Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1)

We extend a reduced form model for pricing pass-through mortgage backed securities (MBS) and provide a novel hedging tool for investors in this market. To calculate the price of an MBS, traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS). The latter allows investors in the mortgage market to account for both prepayment risk and changes of the yield curve.

Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 2)

We extend a reduced form model for pricing pass-through mortgage backed securities (MBS) and provide a novel hedging tool for investors in this market. To calculate the price of an MBS, traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS), which allows investors in the mortgage market to account for both prepayment risk and changes of the yield curve.

Regional productivity variation and the impact of public capital stock: an analysis with spatial interaction, with reference to Spain

In this paper we examine whether variations in the level of public capital across Spain‟s Provinces affected productivity levels over the period 1996-2005. The analysis is motivated by contemporary urban economics theory, involving a production function for the competitive sector of the economy („industry‟) which includes the level of composite services derived from „service‟ firms under monopolistic competition. The outcome is potentially increasing returns to scale resulting from pecuniary externalities deriving from internal increasing returns in the monopolistic competition sector. We extend the production function by also making (log) labour efficiency a function of (log) total public capital stock and (log) human capital stock, leading to a simple and empirically tractable reduced form linking productivity level to density of employment, human capital and public capital stock. The model is further extended to include technological externalities or spillovers across provinces. Using panel data methodology, we find significant elasticities for total capital stock and for human capital stock, and a significant impact for employment density. The finding that the effect of public capital is significantly different from zero, indicating that it has a direct effect even after controlling for employment density, is contrary to some of the earlier research findings which leave the question of the impact of public capital unresolved.

Reference distorted prices

I show that when consumers (mis)perceive prices relative to reference prices, budgets turn out to be soft, prices tend to be lower and the average quality of goods sold decreases. These observations provide explanations for decentralized purchase decisions, for people being happy with a purchase even when they have paid their evaluation, and for why trade might affect high quality local firms 'unfairly'.

Observations on the distribution of anophelines in Suriname with particular reference to the malaria vector Anopheles darlingi

A study was made on the distribution of anophelines in Suriname with special emphasis on the principal malaria vector Anopheles darlingi and on the occurrence of other possible vector species. Peridomestic human bait collections of adult mosquitoes and collections of larvae were made in many localities with a recent history of malaria transmission. Stable population of An. darlingi were only found in the interior, south of the limit of tidal influence, due to year-round availability of breeding habitats in quietly sunlit places in flooded forest areas and along river banks. In the area with tidal movement of the rivers, breeding is limited to flooded areas in the west season. Anopheles darlingi was only incidentally collected in low densities. In the interior, malaria transmission occurred in all places where An. darlingi was found. The absence of malaria transmission along the Upper Suriname River could be explained by the absence of An. darlingi. In the malaria endemic areas, An darlingi was the most numerous mosquito biting on man. In the tidal region, malaria outbreak are infrequent and might be explained by the temporary availability of favourable beeding habitats for An. darlingi. However, evidence is insufficient to incriminate an. darlingi as the vector of malaria in this region and the possible vectorial role of other anophelines is discussed.

Faire la ville juste : une analyse "in itinere" de la maîtrise publique d'ouvrage du projet urbain Carré de Soie (métropole lyonnaise)

