and normal epithelial cells from human lung and pancreas. Specific binding of intact MAb and fragments of both antibodies was demonstrated for both types of human colon carcinoma spheroids compared to mouse colon carcinoma (CL26) and mammary tumor (EMT6/Ro) spheroids. Total binding of MAb and fragments was greater (1.5- to 2.5-fold) after 4 h compared to 1 h of exposure; the amount of binding compared to control IgG1 was 5- to 30-fold greater after 1-h incubation and 15 to 200 times greater after 4 h. This binding was stable as demonstrated by short and long wash experiments at 37 degrees and 4 degrees C. The binding of F(ab')2 and Fab fragments of the anti-CEA MAb 35 to spheroids of human colon Co112 was almost 2-fold greater than that of the intact MAb. However, for MAb 202, the binding of intact MAb and F(ab')2 was greater than that of Fab fragments. In addition the binding of both intact and F(ab')2 fragments of MAb 202 was greater than that obtained with MAb 35. Specific binding of both antibodies to HT29 spheroids, which express less CEA, was decreased for MAb and fragments of both 202 and 35. Autoradiography and immunoperoxidase experiments were performed to determine the penetration of MAb and fragments after incubation with intact spheroids. Comparisons were made with labeled MAb directly applied to frozen sections of spheroids. F(ab')2 and Fab fragments of both antibodies were bound at the surface of intact spheroids and penetrated to eight to ten cells, but the intact MAb were localized mainly at the spheroid surface and the outer one to three cell layers. There was much less binding at the surfaces of HT29 compared to Co112 spheroids. An enzyme immunoassay using MAb 35 and 202 demonstrated that Co112 spheroids produced about 8-fold more CEA/mg of cell protein than did monolayer cultures.(ABSTRACT TRUNCATED AT 400 WORDS)

Endovascular abdominal aneurysm repair and impact of systematic preoperative embolization of collateral arteries: endoleak analysis and long-term follow-up.

PURPOSE: To report our results of endovascular aneurysm repair (EVAR) over a 10-year period using systematic preoperative collateral artery embolization. METHODS: From 1999 until 2009, 124 patients (117 men; mean age 70.8 years) with abdominal aortic aneurysm (AAA) underwent embolization of patent lumbar and/or inferior mesenteric arteries prior to elective EVAR procedures. Embolization was systematically attempted and, whenever possible, performed using microcoils and a coaxial technique. Follow-up included computed tomography and/or magnetic resonance imaging and abdominal radiography. RESULTS: The technical success for EVAR was 96% (119/124), with 4 patients dying within 30 days (3.2% perioperative mortality) and 1 type III endoleak accounting for the failures. Collateral arteries were occluded spontaneously or by embolization in 60 (48%) of 124 patients. The endoleak rate was 50.9% (74 in 61 patients), most of which were type II (19%). Over a mean clinical follow-up of 60.5±34.1 months (range 1-144), aneurysm sac dimensions decreased in 66 patients, increased in 19 patients, and were stable in 35. The endoleak rate was significantly higher in the patients with increasing sac diameter (p<0.001). Among the patients with patent collateral arteries, 38/64 (59.3%) developed 46 leaks, while 28 leaks appeared in 23 (41%) of 56 patients with collateral artery occlusion (p=0.069). The type II endoleak rate significantly differed between these two groups (47.8% vs. 3.6%, p<0.001). CONCLUSION: Preoperative collateral embolization seems to be a valid method of reducing the incidence of type II endoleak, improving the long-term outcome.