Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

A two-mean reverting-factor model of the term structure of interest rates

This paper presents a two--factor model of the term structure ofinterest rates. We assume that default free discount bond prices aredetermined by the time to maturity and two factors, the long--term interestrate and the spread (difference between the long--term rate and theshort--term (instantaneous) riskless rate). Assuming that both factorsfollow a joint Ornstein--Uhlenbeck process, a general bond pricing equationis derived. We obtain a closed--form expression for bond prices andexamine its implications for the term structure of interest rates. We alsoderive a closed--form solution for interest rate derivatives prices. Thisexpression is applied to price European options on discount bonds andmore complex types of options. Finally, empirical evidence of the model'sperformance is presented.

Momentous

Hannes Schmid, photography, installation / new média, interactivity, cultural exchange, art in a global context, Momentous.

Variable phenotypic expressivity in a Swiss family with autosomal dominant retinitis pigmentosa due to a T494M mutation in the PRPF3 gene.

PURPOSE: To characterize the clinical, psychophysical, and electrophysiological phenotypes in a five-generation Swiss family with dominantly inherited retinitis pigmentosa caused by a T494M mutation in the Precursor mRNA-Processing factor 3 (PRPF3) gene, and to relate the phenotype to the underlying genetic mutation. METHODS: Eleven affected patients were ascertained for phenotypic and genotypic characterization. Ophthalmologic evaluations included color vision testing, Goldmann perimetry, and digital fundus photography. Some patients had autofluorescence imaging, Optical Coherence Tomography, and ISCEV-standard full-field electroretinography. All affected patients had genetic testing. RESULTS: The age of onset of night blindness and the severity of the progression of the disease varied between members of the family. Some patients reported early onset of night blindness at age three, with subsequent severe deterioration of visual acuity, which was 0.4 in the best eye after their fifties. The second group of patients had a later onset of night blindness, in the mid-twenties, with a milder disease progression and a visual acuity of 0.8 at age 70. Fundus autofluorescence imaging and electrophysiological and visual field abnormalities also showed some degree of varying phenotypes. The autofluorescence imaging showed a large high-density ring bilaterally. Myopia (range: -0.75 to -8) was found in 10/11 affected subjects. Fundus findings showed areas of atrophy along the arcades. A T494M change was found in exon 11 of the PRPF3 gene. The change segregates with the disease in the family. CONCLUSIONS: A mutation in the PRPF3 gene is rare compared to other genes causing autosomal dominant retinitis pigmentosa (ADRP). Although a T494M change has been reported, the family in our study is the first with variable expressivity. Mutations in the PRPF3 gene can cause a variable ADRP phenotype, unlike in the previously described Danish, English, and Japanese families. Our report, based on one of the largest affected pedigree, provides a better understanding as to the phenotype/genotype description of ADRP caused by a PRPF3 mutation.

Miten lähestyä valokuvaa? : kolme teoreettista mallia valokuvan tutkimiseksi

Summary: How to approach the photograph? : three theoretical models

Comparison of the interobserver variability of 2 different methods of dietary assessment in a geriatric ward: a pilot study.

BACKGROUND: Protein-energy malnutrition is highly prevalent in aged populations. Associated clinical, economic, and social burden is important. A valid screening method that would be robust and precise, but also easy, simple, and rapid to apply, is essential for adequate therapeutic management. OBJECTIVES: To compare the interobserver variability of 2 methods measuring food intake: semiquantitative visual estimations made by nurses versus calorie measurements performed by dieticians on the basis of standardized color digital photographs of servings before and after consumption. DESIGN: Observational monocentric pilot study. SETTING/PARTICIPANTS: A geriatric ward. The meals were randomly chosen from the meal tray. The choice was anonymous with respect to the patients who consumed them. MEASUREMENTS: The test method consisted of the estimation of calorie consumption by dieticians on the basis of standardized color digital photographs of servings before and after consumption. The reference method was based on direct visual estimations of the meals by nurses. Food intake was expressed in the form of a percentage of the serving consumed and calorie intake was then calculated by a dietician based on these percentages. The methods were applied with no previous training of the observers. Analysis of variance was performed to compare their interobserver variability. RESULTS: Of 15 meals consumed and initially examined, 6 were assessed with each method. Servings not consumed at all (0% consumption) or entirely consumed by the patient (100% consumption) were not included in the analysis so as to avoid systematic error. The digital photography method showed higher interobserver variability in calorie intake estimations. The difference between the compared methods was statistically significant (P < .03). CONCLUSIONS: Calorie intake measures for geriatric patients are more concordant when estimated in a semiquantitative way. Digital photography for food intake estimation without previous specific training of dieticians should not be considered as a reference method in geriatric settings, as it shows no advantages in terms of interobserver variability.

