A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.

Physical Exercise Program for Elderly Subjects in the “Club Nueva Vida”, in Tunja City

A descriptive, case series intervention study was performed to identify changes in physical qualities, aerobic power, flexibility, strength and body composition amongst 20 elderly subjects belonging to the “Club Nueva Vida” in Tunja City, during the second period of 2005. A PRE and POST assessment of their physical qualities was applied after a 16 week physical exercise program.Results showed an increase in the average of the static muscle streneth from 0.27 to 0.30 Newtons. Standard deviation diminished in 0.1. The dynamic strength measure by the push up test improved in 10% a 35% improved in 10% a 35% improved their. Cardiovascular capability until to high levels of 80% there were not significant changes in the body weight between measures taken before and after the program application. The results obtained with the sit and reach test did not show statistically significant differences. Hower in other flexibility tests the results changed from bad ranges to middle and good ones. The enrolled population was stable during the development of the exercise program. This study concludes that elderly adults acquire changes in their physical quality features after exercise intervention. Physical exercise programs in elderly adults must involve strength activities for upper limbs, trunk and aerobic power activities. The “Beliefs Health Model” is a adherence to reach compliance and maintenance in physical exercise.

An algorithm for automatic checking of exercises in a dynamic geometry system: iGeom

One of the key issues in e-learning environments is the possibility of creating and evaluating exercises. However, the lack of tools supporting the authoring and automatic checking of exercises for specifics topics (e.g., geometry) drastically reduces advantages in the use of e-learning environments on a larger scale, as usually happens in Brazil. This paper describes an algorithm, and a tool based on it, designed for the authoring and automatic checking of geometry exercises. The algorithm dynamically compares the distances between the geometric objects of the student`s solution and the template`s solution, provided by the author of the exercise. Each solution is a geometric construction which is considered a function receiving geometric objects (input) and returning other geometric objects (output). Thus, for a given problem, if we know one function (construction) that solves the problem, we can compare it to any other function to check whether they are equivalent or not. Two functions are equivalent if, and only if, they have the same output when the same input is applied. If the student`s solution is equivalent to the template`s solution, then we consider the student`s solution as a correct solution. Our software utility provides both authoring and checking tools to work directly on the Internet, together with learning management systems. These tools are implemented using the dynamic geometry software, iGeom, which has been used in a geometry course since 2004 and has a successful track record in the classroom. Empowered with these new features, iGeom simplifies teachers` tasks, solves non-trivial problems in student solutions and helps to increase student motivation by providing feedback in real time. (c) 2008 Elsevier Ltd. All rights reserved.

POSITIONING DURING RESISTANCE ELBOW FLEXOR EXERCISE AFFECTS ELECTROMYOGRAPHIC ACTIVITY, HEART RATE, and PERCEIVED EXERTION

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Electromyographic fatigue threshold of the biceps brachii muscle during dynamic contraction

The purpose of this study was to identify the Electromyographic Fatigue Threshold (EMG FT) of the biceps brachii muscle bilaterally during the elbow flexion in tests performed in different times: 30 second test, 1 minute test and fatiguing test, in concentric (CC) and eccentric (EC) phases. Nine healthy young men performed the elbow flexion with loads corresponding at 25%, 35% and 45% of the one repetition maximum (1-RM) in separate days. The results indicated that the test applied for the biceps brachii muscle during elbow flexion induced a progressive increment of EMG activity with time indicating muscle fatigue and allowed the identification of the EMG FT. The three tests presented no difference of EMG FT between CC and EC phases bilaterally.

Effectiveness of an exercise program on postural control in frail older adults

Background: Exercise programs have proved to be helpful for frail older adults. This study aimed to investigate the effects of an exercise program with a focus on postural control exercises in frail older adults. Method: Twenty-six older adults (76.7 +/- 4.9 years) deemed clinically stable, chosen from the Falls Unit, University Hospital Mutua Terrassa, Barcelona, Spain, participated in this single-group study. Volunteers' postural control was evaluated using the Timed Up and Go test (TUG) and the Guralnik test battery, and their static and dynamic posturography were evaluated using the Synapsys Posturography System (R). These evaluations were performed before and after the intervention program, which included an educational session and two weekly 1-hour sessions over an 8-week period of stretching exercises, proprioception, balance, and motor coordination. Data were analyzed using the Student's t-test or the Wilcoxon test, with a significance level of 5%. Results: The TUG and Guralnik tests did not show significant differences. Concerning static posturography, there was improvement in the base of support (P = 0.006), anteroposterior displacement with eyes open (P = 0.02) and closed (P = 0.03), and the total amplitude of the center of pressure with eyes closed (P = 0.02). Regarding dynamic posturography, a decrease of the oscillation speed in the anteroposterior direction (P = 0.01) was observed in individuals with their eyes open. Conclusion: The program used in this study was safe and was able to promote some improvement in postural control, especially in the anteroposterior direction and in the base of support. However, it is noteworthy that further improvements could be obtained from a program of longer duration and greater frequency.

