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.

Enfermedad tiroidea autoinmune en pacientes colombianos con lupus eritematoso sistémico

Objetivos: Determinar la prevalencia y los factores asociados con el desarrollo de hipotiroidismo autoinmune (HA) en una cohorte de pacientes con lupus eritematoso sistémico (LES), y analizar la información actual en cuanto a la prevalencia e impacto de la enfermedad tiroidea autoinmune y la autoinmunidad tiroidea en pacientes con LES. Métodos: Este fue un estudio realizado en dos pasos. Primero, un total de 376 pacientes con LES fueron evaluados sistemáticamente por la presencia de: 1) HA confirmado, 2) positividad para anticuerpos tiroperoxidasa/tiroglobulina (TPOAb/TgAb) sin hipotiroidismo, 3) hipotiroidismo no autoinmune, y 4) pacientes con LES sin hipotiroidismo ni positividad para TPOAb/TgAb. Se construyeron modelos multivariados y árboles de regresión y clasificación para analizar los datos. Segundo, la información actual fue evaluada a través de una revisión sistemática de la literatura (RLS). Se siguieron las guías PRISMA para la búsqueda en las bases de datos PubMed, Scopus, SciELO y Librería Virtual en Salud. Resultados: En nuestra cohorte, la prevalencia de HA confirmado fue de 12% (Grupo 1). Sin embargo, la frecuencia de positividad para TPOAb y TgAb fue de 21% y 10%, respectivamente (Grupo 2). Los pacientes con LES sin HA, hipotiroidismo no autoinmune ni positividad para TPOAb/TgAb constituyeron el 40% de la corhorte. Los pacientes con HA confirmada fueron estadísticamente significativo de mayor edad y tuvieron un inicio tardío de la enfermedad. El tabaquismo (ORA 6.93, IC 95% 1.98-28.54, p= 0.004), la presencia de Síndrome de Sjögren (SS) (ORA 23.2, IC 95% 1.89-359.53, p= 0.015) y la positividad para anticuerpos anti-péptido cíclico citrulinado (anti-CCP) (ORA 10.35, IC 95% 1.04-121.26, p= 0.047) se asociaron con la coexistencia de LES-HA, ajustado por género y duración de la enfermedad. El tabaquismo y el SS fueron confirmados como factores predictivos para LES-HA (AUC del modelo CART = 0.72). En la RSL, la prevalencia de ETA en LES varío entre 1% al 60%. Los factores asociados con esta poliautoinmunidad fueron el género femenino, edad avanzada, tabaquismo, positividad para algunos anticuerpos, SS y el compromiso articular y cutáneo. Conclusiones: La ETA es frecuente en pacientes con LES, y no afecta la severidad del LES. Los factores de riesgo identificados ayudarán a los clínicos en la búsqueda de ETA. Nuestros resultados deben estimular políticas para la suspensión del tabaquismo en pacientes con LES.

Skill Rating by Bayesian Inference

Systems Engineering often involves computer modelling the behaviour of proposed systems and their components. Where a component is human, fallibility must be modelled by a stochastic agent. The identification of a model of decision-making over quantifiable options is investigated using the game-domain of Chess. Bayesian methods are used to infer the distribution of players’ skill levels from the moves they play rather than from their competitive results. The approach is used on large sets of games by players across a broad FIDE Elo range, and is in principle applicable to any scenario where high-value decisions are being made under pressure.

Bayesian estimation of willingness-to-pay where respondents mis-report their preferences

We introduce a modified conditional logit model that takes account of uncertainty associated with mis-reporting in revealed preference experiments estimating willingness-to-pay (WTP). Like Hausman et al. [Journal of Econometrics (1988) Vol. 87, pp. 239-269], our model captures the extent and direction of uncertainty by respondents. Using a Bayesian methodology, we apply our model to a choice modelling (CM) data set examining UK consumer preferences for non-pesticide food. We compare the results of our model with the Hausman model. WTP estimates are produced for different groups of consumers and we find that modified estimates of WTP, that take account of mis-reporting, are substantially revised downwards. We find a significant proportion of respondents mis-reporting in favour of the non-pesticide option. Finally, with this data set, Bayes factors suggest that our model is preferred to the Hausman model.

