Smiling under stochastic volatility

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous results applicable to the smile as a whole to alternative degrees of moneyness. The conditions under which the implied volatility function changes whenever there is a change in the parameters associated with Hestons stochastic volatility model for a given degree of moneyness are given.

The Evaluation of Fisheries Management: A Dynamic Stochastic Approach

In this article, we analyze how to evaluate fishery resource management under “ecological uncertainty”. In this context, an efficient policy consists of applying a different exploitation rule depending on the state of the resource and we could say that the stock is always in transition, jumping from one steady state to another. First, we propose a method for calibrating the growth path of the resource such that observed dynamics of resource and captures are matched. Second, we apply the calibration procedure proposed in two different fishing grounds: the European Anchovy (Division VIII) and the Southern Stock of Hake. Our results show that the role played by uncertainty is essential for the conclusions. For European Anchovy fishery (Division VIII) we find, in contrast with Del Valle et al. (2001), that this is not an overexploited fishing ground. However, we show that the Southern Stock of Hake is in a dangerous situation. In both cases our results are in accordance with ICES advice.

Scenario Cluster Lagrangian Decomposition in two stage stochastic mixed 0-1 optimization

In this paper we introduce four scenario Cluster based Lagrangian Decomposition (CLD) procedures for obtaining strong lower bounds to the (optimal) solution value of two-stage stochastic mixed 0-1 problems. At each iteration of the Lagrangian based procedures, the traditional aim consists of obtaining the solution value of the corresponding Lagrangian dual via solving scenario submodels once the nonanticipativity constraints have been dualized. Instead of considering a splitting variable representation over the set of scenarios, we propose to decompose the model into a set of scenario clusters. We compare the computational performance of the four Lagrange multiplier updating procedures, namely the Subgradient Method, the Volume Algorithm, the Progressive Hedging Algorithm and the Dynamic Constrained Cutting Plane scheme for different numbers of scenario clusters and different dimensions of the original problem. Our computational experience shows that the CLD bound and its computational effort depend on the number of scenario clusters to consider. In any case, our results show that the CLD procedures outperform the traditional LD scheme for single scenarios both in the quality of the bounds and computational effort. All the procedures have been implemented in a C++ experimental code. A broad computational experience is reported on a test of randomly generated instances by using the MIP solvers COIN-OR and CPLEX for the auxiliary mixed 0-1 cluster submodels, this last solver within the open source engine COIN-OR. We also give computational evidence of the model tightening effect that the preprocessing techniques, cut generation and appending and parallel computing tools have in stochastic integer optimization. Finally, we have observed that the plain use of both solvers does not provide the optimal solution of the instances included in the testbed with which we have experimented but for two toy instances in affordable elapsed time. On the other hand the proposed procedures provide strong lower bounds (or the same solution value) in a considerably shorter elapsed time for the quasi-optimal solution obtained by other means for the original stochastic problem.

Interface cracking and particulate size effect in particle-reinforced metal-matrix composites

The mechanical behaviors of the ceramic particle-reinforced metal matrix composites are modeled based on the conventional theory of mechanism-based strain gradient plasticity presented by Huang et al. Two cases of interface features with and without the effects of interface cracking will be analyzed, respectively. Through comparing the result based on the interface cracking model with experimental result, the effectiveness of the present model can be evaluated. Simultaneously, the length parameters included in the strain gradient plasticity theory can be obtained.

A neural extracellular matrix-based method for in vitro hippocampal neuron culture and dopaminergic differentiation of neural stem cells

Background: The ability to recreate an optimal cellular microenvironment is critical to understand neuronal behavior and functionality in vitro. An organized neural extracellular matrix (nECM) promotes neural cell adhesion, proliferation and differentiation. Here, we expanded previous observations on the ability of nECM to support in vitro neuronal differentiation, with the following goals: (i) to recreate complex neuronal networks of embryonic rat hippocampal cells, and (ii) to achieve improved levels of dopaminergic differentiation of subventricular zone (SVZ) neural progenitor cells. Methods: Hippocampal cells from E18 rat embryos were seeded on PLL- and nECM-coated substrates. Neurosphere cultures were prepared from the SVZ of P4-P7 rat pups, and differentiation of neurospheres assayed on PLL- and nECM-coated substrates. Results: When seeded on nECM-coated substrates, both hippocampal cells and SVZ progenitor cells showed neural expression patterns that were similar to their poly-L-lysine-seeded counterparts. However, nECM-based cultures of both hippocampal neurons and SVZ progenitor cells could be maintained for longer times as compared to poly-L-lysine-based cultures. As a result, nECM-based cultures gave rise to a more branched neurite arborization of hippocampal neurons. Interestingly, the prolonged differentiation time of SVZ progenitor cells in nECM allowed us to obtain a purer population of dopaminergic neurons. Conclusions: We conclude that nECM-based coating is an efficient substrate to culture neural cells at different stages of differentiation. In addition, neural ECM-coated substrates increased neuronal survival and neuronal differentiation efficiency as compared to cationic polymers such as poly-L-lysine.

Generating cluster submodels from a multistage stochastic mixed integer optimization model using break stage

We present a scheme to generate clusters submodels with stage ordering from a (symmetric or a nonsymmetric one) multistage stochastic mixed integer optimization model using break stage. We consider a stochastic model in compact representation and MPS format with a known scenario tree. The cluster submodels are built by storing first the 0-1 the variables, stage by stage, and then the continuous ones, also stage by stage. A C++ experimental code has been implemented for reordering the stochastic model as well as the cluster decomposition after the relaxation of the non-anticipativiy constraints until the so-called breakstage. The computational experience shows better performance of the stage ordering in terms of elapsed time in a randomly generated testbed of multistage stochastic mixed integer problems.