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.

Melatonin improves glucose homeostasis and endothelial vascular function in high-fat diet-fed insulin-resistant mice.

Obesity and insulin resistance represent a problem of utmost clinical significance worldwide. Insulin-resistant states are characterized by the inability of insulin to induce proper signal transduction leading to defective glucose uptake in skeletal muscle tissue and impaired insulin-induced vasodilation. In various pathophysiological models, melatonin interacts with crucial molecules of the insulin signaling pathway, but its effects on glucose homeostasis are not known. In a diet-induced mouse model of insulin resistance and normal chow-fed control mice, we sought to assess the effects of an 8-wk oral treatment with melatonin on insulin and glucose tolerance and to understand underlying mechanisms. In high-fat diet-fed mice, but not in normal chow-fed control mice, melatonin significantly improved insulin sensitivity and glucose tolerance, as evidenced by a higher rate of glucose infusion to maintain euglycemia during hyperinsulinemic clamp studies and an attenuated hyperglycemic response to an ip glucose challenge. Regarding underlying mechanisms, we found that melatonin restored insulin-induced vasodilation to skeletal muscle, a major site of glucose utilization. This was due, at least in part, to the improvement of insulin signal transduction in the vasculature, as evidenced by increased insulin-induced phosphorylation of Akt and endoethelial nitric oxide synthase in aortas harvested from melatonin-treated high-fat diet-fed mice. In contrast, melatonin had no effect on the ability of insulin to promote glucose uptake in skeletal muscle tissue in vitro. These data demonstrate for the first time that in a diet-induced rodent model of insulin resistance, melatonin improves glucose homeostasis by restoring the vascular action of insulin.

On the relevance of modeling volatility for pricing purposes

This paper presents a two-factor (Vasicek-CIR) model of the term structure of interest rates and develops its pricing and empirical properties. We assume that default free discount bond prices are determined by the time to maturity and two factors, the long-term interest rate and the spread. Assuming a certain process for both factors, a general bond pricing equation is derived and a closed-form expression for bond prices is obtained. Empirical evidence of the model's performance in comparisson with a double Vasicek model is presented. The main conclusion is that the modeling of the volatility in the long-term rate process can help (in a large amount) to fit the observed data can improve - in a reasonable quantity - the prediction of the future movements in the medium- and long-term interest rates. However, for shorter maturities, it is shown that the pricing errors are, basically, negligible and it is not so clear which is the best model to be used.

Running versus strength-based warm-up : acute effects on isometric knee extension function

This study investigated the influence of two warm-up protocols on neural and contractile parameters of knee extensors. A series of neuromuscular tests including voluntary and electrically evoked contractions were performed before and after running- (R (WU); slow running, athletic drills, and sprints) and strength-based (S (WU); bilateral 90 degrees back squats, Olympic lifting movements and reactivity exercises) warm ups (duration ~40 min) in ten-trained subjects. The estimated overall mechanical work was comparable between protocols. Maximal voluntary contraction torque (+15.6%; P < 0.01 and +10.9%; P < 0.05) and muscle activation (+10.9 and +12.9%; P < 0.05) increased to the same extent after R (WU) and S (WU), respectively. Both protocols caused a significant shortening of time to contract (-12.8 and -11.8% after R (WU) and S (WU); P < 0.05), while the other twitch parameters did not change significantly. Running- and strength-based warm ups induce similar increase in knee extensors force-generating capacity by improving the muscle activation. Both protocols have similar effects on M-wave and isometric twitch characteristics.

Expression and function of interleukin-7 in secondary and tertiary lymphoid organs.

Interleukin-7 (IL-7) is known since many years as stromal-cell derived cytokine that plays a key role for the adaptive immune system. It promotes lymphocyte development in the bone marrow and thymus as well as naive and memory T cell homeostasis in the periphery. More recently, IL-7 reporter mice and other approaches have led to the further characterization of the various stromal cell sources of IL-7 in secondary lymphoid organs (SLO) and other tissues. We will review these advances along with a discussion of the regulation of IL-7 and its receptor, and compare the biological effects IL-7 has on adaptive as well as innate immune cells in SLO. Finally, we will review the role of IL-7 in development of SLO and tertiary lymphoid tissues that frequently are associated with sites of chronic inflammation.

