Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

Proteomic analysis of membrane rafts of melanoma cells identifies protein patterns characteristic of the tumor progression stage.

The molecular mechanisms controlling the progression of melanoma from a localized tumor to an invasive and metastatic disease are poorly understood. In the attempt to start defining a functional protein profile of melanoma progression, we have analyzed by LC-MS/MS the proteins associated with detergent resistant membranes (DRMs), which are enriched in cholesterol/sphingolipids-containing membrane rafts, of melanoma cell lines derived from tumors at different stages of progression. Since membrane rafts are involved in several biological processes, including signal transduction and protein trafficking, we hypothesized that the association of proteins with rafts can be regulated during melanoma development and affect protein function and disease progression. We have identified a total of 177 proteins in the DRMs of the cell lines examined. Among these, we have found groups of proteins preferentially associated with DRMs of either less malignant radial growth phase/vertical growth phase (VGP) cells, or aggressive VGP and metastatic cells suggesting that melanoma cells with different degrees of malignancy have different DRM profiles. Moreover, some proteins were found in DRMs of only some cell lines despite being expressed at similar levels in all the cell lines examined, suggesting the existence of mechanisms controlling their association with DRMs. We expect that understanding the mechanisms regulating DRM targeting and the activity of the proteins differentially associated with DRMs in relation to cell malignancy will help identify new molecular determinants of melanoma progression.

Iowa Autism Council By-Laws and Operating Procedures, Revised 2012

These By-laws and Operating Procedures are designed to guide the membership and work of the Iowa Autism Council. The Iowa Autism Council is a collaborative resource that envisions its role as an advocate for children and adults living with Autism Spectrum Disorder (autism and Asperger's and other conditions represented on the autism spectrum) and their families. As such, it is committed to representing individuals with diverse and changing educational needs. Iowa Autism Council (IAC) shall have, and will perform, functions and duties as specified by law. Responsibilities include offering advice, consultation, and recommendations to Governor Culver and the Iowa legislature regarding matters concerning the ASD population. The role of the Council members is to advise, not advocate, for an individual position. Advise means to inform, counsel, recommend, suggest or guide. To advocate means to plead for your case or position, to favor an individual case or argument. The advisory Council is to provide advice, based on facts and good judgment.

1981 train operating speeds : [Iowa],1981

This railroad map shows Iowa rail carriers and train speeds.

Seismic detection and characterization of landslides and other mass movements

Seismic methods used in the study of snow avalanches may be employed to detect and characterize landslides and other mass movements, using standard spectrogram/sonogram analysis. For snow avalanches, the spectrogram for a station that is approached by a sliding mass exhibits a triangular time/frequency signature due to an increase over time in the higher-frequency constituents. Recognition of this characteristic footprint in a spectrogram suggests a useful metric for identifying other mass-movement events such as landslides. The 1 June 2005 slide at Laguna Beach, California is examined using data obtained from the Caltech/USGS Regional Seismic Network. This event exhibits the same general spectrogram features observed in studies of Alpine snow avalanches. We propose that these features are due to the systematic relative increase in high-frequency energy transmitted to a seismometer in the path of a mass slide owing to a reduction of distance from the source signal. This phenomenon is related to the path of the waves whose high frequencies are less attenuated as they traverse shorter source-receiver paths. Entrainment of material in the course of the slide may also contribute to the triangular time/frequency signature as a consequence of the increase in the energy involved in the process; in this case the contribution would be a source effect. By applying this commonly observed characteristic to routine monitoring algorithms, along with custom adjustments for local site effects, we seek to contribute to the improvement in automatic detection and monitoring methods of landslides and other mass movements.

Is it the grain size or the characteristic pore size that controls the induced polarization relaxation time of clean sands and sandstones?

There is a wide range of evidence to suggest that permeability can be constrained through of induced polarization measurements. For clean sands and sandstones, current mechanistic models of induced polarization predict a relationship between the low-frequency time constant inferred from induced polarization measurements and the grain diameter. A number of observations do, however, disagree with this and indicate that the observed relaxation behavior is rather governed by the so-called dynamic pore radius L. To test this hypothesis, we have developed a set of new scaling relationships, which allow the relaxation time to be computed from the pore size and the permeability to be computed from both the Cole-Cole time constant and the formation factor. Moreover, these new scaling relationships can be also used to predict the dependence of the Cole-Cole time constant as a function of the water saturation under unsaturated conditions. Comparative tests of the proposed new relationships with regard to various published experimental results for saturated clean sands and sandstones as well as for partially saturated clean sandstones, do indeed confirm that the dynamic pore radius L is a much more reliable indicator of the observed relaxation behavior than grain-size-based models.

Issue review : construction status and operating costs of new corrections beds.

This issue review provides information on the Department of Corrections construction and of proposed staffing for additional beds in the prison system and community-based corrections.

