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.

Discrete devaluations and multiple equilibria in a first generation model of currency crises

The first generation models of currency crises have often been criticized because they predict that, in the absence of very large triggering shocks, currency attacks should be predictable and lead to small devaluations. This paper shows that these features of first generation models are not robust to the inclusion of private information. In particular, this paper analyzes a generalization of the Krugman-Flood-Garber (KFG) model, which relaxes the assumption that all consumers are perfectly informed about the level of fundamentals. In this environment, the KFG equilibrium of zero devaluation is only one of many possible equilibria. In all the other equilibria, the lack of perfect information delays the attack on the currency past the point at which the shadow exchange rate equals the peg, giving rise to unpredictable and discrete devaluations.

Tegumentar glands associated to foveae in the second metasomal tergum of Panurgillus Moure (Apoidea, Andrenidae, Panurginae)

Panurginae have a pair of cuticular depressions in the second metasomal tergum, recognized as lateral foveae of the T2. These structures have been used as systematic and taxonomic characters, although their functions are yet unknown. We aimed a morphological analysis at lateral foveae of three species of Panurgillus Moure, 1998: P. vagabundus (Cockerell, 1918), P. reticulatus Schlindwein & Moure, 1998 e P. flavitarsis Schlindwein & Moure, 1998. The study of the external morphology showed that the lateral foveae of the T2 are evident among females, but in males they are undistinguishable or absent. The surface of the foveae is micropunctuated in all species. The histological analysis has shown that the region of the lateral foveae of the T2, of female and male of the three species, presented tegumentar specializations. The inner part showed an evident secretory epithelium recognized as Class I gland. The height of this secretory epithelium was not uniform, although the cellular features are similar independent of sex. We have not found any previous information regarding the presence of glands related to abdominal foveae in Panurginae species.

Instructions du ministre de l'éducation nationale relatives à l'application des arrêtés du 30 août 1937 et du 11 avril 1938 fixant les programmes de l'enseignement du second degré. Fascicule 1 / Direction générale de l'instruction publique, des beaux arts et des antiquités, au Maroc

Collection : Collection d'instructions et de manuels pédagogiques

Instructions du ministre de l'éducation nationale relatives à l'application des arrêtés du 30 août 1937 et du 11 avril 1938 fixant les programmes de l'enseignement du second degré. Fascicule 2 / Direction générale de l'instruction publique, des beaux arts et des antiquités, au Maroc

Collection : Collection d'instructions et de manuels pédagogiques

Instructions du ministre de l'éducation nationale relatives à l'application des arrêtés du 30 août 1937 et du 11 avril 1938 fixant les programmes de l'enseignement du second degré. Fascicule 3 / Direction générale de l'instruction publique, des beaux arts et des antiquités, au Maroc

Collection : Collection d'instructions et de manuels pédagogiques

Development of a Selective Peptide Macrocycle Inhibitor of Coagulation Factor XII toward the Generation of a Safe Antithrombotic Therapy.

Inhibition of coagulation factor XII (FXII) activity represents an attractive approach for the treatment and prevention of thrombotic diseases. The few existing FXII inhibitors suffer from low selectivity. Using phage display combined to rational design, we developed a potent inhibitor of FXII with more than 100-fold selectivity over related proteases. The highly selective peptide macrocycle is a promising candidate for the control of FXII activity in antithrombotic therapy and a valuable tool in hematology research.

Multi-sample analysis of moment-structures: Asymptotic validity of inferences based on second-order moments

In moment structure analysis with nonnormal data, asymptotic valid inferences require the computation of a consistent (under general distributional assumptions) estimate of the matrix $\Gamma$ of asymptotic variances of sample second--order moments. Such a consistent estimate involves the fourth--order sample moments of the data. In practice, the use of fourth--order moments leads to computational burden and lack of robustness against small samples. In this paper we show that, under certain assumptions, correct asymptotic inferences can be attained when $\Gamma$ is replaced by a matrix $\Omega$ that involves only the second--order moments of the data. The present paper extends to the context of multi--sample analysis of second--order moment structures, results derived in the context of (simple--sample) covariance structure analysis (Satorra and Bentler, 1990). The results apply to a variety of estimation methods and general type of statistics. An example involving a test of equality of means under covariance restrictions illustrates theoretical aspects of the paper.

Second ESMO consensus conference on lung cancer: pathology and molecular biomarkers for non-small-cell lung cancer.

To complement the existing treatment guidelines for all tumour types, ESMO organises consensus conferences to focus on specific issues in each type of tumour. The Second ESMO Consensus Conference on Lung Cancer was held on 11-12 May 2013 in Lugano. A total of 35 experts met to address several questions on management of patients with non-small-cell lung cancer (NSCLC) in each of four areas: pathology and molecular biomarkers, early stage disease, locally advanced disease and advanced (metastatic) disease. For each question, recommendations were made including reference to the grade of recommendation and level of evidence. This consensus paper focuses on recommendations for pathology and molecular biomarkers in relation to the diagnosis of lung cancer, primarily non-small-cell carcinomas.