Canonical valuation of options in the presence of stochastic volatility

Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk-neutral framework. It is non-parametric, simple to apply, and, unlike many alternative approaches, does not require any option data. Although canonical valuation has great potential, its applicability in realistic scenarios has not yet been widely tested. This article documents the ability of canonical valuation to price derivatives in a number of settings. In a constant-volatility world, canonical estimates of option prices struggle to match a Black-Scholes estimate based on historical volatility. However, in a more realistic stochastic-volatility setting, canonical valuation outperforms the Black-Scholes model. As the volatility generating process becomes further removed from the constant-volatility world, the relative performance edge of canonical valuation is more evident. In general, the results are encouraging that canonical valuation is a useful technique for valuing derivatives. (C) 2005 Wiley Periodicals, Inc.

INFLUÊNCIA DO LASER DE BAIXA INTENSIDADE NA VELOCIDADE DA MOVIMENTAÇÃO ORTODÔNTICA

Este estudo investigou os efeitos do laser de baixa intensidade na velocidade da movimentação ortodôntica de caninos submetidos à retração inicial. A amostra constou de 26 caninos superiores e inferiores, submetidos à retração inicial realizada com mola Niti, com força de 150g. Um dos caninos foi irradiado com laser de diodo, seguindo o protocolo de aplicação: 780nm/20mW/5Jcm2/0,2J por ponto/Et=2J, nos dias 0, 3 e 7 pós-ativação, sendo que o contralateral foi considerado placebo. A retração durou em média 4 meses, num total de 9 aplicações de laser. Os modelos de cada mês foram escaneados com scanner 3D (3Shape) e as imagens tridimensionais foram analisadas por meio do Software Geomagic Studio 5, para a mensuração da quantidade de movimentação dos caninos retraídos. Foi empregada a Análise de Variância a três critérios, seguida pelo teste de Tukey (p<0,05). Para verificação da integridade tecidual, foram efetuadas radiografias periapicais iniciais e finais dos caninos retraídos e dos molares, nas quais foram avaliados uma possível reabsorção na crista alveolar, por meio da distância da crista óssea alveolar até a junção cemento-esmalte e os níveis de reabsorção radicular, por meio do índice de Levander e Malmgreen, sendo este último avaliado somente nos caninos retraídos. Para isto, foi empregado o teste não paramétrico de Wilcoxon (p<0,05). Os resultados indicaram que houve um aumento estatisticamente significante na velocidade da movimentação dos caninos irradiados comparados ao seu contralateral, em todos os tempos avaliados, como também a preservação da integridade tecidual. Com isso, concluiu-se que o laser de diodo pode acelerar a movimentação ortodôntica, podendo contribuir para a diminuição do tempo de tratamento.(AU)

A Treinabilidade da Atenção na Prática Esportiva: uma abordagem com goleiros de futebol de campo.

Alguma forma de atenção está continuamente presente na atividade consciente humana, trazendo implicações e interesses tanto de cunho clínico quanto para a Psicologia da Saúde. A atenção é entendida como um estado seletivo, intensivo e dirigido da percepção. Dentro do contexto esportivo a muito da atenção para ser explorada. O objetivo neste trabalho foi testar a atenção de goleiros de futebol de campo através de duas tarefas experimentais. Nossas hipóteses foram que prática esportiva, especificamente em goleiros, e em função do seu treinamento, melhora seu desempenho em tarefas dissociativas do contexto peculiar ao esporte. E ainda; havendo melhora no desempenho, se é devida a componente perceptivo de discriminação, ao alocamento temporal de atenção, ou à sustentação da mesma por períodos prolongados, isto é, uma maior capacidade de concentração ou menos fadigabilidade. Comparamos 27 goleiros de futebol de campo, com idades entre 15 e 27 anos; separados por tempo de treino. Utilizamos neste estudo um programa comercial de computador, configurado para a criação de testes de atenção (Stim, Neurosoft. Inc); que controla todos os aspectos da tarefa. Correlacionamos tempo de reação e porcentagem de acertos com duração do treinamento dos goleiros em meses (e com a idade). Dividimos o grupo de goleiros em dois subgrupos, pela mediana de tempo de treinamento. Apesar da alta correlação entre tempo de treinamento e idade, inevitavelmente em nossa amostra, não houve correlação significativa entre idade e desempenho em ambas as tarefas. A correlação entre desempenho e tempo de treinamento foi altamente significativa na tarefa I. Não verificamos a correlação entre desempenho e tempo de treinamento na tarefa II, apesar da correlação significativa entre desempenhos nas duas tarefas. Foram feitas análises de correlações entre tempo de treinamento e desempenho nas tarefas separadas por blocos. Na tarefa I, a correlação entre tempo de treino e desempenho em cada bloco foi sempre significativa; tanto em teste paramétrico quanto em teste não paramétrico. Já na tarefa II não houve correlação significativa em tempo de treinamento e desempenho em qualquer dos blocos. Na análise categórica, ou seja, dos grupos divididos em dois subgrupos pela mediana de tempo de treinamento; a diferença de desempenho entre os subgrupos foi significativa apenas na tarefa I, no total de acertos (T- test de amostras independentes; F=4.36, p=0.037) e em acertos nos últimos dois blocos (bloco 3 p=0.048; bloco 4 p=0.026). Com o tempo de treinamento, a melhora no que diferenciar e o aumento na condição da fadigabilidade, tende a refinar e a diminuir. A prática esportiva pode de fato melhorar a capacidade perceptiva e a sustentação da atenção, que é à base da disciplina humana para realização de qualquer tarefa. Conseqüentemente, uma melhora afetiva e somática, além disso, uma melhora cognitiva e intelectual traz consigo uma aplicabilidade real na qualidade de vida das pessoas

