Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

Prime property institutions for a subprime era: Toward innovative models of homeownership

This Article breaks new ground toward contractual and institutional innovation in models of homeownership, equity building, and mortgage enforcement. Inspired by recent developments in the affordable housing sector and other types of public financing schemes, we suggest extending institutional and financial strategies such as time- and place-based division of property rights, conditional subsidies, and credit mediation to alleviate the systemic risks of mortgage foreclosure. Two new solutions offer a broad theoretical basis for such developments in the economic and legal institution of homeownership: a for-profit shared equity scheme led by local governments alongside a private market shared equity model, one of "bootstrapping home buying with purchase options".

A general decomposition formula for derivative prices in stochastic volatility models

We see that the price of an european call option in a stochastic volatilityframework can be decomposed in the sum of four terms, which identifythe main features of the market that affect to option prices: the expectedfuture volatility, the correlation between the volatility and the noisedriving the stock prices, the market price of volatility risk and thedifference of the expected future volatility at different times. We alsostudy some applications of this decomposition.

Estimating multi-country VAR models

This paper describes a methodology to estimate the coefficients, to test specification hypothesesand to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian: a prior flexibly reduces the dimensionality of the model and puts structure on the time variations; MCMC methods are used to obtain posterior distributions; and marginal likelihoods to check the fit of various specifications. Impulse responses and conditional forecasts are obtained with the output of MCMC routine. The transmission of certain shocks across countries is analyzed.

Structural joint inversion of time-lapse crosshole ERT and GPR traveltime data

Time-lapse geophysical monitoring and inversion are valuable tools in hydrogeology for monitoring changes in the subsurface due to natural and forced (tracer) dynamics. However, the resulting models may suffer from insufficient resolution, which leads to underestimated variability and poor mass recovery. Structural joint inversion using cross-gradient constraints can provide higher-resolution models compared with individual inversions and we present the first application to time-lapse data. The results from a synthetic and field vadose zone water tracer injection experiment show that joint 3-D time-lapse inversion of crosshole electrical resistance tomography (ERT) and ground penetrating radar (GPR) traveltime data significantly improve the imaged characteristics of the point injected plume, such as lateral spreading and center of mass, as well as the overall consistency between models. The joint inversion method appears to work well for cases when one hydrological state variable (in this case moisture content) controls the time-lapse response of both geophysical methods. Citation: Doetsch, J., N. Linde, and A. Binley (2010), Structural joint inversion of time-lapse crosshole ERT and GPR traveltime data, Geophys. Res. Lett., 37, L24404, doi: 10.1029/2010GL045482.

Multi-period vendor managed inventory systems

In this paper we develop two models for an inventory system in which the distributormanages the inventory at the retailers location. These type of systems correspondto the Vendor Managed Inventory (VMI) systems described ib the literature. Thesesystems are very common in many different types of industries, such as retailingand manufacturing, although assuming different characteristics.The objective of our model is to minimize total inventory cost for the distributorin a multi-period multi-retailer setting. The inventory system includes holdingand stock-out costs and we study the case whre an additional fixed setup cost ischarged per delivery.We construct a numerical experiment to analyze the model bahavior and observe theimpact of the characteristics of the model on the solutions.

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).

Multiple filtering devices for the estimation of cyclical DSGE models

We propose a method to estimate time invariant cyclical DSGE models using the informationprovided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural and non-structuralparameters jointly using a signal extraction approach. We employ simulated data to illustratethe properties of the procedure and compare our conclusions with those obtained when just onefilter is used. We revisit the role of money in the transmission of monetary business cycles.

Location models for airline hubs behaving as M/D/c queues

Models are presented for the optimal location of hubs in airline networks, that take into consideration the congestion effects. Hubs, which are the most congested airports, are modeled as M/D/c queuing systems, that is, Poisson arrivals, deterministic service time, and {\em c} servers. A formula is derived for the probability of a number of customers in the system, which is later used to propose a probabilistic constraint. This constraint limits the probability of {\em b} airplanes in queue, to be lesser than a value $\alpha$. Due to the computational complexity of the formulation. The model is solved using a meta-heuristic based on tabu search. Computational experience is presented.

Hierarchical location-allocation models for congested systems

In this paper we address the issue of locating hierarchical facilities in the presence of congestion. Two hierarchical models are presented, where lower level servers attend requests first, and then, some of the served customers are referred to higher level servers. In the first model, the objective is to find the minimum number of servers and theirlocations that will cover a given region with a distance or time standard. The second model is cast as a Maximal Covering Location formulation. A heuristic procedure is then presented together with computational experience. Finally, some extensions of these models that address other types of spatial configurations are offered.

Non-invasive diagnostic biomarkers for estimating the onset time of permanent cerebral ischemia.

