A metafrontier production function for estimation of technical efficiencies and technology gaps for firms operating under different technologies

This paper presents a metafrontier production function model for firms in different groups having different technologies. The metafrontier model enables the calculation of comparable technical efficiencies for firms operating under different technologies. The model also enables the technology gaps to be estimated for firms under different technologies relative to the potential technology available to the industry as a whole. The metafrontier model is applied in the analysis of panel data on garment firms in five different regions of Indonesia, assuming that the regional stochastic frontier production function models have technical inefficiency effects with the time-varying structure proposed by Battese and Coelli ( 1992).

Vertical fluxes of sediment in oscillatory sheet flow

Time series of vertical sediment fluxes are derived from concentration time series in sheet flow under waves. While the concentrations C(z,t) vary very little with time for \z\ < 10d(50), the measured vertical sediment fluxes Q(zs)(z,t) vary strongly with time in this vertical band and their time variation follows, to some extent, the variation of the grain roughness Shields parameter 02,5(t). Thus, sediment distribution models based on the pickup function boundary condition are in some qualitative agreement with the measurements. However, the pickup function models are only able to model the upward bursts of sediment during the accelerating phases of the flow. They are, so far, unable to model the following strong downward sediment fluxes, which are observed during the periods of flow deceleration. Classical pickup functions, which essentially depend on the Shields parameter, are also incapable of modelling the secondary entrainment fluxes, which sometimes occur at free stream velocity reversal. The measured vertical fluxes indicate that the effective sediment settling velocity in the high [(0.3 < C(z,t) < 0.4] concentration area is typically only a few percent of the clear water settling velocity, while the measurements of Richardson and Jeronimo [Chem. Eng. Sci. 34 (1979) 1419], from a different physical setting, lead to estimates of the order 20%. The data does not support gradient diffusion as a model for sediment entrainment from the bed. That is, detailed modelling of the observed near-bed fluxes would require diffusivities that go negative during periods of flow deceleration. An observed general trend for concentration variability to increase with elevation close to the bed is also irreconcilable with diffusion models driven by a bottom boundary condition. (C) 2002 Published by Elsevier Science B.V.

Volatilidade implícita: Importância na valorização das opções financeiras e significado dos índices de volatilidade implícita

Mestrado em Contabilidade Internacional

Volatilidade implícita: estudo de caso

Mestrado em Controlo de Gestão dos Negócios

On the goodness of fit of Kirk's formula for spread option prices

In this paper we investigate the goodness of fit of the Kirk's approximation formula for spread option prices in the correlated lognormal framework. Towards this end, we use the Malliavin calculus techniques to find an expression for the short-time implied volatility skew of options with random strikes. In particular, we obtain that this skew is very pronounced in the case of spread options with extremely high correlations, which cannot be reproduced by a constant volatility approximation as in the Kirk's formula. This fact agrees with the empirical evidence. Numerical examples are given.

