On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

A note on the Malliavin differentiability of the Heston volatility

We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process is Malliavin differentiable and give an explicit expression for the derivative. This result assures the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model and the Cox-Ingersoll-Ross model for interest rates.

A flood geodatabase and its climatological applications: the case of Catalonia for the last century

Floods are the natural hazards that produce the highest number of casualties and material damage in the Western Mediterranean. An improvement in flood risk assessment and study of a possible increase in flooding occurrence are therefore needed. To carry out these tasks it is important to have at our disposal extensive knowledge on historical floods and to find an efficient way to manage this geographical data. In this paper we present a complete flood database spanning the 20th century for the whole of Catalonia (NE Spain), which includes documentary information (affected areas and damage) and instrumental information (meteorological and hydrological records). This geodatabase, named Inungama, has been implemented on a GIS (Geographical Information System) in order to display all the information within a given geographical scenario, as well as to carry out an analysis thereof using queries, overlays and calculus. Following a description of the type and amount of information stored in the database and the structure of the information system, the first applications of Inungama are presented. The geographical distribution of floods shows the localities which are more likely to be flooded, confirming that the most affected municipalities are the most densely populated ones in coastal areas. Regarding the existence of an increase in flooding occurrence, a temporal analysis has been carried out, showing a steady increase over the last 30 years.

Gauge transformations in the Lagrangian and Hamilton formalisms of generally covariant theories

We study spacetime diffeomorphisms in the Hamiltonian and Lagrangian formalisms of generally covariant systems. We show that the gauge group for such a system is characterized by having generators which are projectable under the Legendre map. The gauge group is found to be much larger than the original group of spacetime diffeomorphisms, since its generators must depend on the lapse function and shift vector of the spacetime metric in a given coordinate patch. Our results are generalizations of earlier results by Salisbury and Sundermeyer. They arise in a natural way from using the requirement of equivalence between Lagrangian and Hamiltonian formulations of the system, and they are new in that the symmetries are realized on the full set of phase space variables. The generators are displayed explicitly and are applied to the relativistic string and to general relativity.

Two Cultures of Arts Education, Finland and Canada? An integrated View

Taidekasvatuksen kaksi kulttuuria, Suomi ja Kanada? Integroitu näkemys Tutkimuksessa kuvataan kanadalaisen Learning Through The Arts –pedagogiikan mukainen suomalainen kokeiluhanke, jonka aikana taiteilija–opettaja-parit opettivat yhdessä eri oppiaineita koululuokille: esim. matematiikkaa tanssien, biologiaa maalaten tai yhdistäen eri taiteenlajeja projektimuotoiseen oppimiseen. Hanketta arvioitaessa nousee esille, ei niinkään yksittäisten taiteilijoiden ja opettajien toiminta, vaan pikemminkin Kanadan ja Suomen rakenteelliset sekä kulttuuriset eroavuudet. Tutkimus sivuaa myös Suomessa käytävää keskustelua taiteen hyödyllisyydestä ja pohtii samalla taito- ja taideaineiden asemaa koulussa. Työn teoreettisessa osassa integroidaan opetussuunnitelmateoriaa, kasvatuksen historiaa ja filosofiaa, tähdentäen taidekasvatuksen merkitystä osana koko ihmisen kasvatusta. Opetussuunnitelmateorian osalta tarkastellaan romanttista ja klassista opetussuunnitelmaa, jotka eroavat toisistaan menetelmiensä, sisältöjensä, tavoitteidensa sekä arvioinnin osalta. Ns. kovat ja pehmeät aineet tai matemaattis-luonnontieteelliset aineet vastakohtanaan humanismi, voidaan ymmärtää sekä historiallisia että epistemologisia taustojaan vasten. Pepperin maailmanhypoteesien mukaisesti on kasvatuksen ongelmien ratkaisemiseksi hahmotettavissa neljä selvästi toisistaan eroavaa lähestymistapaa: formismi; organisismi; mekanisismi; sekä kontekstualismi. Kantin filosofiaan viitaten tutkimus puolustaa käsitystä taiteesta rationaalisena ja propositionaalisena kokonaisuutena, joka ei ole vain kommunikaation väline, vaan yksi todellisuuden kohtaamisen lajeista, tiedon ja etiikan rinnalla. Näin ajateltuna taito- ja taidekasvatuksen tulisi olla luonteeltaan aina myös kulttuurikasvatusta. Tutkimuksen tulosten perusteella voidaan väittää, että moniammatillinen yhteistyö monipuolistaa koulun opetusta. Mikäli huolehditaan siitä, että taiteilijat saavat riittävästi koulutusta opettamiseen liittyvissä asioissa, on mahdollista käyttää taiteilijoita opettajien rinnalla koulutyössä.