Bayesian training of mixture density networks

Mixture Density Networks (MDNs) are a well-established method for modelling the conditional probability density which is useful for complex multi-valued functions where regression methods (such as MLPs) fail. In this paper we extend earlier research of a regularisation method for a special case of MDNs to the general case using evidence based regularisation and we show how the Hessian of the MDN error function can be evaluated using R-propagation. The method is tested on two data sets and compared with early stopping.

A performance assessment method for hospitals:the case of municipal hospitals in Angola

Over 60% of the recurrent budget of the Ministry of Health (MoH) in Angola is spent on the operations of the fixed health care facilities (health centres plus hospitals). However, to date, no study has been attempted to investigate how efficiently those resources are used to produce health services. Therefore the objectives of this study were to assess the technical efficiency of public municipal hospitals in Angola; assess changes in productivity over time with a view to analyzing changes in efficiency and technology; and demonstrate how the results can be used in the pursuit of the public health objective of promoting efficiency in the use of health resources. The analysis was based on a 3-year panel data from all the 28 public municipal hospitals in Angola. Data Envelopment Analysis (DEA), a non-parametric linear programming approach, was employed to assess the technical and scale efficiency and productivity change over time using Malmquist index.The results show that on average, productivity of municipal hospitals in Angola increased by 4.5% over the period 2000-2002; that growth was due to improvements in efficiency rather than innovation. © 2008 Springer Science+Business Media, LLC.

Technical efficiency:efficiency, change, technical progress and productivity growth in the national health systems of continental African countries

In May 2006, the Ministers of Health of all the countries on the African continent, at a special session of the African Union, undertook to institutionalise efficiency monitoring within their respective national health information management systems. The specific objectives of this study were: (i) to assess the technical efficiency of National Health Systems (NHSs) of African countries for measuring male and female life expectancies, and (ii) to assess changes in health productivity over time with a view to analysing changes in efficiency and changes in technology. The analysis was based on a five-year panel data (1999-2003) from all the 53 countries of continental Africa. Data Envelopment Analysis (DEA) - a non-parametric linear programming approach - was employed to assess the technical efficiency. Malmquist Total Factor Productivity (MTFP) was used to analyse efficiency and productivity change over time among the 53 countries' national health systems. The data consisted of two outputs (male and female life expectancies) and two inputs (per capital total health expenditure and adult literacy). The DEA revealed that 49 (92.5%) countries' NHSs were run inefficiently in 1999 and 2000; 50 (94.3%), 48 (90.6%) and 47 (88.7%) operated inefficiently in 2001, 2002, and 2003 respectively. All the 53 countries' national health systems registered improvements in total factor productivity attributable mainly to technical progress. Fifty-two countries did not experience any change in scale efficiency, while thirty (56.6%) countries' national health systems had a Pure Efficiency Change (PEFFCH) index of less than one, signifying that those countries' NHSs pure efficiency contributed negatively to productivity change. All the 53 countries' national health systems registered improvements in total factor productivity, attributable mainly to technical progress. Over half of the countries' national health systems had a pure efficiency index of less than one, signifying that those countries' NHSs pure efficiency contributed negatively to productivity change. African countries may need to critically evaluate the utility of institutionalising Malmquist TFP type of analyses to monitor changes in health systems economic efficiency and productivity over time. African national health systems, per capita total health expenditure, technical efficiency, scale efficiency, Malmquist indices of productivity change, DEA