The role of Notch receptors in T helper differentiation

After encountering antigens, naïve CD4+ Τ cells can differentiate into various effector Τ helper (Th) cell subsets, including CD4+ Thi, Th2, Thi7, regulatory Τ cells and the recently described follicular Τ helper cells (TFH cells). To date, most of the studies used either gain-of-function approaches that do not reflect the physiological Notch signaling intensity or loss-of-function models that block the entire Notch pathway. The contribution of single Notch receptors during Th differentiation occurring upon infection has not been investigated yet. In the present thesis, we wanted to assess the individual role of Notchi and Notch2 in Th differentiation, by using mice with Τ cell-specific deletion of Notchi, Notch2 or both (NiN2/iCD4Cre) in different models of infection/immunization.¦In the first part, we characterized the role of Notchi and Notch2 in Thi differentiation. We used experimental infection with the protozoan parasite Leishmania major, known to induce a protective Thi immune response in mice on the C57BL/6 background. Mice deficient for both Notchi and Notch2 developed unhealing lesions and were unable to control the parasite burden in their footpad. A profound defect in IFNy secretion by CD4+ Τ cells was shown to be responsible for the susceptibility of these mice. Although CD4+ Τ cells did not secrete IFNy following L. major infection, they exhibited higher IFNymRNA expression as well as higher frequency of CD4+IFNy+Τ cells in dLN. Altogether, these data indicate that Notch is dispensable for the differentiation of Thi cells expressing IFNy but controls, directly or not, the secretion of IFNy, allowing the development of a fully functional Thi immune response.¦In the second part of this thesis, we determined whether Notch is involved in differentiation of follicular Τ helper (TFH) cells. Using different models of immunization (NP-CGG, Schistosoma mansoni eggs) or infection (Leishmania mexicana), we showed that NiN2ACD4Cre mice were unable to generate TFH cells, displayed impaired germinal center (GC) formation as well as a profound defect in high affinity specific-antibodies secretion. We demonstrated an essential and previously unknown role of Notch in TFH cell development, the consequent GC formation and high affinity antibodies secretion, although the mechanisms by which Notch affects TFH development remain to be clearly demonstrated.¦-¦Lors d'une réponse immune, les lymphocytes Τ CD4+ se différencient en différentes sous- populations de lymphocytes Τ auxiliaires (T helper ou Th en anglais) incluant les populations de cellules Thi, Th2, Thn.7, Τ régulatrices ou Τ folliculaires. De nombreuses études ont montré un rôle de la voie de signalisation Notch dans la différentiation des lymphocytes Τ auxiliaires, bien que les résultats soient controversés. A ce jour, la majorité de ces études sont basées sur des modèles de gain de fonction qui ne reflètent pas le niveau physiologique du signal ou des modèles de perte de fonction pour lesquels toute la voie de signalisation est bloquée. De ce fait, nous avons voulu établir le rôle individuel de Notchi et Notch2 dans la réponse immune de type Thi et dans la différentiation des lymphocytes Τ auxiliaires folliculaires avec l'aide de souris déficientes pour Notchi, Notch2 ou les 2 (NiN2ACD4Cre) à la surface de leurs cellules T.¦Dans la première partie de cette thèse, nous avons analysé le rôle de Notch dans la différentiation de type Thi suite à infection avec le parasite Leishmania major, connu pour induire une forte réponse Thi dans des souris de souche C57BL/6. Les souris déficientes pour Notchi et Notch2 développent une importante lésion et sont incapables de contrôler la prolifération du parasite au site d'infection. Le profond défaut de la sécrétion d'IFNy par les cellules Τ des ganglions drainants est probablement responsable de la susceptibilité de ces souris à L. major. Bien que les cellules Τ ne sécrètent pas d'IFNy, nous avons observé des niveaux plus importants d'expression au niveau de l'ARN messager, et une proportion plus élevée de cellules positives pour CD4 et IFNy. Ces résultats indiquent que Notch est nécessaire pour la sécrétion d'IFNy mais pas pour la différentiation de cellules compétentes pour l'IFNy.¦Dans un second temps, nous avons voulu déterminer si Notch est impliqué dans la différentiation des cellules Τ folliculaires. En utilisant divers modèles d'immunisation (avec NP-CGG ou des oeufs de Schistosoma mansoni) ou d'infection (avec L. mexicana), nous avons montré que les souris NlN2ACD4Cre sont incapables de générer des cellules Τ folliculaires. En conséquence, la formation des centres germinatifs et la sécrétion d'anticorps de haute affinité sont profondément affectés. Nous avons démontré dans cette seconde partie un rôle crucial et inconnu à ce jour de Notch dans la différentiation des cellules Τ et en conséquence dans la formation des centres germinatifs et la sécrétion des anticorps de haute affinité, bien que les mécanismes par lesquels Notch contrôle cette différentiation restent à identifier.¦-¦Lors d'une réponse immune, les lymphocytes Τ CD// se différencient en différentes sous- populations de lymphocytes Τ auxiliaires de types Thi, Th2, Thi7, régulatrices ou folliculaires, définies selon la sécrétion de cytokines spécifiques. Le rôle de ces sous-populations dans le contrôle de diverses infections ou leur association avec de nombreuses maladies rend la compréhension des mécanismes de différentiation de ces cellules particulièrement importante. De nombreux facteurs sont impliqués dans ce processus, tels que la présence de diverses cytokines dans l'environnement, la nature de l'antigène ou encore la force de la stimulation. Par ailleurs, de nombreuses études ont montré un rôle de la voie de signalisation Notch dans la différentiation des lymphocytes T, bien que les résultats soient controversés. Dans cette thèse, nous avons voulu évaluer le rôle individuel des récepteurs Notch dans la différentiation des cellules Τ auxiliaires de type Thi et folliculaires à l'aide de souris dont les récepteurs Notch sont spécifiquement absents à la surface des lymphocytes T.¦Dans la première partie, nous avons utilisé le modèle d'infection au parasite Leishmania major, connu pour induire une forte réponse protectrice de type Thi dans la majorité des souches de souris. Suite à l'infection, les souris déficientes pour les récepteurs Notch sont incapables de contrôler la prolifération du parasite et développent une importante lésion au site d'infection. Cette susceptibilité est due à l'incapacité des cellules Τ auxiliaires à sécréter une cytokine spécifique des cellules de type Thi et nécessaire à l'éradication du parasite, l'IFNy. Ces résultats indiquent que les récepteurs Notch sont indispensables au développement d'une réponse Thi fonctionnelle, permettant la guérison suite à l'infection avec L. major.¦Dans la deuxième partie de cette thèse, nous avons voulu déterminer si Notch est impliqué dans la différentiation des lymphocytes Τ folliculaires. Ces cellules ont la particularité d'aider les lymphocytes Β à former des centres germinatifs au sein desquels les lymphocytes Β prolifèrent et sécrètent des anticorps, un processus nécessaire à la protection contre les pathogènes. Actuellement, l'efficacité de la majorité des vaccins repose sur la sécrétion d'anticorps par les lymphocytes B, aidés par les cellules Τ folliculaires. En raison du rôle important de ces cellules dans l'éradication des pathogènes et lors d'un processus de vaccination, il est important de connaître les facteurs et les mécanismes permettant la différentiation de ces cellules. Dans cette étude, nous montrons que la formation des cellules Τ folliculaires dépend de la voie de signalisation Notch, impliquant un rôle essentiel de cette molécule dans l'induction de la sécrétion d'anticorps par les lymphocytes B.