Detection of Raga-characteristic phrases from Hindustani Classical Music Audio

Melodic motifs form essential building blocks in Indian Classical music. The motifs, or key phrases, providestrong cues to the identity of the underlying raga in both Hindustani and Carnatic styles of Indian music. Automatic identification and clustering of similar motifs is relevant in this context. The inherent variations in various instances of a characteristic phrase in a bandish (composition)performance make it challenging to identify similar phrases in a performance. A nyas svara (long note)marks the ending of these phrases. The proposed method does segmentation of phrases through identification ofnyas and computes similarity with the reference characteristic phrase.

Premsa gratuïta, un model de comunicació local = Free press, a local communication model

The relationship between non-institutional free press and local communication is quite particular since this type of press forms a very characteristic model of local communication, showing that advertising suffices to finance an information product addressed to a fairly well-defined readership as long as this product has a good advertising sales department and an effective distribution in its operating area. This paper discusses the present situation of the free press in Catalonia, where this phenomenon has been quite prominent. It points out the main features of this type of press and makes a review of its history, which runs from the euphoria of its early years and its expansion and consolidation, to the current crisis

Biological Sampling and Physical Habitat Assessment Standard Operating Procedure for Iowa Wadeable Streams and Rivers, July 24, 2015

The Iowa Department of Natural Resources uses benthic macroinvertebrate and fish sampling data to assess stream biological condition and the support status of designated aquatic life uses (Wilton 2004; IDNR 2013). Stream physical habitat data assist with the interpretation of biological sampling results by quantifying important physical characteristics that influence a stream’s ability to support a healthy aquatic community (Heitke et al., 2006; Rowe et al. 2009; Sindt et al., 2012). This document describes aquatic community sampling and physical habitat assessment procedures currently followed in the Iowa stream biological assessment program. Standardized biological sampling and physical habitat assessment procedures were first established following a pilot sampling study in 1994 (IDNR 1994a, 1994b). The procedure documents were last updated in 2001 (IDNR 2001a; 2001b). The biological sampling and physical habitat assessment procedures described below are evaluated on a continual basis. Revision of this working document will occur periodically to reflect additional changes.

The timing of exploratory decision-making revealed by single-trial topographic EEGanalyses.

Decision-making in an uncertain environment is driven by two major needs: exploring the environment to gather information or exploiting acquired knowledge to maximize reward. The neural processes underlying exploratory decision-making have been mainly studied by means of functional magnetic resonance imaging, overlooking any information about the time when decisions are made. Here, we carried out an electroencephalography (EEG) experiment, in order to detect the time when the brain generators responsible for these decisions have been sufficiently activated to lead to the next decision. Our analyses, based on a classification scheme, extract time-unlocked voltage topographies during reward presentation and use them to predict the type of decisions made on the subsequent trial. Classification accuracy, measured as the area under the Receiver Operator's Characteristic curve was on average 0.65 across 7 subjects. Classification accuracy was above chance levels already after 516 ms on average, across subjects. We speculate that decisions were already made before this critical period, as confirmed by a positive correlation with reaction times across subjects. On an individual subject basis, distributed source estimations were performed on the extracted topographies to statistically evaluate the neural correlates of decision-making. For trials leading to exploration, there was significantly higher activity in dorsolateral prefrontal cortex and the right supramarginal gyrus; areas responsible for modulating behavior under risk and deduction. No area was more active during exploitation. We show for the first time the temporal evolution of differential patterns of brain activation in an exploratory decision-making task on a single-trial basis.

A characteristic EEG pattern in 4p-syndrome: case report and review of the literature.

Deletions on the short arm of chromosome 4 cause Wolf-Hirschhorn syndrome (WHS) and Pitt-Rogers-Danks syndrome (PRDS). WHS is associated with severe growth and mental retardation, microcephaly, a characteristic facies and congenital malformations. The PRDS phenotype is similar to WHS but generally less severe. Seizures occur in the majority of WHS and PRDS patients. Sgrò et al. [17] described a stereotypic electroclinical pattern in four unrelated WHS patients, consisting of intermittent bursts of 2-3 Hz high voltage slow waves with spike wave activity in the parietal areas during drowsiness and sleep associated with myoclonic jerks. We report a patient with PRDS and the typical EEG pattern and review 14 WHS patients with similar EEG findings reported in the literature. CONCLUSION: Awareness and recognition of the characteristic electroclinical findings in Wolf-Hirschhorn syndrome and Pitt-Rogers-Danks syndrome might help in the early diagnosis of such patients.

