Spirometry reference equations for central European populations from school age to old age.

BACKGROUND: Spirometry reference values are important for the interpretation of spirometry results. Reference values should be updated regularly, derived from a population as similar to the population for which they are to be used and span across all ages. Such spirometry reference equations are currently lacking for central European populations. OBJECTIVE: To develop spirometry reference equations for central European populations between 8 and 90 years of age. MATERIALS: We used data collected between January 1993 and December 2010 from a central European population. The data was modelled using "Generalized Additive Models for Location, Scale and Shape" (GAMLSS). RESULTS: The spirometry reference equations were derived from 118'891 individuals consisting of 60'624 (51%) females and 58'267 (49%) males. Altogether, there were 18'211 (15.3%) children under the age of 18 years. CONCLUSION: We developed spirometry reference equations for a central European population between 8 and 90 years of age that can be implemented in a wide range of clinical settings.

Medidas de Perda na Avaliacão do Desempenho de Fundos de Investimentos

Uma das medidas de performance mais utilizada e a medida de Sharpe. A sua utilizacão e inadequada quando as rendibilidades não seguem uma distribuicão normal, assim originou o aparecimento de uma variedade de medidas alternativas. Em fun c~ao disso, surge então a questão de saber se essas medidas alternativas produzem rankings signi cativamente diferentes da que se obt em com a medida de Sharpe. Apesar da existencia de muitos estudos emp ricos sobre esta problem atica a resposta não e consensual. Neste trabalho fez-se a comparacão entre o ranking produzido pela medida de Sharpe e as algumas medidas alternativas, as que se baseiam no Low Partial Moments (Omega, Sortino, Kappa3 e Upside Potential Ratio) e, as que se baseiam no VaR - Value-at-Risk (ERV - Excess Return on VaR, ERMV - Excess Return on Modi ed VaR, ERCV - Excess Return on Conditional VaR e ERV? - Excess Return com VaR hist orico). Utilizando 26 fundos de investimentos norte-americanos, com registo di ario das rendibilidades para o per odo de Janeiro 2000 a Setembro 2009, encontrou-se um elevado coe ciente de correla c~ao de Spearman e de Kendall entre a medida de Sharpe e as alternativas, bem como as alternativas entre si, excepto para Upside Potential Ratio que os coe cientes s~ao relativamente baixos. Os resultados permitem concluir que existe uma medida que proporciona ordena c~oes diferentes.

Parameterized expectations approach; Some practical issues

We discuss some practical issues related to the use of the Parameterized Expectations Approach (PEA) for solving non-linear stochastic dynamic models with rational expectations. This approach has been applied in models of macroeconomics, financial economics, economic growth, contracttheory, etc. It turns out to be a convenient algorithm, especially when there is a large number of state variables and stochastic shocks in the conditional expectations. We discuss some practical issues having to do with the application of the algorithm, and we discuss a Fortran program for implementing the algorithm that is available through the internet.We discuss these issues in a battery of six examples.

Stochastic dominance and absolute risk aversion

In this paper we proose the infimum of the Arrow-Pratt index of absoluterisk aversion as a measure of global risk aversion of a utility function.We then show that, for any given arbitrary pair of distributions, thereexists a threshold level of global risk aversion such that all increasingconcave utility functions with at least as much global risk aversion wouldrank the two distributions in the same way. Furthermore, this thresholdlevel is sharp in the sense that, for any lower level of global riskaversion, we can find two utility functions in this class yielding oppositepreference relations for the two distributions.

Il laudario dei battisti di Modena... : Con una tavola fuori testo / pubblicato a cura di Giulio Bertoni...

Collection : Beihefte zur Zeitschrift für romanische Philologie ; 20

The achievable region approach to the optimal control of stochastic systems

The achievable region approach seeks solutions to stochastic optimisation problems by: (i) characterising the space of all possible performances(the achievable region) of the system of interest, and (ii) optimisingthe overall system-wide performance objective over this space. This isradically different from conventional formulations based on dynamicprogramming. The approach is explained with reference to a simpletwo-class queueing system. Powerful new methodologies due to the authorsand co-workers are deployed to analyse a general multiclass queueingsystem with parallel servers and then to develop an approach to optimalload distribution across a network of interconnected stations. Finally,the approach is used for the first time to analyse a class of intensitycontrol problems.

Weak approximations. A Malliavin calculus approach

We introduce a variation of the proof for weak approximations that issuitable for studying the densities of stochastic processes which areevaluations of the flow generated by a stochastic differential equation on a random variable that maybe anticipating. Our main assumption is that the process and the initial random variable have to be smooth in the Malliavin sense. Furthermore if the inverse of the Malliavin covariance matrix associated with the process under consideration is sufficiently integrable then approximations fordensities and distributions can also be achieved. We apply theseideas to the case of stochastic differential equations with boundaryconditions and the composition of two diffusions.

Tasso di omocisteina e diminuzione del rischio cardiovascolare: nessun effetto delle vitamine B: revisione Cochrane per il medico di famiglia.

Questo articolo presenta i risultati della rivista sistematica: Martí-Carvajal AJ, Solà I, Lathyris D, Salanti G. Homocysteine lowering interventions for preventing cardiovascular events. Cochrane Database Syst Rev. 2009 Oct 7;(4):CD006612. DOI: 10.1002/14651858.CD006612.pub2. PMID: 19821378.

Calibration of stochastic volatility models via second order approximation: the Heston model case

Using a suitable Hull and White type formula we develop a methodology to obtain asecond order approximation to the implied volatility for very short maturities. Using thisapproximation we accurately calibrate the full set of parameters of the Heston model. Oneof the reasons that makes our calibration for short maturities so accurate is that we alsotake into account the term-structure for large maturities. We may say that calibration isnot "memoryless", in the sense that the option's behavior far away from maturity doesinfluence calibration when the option gets close to expiration. Our results provide a wayto perform a quick calibration of a closed-form approximation to vanilla options that canthen be used to price exotic derivatives. The methodology is simple, accurate, fast, andit requires a minimal computational cost.

Emissioni atmosferiche da discariche di rifiuti in Lombardia: stato attuale e scenari tecnologici di riduzione

Lo studio ha valutato le emissioni atmosferiche in Regione Lombardia dallo smaltimento di rifiuti solidi in discariche controllate nell'anno 2001, proiettandone i quantitativi attesi a medio e lungo termine sulla base degli scenari di evoluzione più attendibili per le caratteristiche qualitative dei fifiuti, le modalità di smaltimento e le tecnologie adottabili per il controllo delle emissioni stesse. La valutazione è stata condotta acquisendo i dati base degli impianti attualmente presenti sul territorio lombardo per quanto riguarda i rifiuti smaltiti e le modalità di captazione e di combustione del biogas. Sono stati quindi definiti alcuni scenari alternativi ragionevolmente ipotizzabili nel medio e lungo periodo per lo smaltimento dei rifiuti, sulla base dell'evoluzione imposta dalla normativa nazionale e dagli strumenti della pianificazione regionale. L'individuazione delle migliori tecnologie applicabili per la captazione ed il trattamento del gas prodotto e per il controllo delle corrispondenti emissioni atmosferiche ha permesso di stimare l'evoluzione temporale, in corrispondenza dei diversi scenari, della produzione di gas e delle emissioni dei principali inquinanti di interesse. I risultati mostrano la possibilità di ottenere una consistente riduzione delle emissioni di metano, tale da comportare a scala regionale una corrispondente diminuzione del 2% delle emissioni complessive di C02 equivalente. [Autore]

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.