Pontomedullary and hypothalamic distribution of Fos-like immunoreactive neurons after acute exercise in rats

During exercise, intense brain activity orchestrates an increase in muscle tension. Additionally, there is an increase in cardiac output and ventilation to compensate the increased metabolic demand of muscle activity and to facilitate the removal of CO2 from and the delivery of O-2 to tissues. Here we tested the hypothesis that a subset of pontomedullary and hypothalamic neurons could be activated during dynamic acute exercise. Male Wistar rats (250-350 g) were divided into an exercise group (n = 12) that ran on a treadmill and a no-exercise group (n = 7). Immunohistochemistry of pontomedullary and hypothalamic sections to identify activation (c-Fos expression) of cardiorespiratory areas showed that the no-exercise rats exhibited minimal Fos expression. In contrast, there was intense activation of the nucleus of the solitary tract, the ventrolateral medulla (including the presumed central chemoreceptor neurons in the retrotrapezoid/parafacial region), the lateral parabrachial nucleus, the Kolliker-Fuse region, the perifornical region, which includes the perifornical area and the lateral hypothalamus, the dorsal medial hypothalamus, and the paraventricular nucleus of the hypothalamus after running exercise. Additionally, we observed Fos immunoreactivity in catecholaminergic neurons within the ventrolateral medulla (C1 region) without Fos expression in the A2, A5 and A7 neurons. In summary, we show for the first time that after acute exercise there is an intense activation of brain areas crucial for cardiorespiratory control. Possible involvement of the central command mechanism should be considered. Our results suggest whole brain-specific mobilization to correct and compensate the homeostatic changes produced by acute exercise. (c) 2012 IBRO. Published by Elsevier Ltd. All rights reserved.

Low dynamic muscle strength and its associations with fatigue, functional performance, and quality of life in premenopausal patients with systemic lupus erythematosus and low disease activity: a case–control study

Abstract Background The purpose of the present study was to compare dynamic muscle strength, functional performance, fatigue, and quality of life in premenopausal systemic lupus erythematosus (SLE) patients with low disease activity versus matched-healthy controls and to determine the association of dynamic muscle strength with fatigue, functional performance, and quality of life in SLE patients. Methods We evaluated premenopausal (18–45 years) SLE patients with low disease activity (Systemic lupus erythematosus disease activity index [SLEDAI]: mean 1.5 ± 1.2). The control (n = 25) and patient (n = 25) groups were matched by age, physical characteristics, and the level of physical activities in daily life (International Physical Activity Questionnaire IPAQ). Both groups had not participated in regular exercise programs for at least six months prior to the study. Dynamic muscle strength was assessed by one-repetition maximum (1-RM) tests. Functional performance was assessed by the Timed Up and Go (TUG), in 30-s test a chair stand and arm curl using a 2-kg dumbbell and balance test, handgrip strength and a sit-and-reach flexibility test. Quality of life (SF-36) and fatigue were also measured. Results The SLE patients showed significantly lower dynamic muscle strength in all exercises (leg press 25.63%, leg extension 11.19%, leg curl 15.71%, chest press 18.33%, lat pulldown 13.56%, 1-RM total load 18.12%, P < 0.001-0.02) compared to the controls. The SLE patients also had lower functional performance, greater fatigue and poorer quality of life. In addition, fatigue, SF-36 and functional performance accounted for 52% of the variance in dynamic muscle strength in the SLE patients. Conclusions Premenopausal SLE patients with low disease activity showed lower dynamic muscle strength, along with increased fatigue, reduced functional performance, and poorer quality of life when compared to matched controls.

Effects of anxiety on decision making and visual search Behaviour in dynamic, time-constrained situations