Tapping the innovation potential of corporate engagement with stakeholders

Summary This dissertation explores how stakeholder dialogue influences corporate processes, and speculates about the potential of this phenomenon - particularly with actors, like non-governmental organizations (NGOs) and other representatives of civil society, which have received growing attention against a backdrop of increasing globalisation and which have often been cast in an adversarial light by firms - as a source of teaming and a spark for innovation in the firm. The study is set within the context of the introduction of genetically-modified organisms (GMOs) in Europe. Its significance lies in the fact that scientific developments and new technologies are being generated at an unprecedented rate in an era where civil society is becoming more informed, more reflexive, and more active in facilitating or blocking such new developments, which could have the potential to trigger widespread changes in economies, attitudes, and lifestyles, and address global problems like poverty, hunger, climate change, and environmental degradation. In the 1990s, companies using biotechnology to develop and offer novel products began to experience increasing pressure from civil society to disclose information about the risks associated with the use of biotechnology and GMOs, in particular. Although no harmful effects for humans or the environment have been factually demonstrated even to date (2008), this technology remains highly-contested and its introduction in Europe catalysed major companies to invest significant financial and human resources in stakeholder dialogue. A relatively new phenomenon at the time, with little theoretical backing, dialogue was seen to reflect a move towards greater engagement with stakeholders, commonly defined as those "individuals or groups with which. business interacts who have a 'stake', or vested interest in the firm" (Carroll, 1993:22) with whom firms are seen to be inextricably embedded (Andriof & Waddock, 2002). Regarding the organisation of this dissertation, Chapter 1 (Introduction) describes the context of the study, elaborates its significance for academics and business practitioners as an empirical work embedded in a sector at the heart of the debate on corporate social responsibility (CSR). Chapter 2 (Literature Review) traces the roots and evolution of CSR, drawing on Stakeholder Theory, Institutional Theory, Resource Dependence Theory, and Organisational Learning to establish what has already been developed in the literature regarding the stakeholder concept, motivations for engagement with stakeholders, the corporate response to external constituencies, and outcomes for the firm in terms of organisational learning and change. I used this review of the literature to guide my inquiry and to develop the key constructs through which I viewed the empirical data that was gathered. In this respect, concepts related to how the firm views itself (as a victim, follower, leader), how stakeholders are viewed (as a source of pressure and/or threat; as an asset: current and future), corporate responses (in the form of buffering, bridging, boundary redefinition), and types of organisational teaming (single-loop, double-loop, triple-loop) and change (first order, second order, third order) were particularly important in building the key constructs of the conceptual model that emerged from the analysis of the data. Chapter 3 (Methodology) describes the methodology that was used to conduct the study, affirms the appropriateness of the case study method in addressing the research question, and describes the procedures for collecting and analysing the data. Data collection took place in two phases -extending from August 1999 to October 2000, and from May to December 2001, which functioned as `snapshots' in time of the three companies under study. The data was systematically analysed and coded using ATLAS/ti, a qualitative data analysis tool, which enabled me to sort, organise, and reduce the data into a manageable form. Chapter 4 (Data Analysis) contains the three cases that were developed (anonymised as Pioneer, Helvetica, and Viking). Each case is presented in its entirety (constituting a `within case' analysis), followed by a 'cross-case' analysis, backed up by extensive verbatim evidence. Chapter 5 presents the research findings, outlines the study's limitations, describes managerial implications, and offers suggestions for where more research could elaborate the conceptual model developed through this study, as well as suggestions for additional research in areas where managerial implications were outlined. References and Appendices are included at the end. This dissertation results in the construction and description of a conceptual model, grounded in the empirical data and tied to existing literature, which portrays a set of elements and relationships deemed important for understanding the impact of stakeholder engagement for firms in terms of organisational learning and change. This model suggests that corporate perceptions about the nature of stakeholder influence the perceived value of stakeholder contributions. When stakeholders are primarily viewed as a source of pressure or threat, firms tend to adopt a reactive/defensive posture in an effort to manage stakeholders and protect the firm from sources of outside pressure -behaviour consistent with Resource Dependence Theory, which suggests that firms try to get control over extemal threats by focussing on the relevant stakeholders on whom they depend for critical resources, and try to reverse the control potentially exerted by extemal constituencies by trying to influence and manipulate these valuable stakeholders. In situations where stakeholders are viewed as a current strategic asset, firms tend to adopt a proactive/offensive posture in an effort to tap stakeholder contributions and connect the organisation to its environment - behaviour consistent with Institutional Theory, which suggests that firms try to ensure the continuing license to operate by internalising external expectations. In instances where stakeholders are viewed as a source of future value, firms tend to adopt an interactive/innovative posture in an effort to reduce or widen the embedded system and bring stakeholders into systems of innovation and feedback -behaviour consistent with the literature on Organisational Learning, which suggests that firms can learn how to optimize their