A signaling mechanism coupling netrin-1/deleted in colorectal cancer chemoattraction to SNARE-mediated exocytosis in axonal growth cones

Directed cell migration and axonal guidance are essential steps in neural development. Both processes are controlled by specific guidance cues that activate the signaling cascades that ultimately control cytoskeletal dynamics. Another essential step in migration and axonal guidance is the regulation of plasmalemma turnover and exocytosis in leading edges and growth cones. However, the cross talk mechanisms linking guidance receptors and membrane exocytosis are not understood. Netrin-1 is a chemoattractive cue required for the formation of commissural pathways. Here, we show that the Netrin-1 receptor deleted in colorectal cancer (DCC) forms a protein complex with the t-SNARE (target SNARE) protein Syntaxin-1 (Sytx1). This interaction is Netrin-1 dependent both in vitro and in vivo, and requires specific Sytx1 and DCC domains. Blockade of Sytx1 function by using botulinum toxins abolished Netrin-1-dependent chemoattraction of axons in mouse neuronal cultures. Similar loss-of-function experiments in the chicken spinal cord in vivo using dominant-negative Sytx1 constructs or RNAi led to defects in commissural axon pathfinding reminiscent to those described in Netrin-1 and DCC loss-of-function models. We also show that Netrin-1 elicits exocytosis at growth cones in a Sytx1-dependent manner. Moreover, we demonstrate that the Sytx1/DCC complex associates with the v-SNARE (vesicle SNARE) tetanus neurotoxin-insensitive vesicle-associated membrane protein (TI-VAMP) and that knockdown of TI-VAMP in the commissural pathway in the spinal cord results in aberrant axonal guidance phenotypes. Our data provide evidence of a new signaling mechanism that couples chemotropic Netrin-1/DCC axonal guidance and Sytx1/TI-VAMP SNARE proteins regulating membrane turnover and exocytosis.

A signaling mechanism coupling netrin-1/deleted in colorectal cancer chemoattraction to SNARE-mediated exocytosis in axonal growth cones

Directed cell migration and axonal guidance are essential steps in neural development. Both processes are controlled by specific guidance cues that activate the signaling cascades that ultimately control cytoskeletal dynamics. Another essential step in migration and axonal guidance is the regulation of plasmalemma turnover and exocytosis in leading edges and growth cones. However, the cross talk mechanisms linking guidance receptors and membrane exocytosis are not understood. Netrin-1 is a chemoattractive cue required for the formation of commissural pathways. Here, we show that the Netrin-1 receptor deleted in colorectal cancer (DCC) forms a protein complex with the t-SNARE (target SNARE) protein Syntaxin-1 (Sytx1). This interaction is Netrin-1 dependent both in vitro and in vivo, and requires specific Sytx1 and DCC domains. Blockade of Sytx1 function by using botulinum toxins abolished Netrin-1-dependent chemoattraction of axons in mouse neuronal cultures. Similar loss-of-function experiments in the chicken spinal cord in vivo using dominant-negative Sytx1 constructs or RNAi led to defects in commissural axon pathfinding reminiscent to those described in Netrin-1 and DCC loss-of-function models. We also show that Netrin-1 elicits exocytosis at growth cones in a Sytx1-dependent manner. Moreover, we demonstrate that the Sytx1/DCC complex associates with the v-SNARE (vesicle SNARE) tetanus neurotoxin-insensitive vesicle-associated membrane protein (TI-VAMP) and that knockdown of TI-VAMP in the commissural pathway in the spinal cord results in aberrant axonal guidance phenotypes. Our data provide evidence of a new signaling mechanism that couples chemotropic Netrin-1/DCC axonal guidance and Sytx1/TI-VAMP SNARE proteins regulating membrane turnover and exocytosis.

