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MA167exam01

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Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado

En este trabajo se implementa una metodología para incluir momentos de orden superior en la selección de portafolios, haciendo uso de la Distribución Hiperbólica Generalizada, para posteriormente hacer un análisis comparativo frente al modelo de Markowitz.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

Modeling cumulative evidence for freedom from disease with applications to BSE surveillance trials

This investigation deals with the question of when a particular population can be considered to be disease-free. The motivation is the case of BSE where specific birth cohorts may present distinct disease-free subpopulations. The specific objective is to develop a statistical approach suitable for documenting freedom of disease, in particular, freedom from BSE in birth cohorts. The approach is based upon a geometric waiting time distribution for the occurrence of positive surveillance results and formalizes the relationship between design prevalence, cumulative sample size and statistical power. The simple geometric waiting time model is further modified to account for the diagnostic sensitivity and specificity associated with the detection of disease. This is exemplified for BSE using two different models for the diagnostic sensitivity. The model is furthermore modified in such a way that a set of different values for the design prevalence in the surveillance streams can be accommodated (prevalence heterogeneity) and a general expression for the power function is developed. For illustration, numerical results for BSE suggest that currently (data status September 2004) a birth cohort of Danish cattle born after March 1999 is free from BSE with probability (power) of 0.8746 or 0.8509, depending on the choice of a model for the diagnostic sensitivity.

Use of 16S rRNA-targeted oligonucleotide probes to investigate function and phylogeny of sulphate-reducing bacteria and methanogenic archaea in a UK estuary

Sulphate-reducing bacteria (SRB) and methanogenic archaea (MA) are important anaerobic terminal oxidisers of organic matter. However, we have little knowledge about the distribution and types of SRB and MA in the environment or the functional role they play in situ. Here we have utilised sediment slurry microcosms amended with ecologically significant substrates, including acetate and hydrogen, and specific functional inhibitors, to identify the important SRB and MA groups in two contrasting sites on a UK estuary. Substrate and inhibitor additions had significant effects on methane production and on acetate and sulphate consumption in the slurries. By using specific 16S-targeted oligonucleotide probes we were able to link specific SRB and MA groups to the use of the added substrates. Acetate consumption in the freshwater-dominated sediments was mediated by Methanosarcinales under low-sulphate conditions and Desulfobacter under the high-sulphate conditions that simulated a tidal incursion. In the marine-dominated sediments, acetate consumption was linked to Desulfobacter. Addition of trimethylamine, a non-competitive substrate for methanogenesis, led to a large increase in Methanosarcinales signal in marine slurries. Desulfobulbus was linked to non-sulphate-dependent H-2 consumption in the freshwater sediments. The addition of sulphate to freshwater sediments inhibited methane production and reduced signal from probes targeted to Methanosarcinales and Methanomicrobiales, while the addition of molybdate to marine sediments inhibited Desulfobulbus and Desulfobacterium. These data complement our understanding of the ecophysiology of the organisms detected and make a firm connection between the capabilities of species, as observed in the laboratory, to their roles in the environment. (C) 2003 Federation of European Microbiological Societies. Published by Elsevier Science B.V. All rights reserved.

The full-spectrum correlated-k method for longwave atmospheric radiative transfer using an effective Planck function

The correlated k-distribution (CKD) method is widely used in the radiative transfer schemes of atmospheric models and involves dividing the spectrum into a number of bands and then reordering the gaseous absorption coefficients within each one. The fluxes and heating rates for each band may then be computed by discretizing the reordered spectrum into of order 10 quadrature points per major gas and performing a monochromatic radiation calculation for each point. In this presentation it is shown that for clear-sky longwave calculations, sufficient accuracy for most applications can be achieved without the need for bands: reordering may be performed on the entire longwave spectrum. The resulting full-spectrum correlated k (FSCK) method requires significantly fewer monochromatic calculations than standard CKD to achieve a given accuracy. The concept is first demonstrated by comparing with line-by-line calculations for an atmosphere containing only water vapor, in which it is shown that the accuracy of heating-rate calculations improves approximately in proportion to the square of the number of quadrature points. For more than around 20 points, the root-mean-squared error flattens out at around 0.015 K/day due to the imperfect rank correlation of absorption spectra at different pressures in the profile. The spectral overlap of m different gases is treated by considering an m-dimensional hypercube where each axis corresponds to the reordered spectrum of one of the gases. This hypercube is then divided up into a number of volumes, each approximated by a single quadrature point, such that the total number of quadrature points is slightly fewer than the sum of the number that would be required to treat each of the gases separately. The gaseous absorptions for each quadrature point are optimized such that they minimize a cost function expressing the deviation of the heating rates and fluxes calculated by the FSCK method from line-by-line calculations for a number of training profiles. This approach is validated for atmospheres containing water vapor, carbon dioxide, and ozone, in which it is found that in the troposphere and most of the stratosphere, heating-rate errors of less than 0.2 K/day can be achieved using a total of 23 quadrature points, decreasing to less than 0.1 K/day for 32 quadrature points. It would be relatively straightforward to extend the method to include other gases.

The spatial distribution of carbon dioxide in an environmental test chamber

The spatial distribution of CO2 level in a classroom carried out in previous field work research has demonstrated that there is some evidence of variations in CO2 concentration in a classroom space. Significant fluctuations in CO2 concentration were found at different sampling points depending on the ventilation strategies and environmental conditions prevailing in individual classrooms. However, how these variations are affected by the emitting sources and the room air movement remains unknown. Hence, it was concluded that detailed investigation of the CO2 distribution need to be performed on a smaller scale. As a result, it was decided to use an environmental chamber with various methods and rates of ventilation, for the same internal temperature and heat loads, to study the effect of ventilation strategy and air movement on the distribution of CO2 concentration in a room. The role of human exhalation and its interaction with the plume induced by the body's convective flow and room air movement due to different ventilation strategies were studied in a chamber at the University of Reading. These phenomena are considered to be important in understanding and predicting the flow patterns in a space and how these impact on the distribution of contaminants. This paper attempts to study the CO2 dispersion and distribution at the exhalation zone of two people sitting in a chamber as well as throughout the occupied zone of the chamber. The horizontal and vertical distributions of CO2 were sampled at locations with a probability that CO2 variation is considered high. Although the room size, source location, ventilation rate and location of air supply and extract devices all can have influence on the CO2 distribution, this article gives general guidelines on the optimum positioning of CO2 sensor in a room.