On the closed-form approximation of short-time random strike options

In this paper we propose a general technique to develop first and second order closed-form approximation formulas for short-time options withrandom strikes. Our method is based on Malliavin calculus techniques andallows us to obtain simple closed-form approximation formulas dependingon the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches ontwo-assets and three-assets spread options as Kirk's formula or the decomposition mehod presented in Alòs, Eydeland and Laurence (2011).

Early change in defence mechanisms and coping in short-term dynamic psychotherapy: relations with symptoms and alliance.

Several patient-related variables have already been investigated as predictors of change in psychodynamic psychotherapy. Defensive functioning is one of them. However, few studies have investigated adaptational processes, encompassing defence mechanisms and coping, from an integrative or comparative viewpoint. This study includes 32 patients, mainly diagnosed with adjustment disorder and undergoing time-limited psychodynamic psychotherapy lasting up to 40 sessions, and will focus on early change in defence and coping. Observer-rater methodology was applied to the transcripts of two sessions of the first part of the psychotherapeutic process. It is assumed that the contextual-relational variable of therapeutic alliance intervenes as moderator on change in adaptational processes. Results corroborated the hypothesis, but only for coping, whereas for defences, overall functioning remained stable over the first 20 sessions of psychotherapy. These results are discussed within the framework of disentangling processes underlying adaptation, i.e., related to issues on trait and state aspects, as well as the role of the therapeutic alliance.

Portfolio delegation under short-selling constraints

In this paper we study delegated portfolio management when themanager's ability to short-sell is restricted. Contrary to previousresults, we show that under moral hazard, linear performance-adjustedcontracts do provide portfolio managers with incentives to gatherinformation. The risk-averse manager's optimal effort is an increasingfunction of her share in the portfolio's return. This result affectsthe risk-averse investor's optimal contract decision. The first best,purely risk-sharing contract is proved to be suboptimal. Usingnumerical methods we show that the manager's share in the portfolioreturn is higher than the rst best share. Additionally, this deviationis shown to be: (i) increasing in the manager's risk aversion and (ii)larger for tighter short-selling restrictions. When the constraint isrelaxed the optimal contract converges towards the first best risksharing contract.

Short-term investment and equilibrium multiplicity

I study the effects of the heterogeneity of traders'horizon in the context of a 2-period NREE model whereall traders are risk averse. Owing to inventory effects,myopic trading behavior generates multiplicity ofequilibria. In particular, two distinct patterns arise.Along the first equilibrium, short term tradersanticipate higher second period price reaction toinformation arrival and, owing to risk aversion,scale back their trading intensity. This, in turn,reduces both risk sharing and information impoundinginto prices enforcing a high returns' volatility-lowprice informativeness equilibrium. In the second one,the opposite happens and a low volatility-high priceinformativeness equilibrium arises.

TCR signaling requirements for activating T cells and for generating memory.

Over the last two decades the molecular and cellular mechanisms underlying T cell activation, expansion, differentiation, and memory formation have been intensively investigated. These studies revealed that the generation of memory T cells is critically impacted by a number of factors, including the magnitude of the inflammatory response and cytokine production, the type of dendritic cell [DC] that presents the pathogen derived antigen, their maturation status, and the concomitant provision of costimulation. Nevertheless, the primary stimulus leading to T cell activation is generated through the T cell receptor [TCR] following its engagement with a peptide MHC ligand [pMHC]. The purpose of this review is to highlight classical and recent findings on how antigen recognition, the degree of TCR stimulation, and intracellular signal transduction pathways impact the formation of effector and memory T cells.

Early disturbances of gamma band dynamics in mild cognitive impairment.

Recent studies have indicated that gamma band oscillations participate in the temporal binding needed for the synchronization of cortical networks involved in short-term memory and attentional processes. To date, no study has explored the temporal dynamics of gamma band in the early stages of dementia. At baseline, gamma band analysis was performed in 29 cases with mild cognitive impairment (MCI) during the n-back task. Based on phase diagrams, multiple linear regression models were built to explore the relationship between the cognitive status and gamma oscillation changes over time. Individual measures of phase diagram complexity were made using fractal dimension values. After 1 year, all cases were assessed neuropsychologically using the same battery. A total of 16 MCI patients showed progressive cognitive decline (PMCI) and 13 remained stable (SMCI). When adjusted for gamma values at lag -2, and -3 ms, PMCI cases displayed significantly lower average changes in gamma values than SMCI cases both in detection and 2-back tasks. Gamma fractal dimension of PMCI cases displayed significantly higher gamma fractal dimension values compared to SMCI cases. This variable explained 11.8% of the cognitive variability in this series. Our data indicate that the progression of cognitive decline in MCI is associated with early deficits in temporal binding that occur during the activation of selective attention processes.

Why do emerging economies borrow short term?

We argue that one reason why emerging economies borrow short term is that it is cheaperthan borrowing long term. This is especially the case during crises, as in these episodes therelative cost of long-term borrowing increases. We construct a unique database of sovereignbond prices, returns, and issuances at di¤erent maturities for 11 emerging economies from 1990to 2009 and present a set of new stylized facts. On average, these countries pay a higher riskpremium on long-term than on short-term bonds. During crises, the di¤erence between the tworisk premia increases and issuance shifts towards shorter maturities. To illustrate our argument,we present a simple model in which the maturity structure is the outcome of a risk sharingproblem between an emerging economy subject to rollover crises and risk averse internationalinvestors.

