On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

Incorporating waiting time in competitive location models: Formulations and heuristics

In this paper we propose a metaheuristic to solve a new version of the Maximum CaptureProblem. In the original MCP, market capture is obtained by lower traveling distances or lowertraveling time, in this new version not only the traveling time but also the waiting time willaffect the market share. This problem is hard to solve using standard optimization techniques.Metaheuristics are shown to offer accurate results within acceptable computing times.

Time of injury in the light of acute and hazardous usual alcohol consumption - A study among emergency department patients.

Purpose: To investigate how prior-to-injury and usual alcohol consumption relate to time of injury. Patients and methods: The associations between injury time of day and day of week and prior-to-injury (labeled as "acute") alcohol intake and hazardous usual alcohol consumption (considered from the point of view of both heavy episodic drinking [HED] and risky volumes of consumption) are assessed using interview data from a randomized sample of 486 injured patients treated in a Swiss emergency department (ED; Lausanne University Hospital). Results: Acute consumption was associated with both injury time of day and day of week, HED with day of week only, and risky volume with none. Conclusions: Acute consumption and HED, but not risky volume of consumption, show specific time distributions for injuries. These findings highlight the potential importance of considering the time dimension of an injury when providing emergency care and have additional implications for interventions aimed at influencing the alcohol consumption of injured patients presenting to the ED.

Proposta de Implementação do Time-Driven Activity - Based Costing numa Empresa Industrial

O presente trabalho tem como objectivo a apresentação do processo de concepção e implementação de um projecto-piloto de um sistema de custeio baseado em actividades e tempo – TDABC, numa empresa industrial de conserva de pescado, Frescomar, S.A. Mais especificamente o trabalho desenvolveu-se na apuração do custo da área de produção da empresa objecto de estudo. O sistema de custeio Time-Driven Activity-Based Costing (TDABC) representa um modelo alternativo aos sistemas tradicionais da contabilidade de custos, e é uma evolução do Activity-Based Costing (ABC). O sistema ABC surgiu durante a década de 1980 e tem vindo a evoluir desde então. Muitas empresas abandonaram o ABC, pois este método de custeio, além de não conseguir captar a complexidade das suas operações, a sua implementação é demorado, e é muito dispendioso de aplicar e manter. Com o método TDABC encontra-se uma alternativa para dirimir estes problemas. Observou-se a necessidade do desenvolvimento de apenas algumas equações de tempo (time equations) para representar as principais actividades da área de produção. Foram observadas, durante a realização do estudo, vários dos benefícios do TDABC como: a facilidade em modelar actividades complexas por meio das equações de tempo, obtenção rigorosa de gastos e o baixo tempo de desenvolvimento do modelo. Contudo, também foram identificadas algumas limitações como subjectividade no cálculo do tempo de execução das actividades e dificuldade em se estimar as equações de tempo para actividades pouco estruturadas.

The role of incidental variables of time in mood assessment

Determining what influences mood is important for theories of emotion and research onsubjective well-being. We consider three sets of factors: activities in which people areengaged; individual differences; and incidental variables that capture when mood ismeasured, e.g., time-of-day. These three factors were investigated simultaneously in a studyinvolving 168 part-time students who each responded 30 times in an experience samplingstudy conducted over 10 working days. Respondents assessed mood on a simple bipolarscale from 1 (very negative) to 10 (very positive). Activities had significant effects but,with the possible exception of variability in the expression of mood, no systematicindividual differences were detected. Diurnal effects, similar to those already reported inthe literature, were found as was an overall Friday effect. However, these effects weresmall. Lastly, the weather had little or no influence. We conclude that simple measures ofoverall mood are not greatly affected by incidental variables.

Combining heat stress and moderate hypoxia reduces cycling time to exhaustion without modifying neuromuscular fatigue characteristics.

PURPOSE: This study investigated the isolated and combined effects of heat [temperate (22 °C/30 % rH) vs. hot (35 °C/40 % rH)] and hypoxia [sea level (FiO2 0.21) vs. moderate altitude (FiO2 0.15)] on exercise capacity and neuromuscular fatigue characteristics. METHODS: Eleven physically active subjects cycled to exhaustion at constant workload (66 % of the power output associated with their maximal oxygen uptake in temperate conditions) in four different environmental conditions [temperate/sea level (control), hot/sea level (hot), temperate/moderate altitude (hypoxia) and hot/moderate altitude (hot + hypoxia)]. Torque and electromyography (EMG) responses following electrical stimulation of the tibial nerve (plantar-flexion; soleus) were recorded before and 5 min after exercise. RESULTS: Time to exhaustion was reduced (P < 0.05) in hot (-35 ± 15 %) or hypoxia (-36 ± 14 %) compared to control (61 ± 28 min), while hot + hypoxia (-51 ± 20 %) further compromised exercise capacity (P < 0.05). However, the effect of temperature or altitude on end-exercise core temperature (P = 0.089 and P = 0.070, respectively) and rating of perceived exertion (P > 0.05) did not reach significance. Maximal voluntary contraction torque, voluntary activation (twitch interpolation) and peak twitch torque decreased from pre- to post-exercise (-9 ± 1, -4 ± 1 and -6 ± 1 % all trials compounded, respectively; P < 0.05), with no effect of the temperature or altitude. M-wave amplitude and root mean square activity were reduced (P < 0.05) in hot compared to temperate conditions, while normalized maximal EMG activity did not change. Altitude had no effect on any measured parameters. CONCLUSION: Moderate hypoxia in combination with heat stress reduces cycling time to exhaustion without modifying neuromuscular fatigue characteristics. Impaired oxygen delivery or increased cardiovascular strain, increasing relative exercise intensity, may have also contributed to earlier exercise cessation.

Life-time redistribution effects of the Spanish public pension system

The paper analyses the inter and intragenerational redistribution effects ofthe public pensions system in Spain. This is achieved by first comparing the expected present value of life-time income transfers (PVT) and internalrates of return (IRR) of different population cohorts. Secondly, we study the intragenerational aspects of the Spanish public pensions by calculating PVTs the IRRs for workers of different categories, grouped by earnings, gender and marital status.The results obtained show the nature of the important intergenerational effects of the Social Security System in Spain. The oldest 1935 cohort clearlybenefits in relation to the youngest 1965 cohort. This is basically due to thegap between current wages and the contribution bases established in the 60s and 70s in Spain during the early stages of the Social Security System, and to the worsening shortfall in Social Security funding, combined with the longer of life expectancy.In addition, intragenerational effects exist by income levels. For contributors who pay between the minimum and the maximum allowable contribution bases, net transfers and rates of return are higher in actuarial terms for high incomecontributors. The social security `dealï is again more profitable for highincome individuals since they contribute at the maximum basis, with respect tolow income contributors at the minimum basis. This is due to the late entry and a higher survival rate for high income contributors.The system tends to favour women, given that they generally live longer than men and this factor is only partially offset by their lower wages. Married males, given the fact that they have longer life expectancy and leave a pension to their spouse, obtain higher present net transfers too than do single contributors.We close the paper with some comments on the slight impact and moderate effects of proposals for Social Security reform and on how these may change the previously observed redistribution effects.