Solving higher-dimensional continuous time stochastic control problems by value function regression

The paper develops a method to solve higher-dimensional stochasticcontrol problems in continuous time. A finite difference typeapproximation scheme is used on a coarse grid of low discrepancypoints, while the value function at intermediate points is obtainedby regression. The stability properties of the method are discussed,and applications are given to test problems of up to 10 dimensions.Accurate solutions to these problems can be obtained on a personalcomputer.

A singular function and its relation with the number systems involved in its definition

Minkowski's ?(x) function can be seen as the confrontation of two number systems: regular continued fractions and the alternated dyadic system. This way of looking at it permits us to prove that its derivative, as it also happens for many other non-decreasing singular functions from [0,1] to [0,1], when it exists can only attain two values: zero and infinity. It is also proved that if the average of the partial quotients in the continued fraction expansion of x is greater than k* =5.31972, and ?'(x) exists then ?'(x)=0. In the same way, if the same average is less than k**=2 log2(F), where F is the golden ratio, then ?'(x)=infinity. Finally some results are presented concerning metric properties of continued fraction and alternated dyadic expansions.

Satisfaction in choice as a function of the number of alternatives: When "goods satiate" but "bads escalate"

Whereas people are typically thought to be better off with more choices, studiesshow that they often prefer to choose from small as opposed to large sets of alternatives.We propose that satisfaction from choice is an inverted U-shaped function of thenumber of alternatives. This proposition is derived theoretically by considering thebenefits and costs of different numbers of alternatives and is supported by fourexperimental studies. We also manipulate the perceptual costs of information processingand demonstrate how this affects the resulting satisfaction function. We furtherindicate that satisfaction when choosing from a given set is diminished if people aremade aware of the existence of other choice sets. The role of individual differences insatisfaction from choice is documented by noting effects due to gender and culture. Weconclude by emphasizing the need to have an explicit rationale for knowing how muchchoice is enough.

Cost efficiency in primary care contracting: A stochastic frontier cost function approach

The principal aim of this paper is to estimate a stochastic frontier costfunction and an inefficiency effects model in the analysis of the primaryhealth care services purchased by the public authority and supplied by 180providers in 1996 in Catalonia. The evidence from our sample does not supportthe premise that contracting out has helped improve purchasing costefficiency in primary care. Inefficient purchasing cost was observed in thecomponent of this purchasing cost explicitly included in the contract betweenpurchaser and provider. There are no observable incentives for thecontracted-out primary health care teams to minimise prescription costs, whichare not explicitly included in the present contracting system.

A new light on Minkowski's? $(x)$ function

The well--known Minkowski's? $(x)$ function is presented as the asymptotic distribution function of an enumeration of the rationals in (0,1] based on their continued fraction representation. Besides, the singularity of ?$(x)$ is clearly proved in two ways: by exhibiting a set of measure one in which ?ï$(x)$ = 0; and again by actually finding a set of measure one which is mapped onto a set of measure zero and viceversa. These sets are described by means of metrical properties of different systems for real number representation.

Inventory-routing model, for a multi-period problem with stochastic and deterministic demand

The need for integration in the supply chain management leads us to considerthe coordination of two logistic planning functions: transportation andinventory. The coordination of these activities can be an extremely importantsource of competitive advantage in the supply chain management. The battle forcost reduction can pass through the equilibrium of transportation versusinventory managing costs. In this work, we study the specific case of aninventory-routing problem for a week planning period with different types ofdemand. A heuristic methodology, based on the Iterated Local Search, isproposed to solve the Multi-Period Inventory Routing Problem with stochasticand deterministic demand.