Spatial econometric issues for bio-economic and land-use modelling

We survey the literature on spatial bio-economic and land-use modelling and assess its thematic development. Unobserved site-specific heterogeneity is a feature of almost all the surveyed works, and this feature, it seems, has stimulated significant methodological innovation. In an attempt to improve the suitability with which the prototype incorporates heterogeneity, we consider modelling alternatives and extensions. We discuss solutions and conjecture others.

Genetic diversity and structure of natural and managed populations of Cedrus atlantica (Pinaceae) assessed using random amplified polymorphic DNA

Cedrus atlantica (Pinaceae) is a large and exceptionally long-lived conifer native to the Rif and Atlas Mountains of North Africa. To assess levels and patterns of genetic diversity of this species. samples were obtained throughout the natural range in Morocco and from a forest plantation in Arbucies, Girona (Spain) and analyzed using RAPD markers. Within-population genetic diversity was high and comparable to that revealed by isozymes. Managed populations harbored levels of genetic variation similar to those found in their natural counterparts. Genotypic analyses Of Molecular variance (AMOVA) found that most variation was within populations. but significant differentiation was also found between populations. particularly in Morocco. Bayesian estimates of F,, corroborated the AMOVA partitioning and provided evidence for Population differentiation in C. atlantica. Both distance- and Bayesian-based Clustering methods revealed that Moroccan populations comprise two genetically distinct groups. Within each group, estimates of population differentiation were close to those previously reported in other gymnosperms. These results are interpreted in the context of the postglacial history of the species and human impact. The high degree of among-group differentiation recorded here highlights the need for additional conservation measures for some Moroccan Populations of C. atlantica.

Sequential genome-wide association studies for monitoring adverse events in the clinical evaluation of new drugs

Pharmacovigilance, the monitoring of adverse events (AEs), is an integral part in the clinical evaluation of a new drug. Until recently, attempts to relate the incidence of AEs to putative causes have been restricted to the evaluation of simple demographic and environmental factors. The advent of large-scale genotyping, however, provides an opportunity to look for associations between AEs and genetic markers, such as single nucleotides polymorphisms (SNPs). It is envisaged that a very large number of SNPs, possibly over 500 000, will be used in pharmacovigilance in an attempt to identify any genetic difference between patients who have experienced an AE and those who have not. We propose a sequential genome-wide association test for analysing AEs as they arise, allowing evidence-based decision-making at the earliest opportunity. This gives us the capability of quickly establishing whether there is a group of patients at high-risk of an AE based upon their DNA. Our method provides a valid test which takes account of linkage disequilibrium and allows for the sequential nature of the procedure. The method is more powerful than using a correction, such as idák, that assumes that the tests are independent. Copyright © 2006 John Wiley & Sons, Ltd.

An illustration of the modelling of cost and efficacy data from a clinical trial

Health care providers, purchasers and policy makers need to make informed decisions regarding the provision of cost-effective care. When a new health care intervention is to be compared with the current standard, an economic evaluation alongside an evaluation of health benefits provides useful information for the decision making process. We consider the information on cost-effectiveness which arises from an individual clinical trial comparing the two interventions. Recent methods for conducting a cost-effectiveness analysis for a clinical trial have focused on the net benefit parameter. The net benefit parameter, a function of costs and health benefits, is positive if the new intervention is cost-effective compared with the standard. In this paper we describe frequentist and Bayesian approaches to cost-effectiveness analysis which have been suggested in the literature and apply them to data from a clinical trial comparing laparoscopic surgery with open mesh surgery for the repair of inguinal hernias. We extend the Bayesian model to allow the total cost to be divided into a number of different components. The advantages and disadvantages of the different approaches are discussed. In January 2001, NICE issued guidance on the type of surgery to be used for inguinal hernia repair. We discuss our example in the light of this information. Copyright © 2003 John Wiley & Sons, Ltd.

