Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

Historical trends in the epidemiology of candidaemia: analysis of an 11-year period in a tertiary care hospital in Brazil

Candida species are an important cause of bloodstream infections (BSI). To evaluate the epidemiological, clinical and microbiological aspects of two cohorts {1994-1999 [period 1 (P1) ]; 2000-2004 [period 2 (P2) ]} of candidaemic patients, we performed a retrospective analysis from a laboratory-based survey. A total of 388 candidaemias were identified, with an incidence of 0.20/1,000 patient-days and a significant increase in P2 vs. P1 (0.25 vs. 0.15, p = 0.04). Cancer and prior antibiotic use were frequent and Candida albicans was the most prevalent species found (42.4%). Resistance to fluconazole was found in 2.47% of the strains. No differences were observed in the species distribution of Candida during the study periods. In the P2 cohort, there were higher prevalence of elderly individuals, cardiac, pulmonary and liver diseases, renal failure, central venous catheters and antibiotic therapy. In P1, there were higher prevalence of neurological diseases and chemotherapy. The crude mortality was 55.4%. In conclusion, our incidence rates remained high. Furthermore, the distribution pattern of Candida species and the fluconazole resistance profile remained unchanged. Moreover, we found a clear trend of higher prevalence of candidaemia among the elderly and among patients with comorbidities. Finally, it is necessary to discuss strategies for the prevention and control of Candida BSI in Brazil.

Excuse me, but your accent is very unusual. The complexity of establishing third languages in Inglourious Basterds. Applying a model of translation analysis to dubbing

The growing multilingual trend in movie production comes with a challenge for dubbing translators since they are increasingly confronted with more than one source language. The main purpose of this master’s thesis is to provide a case study on how these third languages (see CORRIUS and ZABALBEASCOA 2011) are rendered. Another aim is to put a particular focus on their textual and narrative functions and detect possible shifts that might occur in translations. By applying a theoretical model for translation analysis (CORRIUS and ZABALBEASCOA 2011), this study describes how third languages are rendered in the German, Spanish, and Italian dubbed versions of the 2009 Tarantino movie Inglourious Basterds. A broad range of solution-types are thereby revealed and prevalent restrictions of the translation process identified. The target texts are brought in context with some sociohistorical aspects of dubbing in order to detect prevalent norms of the respective cultures andto discuss the acceptability of translations (TOURY 1995). The translatability potential of even highly complex multilingual audiovisual texts is demonstrated in this study. Moreover, proposals for further studies in multilingual audiovisual translation are outlined and the potential for future investigations in this field thereby emphasised.

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.

An adaptation of correspondence analysis for square tables

The application of correspondence analysis to square asymmetrictables is often unsuccessful because of the strong role played by thediagonal entries of the matrix, obscuring the data off the diagonal. A simplemodification of the centering of the matrix, coupled with the correspondingchange in row and column masses and row and column metrics, allows the tableto be decomposed into symmetric and skew--symmetric components, which canthen be analyzed separately. The symmetric and skew--symmetric analyses canbe performed using a simple correspondence analysis program if the data areset up in a special block format.

Total Cost of Transportation Analysis of Road and Highway Issues, HR-388, 2002

In the administration, planning, design, and maintenance of road systems, transportation professionals often need to choose between alternatives, justify decisions, evaluate tradeoffs, determine how much to spend, set priorities, assess how well the network meets traveler needs, and communicate the basis for their actions to others. A variety of technical guidelines, tools, and methods have been developed to help with these activities. Such work aids include design criteria guidelines, design exception analysis methods, needs studies, revenue allocation schemes, regional planning guides, designation of minimum standards, sufficiency ratings, management systems, point based systems to determine eligibility for paving, functional classification, and bridge ratings. While such tools play valuable roles, they also manifest a number of deficiencies and are poorly integrated. Design guides tell what solutions MAY be used, they aren't oriented towards helping find which one SHOULD be used. Design exception methods help justify deviation from design guide requirements but omit consideration of important factors. Resource distribution is too often based on dividing up what's available rather than helping determine how much should be spent. Point systems serve well as procedural tools but are employed primarily to justify decisions that have already been made. In addition, the tools aren't very scalable: a system level method of analysis seldom works at the project level and vice versa. In conjunction with the issues cited above, the operation and financing of the road and highway system is often the subject of criticisms that raise fundamental questions: What is the best way to determine how much money should be spent on a city or a county's road network? Is the size and quality of the rural road system appropriate? Is too much or too little money spent on road work? What parts of the system should be upgraded and in what sequence? Do truckers receive a hidden subsidy from other motorists? Do transportation professions evaluate road situations from too narrow of a perspective? In considering the issues and questions the author concluded that it would be of value if one could identify and develop a new method that would overcome the shortcomings of existing methods, be scalable, be capable of being understood by the general public, and utilize a broad viewpoint. After trying out a number of concepts, it appeared that a good approach would be to view the road network as a sub-component of a much larger system that also includes vehicles, people, goods-in-transit, and all the ancillary items needed to make the system function. Highway investment decisions could then be made on the basis of how they affect the total cost of operating the total system. A concept, named the "Total Cost of Transportation" method, was then developed and tested. The concept rests on four key principles: 1) that roads are but one sub-system of a much larger 'Road Based Transportation System', 2) that the size and activity level of the overall system are determined by market forces, 3) that the sum of everything expended, consumed, given up, or permanently reserved in building the system and generating the activity that results from the market forces represents the total cost of transportation, and 4) that the economic purpose of making road improvements is to minimize that total cost. To test the practical value of the theory, a special database and spreadsheet model of Iowa's county road network was developed. This involved creating a physical model to represent the size, characteristics, activity levels, and the rates at which the activities take place, developing a companion economic cost model, then using the two in tandem to explore a variety of issues. Ultimately, the theory and model proved capable of being used in full system, partial system, single segment, project, and general design guide levels of analysis. The method appeared to be capable of remedying many of the existing work method defects and to answer society's transportation questions from a new perspective.