Relationship of aerobic fitness and motor skills with memory and attention in preschoolers (Ballabeina): A cross-sectional and longitudinal study.

Background: The debate about a possible relationship between aerobic fitness and motor skills with cognitive development in children has recently re-emerged, because of the decrease in children's aerobic fitness and the concomitant pressure of schools to enhance cognitive performance. As the literature in young children is scarce, we examined the cross-sectional and longitudinal relationship of aerobic fitness and motor skills with spatial working memory and attention in preschool children.Methods: Data from 245 ethnically diverse preschool children (mean age: 5.2 (0.6) years, girls: 49.4%) analyzed at baseline and 9 months later. Assessments included aerobic fitness (20 m shuttle run) and motor skills with agility (obstacle course) and dynamic balance (balance beam). Cognitive parameters included spatial working memory (IDS) and attention (KHV-VK). All analyses were adjusted for age, sex, BMI, migration status, parental education, native language and linguistic region. Longitudinal analyses were additionally adjusted for the respective baseline value.Results: In the cross-sectional analysis, aerobic fitness was associated with better attention (r = 0.16, p = 0.03). A shorter time in the agility test was independently associated with a better performance both in working memory (r = -0.17, p = 0.01) and in attention (r = -0.20, p = 0.01). In the longitudinal analyses, baseline aerobic fitness was independently related to improvements in attention (r = 0.16, p = 0.03), while baseline dynamic balance was associated with improvements in working memory (r = 0.15, p = 0.04).Conclusions: In young children, higher baseline aerobic fitness and motor skills were related to a better spatial working memory and/or attention at baseline, and to some extent also to their future improvements over the following 9 months.

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).

Cape Verde - Diagnostic Trade Inttegration study Update - 2013

This Report is an update of the Cape Verde Diagnostic Trade Integration Study, titled Cape Verde’s Insertion into the Global Economy, produced and validated by the Government of Cape Verde in December 2008. Like the previous 2008 study, this Cape Verde Diagnostic Trade Integration Study Update provides a critical examination of the major institutional and production constraints that hinder Cape Verde’s ability to capitalize fully on the growth and welfare gains from its integration into the world economy. As a policy report, this study offers a set of priority policies and measures that can be implemented by both the public and private sectors to mitigate and surmount these supply side and institutional constraints. These recommendations are summarized in an Action Matrix. The Report is fruit of the generous support of the multi-donor program the Enhanced Integrated Framework (EIF). In every crisis there is an opportunity. Four years after the validation of the country’s first Diagnostic Trade Integration Study in 2008, Cape Verde finds itself in a drastically altered external environment. Cape Verde faces a worsened external environment than four years ago, when it was also traversing years of crisis as global food and energy prices escalated. Just as the country was validating its first trade study in late 2008, and celebrating its graduation from the list of Least Developed Countries, the onset of the deepest global recession in recent memory triggered an even worse external situation as the country’s principal source of markets, investments, remittances and aid, the Eurozone, unraveled economically and politically. As the Eurozone crisis spread, it was Cape Verde’s misfortune that the crisis contaminated precisely its biggest Eurozone partners and donors, such as Portugal, Spain and Italy. For such a highly dependent and exposed economy like that of Cape Verde, the deteriorating external sector has had a substantial negative impact on its macroeconomic performance. At the time of the validation workshop and graduation in 2008, no one could have foreseen or predicted the severity of the global crisis that followed. Despite traversing these years of adversity and external shocks, and suffering palpable setbacks, Cape Verde’s economy had proven surprisingly resilient, especially its principal sector, tourism. To its great credit, the country’s economic fundamentals are solid, and have been carefully and prudently managed over the years. For this reason alone, the country has thus far weathered the global and Eurozone crisis. Yet the near and medium term future remains uncertain. The country’s margin for maneuver has narrowed, its options far more limited, and hard choices lie ahead. Thus, there is no better time than now to analyze Cape Verde’s position in the global economy, and to examine the many challenges and opportunities it faces. The first diagnostic trade study outlined an ambitious agenda and set of policy strategies to enhance Cape Verde’s participation in the global economy. Written prior to the global crisis, the study did not, and could not, anticipate the scope and depth of the subsequent global and Eurozone crises. A few short months before the validation of the first DTIS Cape Verde joined the World Trade Organization (WTO). It has spent these four years adjusting to this status and implementing its commitments. At the same time, the country seeks greater economic integration with the European Union. Since 2008 the government has been investing heavily in the country’s economic infrastructure, focusing especially on fostering transformation in key sectors like agriculture, fisheries, tourism and creative industries. For these and many other reasons, it is both timely and urgent to review the road traveled since 2008. It is an opportune moment to reassess the country’s options, to rethink strategies, and to chart a new way forward that it is practical, implementable, and that builds on the country’s competitive advantages and current successes.