Measurement efficiency and productivity in SAS/OR

This paper explores the use of the optimisation procedures in SAS/OR software with application to the measurement of efficiency and productivity of decision-making units (DMUs) using data envelopment analysis (DEA) techniques. DEA was originally introduced by Charnes et al. [J. Oper. Res. 2 (1978) 429] is a linear programming method for assessing the efficiency and productivity of DMUs. Over the last two decades, DEA has gained considerable attention as a managerial tool for measuring performance of organisations and it has widely been used for assessing the efficiency of public and private sectors such as banks, airlines, hospitals, universities and manufactures. As a result, new applications with more variables and more complicated models are being introduced. Further to successive development of DEA a non-parametric productivity measure, Malmquist index, has been introduced by Fare et al. [J. Prod. Anal. 3 (1992) 85]. Employing Malmquist index, productivity growth can be decomposed into technical change and efficiency change. On the other hand, the SAS is a powerful software and it is capable of running various optimisation problems such as linear programming with all types of constraints. To facilitate the use of DEA and Malmquist index by SAS users, a SAS/MALM code was implemented in the SAS programming language. The SAS macro developed in this paper selects the chosen variables from a SAS data file and constructs sets of linear-programming models based on the selected DEA. An example is given to illustrate how one could use the code to measure the efficiency and productivity of organisations.

Is there a trade-off between quality and productivity? The case of diagnostic technologies in Portugal

The purpose of this paper is twofold: first, we compute quality-adjusted measures of productivity change for the three most important diagnostic technologies (i.e., the Computerised Tomography Scan, Electrocardiogram and Echocardiogram) in the major Portuguese hospitals. We use the Malmquist–Luenberger index, which allows to measure productivity growth while controlling for the quality of the production. Second, using non-parametric tests, we analyse whether the implementation of the Prospective Payment System may have had a positive impact on the movements of productivity over time. The results show that the PPS has helped hospitals to use these tools more efficiently and to improve their effectiveness.

Patterns of corporate governance and technical efficiency in Italian manufacturing

The purpose of this paper is to analyse the relationship between the corporate governance system and technical efficiency in Italian manufacturing. We use a non-parametric frontier technique (DEA) to derive technical efficiency measures for a sample of Italian firms taken from nine manufacturing industries. These measures are then related to the characteristics of the corporate governance system. Two of these characteristics turn out to have a positive impact on technical efficiency: the percentage of the company shares owned by the largest shareholder and the fact that a firm belongs to a pyramidal group. Interestingly, a trade-off emerges between these influences, in the sense that one is stronger in industries where the other is weaker. Copyright © 2007 John Wiley & Sons, Ltd.

Public capital and total factor productivity:new evidence from the Italian regions, 1970-98

This paper analyses the relationship between industrial total factor productivity and public capital across the 20 Italian administrative regions. It adds upon the existing literature in a number of ways: it analyses a longer period (1970-98); it allows for the role of human capital accumulation; it tests for the existence of a long-run relationship between total factor productivity and public capital (through previously suggested panel techniques) and for weak exogeneity of public capital; and it assesses the significance of public capital within a non-parametric set-up based on the Free Disposal Hull. The results confirm that public capital has a significant impact on the evolution of total factor productivity, particularly in the Southern regions. This impact is mainly ascribed to the core infrastructures (road and airports, harbours, railroads, water and electricity, telecommunications). Also, core infrastructures are weakly exogenous. © 2005 Regional Studies Association.

Programmatic efficiency comparisons between unequally sized groups of DMUs in DEA

Data envelopment analysis (DEA) is a popular non-parametric technique for determining the efficiency of a homogeneous set of decision-making units (DMUs). In many practical cases, there is some doubt if the all the DMUs form a single group with a common efficiency distribution. The Mann-Whitney rank statistic has been used in DEA both to test if two groups of DMUs come from a common efficiency distribution and also to test if the two groups have a common frontier, each of which are likely to have important but different policy implications for the management of the groups. In this paper it is demonstrated that where the Mann-Whitney rank statistic is used for the second of these it is likely to overestimate programmatic inefficiency, particularly of the smaller group. A new non-parametric statistic is proposed for the case of comparing the efficient frontiers of two groups, which overcomes the problems we identify in the use of the Mann-Whitney rank statistic for this purpose. © 2005 Operational Research Society Ltd. All rights reserved.