Construcció d'un refugi situat al terme municipal de Vallfogona de Ripollès, pensat com a final d'etapa per a rutes a cavall

Els negocis relacionats amb les activitats de lleure i els esports d’aventura actualment es troben en expansió, buscant majoritàriament el contacte amb la natura. Les rutes a cavall formen part del gran ventall d’opcions, per aquesta qüestió s’ha pensat en construir un refugi utilitzat com a final d’etapa per a rutes a cavall. En la major part del territori, la presència de població humana es manifesta en pobles, viles i ciutats, les quals disposes d’aigua sanitària, corrent elèctric i sistema de clavegueram. Per altra banda en les urbanitzacions o cases aïllades poder gaudir d’aquests serveis suposa una inversió econòmica elevada, que implica la utilització de sistemes alternatius. En el present projecte s’ha triat un emplaçament on portar a terme el final d’etapa amb una sèrie de requisits a complir : bosc a les proximitats, disposar d’un o varis accessos per a vehicles (transport del material d’intendència), tranquil•litat, bones vistes, i cobertura de telèfon mòbil. S’han acceptat les següents limitacions : no disposar de xarxa pública d’electricitat ni d’aigua. I s’han dimensionat les instal•lacions per a un màxim de dotze persones i els seus respectius cavalls. El principal objectiu del projecte és el dimensionament de les necessitats elèctriques, d’aigua i d’aiguacalenta sanitària en condicions autònomes, i utilitzant energies renovables. La valoració de les possibles solucions per condicionar les instal•lacions, i oferir una resposta eficient per la demanda. No és un objectiu específic del treball la potabilització de l’aigua ni el tractament dels residus produïts. S’han aprofitat els diferents desnivells que presenta l’emplaçament triat a l’hora de distribuir les instal•lacions, i s’ha utilitzat un antic cobert de dos pisos ja existent. Com a residència s’ha triat un model de casa prefabricada de muntanya. Com a sistema de subministrament elèctric, s’instal•laran plaques solars fotovoltaiques i un generador de corrent com a sistema auxiliar. La captació d’aigua s’efectuarà a partir d’un pou que es troba en el terreny i de la recollida d el’aigua pluvial, instal•lant dipòsits d’emmagatzemament d’aigua segons les necessitats. S’utilitzarà un equip de cloració per potabilitzar l’aigua de consum utilitzada a la residència. En la producció d’aigua calenta sanitària s’utilitzaran plaques solars tèrmiques i una caldera instantània de gas propà com a suport. Per cuinar s’ha triat una cuina de gas propà i una barbacoa que s’instal•larà a l’exterior. S’instal•larà una llar de foc amb recuperador d’aire a la residència i una fosa sèptica amb un sistema d’infiltració per poder abocar les aigües provinents de la residència. Els fems dels cavalls podran ser utilitzats com adob pel terreny.

Three-dimensional magnetic resonance myocardial motion tracking from a single image plane.

Three-dimensional imaging for the quantification of myocardial motion is a key step in the evaluation of cardiac disease. A tagged magnetic resonance imaging method that automatically tracks myocardial displacement in three dimensions is presented. Unlike other techniques, this method tracks both in-plane and through-plane motion from a single image plane without affecting the duration of image acquisition. A small z-encoding gradient is subsequently added to the refocusing lobe of the slice-selection gradient pulse in a slice following CSPAMM acquisition. An opposite polarity z-encoding gradient is added to the orthogonal tag direction. The additional z-gradients encode the instantaneous through plane position of the slice. The vertical and horizontal tags are used to resolve in-plane motion, while the added z-gradients is used to resolve through-plane motion. Postprocessing automatically decodes the acquired data and tracks the three-dimensional displacement of every material point within the image plane for each cine frame. Experiments include both a phantom and in vivo human validation. These studies demonstrate that the simultaneous extraction of both in-plane and through-plane displacements and pathlines from tagged images is achievable. This capability should open up new avenues for the automatic quantification of cardiac motion and strain for scientific and clinical purposes.

