Valuing American Derivatives by Least Squares Methods

Least Squares estimators are notoriously known to generate sub-optimal exercise decisions when determining the optimal stopping time. The consequence is that the price of the option is underestimated. We show how variance reduction methods can be implemented to obtain more accurate option prices. We also extend the Longsta¤ and Schwartz (2001) method to price American options under stochastic volatility. These are two important contributions that are particularly relevant for practitioners. Finally, we extend the Glasserman and Yu (2004b) methodology to price Asian options and basket options.

Optimal Monetary Policy in a New Keynesian Model with Habits in Consumption

While consumption habits have been utilised as a means of generating a humpshaped output response to monetary policy shocks in sticky-price New Keynesian economies, there is relatively little analysis of the impact of habits (particularly,external habits) on optimal policy. In this paper we consider the implications of external habits for optimal monetary policy, when those habits either exist at the level of the aggregate basket of consumption goods (‘superficial’ habits) or at the level of individual goods (‘deep’ habits: see Ravn, Schmitt-Grohe, and Uribe (2006)). External habits generate an additional distortion in the economy, which implies that the flex-price equilibrium will no longer be efficient and that policy faces interesting new trade-offs and potential stabilisation biases. Furthermore, the endogenous mark-up behaviour, which emerges when habits are deep, can also significantly affect the optimal policy response to shocks, as well as dramatically affecting the stabilising properties of standard simple rules.

Currency Issues and Options for an Independent Scotland

In this paper we take on the role of a ‘virtual consultant’ to a potentially independent Scotland. What should the exchange rate regime of an independent Scotland look like? We argue that the current proposal of the Scottish government to remain part of the sterling zone is doomed to failure, both because it falls short of a full political and monetary union and because it fails to recognize the reality of the Scottish economy post independence. We argue that the only tenable solution for an independent Scotland is to have a separate currency and for this currency to have some flexibility against Scotland’s main trading partners. One option offered here is managed float or crawl against a basket of currencies.

Tocant totes les tecles: Vicenç Sabater, un obrer de la música

Treball de recerca realitzat per un alumne d'ensenyament secundari i guardonat amb un Premi CIRIT per fomentar l'esperit cientí­fic del Jovent l'any 2009. El treball tracta sobre la petita memòria històrica en la faceta de l'oci de la nostra societat , el ball i la música concretament, centrat en la memòria de l'avi de l'autor, músic, arranjador i compositor. Es tracta doncs, d'una investigació sobre la música de ball a Barcelona i a Catalunya, i en general també a Europa, atès que gràcies a les vivències d'en Vicenç Sabater (l'avi), es relata com era la seva feina i el seu ofici, el de músic. La recerca està ordenada cronològicament, començant pel seu naixement (1930), la formació i les primeres actuacions, passant per tota la seva vida personal, però sobretot professional, i conclou amb un epíleg sense el qual el treball de recerca no tindria sentit, ja que aquest explica com el Vicenç no s'ha jubilat mai, perquè sempre ha estat treballant amb la música, i perquè sempre que el seu físic li permeti, ell s'hi seguirà dedicant. El treball inclou un apartat destacat de la llarga etapa (30 anys) de Sabater amb el grup musical 'Rudy Ventura y su conjunto'. Molta d'aquesta informació s'obté a través d'entrevistes a dos dels cinc integrants del grup: el mateix Jaume Ventura, i en Joan Antoni Calvet, cantant i bateria, respectivament. Apartat que, dissortadament, s'ha convertit en el meu involuntari i modest homenatge a Jaume ('Rudy') Ventura , recentment traspassat.

Quantitative comparison of reconstruction methods for intra-voxel fiber recovery from diffusion MRI.

Validation is arguably the bottleneck in the diffusion magnetic resonance imaging (MRI) community. This paper evaluates and compares 20 algorithms for recovering the local intra-voxel fiber structure from diffusion MRI data and is based on the results of the "HARDI reconstruction challenge" organized in the context of the "ISBI 2012" conference. Evaluated methods encompass a mixture of classical techniques well known in the literature such as diffusion tensor, Q-Ball and diffusion spectrum imaging, algorithms inspired by the recent theory of compressed sensing and also brand new approaches proposed for the first time at this contest. To quantitatively compare the methods under controlled conditions, two datasets with known ground-truth were synthetically generated and two main criteria were used to evaluate the quality of the reconstructions in every voxel: correct assessment of the number of fiber populations and angular accuracy in their orientation. This comparative study investigates the behavior of every algorithm with varying experimental conditions and highlights strengths and weaknesses of each approach. This information can be useful not only for enhancing current algorithms and develop the next generation of reconstruction methods, but also to assist physicians in the choice of the most adequate technique for their studies.