Dans certaines portions des agglomérations (poches de pauvreté de centre-ville, couronnes suburbaines dégradées, espaces périurbains sans aménité), un cumul entre des inégalités sociales (pauvreté, chômage, etc.) et environnementales (exposition au bruit, aux risques industriels, etc.) peut être observé. La persistance de ces inégalités croisées dans le temps indique une tendance de fond : la capacité d'accéder à un cadre de vie de qualité n'est pas équitablement partagée parmi les individus. Ce constat interroge : comment se créent ces inégalités ? Comment infléchir cette tendance et faire la ville plus juste ?¦Apporter des réponses à cette problématique nécessite d'identifier les facteurs de causalités qui entrent en jeu dans le système de (re)production des inégalités urbaines. Le fonctionnement des marchés foncier et immobilier, la « tyrannie des petites décisions » et les politiques publiques à incidence spatiale sont principalement impliqués. Ces dernières, agissant sur tous les éléments du système, sont placées au coeur de ce travail. On va ainsi s'intéresser précisément à la manière dont les collectivités publiques pilotent la production de la ville contemporaine, en portant l'attention sur la maîtrise publique d'ouvrage (MPO) des grands projets urbains.¦Poser la question de la justice dans la fabrique de la ville implique également de questionner les référentiels normatifs de l'action publique : à quelle conception de la justice celle-ci doit- elle obéir? Quatre perspectives (radicale, substantialiste, procédurale et intégrative) sont caractérisées, chacune se traduisant par des principes d'action différenciés. Une méthodologie hybride - empruntant à la sociologie des organisations et à l'analyse des politiques publiques - vient clore le volet théorique, proposant par un détour métaphorique d'appréhender le projet urbain comme une pièce de théâtre dont le déroulement dépend du jeu d'acteurs.¦Cette méthodologie est utilisée dans le volet empirique de la recherche, qui consiste en une analyse de la MPO d'un projet urbain en cours dans la première couronne de l'agglomération lyonnaise : le Carré de Soie. Trois grands objectifs sont poursuivis : descriptif (reconstruire le scénario), analytique (évaluer la nature de la pièce : conte de fée, tragédie ou match d'improvisation ?) et prescriptif (tirer la morale de l'histoire). La description de la MPO montre le déploiement successif de quatre stratégies de pilotage, dont les implications sur les temporalités, le contenu du projet (programmes, morphologies) et les financements publics vont être déterminantes. Sur la base de l'analyse, plusieurs recommandations peuvent être formulées - importance de l'anticipation et de l'articulation entre planification et stratégie foncière notamment - pour permettre à la sphère publique de dominer le jeu et d'assurer la production de justice par le projet urbain (réalisation puis entretien des équipements et espaces publics, financement de logements de qualité à destination d'un large éventail de populations, etc.). Plus généralement, un décalage problématique peut être souligné entre les territoires stratégiques pour le développement de l'agglomération et les capacités de portage limitées des communes concernées. Ce déficit plaide pour le renforcement des capacités d'investissement de la structure intercommunale.¦La seule logique du marché (foncier, immobilier) mène à la polarisation sociale et à la production d'inégalités urbaines. Faire la ville juste nécessite une forte volonté des collectivités publiques, laquelle doit se traduire aussi bien dans l'ambition affichée - une juste hiérarchisation des priorités dans le développement urbain - que dans son opérationnalisation - une juste maîtrise publique d'ouvrage des projets urbains.¦Inner-city neighborhoods, poor outskirts, and peri-urban spaces with no amenities usually suffer from social and environmental inequalities, such as poverty, unemployment, and exposure to noise and industrial hazards. The observed persistence of these inequalities over time points to an underlying trend - namely, that access to proper living conditions is fundamentally unequal, thus eliciting the question of how such inequalities are effected and how this trend can be reversed so as to build a more equitable city.¦Providing answers to such questions requires that the causal factors at play within the system of (re)production of urban inequalities be identified. Real estate markets, "micromotives and macrobehavior", and public policies that bear on space are mostly involved. The latter are central in that they act on all the elements of the system. This thesis therefore focuses on the way public authorities shape the production of contemporary cities, by studying the public project ownership of major urban projects.¦The study of justice within the urban fabric also implies that the normative frames of reference of public action be questioned: what conception of justice should public action refer to? This thesis examines four perspectives (radical, substantialist, procedural, and integrative) each of which results in different principles of action. This theoretical part is concluded by a hybrid methodology that draws from sociology of organizations and public policy analysis and that suggests that the urban project may be understood as a play, whose outcome hinges on the actors' acting.¦This methodology is applied to the empirical analysis of the public project ownership of an ongoing urban project in the Lyon first-ring suburbs: the Carré de Soie. Three main objectives are pursued: descriptive (reconstructing the scenario), analytical (assessing the nature of the play - fairy tale, tragedy or improvisation match), and prescriptive (drawing the moral of the story). The description of the public project ownership shows the successive deployment of four control strategies, whose implications on deadlines, project content (programs, morphologies), and public funding are significant. Building on the analysis, several recommendations can be made to allow the public sphere to control the process and ensure the urban project produces equity (most notably, anticipation and articulation of planning and real- estate strategy, as well as provision and maintenance of equipment and public spaces, funding of quality housing for a wide range of populations, etc.). More generally, a gap can be highlighted between those territories that are strategic to the development of the agglomeration and the limited resources of the municipalities involved. This deficit calls for strengthening the investment abilities of the intermunicipal structure.¦By itself, the real-estate market logic brings about social polarization and urban inequalities. Building an equitable city requires a strong will on the part of public authorities, a will that must be reflected both in the stated ambition - setting priorities of urban development equitably - and in its implementation managing urban public projects fairly.

How to set up and apply reference levels in fluoroscopy at a national level.