Occurrence of sectoral choroidal occlusive vasculopathy and retinal arteriolar embolization after superselective ophthalmic artery chemotherapy for advanced intraocular retinoblastoma.

BACKGROUND: : Superselective ophthalmic artery chemotherapy (SOAC) has recently been proposed as an alternative to intravenous chemoreduction for advanced intraocular retinoblastoma. Preliminary results appear promising in terms of tumor control and eye conservation, but little is known regarding ocular toxicity and visual prognosis. In this study, we report on the vascular adverse effects observed in our initial cohort of 13 patients. METHODS: : The charts of 13 consecutive patients with retinoblastoma who received a total of 30 injections (up to 3 injections of a single agent per patient at 3-week interval) of melphalan (0.35 mg/kg) in the ophthalmic artery between November 2008 and June 2010 were retrospectively reviewed. RetCam fundus photography and fluorescein angiography were performed at presentation and before each injection. Vision was assessed at the latest visit. RESULTS: : Enucleation and external beam radiotherapy could be avoided in all cases but one, with a mean follow-up of 7 months. Sectoral choroidal occlusive vasculopathy leading to chorioretinal atrophy was observed temporally in 2 eyes (15%) 3 weeks to 6 weeks after the beginning of SOAC and retinal arteriolar emboli in 1 eye 2 weeks after injection. There was no stroke or other clinically significant systemic side effects except a perioperative transient spasm of the internal carotid artery in one patient. Vision ranged between 20/1600 and 20/32 depending on the status of the macula. CONCLUSION: : Superselective ophthalmic artery chemotherapy was effective in all patients with no stroke or other systemic vascular complications. Unlike intravenous chemoreduction, SOAC is associated with potentially sight-threatening adverse effects, such as severe chorioretinal atrophy secondary to subacute choroidal occlusive vasculopathy or central retinal artery embolism, not to mention the risk of ophthalmic artery obstruction, which was not observed in this series. Further analysis of the risks and benefits of SOAC will define its role within the therapeutic arsenal. Meanwhile, we suggest that SOAC should be given in one eye only and restricted to advanced cases of retinoblastoma, as an alternative to enucleation and/or external beam radiotherapy.

Cataractogenesis after total body irradiation.

PURPOSE: To evaluate the prognostic factors and the ophthalmologic follow-up on cataract formation following total body irradiation (TBI) prior to bone marrow transplantation (BMT). METHODS AND MATERIALS: Between 1980 and 1992, 494 patients were referred to our department for TBI prior to BMT. The mean age was 32 +/- 11 (median: 32, range: 2-63) years and the male to female ratio was 1.6 (304:190). The majority of patients were treated for acute leukemia (lymphoblastic, n = 177, 36%; or nonlymphoblastic , n = 139, 28%); 80 (16%) for chronic myeloid leukemia, 60 (12%) for non-Hodgkin's lymphoma, 23 (5%) for multiple myeloma, and 15 (3%) for other malignancies. Two hundred and fifty-four (51%) patients were grafted in the first complete remission (CR), 118 (24%) in second CR. Allogenic BMT was performed in 210 (43%) patients, and autologous BMT in 284 (57%). Methotrexate combined to steroids (n = 47, 22%) or to cyclosporine (n = 163, 78%) was administered for graft-versus-host disease (GvHD) prophylaxis. In 188 patients (38%), heparin was used in the prevention of veno-occlusive disease (VOD) of the liver. Furthermore, steroid administration was registered in 223 (45%). The conditioning chemotherapy consisted of cyclophosphamide (Cy) alone in 332 (67%) patients. Total-body irradiation was administered either in single dose (STBI; 10 Gy in 1 day, n = 291) or in six fractions (FTBI; 12 Gy over 3 consecutive days, n = 203) before BMT. The mean instantaneous dose rate was 0.0574 +/- 0.0289 Gy/min (0.024-0.1783). It was < 0.048 Gy/min in 157 patients (LOW group), > or = 0.048 Gy/min and <0.09 Gy/min in 301 patients (MEDIUM group), and > or = 0.09 Gy/min in 36 patients (HIGH group). RESULTS: When considering all patients, 42 (8.5%) patients developed cataracts after 13 to 72 months (median: 42 months) with a 5-year estimated cataract incidence (ECI) of 23%. Thirty-three (11.3%) out of 291 patients in the STBI group, and 9 (4.4%) out of 203 patients in the FTBI group developed cataracts with 5-year estimated incidences of 34 and 11%, respectively (p = 0.0004). Seven (19.4%) out of 36 patients in the HIGH group, 33 (10.9%) out of 301 in the MEDIUM group, and 2 (1.2%) out of 157 in the LOW group developed cataracts with respective 5-year cataract incidences of 54%, 30%, and 3.5% (HIGH vs. MEDIUM, p = 0.07; MEDIUM vs. LOW, p = 0.0001; HIGH vs. LOW, p < 0.0001). On the other hand, patients who received heparin as prophylactic treatment against VOD of the liver had less cataracts than those who did not receive (5-year ECI of 16% vs. 28%, respectively; p = 0.01). There was no statistically significant difference in terms of 5-year ECI according to age, sex, administration of steroids, GvHD prophylaxis, type of BMT, or previous cranial radiotherapy in children. Multivariate analysis revealed that the instantaneous dose rate (p = 0.001), and the administration of heparin against VOD (p = 0.05) were the two independent factors influencing the cataract incidence, while age, fractionation, and use of steroids were not. Among the 42 patients who developed cataracts, 38 had bilateral extracapsular cataract extraction and intraocular lens implantation, and only 4 (10%) developed secondary cataracts in a median follow-up period of 39 months. CONCLUSION: Among the abovementioned TBI parameters, high instantaneous dose rate seems to be the main risk factor of cataract formation, and the administration of heparin appears to have a protective role in cataractogenesis. On the other hand, ionizing radiation seems to have a protective effect on posterior capsule opacification following extracapsular cataract extraction and intraocular lens implantation.