On the existence of visual technical patterns in the UK stock market

The aim in this paper is to replicate and extend the analysis of visual technical patterns by Lo et al. (2000) using data on the UK market. A non-parametric smoother is used to model a nonlinear trend in stock price series. Technical patterns, such as the 'head-and-shoulders' pattern, that are characterised by a sequence of turning points are identified in the smoothed data. Statistical tests are used to determine whether returns conditioned on the technical patterns are different from random returns and, in an extension to the analysis of Lo et al. (2000), whether they can outperform a market benchmark return. For the stocks in the FTSE 100 and FTSE 250 indices over the period 1986 to 2001, we find that technical patterns occur with different frequencies to each other and in different relativities to the frequencies found in the US market. Our extended statistical testing indicates that UK stock returns are less influenced by technical patterns than was the case for US stock returns.

Measurement of productivity index with dynamic DEA

Fare, Grosskopf, Norris and Zhang developed a non-parametric productivity index, Malmquist index, using data envelopment analysis (DEA). The Malmquist index is a measure of productivity progress (regress) and it can be decomposed to different components such as 'efficiency catch-up' and 'technology change'. However, Malmquist index and its components are based on two period of time which can capture only a part of the impact of investment in long-lived assets. The effects of lags in the investment process on the capital stock have been ignored in the current model of Malmquist index. This paper extends the recent dynamic DEA model introduced by Emrouznejad and Thanassoulis and Emrouznejad for dynamic Malmquist index. This paper shows that the dynamic productivity results for Organisation for Economic Cooperation and Development countries should reflect reality better than those based on conventional model.

Measuring the degree of spatial correlation between histological features in thin sections of brain tissue

Histological features visible in thin sections of brain tissue, such as neuronal perikarya, blood vessels, or pathological lesions may exhibit a degree of spatial association or correlation. In neurodegenerative disorders such as AD, Pick's disease, and CJD, information on whether different types of pathological lesion are spatially correlated may be useful in elucidating disease pathogenesis. In the present article the statistical methods available for studying spatial association in histological sections are reviewed. These include tests of interspecific association between two or more histological features using χ2 contingency tables, measurement of 'complete' and 'absolute' association, and more complex methods that use grids of contiguous samples. In addition, the use of correlation matrices and stepwise multiple regression methods are described. The advantages and limitations of each method are reviewed and possible future developments discussed.

Wavefront analyzers induce instrument myopia

PURPOSE: To assess the accuracy of three wavefront analyzers versus a validated binocular open-view autorefractor in determining refractive error in non-cycloplegic eyes. METHODS: Eighty eyes were examined using the SRW-5000 open-view infrared autorefractor and, in randomized sequence, three wavefront analyzers: 1) OPD-Scan (NIDEK, Gamagori, Japan), 2) WASCA (Zeiss/Meditec, Jena, Germany), and 3) Allegretto (WaveLight Laser Technologies AG, Erlangen, Germany). Subjects were healthy adults (19 men and 21 women; mean age: 20.8 +/- 2.5 years). Refractive errors ranged from +1.5 to -9.75 diopters (D) (mean: +1.83 +/- 2.74 D) with up to 1.75 D cylinder (mean: 0.58 +/- 0.53 D). Three readings were collected per instrument by one examiner without anticholinergic agents. Refraction values were decomposed into vector components for analysis, resulting in mean spherical equivalent refraction (M) and J0 and J45 being vectors of cylindrical power at 0 degrees and 45 degrees, respectively. RESULTS: Positive correlation was observed between wavefront analyzers and the SRW-5000 for spherical equivalent refraction (OPD-Scan, r=0.959, P<.001; WASCA, r=0.981, P<.001; Allegretto, r=0.942, P<.001). Mean differences and limits of agreement showed more negative spherical equivalent refraction with wavefront analyzers (OPD-Scan, 0.406 +/- 0.768 D [range: 0.235 to 0.580 D] [P<.001]; WASCA, 0.511 +/- 0.550 D [range: 0.390 to 0.634 D] [P<.001]; and Allegretto, 0.434 +/- 0.904 D [range: 0.233 to 0.635 D] [P<.001]). A second analysis eliminating outliers showed the same trend but lower differences: OPD-Scan (n=75), 0.24 +/- 0.41 D (range: 0.15 to 0.34 D) (P<.001); WASCA (n=78), 0.46 +/- 0.47 D (range: 0.36 to 0.57 D) (P<.001); and Allegretto (n=77), 0.30 +/- 0.62 D (range: 0.16 to 0.44 D) (P<.001). No statistically significant differences were noted for J0 and J45. CONCLUSIONS: Wavefront analyzer refraction resulted in 0.30 D more myopia compared to SRW-5000 refraction in eyes without cycloplegia. This is the result of the accommodation excess attributable to instrument myopia. For the relatively low degrees of astigmatism in this study (<2.0 D), good agreement was noted between wavefront analyzers and the SRW-5000. Copyright (C) 2006 SLACK Incorporated