The treatments for ischemic stroke can only be administered in a narrow time-window. However, the ischemia onset time is unknown in ~30% of stroke patients (wake-up strokes). The objective of this study was to determine whether MR spectra of ischemic brains might allow the precise estimation of cerebral ischemia onset time. We modeled ischemic stroke in male ICR-CD1 mice using a permanent middle cerebral artery filament occlusion model with laser Doppler control of the regional cerebral blood flow. Mice were then subjected to repeated MRS measurements of ipsilateral striatum at 14.1 T. A striking initial increase in γ-aminobutyric acid (GABA) and no increase in glutamine were observed. A steady decline was observed for taurine (Tau), N-acetyl-aspartate (NAA) and similarly for the sum of NAA+Tau+glutamate that mimicked an exponential function. The estimation of the time of onset of permanent ischemia within 6 hours in a blinded experiment with mice showed an accuracy of 33±10 minutes. A plot of GABA, Tau, and neuronal marker concentrations against the ratio of acetate/NAA allowed precise separation of mice whose ischemia onset lay within arbitrarily chosen time-windows. We conclude that (1)H-MRS has the potential to detect the clinically relevant time of onset of ischemic stroke.

Establishment of models to study mouse and human retinogenesis "in vitro" : isolation and characterization of retinal stem cells