La fotografía en la facultad de Bellas Artes de Barcelona (Universidad de Barcelona)

Presentació dels estudis de fotografia de la facultat de Belles Arts i d'una selecció de treballs de l'alumnat de Processos de la Creació Artística, en una publicació de difusió.

L'experiència pilot desenvolupada al Laboratori de Fotografia de la Facultat de Belles Arts de la Universitat de Barcelona.

Informe que resumeix i aporta dades i evidències de l'experiència pilot d'aplicació dels PNT específics elaborats, portada a terme al Laboratori de Fotografia de la Facultat de Belles Arts, UB.

Informe del desenvolupament de l'experiència pilot sobre procediments normalitzats de treball al laboratori de fotografia de la Facultat de BBAA de la UB

Informe sobre l'experiència pilot duta a terme al laboratori de Fotografia de la Facultat de Belles Arts, en el marc del projecte d'innovació docent LA GESTIÓ INTEGRADA DE LA QUALITAT, EL MEDI AMBIENT I LA SEGURETAT A LA DOCÈNCIA EXPERIMENTAL DELS ESTUDIS DE GRAU DE LES FACULTATS DE BELLES ARTS

Aprendre fotografia a la Facultat de Belles Arts per mitjà de diverses estratègies metodològiques. Realització d'una activitat de grup

En el marc del procés de desenvolupament de l'Espai Europeu d¿Educació Superior, aquest article presenta una activitat d'aprenentatge innovadora, amb la que es pretén fomentar diverses competències afins a les directrius proposades, com són l'autoaprenentatge, el treball col·laboratiu, la cerca i anàlisi de documentació, l'autoavaluació i l'avaluació entre iguals, que es duu a terme en l'assignatura teòrica i pràctica Fotografia, optativa del grau de l'ensenyament de Belles Arts....

A comparative long-memory Analysis between Spanish, Mexican and U.S. interest rates

Evidence exists that many natural facts are described better as a fractal. Although fractals are very useful for describing nature, it is also appropiate to review the concept of random fractal in finance. Due to the extraordinary importance of Brownian motion in physics, chemistry or biology, we will consider the generalization that supposes fractional Brownian motion introduced by Mandelbrot.The main goal of this work is to analyse the existence of long range dependence in instantaneous forward rates of different financial markets. Concretelly, we perform an empirical analysis on the Spanish, Mexican and U.S. interbanking interest rate. We work with three time series of daily data corresponding to 1 day operations from 28th March 1996 to 21st May 2002. From among all the existing tests on this matter we apply the methodology proposed in Taqqu, Teverovsky and Willinger (1995).