Capsule permeability via polymer and protein ingress/egress.

Static incubation tests, where microcapsules and beads are contacted with polymer and protein solutions, have been developed for the characterization of permselective materials applied for bioartificial organs and drug delivery. A combination of polymer ingress, detected by size-exclusion chromatography, and protein ingress/ egress, assessed by gel electrophoresis, provides information regarding the diffusion kinetics, molar mass cutoff(MMCO) and permeability. This represents an improvement over existing permeability measurements that are based on the diffusion of a single type of solute. Specifically, the permeability of capsules based on alginate, cellulose sulfate, polymethylene-co-guanidine were characterized as a function of membrane thickness. Solid alginate beads were also evaluated. The MMCO of these capsules was estimated to be between 80 and 90 kDa using polymers, and between 116-150 kDa with proteins. Apparently, the globular shape of the proteins (radius of gyration (Rg) of 4.2-4.6 nm) facilitates their passage through the membrane, comparatively to the polysaccharide coil conformation (Rg of 6.5-8.3 nm). An increase of the capsule membrane thickness reduced these values. The MMCO of the beads, which do not have a membrane limiting their permselective properties, was higher, between 110 and 200 kDa with dextrans, and between 150 and 220 kDa with proteins. Therefore, although the permeability estimated with biologically relevant molecules is generally higher due to their lower radius of gyration, both the MMCO of synthetic and natural watersoluble polymers correlate well, and can be used as in vitro metrics for the immune protection ability of microcapsules and microbeads. This article shows, to the authors' knowledge, the first reported concordance between permeability measures based on model natural and biological macromolecules.

Les "verbes savonnettes": frottements et glissements sémantiques

In the semantic analysis of tenses, the term event is frequently used. For example, following REICHENBACH (1947, 288), many studies mention three "points", within which (E) represents the "point of the event". Besides, like MARTIN (1985, 25), it is commonly considered -often implicitly- that "the duration of the utterance can [...] ideally be reduced to an instant t 0 [i.e. a point], [...] since within the utterance, truth conditions remain unaltered". However, events as well as utterances take time (cf. the use of "intervals " by GOSSELIN 1996). Here, I will analyze Present tense utterances such as "le ballon franchit la ligne" (the ball crosses/is crossing the line), for which the described event ("achievement" for VENDLER 1957; "réalisation instantanée" for VETTERS 1996) is shorter than the utterance that mentions it. I will show why the telic character (GAREY 1957) of achievements -unlike the other types of processes- makes it difficult to express an event contemporary to speech time since, against MARTIN's (1985, 25) idealization, truth conditions vary throughout the utterance. Taking encoding as the basis (somewhat following LEVELT 1989), I will argue that truth-condition variation can naturally lead to the over-represented use of past tenses (Passé composé in French) in child language for the expression of telic events during early acquisition (cf. e.g. WAGNER 2009).

Description of the Oocysts of Three New Species of Eimeria (Apicomplexa: Eimeriidae) from Iguanid Lizards (Sauria: Iguanidae) of Central and South America

Three new species of Eimeria are described from iguanid lizards of Central and South America. The oocysts of each species have no micropyles or residua and the sporocysts lack Stieda bodies, but all have a sporocyst residuum. Eimeria sanctaluciae n.sp. was found in the St. Lucia tree lizard, Anolis luciae, collected from the Maria Islands, Lesser Antilles. The oocysts are spherical to subspherical, averaging 17.3 x 16.5 µm, with a single layered colourless wall; about 60% contain polar granules. The sporocysts are ellipsoidal and average 7.7 x 5.5 µm. Eimeria liolaemi n.sp. was recovered from the blue-gold swift, Liolaemus taenius, from Chile. The oocysts are spherical to subspherical, measuring 21 x 20.1 µm with a single-layered colourless wall. The sporocysts are subspherical and average 7.4 x 6.8 µm. Eimeria caesicia n.sp. is described from the Brazilian collared iguanid, Tropidurus torquatus. The oocysts measure 27.4 x 23.7 µm, are spherical to subspherical, with a bilayered wall, the outer surface of which appears pale blue in colour, the thin, inner wall appearing brown, when viewed by direct light under the optical microscope. The sporocysts are subspherical and average 9.4 x 7.2 µm. Unnamed polysporocystid oocysts with dizoic sporocysts are reported from the faeces of the lesser St. Vincent tree lizard, Anolis trinitatis and the possibility of spurious parasitism briefly discussed. In addition, oocysts of an unnamed Isospora sp. with a smooth oocyst wall which closely resembles I. reui were recovered from A. trinitatis.