Einleitung Aktuelle empirische Befunde deuten darauf hin, dass Sportler/innen durch Stress und erhöhte Angst eine reduzierte Effizienz bei der Entscheidungsfindung aufweisen (Wilson, 2008). Erklärt werden kann dieser Befund durch die Attentional-Control-Theory (ACT, Eysenck et al., 2007), die postuliert, dass aufmerksamkeitslenkende Prozesse unter Angst gestört werden. Um diese Annahme für komplexe Situationen im Sport zu prüfen, wurden Fußballspieler unter erhöhten und regulären Druckbedingungen verglichen. Methode Je 11 Experten und Nicht-Experten hatten aus der Perspektive des Abwehrspielers die Aufgabe, in zwei mal 24 Spielsituationen so schnell und korrekt wie möglich verbal anzugeben, welche Aktion der ballführende Spieler (in naher vs. ferner Spielsituation) nach Ausblendung der Szene ausführen wird. Während im ersten Block der Druck nicht erhöht wurde, wurden Druckbedingungen im zweiten Block u.a. durch eine Wettkampfsituation und „falscher“ Ergebnisrückmeldung gesteigert. Entscheidungs- und Blickverhalten (u.a. Anzahl Fixationen), Pupillengröße, Zustandsangst und „Mental Effort“ (Wilson, 2008) wurden erfasst. Neben Expertiseunterschieden wurde erwartet, dass erhöhte Angst die Entscheidungseffizienz sowie das Blickverhalten stört (ACT-Annahme), was mit 2 (Experten/Nicht-Experten) x 2 (nahe/ferne Spielsituation) x 2 (hohe/reguläre Druckbedingung) ANOVAs (? = .05) mit Messwiederholungen auf den letzten beiden Faktoren geprüft wurde. Ergebnisse Druckmanipulationen führten zu höherer Zustandsangst und größeren Pupillendurchmessern. Neben Expertiseunterschieden – Experten antworteten schneller, korrekter und zeigten ein situationsangepasstes visuelles Suchverhalten – wiesen beide Gruppen in Drucksituationen längere Antwortzeiten und höheren Mental Effort auf. Erhöhter Druck führte bei Experten zur Reduktion der Fixationsortwechsel für ferne Spielsituationen. Nicht-Experten differenzierten ihr Suchverhalten weder zwischen Bedingungen noch für Spielsituationen. Diskussion Die Resultate bestätigen die ACT-Annahme, dass Angst und Stress die sportliche Leistung durch längere Reaktionszeiten, höhere kognitive Anstrengung und ein teilweise ineffizientes visuelles Suchverhalten negativ beeinflusst. Eine gestörte Balance zwischen Top-Down und Bottom-Up-Prozessen könnte die Ursache sein (Eysenck et al., 2007). Literatur Eysenck, M. W., Derakshan, N., Santos, R., & Calvo, M. G. (2007). Anxiety and cognitive performance: Attentional control theory. Emotion, 7, 336–353. Wilson, M. (2008). From processing efficiency to attentional control: A mechanistic account of the anxiety-performance relationship. International Review of Sport and Exercise Psychology, 1, 184– 201. 2 Vorträge und Poster

Effects of Anxiety on Anticipation and Visual Search in Dynamic, Time-Constrained Situations

We tested the predictions of Attentional Control Theory (ACT) by examining how anxiety affects visual search strategies, performance efficiency, and performance effectiveness using a dynamic, temporal-constrained anticipation task. Higher and lower skilled players viewed soccer situations under 2 task constraints (near vs. far situation) and were tested under high (HA) and low (LA) anxiety conditions. Response accuracy (effectiveness) and response time, perceived mental effort, and eye-movements (all efficiency) were recorded. A significant increase in anxiety was evidenced by higher state anxiety ratings on the MRF-L scale. Increased anxiety led to decreased performance efficiency because response times and mental effort increased for both skill groups whereas response accuracy did not differ. Anxiety influenced search strategies, with higher skilled players showing a decrease in number of fixation locations for far situations under HA compared with LA condition when compared with lower skilled players. Findings provide support for ACT with anxiety impairing processing efficiency and, potentially, top-down attentional control across different task constraints.

Poisson dynamic models. An application to interurban accidents in Spain

In this study we apply count data models to four integer–valued time series related to accidentality in Spanish roads applying both the frequentist and Bayesian approaches. The time series are: number of fatalities, number of fatal accidents, number of killed or seriously injured (KSI) and number of accidents with KSI. The model structure is Poisson regression with first order autoregressive errors. The purpose of the paper is first to sort out the explanatory variables by relevance and second to carry out a prediction exercise for validation.

Effects of static stretching following a dynamic warm-up on speed, agility and power

Static stretching prior to sport has been shown to decrease force production in comparison to the increasing popularity of dynamic warm-up methods. However some athletes continue to use a bout of static stretching following dynamic methods. The purpose of this study was to investigate the effects on speed, agility and power following a period of additional static stretching following a dynamic warm-up routine. Twenty-five male University students who participated in team sports performed two warm-up protocols concentrating on the lower body one week apart through a randomised cross over design. The dynamic warm-up (DW) protocol used a series of specific progressive exercises lasting 10 minutes over a distance of 20m. The dynamic warm-up plus static stretching (DWS) protocol used the same DW protocol followed by a 5 minute period during which 7 muscle groups were stretched. Following each warm-up the subjects performed a countermovement vertical jump, 20m sprint and Illinois agility test, 1 minute apart. The results demonstrated no significant differences in speed, agility and jump performance following the two protocols DW and DWS. The study concludes that performing static stretching following a dynamic warm-up prior to performance does not significantly affect speed, agility and vertical jump performance.