A nationwide survey was launched to investigate the use of fluoroscopy and establish national reference levels (RL) for dose-intensive procedures. The 2-year investigation covered five radiology and nine cardiology departments in public hospitals and private clinics, and focused on 12 examination types: 6 diagnostic and 6 interventional. A total of 1,000 examinations was registered. Information including the fluoroscopy time (T), the number of frames (N) and the dose-area product (DAP) was provided. The data set was used to establish the distributions of T, N and the DAP and the associated RL values. The examinations were pooled to improve the statistics. A wide variation in dose and image quality in fixed geometry was observed. As an example, the skin dose rate for abdominal examinations varied in the range of 10 to 45 mGy/min for comparable image quality. A wide variability was found for several types of examinations, mainly complex ones. DAP RLs of 210, 125, 80, 240, 440 and 110 Gy cm2 were established for lower limb and iliac angiography, cerebral angiography, coronary angiography, biliary drainage and stenting, cerebral embolization and PTCA, respectively. The RL values established are compared to the data published in the literature.

Fast screening and confirmation of doping agents by UHPLC-QTOF-MS/MS

Introduction: The general strategy to perform anti-doping analysis starts with a screening followed by a confirmatory step when a sample is suspected to be positive. The screening step should be fast, generic and able to highlight any sample that may contain a prohibited substance by avoiding false negative and reducing false positive results. The confirmatory step is a dedicated procedure comprising a selective sample preparation and detection mode. Aim: The purpose of the study is to develop rapid screening and selective confirmatory strategies to detect and identify 103 doping agents in urine. Methods: For the screening, urine samples were simply diluted by a factor 2 with ultra-pure water and directly injected ("dilute and shoot") in the ultrahigh- pressure liquid chromatography (UHPLC). The UHPLC separation was performed in two gradients (ESI positive and negative) from 5/95 to 95/5% of MeCN/Water containing 0.1% formic acid. The gradient analysis time is 9 min including 3 min reequilibration. Analytes detection was performed in full scan mode on a quadrupole time-of-flight (QTOF) mass spectrometer by acquiring the exact mass of the protonated (ESI positive) or deprotonated (ESI negative) molecular ion. For the confirmatory analysis, urine samples were extracted on SPE 96-well plate with mixed-mode cation (MCX) for basic and neutral compounds or anion exchange (MAX) sorbents for acidic molecules. The analytes were eluted in 3 min (including 1.5 min reequilibration) with a S1-25 Ann Toxicol Anal. 2009; 21(S1) Abstracts gradient from 5/95 to 95/5% of MeCN/Water containing 0.1% formic acid. Analytes confirmation was performed in MS and MS/MS mode on a QTOF mass spectrometer. Results: In the screening and confirmatory analysis, basic and neutral analytes were analysed in the positive ESI mode, whereas acidic compounds were analysed in the negative mode. The analyte identification was based on retention time (tR) and exact mass measurement. "Dilute and shoot" was used as a generic sample treatment in the screening procedure, but matrix effect (e.g., ion suppression) cannot be avoided. However, the sensitivity was sufficient for all analytes to reach the minimal required performance limit (MRPL) required by the World Anti Doping Agency (WADA). To avoid time-consuming confirmatory analysis of false positive samples, a pre-confirmatory step was added. It consists of the sample re-injection, the acquisition of MS/MS spectra and the comparison to reference material. For the confirmatory analysis, urine samples were extracted by SPE allowing a pre-concentration of the analyte. A fast chromatographic separation was developed as a single analyte has to be confirmed. A dedicated QTOF-MS and MS/MS acquisition was performed to acquire within the same run a parallel scanning of two functions. Low collision energy was applied in the first channel to obtain the protonated molecular ion (QTOF-MS), while dedicated collision energy was set in the second channel to obtain fragmented ions (QTOF-MS/MS). Enough identification points were obtained to compare the spectra with reference material and negative urine sample. Finally, the entire process was validated and matrix effects quantified. Conclusion: Thanks to the coupling of UHPLC with the QTOF mass spectrometer, high tR repeatability, sensitivity, mass accuracy and mass resolution over a broad mass range were obtained. The method was sensitive, robust and reliable enough to detect and identify doping agents in urine. Keywords: screening, confirmatory analysis, UHPLC, QTOF, doping agents

Evaluating the influence of spatial uncertainty in locality points for species distributional modeling