performance as they develop systems and structures that are more adaptable and responsive to change The conceptual model moreover suggests that the perceived value of stakeholder contribution drives corporate aims for engagement, which can be usefully categorised as dialogue intentions spanning a continuum running from low-level to high-level to very-high level. This study suggests that activities aimed at disarming critical stakeholders (`manipulation') providing guidance and correcting misinformation (`education'), being transparent about corporate activities and policies (`information'), alleviating stakeholder concerns (`placation'), and accessing stakeholder opinion ('consultation') represent low-level dialogue intentions and are experienced by stakeholders as asymmetrical, persuasive, compliance-gaining activities that are not in line with `true' dialogue. This study also finds evidence that activities aimed at redistributing power ('partnership'), involving stakeholders in internal corporate processes (`participation'), and demonstrating corporate responsibility (`stewardship') reflect high-level dialogue intentions. This study additionally finds evidence that building and sustaining high-quality, trusted relationships which can meaningfully influence organisational policies incline a firm towards the type of interactive, proactive processes that underpin the development of sustainable corporate strategies. Dialogue intentions are related to type of corporate response: low-level intentions can lead to buffering strategies; high-level intentions can underpin bridging strategies; very high-level intentions can incline a firm towards boundary redefinition. The nature of corporate response (which encapsulates a firm's posture towards stakeholders, demonstrated by the level of dialogue intention and the firm's strategy for dealing with stakeholders) favours the type of learning and change experienced by the organisation. This study indicates that buffering strategies, where the firm attempts to protect itself against external influences and cant' out its existing strategy, typically lead to single-loop learning, whereby the firm teams how to perform better within its existing paradigm and at most, improves the performance of the established system - an outcome associated with first-order change. Bridging responses, where the firm adapts organisational activities to meet external expectations, typically leads a firm to acquire new behavioural capacities characteristic of double-loop learning, whereby insights and understanding are uncovered that are fundamentally different from existing knowledge and where stakeholders are brought into problem-solving conversations that enable them to influence corporate decision-making to address shortcomings in the system - an outcome associated with second-order change. Boundary redefinition suggests that the firm engages in triple-loop learning, where the firm changes relations with stakeholders in profound ways, considers problems from a whole-system perspective, examining the deep structures that sustain the system, producing innovation to address chronic problems and develop new opportunities - an outcome associated with third-order change. This study supports earlier theoretical and empirical studies {e.g. Weick's (1979, 1985) work on self-enactment; Maitlis & Lawrence's (2007) and Maitlis' (2005) work and Weick et al's (2005) work on sensegiving and sensemaking in organisations; Brickson's (2005, 2007) and Scott & Lane's (2000) work on organisational identity orientation}, which indicate that corporate self-perception is a key underlying factor driving the dynamics of organisational teaming and change. Such theorizing has important implications for managerial practice; namely, that a company which perceives itself as a 'victim' may be highly inclined to view stakeholders as a source of negative influence, and would therefore be potentially unable to benefit from the positive influence of engagement. Such a selfperception can blind the firm from seeing stakeholders in a more positive, contributing light, which suggests that such firms may not be inclined to embrace external sources of innovation and teaming, as they are focussed on protecting the firm against disturbing environmental influences (through buffering), and remain more likely to perform better within an existing paradigm (single-loop teaming). By contrast, a company that perceives itself as a 'leader' may be highly inclined to view stakeholders as a source of positive influence. On the downside, such a firm might have difficulty distinguishing when stakeholder contributions are less pertinent as it is deliberately more open to elements in operating environment (including stakeholders) as potential sources of learning and change, as the firm is oriented towards creating space for fundamental change (through boundary redefinition), opening issues to entirely new ways of thinking and addressing issues from whole-system perspective. A significant implication of this study is that potentially only those companies who see themselves as a leader are ultimately able to tap the innovation potential of stakeholder dialogue.

Enhanced MDIR receiver for space-time dispersive channels

A particular property of the matched desiredimpulse response receiver is introduced in this paper, namely,the fact that full exploitation of the diversity is obtained withmultiple beamformers when the channel is spatially and timelydispersive. This particularity makes the receiver specially suitablefor mobile and underwater communications. The new structureprovides better performance than conventional and weightedVRAKE receivers, and a diversity gain with no needs of additionalradio frequency equipment. The baseband hardware neededfor this new receiver may be obtained through reconfigurabilityof the RAKE architectures available at the base station. Theproposed receiver is tested through simulations assuming UTRAfrequency-division-duplexing mode.

Space-time front-ends for RAKE receivers in the FDD mode of UTRA

A unified and general vision of different space-time processors is presented. Many popular receivers can beaccomodated, like V-RAKE receivers, weighted V-RAKE, or spatial narrowband beamforming. By makingappropriate assumptions on the space/time characteristic of the interference it is possible to enhance theperformance of the receiver through spatial/temporal pre-processors. These receivers will be tested in the FDDmode of UTRA.