Highly demanding resistive vibration exercise program is tolerated during 56 days of strict bed-rest

Several studies have tried to find countermeasures against musculoskeletal de-conditioning during bed-rest, but none of them yielded decisive results. We hypothesised that resistive vibration exercise (RVE) might be a suitable training modality. We have therefore carried out a bed-rest study to evaluate its feasibility and efficacy during 56 days of bed-rest. Twenty healthy male volunteers aged 24 to 43 years were recruited and, after medical check-ups, randomised to a non-exercising control (Ctrl) group or a group that performed RVE 11 times per week. Strict bed-rest was controlled by video surveillance. The diet was controlled. RVE was performed in supine position, with a static force component of about twice the body weight and a smaller dynamic force component. RVE comprised four different units (squats, heel raises, toe raises, kicks), each of which lasted 60 - 100 seconds. Pre and post exercise levels of lactate were measured once weekly. Body weight was measured daily on a bed scale. Pain questionnaires were obtained in regular intervals during and after the bed-rest. Vibration frequency was set to 19 Hz at the beginning and progressed to 25.9 Hz (SD 1.9) at the end of the study, suggesting that the dynamic force component increased by 90%. The maximum sustainable exercise time for squat exercise increased from 86 s (SD 21) on day 11 of the BR to 176 s (SD 73) on day 53 (p = 0.006). On the same days, post-exercise lactate levels increased from 6.9 mmol/l (SD2.3) to 9.2 mmol/l (SD 3.5, p = 0.01). On average, body weight was unchanged in both groups during bed-rest, but single individuals in both groups depicted significant weight changes ranging from -10% to + d10% (p < 0.001). Lower limb pain was more frequent during bed-rest in the RVE subjects than in Ctrl (p = 0.035). During early recovery, subjects of both groups suffered from muscle pain to a comparable extent, but foot pain was more common in Ctrl than in RVE (p = 0.013 for plantar pain, p = 0.074 for dorsal foot pain). Our results indicate that RVE is feasible twice daily during bed-rest in young healthy males, provided that one afternoon and one entire day per week are free. Exercise progression, mainly by progression of vibration frequency, yielded increases in maximum sustainable exercise time and blood lactate. In conclusion, RVE as performed in this study, appears to be safe.

Dynamic training volume: A construct of both time under tension and volume load

The purpose of this study was to investigate the effects of three different weight training protocols, that varied in the way training volume was measured, on acute muscular fatigue. Ten resistance-trained males performed all three protocols which involved dynamic constant resistance exercise of the elbow flexors. Protocol A provided a standard for the time the muscle group was under tension (TUT) and volume load (VL), expressed as the product of the total number of repetitions and the load that was lifted. Protocol B involved 40% of the TUT but the same VL compared to protocol A; protocol C was equated with protocol A for TUT but only involved 50% of the VL. Fatigue was assessed by changes in maximum voluntary isometric force and integrated electromyography (iEMG) between the pre- and post-training protocols. The results of the study showed that, when equated for VL, greater TUT produced greater overall muscular fatigue ( p

The effect of whole body vibration on oxygen uptake and electromyographic signal of the rectus femoris muscle during static and dynamic squat

Whole Body Vibrations consist of a vibration stimulus mechanically transferred to the body. The impact of vibration treatment on specific muscular activity, neuromuscular, and postural control has been widely studied. We investigated whole body vibration (WBV) effect on oxygen uptake and electromyographic signal of the rectus femoris muscle during static and dynamic squat. Fourteen healthy subjects performed a static and dynamic squat with and without vibration. During the vibration exercises, a significant increase was found in oxygen uptake (P=0.05), which increased by 44% during the static squat and 29.4% during the dynamic squat. Vibration increased heart rate by 11.1 ± 9.1 beats.min-1 during the static squat and 7.9 ± 8.3 beats.min-1 during the dynamic squat. No significant changes were observed in rate of perceived exertion between the exercises with and without vibration. The results indicate that the static squat with WBV produced higher neuromuscular and cardiorespiratory system activation for exercise duration ?60 sec. Otherwise, if the single bout duration was higher than 60 sec, the greater cardiorespiratory system activation was achieved during the dynamic squat with WBV while higher neuromuscular activation was still obtained with the static exercise.