SUMMARY IN FRENCH Les cellules souches sont des cellules indifférenciées capables a) de proliférer, b) de s'auto¬renouveller, c) de produire des cellules différenciées, postmitotiques et fonctionnelles (multipotencialité), et d) de régénérer le tissu après des lésions. Par exemple, les cellules de souches hematopoiétiques, situées dans la moelle osseuse, peuvent s'amplifier, se diviser et produire diverses cellules différenciées au cours de la vie, les cellules souches restant dans la moelle osseuse et consentant leur propriété. Les cellules souches intestinales, situées dans la crypte des microvillosités peuvent également régénérer tout l'intestin au cours de la vie. La rétine se compose de six classes de neurones et d'un type de cellule gliale. Tous ces types de cellules sont produits par un progéniteur rétinien. Le pic de production des photorécepteurs se situe autour des premiers jours postnatals chez la souris. A cette période la rétine contient les cellules hautement prolifératives. Dans cette étude, nous avons voulu analyser le phénotype de ces cellules et leur potentiel en tant que cellules souches ou progénitrices. Nous nous sommes également concentrés sur l'effet de certains facteurs épigéniques sur leur destin cellulaire. Nous avons observé que toutes les cellules prolifératives isolées à partir de neurorétines postnatales de souris expriment le marqueur de glie radiaire RC2, ainsi que des facteurs de transcription habituellement trouvés dans la glie radiaire (Mash1, Pax6), et répondent aux critères des cellules souches : une capacité élevée d'expansion, un état indifférencié, la multipotencialité (démontrée par analyse clonale). Nous avons étudié la différentiation des cellules dans différents milieux de culture. En l'absence de sérum, l'EGF induit l'expression de la β-tubulin-III, un marqueur neuronal, et l'acquisition d'une morphologie neuronale, ceci dans 15% des cellules présentes. Nous avons également analysé la prolifération de cellules. Seulement 20% des cellules incorporent le bromodéoxyuridine (BrdU) qui est un marqueur de division cellulaire. Ceci démontre que l'EGF induit la formation des neurones sans une progression massive du cycle cellulaire. Par ailleurs, une stimulation de 2h d'EGF est suffisante pour induire la différentiation neuronale. Certains des neurones formés sont des cellules ganglionnaires rétiniennes (GR), comme l'indique l'expression de marqueurs de cellules ganglionnaires (Ath5, Brn3b et mélanopsine), et dans de rare cas d'autres neurones rétiniens ont été observés (photorécepteurs (PR) et cellules bipolaires). Nous avons confirmé que les cellules souches rétiniennes tardives n'étaient pas restreintes au cours du temps et qu'elles conservent leur multipotencialité en étant capables de générer des neurones dits précoces (GR) ou tardifs (PR). Nos résultats prouvent que l'EGF est non seulement un facteur contrôlant le développement glial, comme précédemment démontré, mais également un facteur efficace de différentiation pour les neurones rétiniens, du moins in vitro. D'autre part, nous avons voulu établir si l'oeil adulte humain contient des cellules souches rétiniennes (CSRs). L'oeil de certains poissons ou amphibiens continue de croître pendant l'âge adulte du fait de l'activité persistante des cellules souches rétiniennes. Chez les poissons, le CSRs se situe dans la marge ciliaire (CM) à la périphérie de la rétine. Bien que l'oeil des mammifères ne se développe plus pendant la vie d'adulte, plusieurs groupes ont prouvé que l'oeil de mammifères adultes contient des cellules souches rétiniennes également dans la marge ciliaire plus précisément dans l'épithélium pigmenté et non dans la neurorétine. Ces CSRs répondent à certains critères des cellules souches. Nous avons identifié et caractérisé les cellules souches rétiniennes résidant dans l'oeil adulte humain. Nous avons prouvé qu'elles partagent les mêmes propriétés que leurs homologues chez les rongeurs c.-à-d. auto-renouvellement, amplification, et différenciation en neurones rétiniens in vitro et in vivo (démontré par immunocoloration et microarray). D'autre part, ces cellules peuvent être considérablement amplifiées, tout en conservant leur potentiel de cellules souches, comme indiqué par l'analyse de leur profil d'expression génique (microarray). Elles expriment également des gènes communs à diverses cellules souches: nucleostemin, nestin, Brni1, Notch2, ABCG2, c-kit et son ligand, aussi bien que cyclin D3 qui agit en aval de c-kit. Nous avons pu montré que Bmi1et Oct4 sont nécessaires pour la prolifération des CSRs confortant leur propriété de cellules souches. Nos données indiquent que la neurorétine postnatale chez la souris et l'épithélium pigmenté de la marge ciliaire chez l'humain adulte contiennent les cellules souches rétiniennes. En outre, nous avons développé un système qui permet d'amplifier et de cultiver facilement les CSRs. Ce modèle permet de disséquer les mécanismes impliqués lors de la retinogenèse. Par exemple, ce système peut être employé pour l'étude des substances ou des facteurs impliqués, par exemple, dans la survie ou dans la génération des cellules rétiniennes. Il peut également aider à disséquer la fonction de gènes ou les facteurs impliqués dans la restriction ou la spécification du destin cellulaire. En outre, dans les pays occidentaux, la rétinite pigmentaire (RP) touche 1 individu sur 3500 et la dégénérescence maculaire liée à l'âge (DMLA) affecte 1 % à 3% de la population âgée de plus de 60 ans. La génération in vitro de cellules rétiniennes est aussi un outil prometteur pour fournir une source illimitée de cellules pour l'étude de transplantation cellulaire pour la rétine. SUMMARY IN ENGLISH Stem cells are defined as undifferentiated cells capable of a) proliferation, b) self maintenance (self-renewability), c) production of many differentiated functional postmitotic cells (multipotency), and d) regenerating tissue after injury. For instance, hematopoietic stem cells, located in bone marrow, can expand, divide and generate differentiated cells into the diverse lineages throughout life, the stem cells conserving their status. In the villi crypt, the intestinal stem cells are also able to regenerate the intestine during their life time. The retina is composed of six classes of neurons and one glial cell. All these cell types are produced by the retinal progenitor cell. The peak of photoreceptor production is reached around the first postnatal days in rodents. Thus, at this stage the retina contains highly proliferative cells. In our research, we analyzed the phenotype of these cells and their potential as possible progenitor or stem cells. We also focused on the effect of epigenic factor(s) and cell fate determination. All the proliferating cells isolated from mice postnatal neuroretina harbored the radial glia marker RC2, expressed transcription factors usually found in radial glia (Mash 1, Pax6), and met the criteria of stem cells: high capacity of expansion, maintenance of an undifferentiated state, and multipotency demonstrated by clonal analysis. We analyzed the differentiation seven days after the transfer of the cells in different culture media. In the absence of serum, EGF led to the expression of the neuronal marker β-tubulin-III, and the acquisition of neuronal morphology in 15% of the cells. Analysis of cell proliferation by bromodeoxyuridine incorporation revealed that EGF mainly induced the formation of neurons without stimulating massively cell cycle progression. Moreover, a pulse of 2h EGF stimulation was sufficient to induce neuronal differentiation. Some neurons were committed to the retinal ganglion cell (RGC) phenotype, as revealed by the expression of retinal ganglion markers (Ath5, Brn3b and melanopsin), and in few cases to other retinal phenotypes (photoreceptors (PRs) and bipolar cells). We confirmed that the late RSCs were not restricted over-time and conserved multipotentcy characteristics by generating retinal phenotypes that usually appear at early (RGC) or late (PRs) developmental stages. Our results show that EGF is not only a factor controlling glial development, as previously shown, but also a potent differentiation factor for retinal neurons, at least in vitro. On the other hand, we wanted to find out if the adult human eye contains retina stem cells. The eye of some fishes and amphibians continues to grow during adulthood due to the persistent activity of retinal stem cells (RSCs). In fish, the RSCs are located in the ciliary margin zone (CMZ) at the periphery of the retina. Although, the adult mammalian eye does not grow during adult life, several groups have shown that the adult mouse eye contains retinal stem cells in the homologous zone (i.e. the ciliary margin), in the pigmented epithelium and not in the neuroretina. These RSCs meet some criteria of stem cells. We identified and characterized the human retinal stem cells. We showed that they posses the same features as their rodent counterpart i.e. they self-renew, expand and differentiate into retinal neurons in vitro and in vivo (indicated by immunostaining and microarray analysis). Moreover, they can be greatly expanded while conserving their sternness potential as revealed by the gene expression profile analysis (microarray approach). They also expressed genes common to various stem cells: nucleostemin, nestin, Bmil , Notch2, ABCG2, c-kit and its ligand, as well as cyclin D3 which acts downstream of c-kit. Furthermore, Bmil and Oct-4 were required for RSC proliferation reinforcing their stem cell identity. Our data indicate that the mice postnatal neuroretina and the adult pigmented epithelium of adult human ciliary margin contain retinal stem cells. We developed a system to easily expand and culture RSCs that can be used to investigate the retinogenesis. For example, it can help to screen drugs or factors involved, for instance, in the survival or generation of retinal cells. This could help to dissect genes or factors involved in the restriction or specification of retinal cell fate. In Western countries, retinitis pigmentosa (RP) affects 1 out of 3'500 individuals and age-related macula degeneration (AMD) strikes 1 % to 3% of the population over 60. In vitro generation of retinal cells is thus a promising tool to provide an unlimited cell source for cellular transplantation studies in the retina.