On Lundh's percolation diffusion

A collection of spherical obstacles in the unit ball in Euclidean space is said to be avoidable for Brownian motion if there is a positive probability that Brownian motion diffusing from some point in the ball will avoid all the obstacles and reach the boundary of the ball. The centres of the spherical obstacles are generated according to a Poisson point process while the radius of an obstacle is a deterministic function. If avoidable configurations are generated with positive probability Lundh calls this percolation diffusion. An integral condition for percolation diffusion is derived in terms of the intensity of the point process and the function that determines the radii of the obstacles.

Genetic variants in novel pathways influence blood pressure and cardiovascular disease risk.

Blood pressure is a heritable trait influenced by several biological pathways and responsive to environmental stimuli. Over one billion people worldwide have hypertension (≥140 mm Hg systolic blood pressure or  ≥90 mm Hg diastolic blood pressure). Even small increments in blood pressure are associated with an increased risk of cardiovascular events. This genome-wide association study of systolic and diastolic blood pressure, which used a multi-stage design in 200,000 individuals of European descent, identified sixteen novel loci: six of these loci contain genes previously known or suspected to regulate blood pressure (GUCY1A3-GUCY1B3, NPR3-C5orf23, ADM, FURIN-FES, GOSR2, GNAS-EDN3); the other ten provide new clues to blood pressure physiology. A genetic risk score based on 29 genome-wide significant variants was associated with hypertension, left ventricular wall thickness, stroke and coronary artery disease, but not kidney disease or kidney function. We also observed associations with blood pressure in East Asian, South Asian and African ancestry individuals. Our findings provide new insights into the genetics and biology of blood pressure, and suggest potential novel therapeutic pathways for cardiovascular disease prevention.

Green vs. Lempert functions: a minimal example

The Lempert function for a set of poles in a domain of Cn at a point z is obtained by taking a certain infimum over all analytic disks going through the poles and the point z, and majorizes the corresponding multi-pole pluricomplex Green function. Coman proved that both coincide in the case of sets of two poles in the unit ball. We give an example of a set of three poles in the unit ball where this equality fails.

An introduction to model-independent diffusion magnetic resonance imaging.

ABSTRACT: q-Space-based techniques such as diffusion spectrum imaging, q-ball imaging, and their variations have been used extensively in research for their desired capability to delineate complex neuronal architectures such as multiple fiber crossings in each of the image voxels. The purpose of this article was to provide an introduction to the q-space formalism and the principles of basic q-space techniques together with the discussion on the advantages as well as challenges in translating these techniques into the clinical environment. A review of the currently used q-space-based protocols in clinical research is also provided.

Patacades, parenostres i sardanes : documentació i anàlisi de la festa de Sant Sebastià de Cadaquès

El tema en què se situa aquest projecte és el de “música i Festa”. El cas documentat i analitzat és el de la festa de Sant Sebastià de Cadaqués (Catalunya) que es celebra el 20 de gener, principalment a l’ermita situada a la muntanya del Pení. Se n’estudien els tres elements musicals principals relacionant-los amb el tot de la festa: la missa, les sardanes i les patacades, un ball en el qual es canten sàtires. L’objectiu principal del projecte és veure si, per com es realitzen i es conceben la música i el ball, l’esdeveniment té més característiques de la Festa, entenent aquesta com un camp d’estudi divers.

On Lundh's percolation diffusion

A collection of spherical obstacles in the unit ball in Euclidean space is said to be avoidable for Brownian motion if there is a positive probability that Brownian motion diffusing from some point in the ball will avoid all the obstacles and reach the boundary of the ball. The centres of the spherical obstacles are generated according to a Poisson point process while the radius of an obstacle is a deterministic function. If avoidable con gurations are generated with positive probability Lundh calls this percolation di usion. An integral condition for percolation di ffusion is derived in terms of the intensity of the point process and the function that determines the radii of the obstacles.

Health And Social Care Inequalities Monitoring System: First Update Bulletin 2004 (PDF 273 KB)

The Inequalities Monitoring System comprises a basket of indicators which are monitored over time to assess area differences in morbidity, utilisation of and access to health and social care services in Northern Ireland. Inequalities between the 20% most deprived electoral wards and Northern Ireland as a whole are measured with deprived areas identified from an update of the Noble Income domain for current ward boundaries. Results for 20% most rural areas were also compared against Northern Ireland overall using population density from the 2001 Census of Population as a measure of rurality. This report is the first annual update of the baseline results presented in Chapter 8 of Equality and Inequalities in Health and Social care in Northern Ireland – A Statistical Overview (DHSSPS 2004) which focused on 2001/2002. The morbidity and utilisation data in this report are the latest available while the locations of services for the accessibility analysis will be updated in subsequent years åÊ