Recent misconceptions about the "database search problem": a probabilistic analysis using Bayesian networks

This paper analyses and discusses arguments that emerge from a recent discussion about the proper assessment of the evidential value of correspondences observed between the characteristics of a crime stain and those of a sample from a suspect when (i) this latter individual is found as a result of a database search and (ii) remaining database members are excluded as potential sources (because of different analytical characteristics). Using a graphical probability approach (i.e., Bayesian networks), the paper here intends to clarify that there is no need to (i) introduce a correction factor equal to the size of the searched database (i.e., to reduce a likelihood ratio), nor to (ii) adopt a propositional level not directly related to the suspect matching the crime stain (i.e., a proposition of the kind 'some person in (outside) the database is the source of the crime stain' rather than 'the suspect (some other person) is the source of the crime stain'). The present research thus confirms existing literature on the topic that has repeatedly demonstrated that the latter two requirements (i) and (ii) should not be a cause of concern.

Chaotic Kabanov formula for the Azéma martingales

We derive the chaotic expansion of the product of nth- and first-order multiple stochastic integrals with respect to certain normal martingales. This is done by application of the classical and quantum product formulae for multiple stochastic integrals. Our approach extends existing results on chaotic calculus for normal martingales and exhibits properties, relative to multiple stochastic integrals, polynomials and Wick products, that characterize the Wiener and Poisson processes.

Comparing 'visual' effect size indices for single-case designs

Effect size indices are indispensable for carrying out meta-analyses and can also be seen as an alternative for making decisions about the effectiveness of a treatment in an individual applied study. The desirable features of the procedures for quantifying the magnitude of intervention effect include educational/clinical meaningfulness, calculus easiness, insensitivity to autocorrelation, low false alarm and low miss rates. Three effect size indices related to visual analysis are compared according to the aforementioned criteria. The comparison is made by means of data sets with known parameters: degree of serial dependence, presence or absence of general trend, changes in level and/or in slope. The percent of nonoverlapping data showed the highest discrimination between data sets with and without intervention effect. In cases when autocorrelation or trend is present, the percentage of data points exceeding the median may be a better option to quantify the effectiveness of a psychological treatment.

Percentage of nonoverlapping corrected data

The present study proposes a modification in one of the most frequently applied effect size procedures in single-case data analysis the percent of nonoverlapping data. In contrast to other techniques, the calculus and interpretation of this procedure is straightforward and it can be easily complemented by visual inspection of the graphed data. Although the percent of nonoverlapping data has been found to perform reasonably well in N = 1 data, the magnitude of effect estimates it yields can be distorted by trend and autocorrelation. Therefore, the data correction procedure focuses on removing the baseline trend from data prior to estimating the change produced in the behavior due to intervention. A simulation study is carried out in order to compare the original and the modified procedures in several experimental conditions. The results suggest that the new proposal is unaffected by trend and autocorrelation and can be used in case of unstable baselines and sequentially related measurements.

Paraphrase concept and typology. A linguistically based and computationally oriented approach

In this paper, we present a critical analysis of the state of the art in the definition and typologies of paraphrasing. This analysis shows that there exists no characterization of paraphrasing that is comprehensive, linguistically based and computationally tractable at the same time. The following sets out to define and delimit the concept on the basis of the propositional content. We present a general, inclusive and computationally oriented typology of the linguistic mechanisms that give rise to form variations between paraphrase pairs.

Line search multilevel optimization as computational methods for dense optical flow

We evaluate the performance of different optimization techniques developed in the context of optical flow computation with different variational models. In particular, based on truncated Newton methods (TN) that have been an effective approach for large-scale unconstrained optimization, we de- velop the use of efficient multilevel schemes for computing the optical flow. More precisely, we evaluate the performance of a standard unidirectional mul- tilevel algorithm - called multiresolution optimization (MR/OPT), to a bidrec- tional multilevel algorithm - called full multigrid optimization (FMG/OPT). The FMG/OPT algorithm treats the coarse grid correction as an optimiza- tion search direction and eventually scales it using a line search. Experimental results on different image sequences using four models of optical flow com- putation show that the FMG/OPT algorithm outperforms both the TN and MR/OPT algorithms in terms of the computational work and the quality of the optical flow estimation.

Cooperative games with size-truncated information

[Eng] We study the marginal worth vectors and their convex hull, the socalled Weber set, from the original coalitional game and the transformed one, which is called the Weber set of level k. We prove that the core of the original game is included in each of the Weber set of level k, for any k, and that the Weber sets of consecutive levels form a chain if and only if the original game is 0-monotone. Even if the game is not 0-monotone, the intersection of the Weber sets for consecutive levels is always not empty, what is not the case for non-consecutive ones. Spanish education system.