1. Species distribution modelling is used increasingly in both applied and theoretical research to predict how species are distributed and to understand attributes of species' environmental requirements. In species distribution modelling, various statistical methods are used that combine species occurrence data with environmental spatial data layers to predict the suitability of any site for that species. While the number of data sharing initiatives involving species' occurrences in the scientific community has increased dramatically over the past few years, various data quality and methodological concerns related to using these data for species distribution modelling have not been addressed adequately. 2. We evaluated how uncertainty in georeferences and associated locational error in occurrences influence species distribution modelling using two treatments: (1) a control treatment where models were calibrated with original, accurate data and (2) an error treatment where data were first degraded spatially to simulate locational error. To incorporate error into the coordinates, we moved each coordinate with a random number drawn from the normal distribution with a mean of zero and a standard deviation of 5 km. We evaluated the influence of error on the performance of 10 commonly used distributional modelling techniques applied to 40 species in four distinct geographical regions. 3. Locational error in occurrences reduced model performance in three of these regions; relatively accurate predictions of species distributions were possible for most species, even with degraded occurrences. Two species distribution modelling techniques, boosted regression trees and maximum entropy, were the best performing models in the face of locational errors. The results obtained with boosted regression trees were only slightly degraded by errors in location, and the results obtained with the maximum entropy approach were not affected by such errors. 4. Synthesis and applications. To use the vast array of occurrence data that exists currently for research and management relating to the geographical ranges of species, modellers need to know the influence of locational error on model quality and whether some modelling techniques are particularly robust to error. We show that certain modelling techniques are particularly robust to a moderate level of locational error and that useful predictions of species distributions can be made even when occurrence data include some error.

Ribet bimodules and the specialization of Heegner points

"Vegeu el resum a l'inici del document del fitxer adjunt."

A preliminary checklist and key to the genera and subgenera of Tabanidae (Diptera) of Bolivia with particular reference to Santa Cruz Department

This paper documents 32 genera and 167 species of Tabanidae reported from Bolivia. All available data are cited for each species. A key to genera and subgenera is presented and includes illustrations. This preliminary checklist and key is intended as a baseline for further study, the aim of which is to establish which species are of greatest economic importance.

The dermal leishmaniases of Brazil, with special reference to the eco-epidemiology of the disease in Amazonia

Six species of Leishmania are at present known to cause cutaneous and/or mucocutaneous leishamniasis in Brazil, and they are all to be found in the Amazon region of this country. The eco-epidemiology of each is discussed, with the observation that the Amazonian leishmaniases are all zoonoses, with their source in silvatic mammals and phlebotomine sandfly vectors. With man's destruction of the natural forest in southern Brazil, some sandfly species have survived by adapting to a peridomestic or domiciliary habitat in rural areas. Some domestic animals, such as dogs and equines are seemingly now involved in the epidemiology of the disease. No such process has yet been reported in the Amazon region, but may well take place with the continuing devastation of its forest.

Present development concerning antimalarial activity of phospholipid metabolism inhibitors with special reference to in vivo activity

The systematic screening of more than 250 molecules against Plasmodium falciparum in vitro has previously shown that interfering with phospholipid metabolism is lethal to the malaria parasite. These compounds act by impairing choline transport in infected erythrocytes, resulting in phosphatidylcholine de novo biosynthesis inhibition. A thorough study was carried out with the leader compound G25, whose in vitro IC50 is 0.6 nM. It was very specific to mature parasites (trophozoïtes) as determined in vitro with P. falciparum and in vivo with P. chabaudi -infected mice. This specificity corresponds to the most intense phase of phospholipid biosynthesis activity during the parasite cycle, thus corroborating the mechanism of action. The in vivo antimalarial activity (ED50) against P. chabaudi was 0.03 mg/kg, and a similar sensitivity was obtained with P. vinckei petteri, when the drug was intraperitoneally administered in a 4 day suppressive test. In contrast, P. berghei was revealed as less sensitive (3- to 20-fold, depending on the P. berghei-strain). This difference in activity could result either from the degree of synchronism of every strain, their invasion preference for mature or immature red blood cells or from an intrinsically lower sensitivity of the P. berghei strain to G25. Irrespective of the mode of administration, G25 had the same therapeutic index (lethal dose 50 (LD50)/ED50) but the dose to obtain antimalarial activity after oral treatment was 100-fold higher than after intraperitoneal (or subcutaneous) administration. This must be related to the low intestinal absorption of these kind of compounds. G25 succeeded to completely inhibiting parasitemia as high as 11.2% without any decrease in its therapeutic index when administered subcutaneously twice a day for at least 8 consecutive days to P. chabaudi -infected-rodent model. Transition to human preclinical investigations now requires a synthesis of molecules which would permit oral absorption.