The Origins of Lactase Persistence in Europe

Lactase persistence (LP) is common among people of European ancestry, but with the exception of some African, Middle Eastern and southern Asian groups, is rare or absent elsewhere in the world. Lactase gene haplotype conservation around a polymorphism strongly associated with LP in Europeans (-13,910 C/T) indicates that the derived allele is recent in origin and has been subject to strong positive selection. Furthermore, ancient DNA work has shown that the -13,910*T (derived) allele was very rare or absent in early Neolithic central Europeans. It is unlikely that LP would provide a selective advantage without a supply of fresh milk, and this has lead to a gene-culture coevolutionary model where lactase persistence is only favoured in cultures practicing dairying, and dairying is more favoured in lactase persistent populations. We have developed a flexible demic computer simulation model to explore the spread of lactase persistence, dairying, other subsistence practices and unlinked genetic markers in Europe and western Asia's geographic space. Using data on -13,910*T allele frequency and farming arrival dates across Europe, and approximate Bayesian computation to estimate parameters of interest, we infer that the -13,910*T allele first underwent selection among dairying farmers around 7,500 years ago in a region between the central Balkans and central Europe, possibly in association with the dissemination of the Neolithic Linearbandkeramik culture over Central Europe. Furthermore, our results suggest that natural selection favouring a lactase persistence allele was not higher in northern latitudes through an increased requirement for dietary vitamin D. Our results provide a coherent and spatially explicit picture of the coevolution of lactase persistence and dairying in Europe.

Action following the discovery of a global association between the whole genome and adverse event risk in a clinical drug-development programme

Observation of adverse drug reactions during drug development can cause closure of the whole programme. However, if association between the genotype and the risk of an adverse event is discovered, then it might suffice to exclude patients of certain genotypes from future recruitment. Various sequential and non-sequential procedures are available to identify an association between the whole genome, or at least a portion of it, and the incidence of adverse events. In this paper we start with a suspected association between the genotype and the risk of an adverse event and suppose that the genetic subgroups with elevated risk can be identified. Our focus is determination of whether the patients identified as being at risk should be excluded from further studies of the drug. We propose using a utility function to? determine the appropriate action, taking into account the relative costs of suffering an adverse reaction and of failing to alleviate the patient's disease. Two illustrative examples are presented, one comparing patients who suffer from an adverse event with contemporary patients who do not, and the other making use of a reference control group. We also illustrate two classification methods, LASSO and CART, for identifying patients at risk, but we stress that any appropriate classification method could be used in conjunction with the proposed utility function. Our emphasis is on determining the action to take rather than on providing definitive evidence of an association. Copyright (C) 2008 John Wiley & Sons, Ltd.

Inferring population history with DIY ABC: a user-friendly approach to approximate Bayesian computation

Genetic data obtained on population samples convey information about their evolutionary history. Inference methods can extract part of this information but they require sophisticated statistical techniques that have been made available to the biologist community (through computer programs) only for simple and standard situations typically involving a small number of samples. We propose here a computer program (DIY ABC) for inference based on approximate Bayesian computation (ABC), in which scenarios can be customized by the user to fit many complex situations involving any number of populations and samples. Such scenarios involve any combination of population divergences, admixtures and population size changes. DIY ABC can be used to compare competing scenarios, estimate parameters for one or more scenarios and compute bias and precision measures for a given scenario and known values of parameters (the current version applies to unlinked microsatellite data). This article describes key methods used in the program and provides its main features. The analysis of one simulated and one real dataset, both with complex evolutionary scenarios, illustrates the main possibilities of DIY ABC.