Glutamine Stimulates Biosynthesis and Secretion of Insulin-like Growth Factor 2 (IGF2), an Autocrine Regulator of Beta Cell Mass and Function.

IGF2 is an autocrine ligand for the beta cell IGF1R receptor and GLP-1 increases the activity of this autocrine loop by enhancing IGF1R expression, a mechanism that mediates the trophic effects of GLP-1 on beta cell mass and function. Here, we investigated the regulation of IGF2 biosynthesis and secretion. We showed that glutamine rapidly and strongly induced IGF2 mRNA translation using reporter constructs transduced in MIN6 cells and primary islet cells. This was followed by rapid secretion of IGF2 via the regulated pathway, as revealed by the presence of mature IGF2 in insulin granule fractions and by inhibition of secretion by nimodipine and diazoxide. When maximally stimulated by glutamine, the amount of secreted IGF2 rapidly exceeded its initial intracellular pool and tolbutamide, and high K(+) increased IGF2 secretion only marginally. This indicates that the intracellular pool of IGF2 is small and that sustained secretion requires de novo synthesis. The stimulatory effect of glutamine necessitates its metabolism but not mTOR activation. Finally, exposure of insulinomas or beta cells to glutamine induced Akt phosphorylation, an effect that was dependent on IGF2 secretion, and reduced cytokine-induced apoptosis. Thus, glutamine controls the activity of the beta cell IGF2/IGF1R autocrine loop by increasing the biosynthesis and secretion of IGF2. This autocrine loop can thus integrate changes in feeding and metabolic state to adapt beta cell mass and function.

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).

Monetary policy and exchange rate volatility in a small open economy

We lay out a small open economy version of the Calvo sticky price model, and show how the equilibrium dynamics can be reduced to simple representation in domestic inflation and the output gap. We use the resulting framework to analyze the macroeconomic implications of three alternative rule-based policy regimes for the small open economy: domestic inflation and CPI-based Taylor rules, and an exchange rate peg. We show that a key difference amongthese regimes lies in the relative amount of exchange rate volatility that they entail. We also discuss a special case for which domestic inflation targeting constitutes the optimal policy, and where a simple second order approximation to the utility of the representative consumer can be derived and used to evaluate the welfare losses associated with the suboptimal rules.

Abnormal Lung Function and Risk for Heart Failure in the Elderly: The Health, Aging, and Body Composition Study

Background: Chronic obstructive pulmonary disease (COPD) has been associated with increased risk for heart failure (HF). The impact of subclinical abnormal spirometric findings on HF risk among older adults without history of COPD is not well elucidated. Methods: We evaluated 2125 participants (age 73.6±2.9 years; 50.5% men; 62.3% white; 45.6/9.4% past/current smokers; body mass index [BMI] 27.2±4.6 kg/m2) without prevalent COPD or HF who underwent baseline spirometry in the Health ABC Study. Abnormal lung function was defined either as forced vital capacity (FVC) below lower limit of normal (LLN) or forced expiratory volume in 1st sec (FEV1) to FVC ratio below LLN. Results: On follow-up (median, 9.4 years), 68 of 350 (19.4%) participants with abnormal lung function developed HF, as compared to 172 of 1775 (9.7%) participants with normal lung function (hazard ratio [HR], 2.31; 95% confidence interval [CI], 1.74 -3.06; P<.001). This increased risk persisted after adjusting for all other independent predictors of HF in the Health ABC Study, BMI, incident coronary events, and several inflammatory markers (HR, 1.82; 95% CI, 1.30 -2.54; P<.001), and remained constant over time. Baseline FVC and FEV1 had a linear association with HF risk (Figure). In adjusted models, HF risk increased by 21% (95% CI, 10 -36%) per 10% decrease in FVC and 18% (95% CI, 10 -28%) per 10% decrease in FEV1 (both P<.001); this association persisted among participants with normal lung function at baseline. Findings were consistent across sex, race, and smoking status. Conclusions: Subclinical abnormal spirometric findings are prevalent among older adults and are independently associated with risk for incident HF.