A signaling mechanism coupling netrin-1/deleted in colorectal cancer chemoattraction to SNARE-mediated exocytosis in axonal growth cones

Directed cell migration and axonal guidance are essential steps in neural development. Both processes are controlled by specific guidance cues that activate the signaling cascades that ultimately control cytoskeletal dynamics. Another essential step in migration and axonal guidance is the regulation of plasmalemma turnover and exocytosis in leading edges and growth cones. However, the cross talk mechanisms linking guidance receptors and membrane exocytosis are not understood. Netrin-1 is a chemoattractive cue required for the formation of commissural pathways. Here, we show that the Netrin-1 receptor deleted in colorectal cancer (DCC) forms a protein complex with the t-SNARE (target SNARE) protein Syntaxin-1 (Sytx1). This interaction is Netrin-1 dependent both in vitro and in vivo, and requires specific Sytx1 and DCC domains. Blockade of Sytx1 function by using botulinum toxins abolished Netrin-1-dependent chemoattraction of axons in mouse neuronal cultures. Similar loss-of-function experiments in the chicken spinal cord in vivo using dominant-negative Sytx1 constructs or RNAi led to defects in commissural axon pathfinding reminiscent to those described in Netrin-1 and DCC loss-of-function models. We also show that Netrin-1 elicits exocytosis at growth cones in a Sytx1-dependent manner. Moreover, we demonstrate that the Sytx1/DCC complex associates with the v-SNARE (vesicle SNARE) tetanus neurotoxin-insensitive vesicle-associated membrane protein (TI-VAMP) and that knockdown of TI-VAMP in the commissural pathway in the spinal cord results in aberrant axonal guidance phenotypes. Our data provide evidence of a new signaling mechanism that couples chemotropic Netrin-1/DCC axonal guidance and Sytx1/TI-VAMP SNARE proteins regulating membrane turnover and exocytosis.

VIX as a stock market indicator

The goal of this research was to make an overall sight to VIX and how it can be used as a stock market indicator. Volatility index, often referred as the fear index, measures how much does it cost for investor to protect his/hers S&P 500 position from fluctuations with options. Over the relatively short history of VIX it has succesfull timing coordinator and it has told about the market state adding its own psychological view of the amount of fear and greed.

Is it possible to utilize VIX for a profitable trading strategy of S&P 500 Index?

The goal of this research was to make an overall sight to VIX® and how it can be used as a stock market indicator. Volatility index often referred as the fear index, measures how much it costs for investor to protect his/her S&P 500 position from fluctuations with options. Over the relatively short history of VIX it has been a successful timing coordinator and it has given incremental information about the market state adding its own psychological view of the amount of fear and greed. Correctly utilized VIX information gives a considerable advantage in timing market actions. In this paper we test how VIX works as a leading indicator of broad stock market index such as S&P 500 (SPX). The purpose of this paper is to find a working way to interpret VIX. The various tests are made on time series data ranging from the year 1990 to the year 2010. The 10-day simple moving average strategy gave significant profits from the whole time when VIX data is available. Strategy was able to utilize the increases of SPX in example portfolio value and was able to step aside when SPX was declining. At the times when portfolio was aside of S it was on safety fund like on treasury bills getting an annual yield of 3 percent. On the other side just a static number’s of VIX did not work as indicators in a profit making way.

Derivative hedging strategies for bitumen price risk

The objective of the study is to extend the existing hedging literature of the commodity price risks by investigating what kind of hedging strategies can be used in companies using bitumen as raw material in their production. Five different alternative swap hedging strategies in bitumen markets are empirically tested. Strategies tested are full hedge strategy, simple, conservative, and aggressive term structure strategies, and implied volatility strategy. The effectiveness of the alternative strategies is measured by excess returns compared to no hedge strategy. In addition, the downside risk of each strategy is measured with target absolute semi-deviation. Results indicate that any of the tested strategies does not outperform the no hedge strategy in terms of excess returns in all maturities. The best-performing aggressive term structure strategy succeeds to create positive excess returns only in short maturities. However, risk seems to increase hand-in-hand with the excess returns so that the best-performing strategies get the highest risk metrics as well. This implicates that the company willing to gain from favorable price movements must be ready to bear a greater risk. Thus, no superior hedging strategy over the others is found.