An approximate Bayesian computation approach to overcome biases that arise when using amplified fragment length polymorphism markers to study population structure

There is great interest in using amplified fragment length polymorphism (AFLP) markers because they are inexpensive and easy to produce. It is, therefore, possible to generate a large number of markers that have a wide coverage of species genotnes. Several statistical methods have been proposed to study the genetic structure using AFLP's but they assume Hardy-Weinberg equilibrium and do not estimate the inbreeding coefficient, F-IS. A Bayesian method has been proposed by Holsinger and colleagues that relaxes these simplifying assumptions but we have identified two sources of bias that can influence estimates based on these markers: (i) the use of a uniform prior on ancestral allele frequencies and (ii) the ascertainment bias of AFLP markers. We present a new Bayesian method that avoids these biases by using an implementation based on the approximate Bayesian computation (ABC) algorithm. This new method estimates population-specific F-IS and F-ST values and offers users the possibility of taking into account the criteria for selecting the markers that are used in the analyses. The software is available at our web site (http://www-leca.uif-grenoble.fi-/logiciels.htm). Finally, we provide advice on how to avoid the effects of ascertainment bias.

Modelling heterotachy in phylogenetic inference by reversible-jump Markov chain Monte Carlo

The rate at which a given site in a gene sequence alignment evolves over time may vary. This phenomenon-known as heterotachy-can bias or distort phylogenetic trees inferred from models of sequence evolution that assume rates of evolution are constant. Here, we describe a phylogenetic mixture model designed to accommodate heterotachy. The method sums the likelihood of the data at each site over more than one set of branch lengths on the same tree topology. A branch-length set that is best for one site may differ from the branch-length set that is best for some other site, thereby allowing different sites to have different rates of change throughout the tree. Because rate variation may not be present in all branches, we use a reversible-jump Markov chain Monte Carlo algorithm to identify those branches in which reliable amounts of heterotachy occur. We implement the method in combination with our 'pattern-heterogeneity' mixture model, applying it to simulated data and five published datasets. We find that complex evolutionary signals of heterotachy are routinely present over and above variation in the rate or pattern of evolution across sites, that the reversible-jump method requires far fewer parameters than conventional mixture models to describe it, and serves to identify the regions of the tree in which heterotachy is most pronounced. The reversible-jump procedure also removes the need for a posteriori tests of 'significance' such as the Akaike or Bayesian information criterion tests, or Bayes factors. Heterotachy has important consequences for the correct reconstruction of phylogenies as well as for tests of hypotheses that rely on accurate branch-length information. These include molecular clocks, analyses of tempo and mode of evolution, comparative studies and ancestral state reconstruction. The model is available from the authors' website, and can be used for the analysis of both nucleotide and morphological data.

Genetic evidence of frequent long-distance recruitment in a vertebrate-dispersed tree

The importance of dispersal for the maintenance of biodiversity, while long-recognized, has remained unresolved. We used molecular markers to measure effective dispersal in a natural population of the vertebrate-dispersed Neotropical tree, Simarouba amara (Simaroubaceae) by comparing the distances between maternal parents and their offspring and comparing gene movement via seed and pollen in the 50 ha plot of the Barro Colorado Island forest, Central Panama. In all cases (parent-pair, mother-offspring, father-offspring, sib-sib) distances between related pairs were significantly greater than distances to nearest possible neighbours within each category. Long-distance seedling establishment was frequent: 74% of assigned seedlings established > 100 m from the maternal parent [mean = 392 +/- 234.6 m (SD), range = 9.3-1000.5 m] and pollen-mediated gene flow was comparable to that of seed [mean = 345.0 +/- 157.7 m (SD), range 57.6-739.7 m]. For S. amara we found approximately a 10-fold difference between distances estimated by inverse modelling and mean seedling recruitment distances (39 m vs. 392 m). Our findings have important implications for future studies in forest demography and regeneration, with most seedlings establishing at distances far exceeding those demonstrated by negative density-dependent effects.