Periodic Solutions in Low-Dimensional Climatic Models

Classic climatic models use constitutive laws without any response time. A more realistic approach to the natural processes governing climate dynamics must introduce response time for heat and radiation fluxes. Extended irreversible thermodynamics (EIT) is a good thermodynamical framework for introducing nonclassical constitutive laws. In the present study EIT has been used to analyze a Budyko–Sellers one-dimensional energybalance model developed by G. R. North. The results present self-sustained periodic oscillations when the response time is greater than a critical value. The high-frequency (few kiloyears) damped and nondamped oscillations obtained can be related to abrupt climatic changes without any variation in the external forcing of the system

Second differential of the entropy as a criterion for the stability in low-dimensional climate models

The second differential of the entropy is used for analysing the stability of a thermodynamic climatic model. A delay time for the heat flux is introduced whereby it becomes an independent variable. Two different expressions for the second differential of the entropy are used: one follows classical irreversible thermodynamics theory; the second is related to the introduction of response time and is due to the extended irreversible thermodynamics theory. the second differential of the classical entropy leads to unstable solutions for high values of delay times. the extended expression always implies stable states for an ice-free earth. When the ice-albedo feedback is included, a discontinuous distribution of stable states is found for high response times. Following the thermodynamic analysis of the model, the maximum rates of entropy production at the steady state are obtained. A latitudinally isothermal earth produces the extremum in global entropy production. the material contribution to entropy production (by which we mean the production of entropy by material transport of heat) is a maximum when the latitudinal distribution of temperatures becomes less homogeneous than present values

Integrating detection probabilities in species distribution models of amphibians breeding in Mediterranean temporary ponds

Aim  The imperfect detection of species may lead to erroneous conclusions about species-environment relationships. Accuracy in species detection usually requires temporal replication at sampling sites, a time-consuming and costly monitoring scheme. Here, we applied a lower-cost alternative based on a double-sampling approach to incorporate the reliability of species detection into regression-based species distribution modelling.Location  Doñana National Park (south-western Spain).Methods  Using species-specific monthly detection probabilities, we estimated the detection reliability as the probability of having detected the species given the species-specific survey time. Such reliability estimates were used to account explicitly for data uncertainty by weighting each absence. We illustrated how this novel framework can be used to evaluate four competing hypotheses as to what constitutes primary environmental control of amphibian distribution: breeding habitat, aestivating habitat, spatial distribution of surrounding habitats and/or major ecosystems zonation. The study was conducted on six pond-breeding amphibian species during a 4-year period.Results  Non-detections should not be considered equivalent to real absences, as their reliability varied considerably. The occurrence of Hyla meridionalis and Triturus pygmaeus was related to a particular major ecosystem of the study area, where suitable habitat for these species seemed to be widely available. Characteristics of the breeding habitat (area and hydroperiod) were of high importance for the occurrence of Pelobates cultripes and Pleurodeles waltl. Terrestrial characteristics were the most important predictors of the occurrence of Discoglossus galganoi and Lissotriton boscai, along with spatial distribution of breeding habitats for the last species.Main conclusions  We did not find a single best supported hypothesis valid for all species, which stresses the importance of multiscale and multifactor approaches. More importantly, this study shows that estimating the reliability of non-detection records, an exercise that had been previously seen as a naïve goal in species distribution modelling, is feasible and could be promoted in future studies, at least in comparable systems.