American option valuation: implied calibration of GARCH pricing models

This study analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach makes an implied calibration of the pricing model feasible. By empirically analyzing the pricing performance of American index and equity options, we illustrate the superiority of the proposed approach.

Doação de sangue nas redes solidárias onlineinterações, conexões e interconexões sob o olhar do circuito da dádiva

Esta dissertação analisa os diálogos no Facebook, no perfil do Hemorio, o hemocentro do Estado do Rio de Janeiro, durante duas situações de crise, ambas no ano de 2011: as chuvas na Região Serrana do Rio de Janeiro e o ataque da Escola Municipal Tasso da Silveira, em Realengo. Embora estes períodos registrem aumento de mais de 400% nas doações de sangue voluntárias no Hemorio, não se buscou comprovar a \2018veracidade\2019 dos depoimentos ou mensurar a correlação entre as postagens e a doação efetiva. Nosso objetivo maior foi o de identificar os sentidos associados à doação de sangue, as motivações, as relações de troca e os sentimentos, tal como manifestos na mídia digital. Para alargar a compreensão do universo no qual o ato de doar está inscrito, utilizamos os estudos teóricos sobre a dádiva \2013 tanto o trabalho seminal de Marcel Mauss, o \201CEnsaio sobre a Dádiva\201D, como de autores contemporâneos, como Alain Caillé, Jacques Godbout, Paulo Henrique Martins e Alda Lacerda. Esta vertente foi conjugada com as teorias de redes sociais online (Henry Jenkins, Pierre Lévy, Mark Granovetter, Manuel Castells e Raquel Recuero), explorando as conexões entre a tríade \201Cdar, receber e retribuir\201D, como forma de estabelecer as relações sociais, e o universo digital

N-nitroso compound exposure-associated transcriptomic profiles are indicative of an increased risk for colorectal cancer

Endogenous formation of N-nitroso compounds (NOCs), which are known animal carcinogens, could contribute to human carcinogenesis but definitive evidence is still lacking. To investigate the relevance of NOCs in human colorectal cancer (CRC) development, we analyzed whole genome gene expression modifications in human colon biopsies in relation to fecal NOC exposure. We had a particular interest in patients suffering from intestinal inflammation as this may stimulate endogenous NOC formation, and consequently predispose to CRC risk. Inflammatory bowel disease (IBD) patients diagnosed with ulcerative colitis and irritable bowel syndrome patients without inflammation, serving as controls, were therefore recruited. Fecal NOC were demonstrated in the majority of subjects. By associating gene expression levels of all subjects to fecal NOC levels, we identified a NOC exposure-associated transcriptomic response that suggests that physiological NOC concentrations may potentially induce genotoxic responses and chromatin modifications in human colon tissue, both of which are linked to carcinogenicity. In a network analysis, chromatin modifications were linked to 11 significantly modulated histone genes, pointing towards a possible epigenetic mechanism that may be relevant in comprehending NOC-induced carcinogenesis. In addition, pro-inflammatory transcriptomic modifications were identified in visually non-inflamed regions of the IBD colon. However, fecal NOC levels were slightly but not significantly increased in IBD patients, suggesting that inflammation did not strongly stimulate NOC formation. We conclude that NOC exposure is associated with gene expression modifications in the human colon that may suggest a potential role of these compounds in CRC development.

The case of negative day-ahead electricity prices

In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data.

Red meat intake-induced increases in fecal water genotoxicity correlate with pro-carcinogenic gene expression changes in the human colon

Red meat consumption is associated with an increased colorectal cancer (CRC) risk, which may be due to an increased endogenous formation of genotoxic N-nitroso compounds (NOCs). To assess the impact of red meat consumption on potential risk factors of CRC, we investigated the effect of a 7-day dietary red meat intervention in human subjects on endogenous NOC formation and fecal water genotoxicity in relation to genome-wide transcriptomic changes induced in colonic tissue. The intervention showed no effect on fecal NOC excretion but fecal water genotoxicity significantly increased in response to red meat intake. Colonic inflammation caused by inflammatory bowel disease, which has been suggested to stimulate endogenous nitrosation, did not influence fecal NOC excretion or fecal water genotoxicity. Transcriptomic analyses revealed that genes significantly correlating with the increase in fecal water genotoxicity were involved in biological pathways indicative of genotoxic effects, including modifications in DNA damage repair, cell cycle, and apoptosis pathways. Moreover, WNT signaling and nucleosome remodeling pathways were modulated which are implicated in human CRC development. We conclude that the gene expression changes identified in this study corroborate the genotoxic potential of diets high in red meat and point towards a potentially increased CRC risk in humans.

Coppicing shifts CO2 stimulation of poplar productivity to above-ground pools: a synthesis of leaf to stand level results from the POP/EUROFACE experiment

A poplar short rotation coppice (SRC) grown for the production of bioenergy can combine carbon (C) storage with fossil fuel substitution. Here, we summarize the responses of a poplar (Populus) plantation to 6 yr of free air CO2 enrichment (POP/EUROFACE consisting of two rotation cycles). We show that a poplar plantation growing in nonlimiting light, nutrient and water conditions will significantly increase its productivity in elevated CO2 concentrations ([CO2]). Increased biomass yield resulted from an early growth enhancement and photosynthesis did not acclimate to elevated [CO2]. Sufficient nutrient availability, increased nitrogen use efficiency (NUE) and the large sink capacity of poplars contributed to the sustained increase in C uptake over 6 yr. Additional C taken up in high [CO2] was mainly invested into woody biomass pools. Coppicing increased yield by 66% and partly shifted the extra C uptake in elevated [CO2] to above-ground pools, as fine root biomass declined and its [CO2] stimulation disappeared. Mineral soil C increased equally in ambient and elevated [CO2] during the 6 yr experiment. However, elevated [CO2] increased the stabilization of C in the mineral soil. Increased productivity of a poplar SRC in elevated [CO2] may allow shorter rotation cycles, enhancing the viability of SRC for biofuel production.