Diatoms as indicators of lake trophic status

Relationships between surface sediment diatom assemblages and lake trophic status were studied in 50 Canadian Precambrian Shield lakes in the Muskoka-Haliburton and southern Ontario regions. The purpose of this study was to develop mathematical regression models to infer lake trophic status from diatom assemblage data. To achieve this goal, however, additional investigations dealing with the evaluation of lake trophic status and the autecological features of key diatom species were carried out. Because a unifying index and classification for lake trophic status was not available, a new multiple index was developed in this study, by the computation of the physical, chemical and biological data from 85 south Ontario lakes. By using the new trophic parameter, the lake trophic level (TL) was determined: TL = 1.37 In[1 +(TP x Chl-a / SD)], where, TP=total phosphorus, Chl-a=chlorophyll-a and SD=Secchi depth. The boundaries between 7 lake trophic categories (Ultra-oligotrophic lakes: 0-0.24; Oligotrophic lakes: 0.241-1.8; Oligomesotrophic lakes: 1.813.0; Mesotrophic lakes: 3.01-4.20; Mesoeutrophic lakes: 4.21-5.4; Eutrophic lakes: 5.41-10 and Hyper-eutrophic lakes: above 10) were established. The new trophic parameter was more convenient for management of water quality, communication to the public and comparison with other lake trophic status indices than many of the previously published indices because the TL index attempts to Increase understanding of the characteristics of lakes and their comprehensive trophic states. It is more reasonable and clear for a unifying determination of true trophic states of lakes. Diatom specIes autecology analysis was central to this thesis. However, the autecological relationship of diatom species and lake trophic status had not previously been well documented. Based on the investigation of the diatom composition and variety of species abundance in 30 study lakes, the distribution optima of diatom species were determined. These determinations were based on a quantitative method called "weighted average" (Charles 1985). On this basis, the diatom species were classified into five trophic categories (oligotrophic, oligomesotrophic, mesotrophic, mesoeutrophic and eutrophic species groups). The resulting diatom trophic status autecological features were used in the regressIon analysis between diatom assemblages and lake trophic status. When the TL trophic level values of the 30 lakes were regressed against their fi ve corresponding diatom trophic groups, the two mathematical equations for expressing the assumed linear relationship between the diatom assemblages composition were determined by (1) uSIng a single regression technique: Trophic level of lake (TL) = 2.643 - 7.575 log (Index D) (r = 0.88 r2 = 0.77 P = 0.0001; n = 30) Where, Index D = (0% + OM% + M%)/(E% + ME% + M%); 4 (2) uSIng a' multiple regressIon technique: TL=4.285-0.076 0%- 0.055 OM% - 0.026 M% + 0.033 ME% + 0.065 E% (r=0.89, r2=0.792, P=O.OOOl, n=30) There was a significant correlation between measured and diatom inferred trophic levels both by single and multiple regressIon methods (P < 0.0001, n=20), when both models were applied to another 20 test lakes. Their correlation coefficients (r2 ) were also statistically significant (r2 >0.68, n=20). As such, the two transfer function models between diatoms and lake trophic status were validated. The two models obtained as noted above were developed using one group of lakes and then tested using an entirely different group of lakes. This study indicated that diatom assemblages are sensitive to lake trophic status. As indicators of lake trophic status, diatoms are especially useful in situations where no local trophic information is available and in studies of the paleotrophic history of lakes. Diatom autecological information was used to develop a theory assessing water quality and lake trophic status.

Asymmetric Smiles, Leverage Effects and Structural Parameters.

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture not only the volatility risk and the interest rate risk which potentially affect option prices, but also any kind of correlation risk and jump risk. The standard financial leverage effect is produced by a cross-correlation effect between the state variables which enter into the stochastic volatility process of the stock price and the stock price process itself. However, we provide a more general framework where asymmetric implied volatility curves result from any source of instantaneous correlation between the state variables and either the return on the stock or the stochastic discount factor. In order to draw the shapes of the implied volatility curves generated by a model with latent variables, we specify an equilibrium-based stochastic discount factor with time non-separable preferences. When we calibrate this model to empirically reasonable values of the parameters, we are able to reproduce the various types of implied volatility curves inferred from option market data.