Total Cost of Transportation Analysis of Road and Highway Issues, HR-388, Supplement, 2002

Supplement to HR-388 - "Total Cost of Transportation Analysis of Road and Highway Issues"

Network characteristics of film tourism websites in Catalonia: an application of network analysis in tourism

This master thesis presents a research on the analysis of film tourism stakeholders in Catalonia applying the network analysis approach. The research aims to provide an analysis of the relations between local tourism stakeholders with local film offices through their websites. Therefore, the development of the present work involved the review of literature on the themes of film tourism and network analysis. Then the main stakeholders of film and tourism of Catalonia were identified and their websites analyzed. The measures indicators for network analysis such as centrality, closeness and betweenness degree have been applied on the analysis of the websites to determine the extent of the relations of film and tourism stakeholders in Catalonia. Results and conclusions are presented on the referred sections

Total Cost of Transportation Analysis of Road and Highway Issues, TR-477, Phase 2, 2003

A prior project, HR-388, (which was entitled "Total Cost of Transportation analysis of road and highway issues"), explored the use of a total economic cost basis for evaluation of road based transportation issues. It was conducted as a proof-of-concept effort between 1996 and 2002, with the final report presented in May 2002. TR-477 rebuilt the analytical model using current data, then performed general, system level, county level, and road segment level analyses. The results are presented herein and will be distributed to all county engineers for information and local use.

Total Cost of Transportation Analysis of Road and Highway Issues, TR-477, Phase 2 Supplement, 2003

Please see TR-477 Phase 2 Final Report -- http://publications.iowa.gov/id/eprint/20041

Evaluation of performance analysis software for Linux computing cluster

Tietokonejärjestelmän osien ja ohjelmistojen suorituskykymittauksista saadaan tietoa,jota voidaan käyttää suorituskyvyn parantamiseen ja laitteistohankintojen päätöksen tukena. Tässä työssä tutustutaan suorituskyvyn mittaamiseen ja mittausohjelmiin eli ns. benchmark-ohjelmistoihin. Työssä etsittiin ja arvioitiin eri tyyppisiä vapaasti saatavilla olevia benchmark-ohjelmia, jotka soveltuvat Linux-laskentaklusterin suorituskyvynanalysointiin. Benchmarkit ryhmiteltiin ja arvioitiin testaamalla niiden ominaisuuksia Linux-klusterissa. Työssä käsitellään myös mittausten tekemisen ja rinnakkaislaskennan haasteita. Benchmarkkeja löytyi moneen tarkoitukseen ja ne osoittautuivat laadultaan ja laajuudeltaan vaihteleviksi. Niitä on myös koottu ohjelmistopaketeiksi, jotta laitteiston suorituskyvystä saisi laajemman kuvan kuin mitä yhdellä ohjelmalla on mahdollista saada. Olennaista on ymmärtää nopeus, jolla dataa saadaan siirretyä prosessorille keskusmuistista, levyjärjestelmistä ja toisista laskentasolmuista. Tyypillinen benchmark-ohjelma sisältää paljon laskentaa tarvitsevan matemaattisen algoritmin, jota käytetään tieteellisissä ohjelmistoissa. Benchmarkista riippuen tulosten ymmärtäminen ja hyödyntäminen voi olla haasteellista.

Phylogenetic position of Fit insect toxin producing pseudomonads

Fit produced by Pseudomonas fluorescens CHA0 is a novel insect toxin in root colonizing pseudomonads, of which a homologue is described in Photorhabdus species.However, occurrence and abundance of insect pathogenicity in plant-associated pseudomonads is still unclear. An extensive screening outside the P. fluorescens complex identified strains of Pseudomonas chlororaphis as further Fit toxin producing candidates. Sequences of five different P. chlororaphis strains generated in this study were used to reconstruct the evolutionary history of the Fit toxin gene and to analyse its mode of evolution. We found that P. chlororaphis is closely associated with a small subgroup of 2,4-diacetylphloroglucinol and pyoluteorin- producing pseudomonads, both when analyzing four housekeeping genes and the nucleotide sequences for the Fit toxin gene. Additionally, we identified purifying selection to be the predominant mode of Fit toxin evolution.