Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Flexible information acquisition and optimal Tobin tax in tractable dynamic global games

My dissertation focuses on dynamic aspects of coordination processes such as reversibility of early actions, option to delay decisions, and learning of the environment from the observation of other people’s actions. This study proposes the use of tractable dynamic global games where players privately and passively learn about their actions’ true payoffs and are able to adjust early investment decisions to the arrival of new information to investigate the consequences of the presence of liquidity shocks to the performance of a Tobin tax as a policy intended to foster coordination success (chapter 1), and the adequacy of the use of a Tobin tax in order to reduce an economy’s vulnerability to sudden stops (chapter 2). Then, it analyzes players’ incentive to acquire costly information in a sequential decision setting (chapter 3). In chapter 1, a continuum of foreign agents decide whether to enter or not in an investment project. A fraction λ of them are hit by liquidity restrictions in a second period and are forced to withdraw early investment or precluded from investing in the interim period, depending on the actions they chose in the first period. Players not affected by the liquidity shock are able to revise early decisions. Coordination success is increasing in the aggregate investment and decreasing in the aggregate volume of capital exit. Without liquidity shocks, aggregate investment is (in a pivotal contingency) invariant to frictions like a tax on short term capitals. In this case, a Tobin tax always increases success incidence. In the presence of liquidity shocks, this invariance result no longer holds in equilibrium. A Tobin tax becomes harmful to aggregate investment, which may reduces success incidence if the economy does not benefit enough from avoiding capital reversals. It is shown that the Tobin tax that maximizes the ex-ante probability of successfully coordinated investment is decreasing in the liquidity shock. Chapter 2 studies the effects of a Tobin tax in the same setting of the global game model proposed in chapter 1, with the exception that the liquidity shock is considered stochastic, i.e, there is also aggregate uncertainty about the extension of the liquidity restrictions. It identifies conditions under which, in the unique equilibrium of the model with low probability of liquidity shocks but large dry-ups, a Tobin tax is welfare improving, helping agents to coordinate on the good outcome. The model provides a rationale for a Tobin tax on economies that are prone to sudden stops. The optimal Tobin tax tends to be larger when capital reversals are more harmful and when the fraction of agents hit by liquidity shocks is smaller. Chapter 3 focuses on information acquisition in a sequential decision game with payoff complementar- ity and information externality. When information is cheap relatively to players’ incentive to coordinate actions, only the first player chooses to process information; the second player learns about the true payoff distribution from the observation of the first player’s decision and follows her action. Miscoordination requires that both players privately precess information, which tends to happen when it is expensive and the prior knowledge about the distribution of the payoffs has a large variance.

When Basking Is Not an Option: Thermoregulation of a Viperid Snake Endemic to a Small Island in the South Atlantic of Brazil

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Cranioplasty: The autograft option

We present our clinical experience in cranioplasty with autograft as follows: conchal cartilage for losses up to 2 cm2, outer table grafts for defects up to 100 cm2, and, for larger defects still, split rib grafts, which may be combined with outer table grafts. We conclude that autograft is superior to alloplastic material in cranioplasty.

New option for anterior traction of the face by using a cervical collar

This case required anteroposterior traction of the maxilla. Once none of the traditional methods could be used because of the lack of support in the chin and in the frontal region. Thus, we opted to use a cervical collar.

Therapeutic option for children with esophageal caustic stenosis

Caustic ingestion is a leading cause of esophageal stenosis in children. Herein we report four cases using mitomycin C (MMC), a drug that inhibits cell division, protein synthesis and fibroblast proliferation and has been used as an adjuvant therapy for caustic esophageal stenosis that is recalcitrant to conventional dilation techniques. A retrospective chart review was performed on four pediatric patients with severe, recurrent esophageal stricture after caustic ingestion. The patients had required six to 20 esophageal dilations over a 4-16-month period before MMC application. MMC was applied after an endoscopic dilation on saturated pledgets at a dose of 0.1 mg/mL for 2 min in the area where the strictures had been lyzed. From the four children treated with MMC, two have been asymptomatic for 16 and 20 months and two still require esophageal dilation, however, at longer intervals. All patients have shown satisfactory weight gain with food intake exclusively per oral. Although further studies are required, there is strong evidence that MMC is a safe and effective adjuvant therapy in the treatment of esophageal caustic stenosis. © 2008 The Authors.

Overdenture as a restorative option for hypocalcified-hypoplastic amelogenesis imperfecta: a case report.

AIM: The aim of this report is to describe the restorative treatment of an 18-year-old patient diagnosed with autosomal recessive hypocalcified-hypoplastic amelogenesis imperfecta (AI). BACKGROUND: Esthetic and functional rehabilitations in AI cases are challenging and should consider individual aspects, such as age, socioeconomic status, AI type, and intraoral condition. REPORT: AI was diagnosed in an 18-year-old patient. SUMMARY: Considering the short length of crowns and roots, patient life expectancy, minimal invasiveness, amount of treatment time required, and lower costs, oral rehabilitation with overdentures provided an adequate functional and esthetic rehabilitation of the patient. CLINICAL SIGNIFICANCE: This report demonstrated overdentures to be a viable, relatively inexpensive, and non-invasive treatment choice of a patient with AI with concerns about treatment longevity, invasiveness, cost, esthetics, and long-term maintenance.

Rehabilitation with zygomatic implants: a treatment option for the atrophic edentulous maxilla--9-year follow-up.

This article reports the 9-year clinical outcome of the two-stage surgical rehabilitation of a severely atrophic edentulous maxilla with a metal-resin fixed denture supported by implants anchored in the zygomatic bone and the maxilla. After clinical and radiographic examination, zygomatic implants were inserted bilaterally and four standard implants were placed in the anterior region of the maxilla. Six months later, the implants were loaded with a provisional acrylic resin denture, and the definitive implant-supported metal-resin fixed denture was provided 1 year after implant placement. After 9 years of follow-up, no painful symptoms, peri-implant inflammation or infection, implant instability, or bone resorption was observed. In the present case, the rehabilitation of severe maxillary atrophy using the zygomatic bone as a site for implant anchorage provided good long-term functional and esthetic results. Therefore, with proper case selection, correct indication, and knowledge of the surgical technique, the use of zygomatic implants associated with standard implants offers advantages in the rehabilitation of severely resorbed maxillae, especially in areas with inadequate bone quality and volume, without needing an additional bone grafting surgery, thereby shortening or avoiding hospital stay and reducing surgical morbidity.

Economies of difficult viability: an option to be examined

Includes bibliography

The basic needs strategy as an option: its possibilities in the Latin American context

Includes bibliography

Tilted implants and prototyping: A security option for improving the anchorage in atrophic maxilla

Rehabilitating atrophic maxilla poses many challenges. Reconstructive techniques that require sinus grafting are viable and acceptable; however, these techniques also are considered to be expensive, invasive, and time-consuming. Tilted implants anchored in distal areas using available bone have been reported as a less invasive and highly predictable treatment option. This article presents a case involving implant anchorage via tilted implants as an alternative technique to bone grafting procedures. Copyright © 2013 by the Academy of General Dentistry.

The Geography of Brazilian External Trade: Right Option for a BRIC?

Words can make a difference sometimes.Brazil is – together with the other ´BRIC´- a large economy, with an increasingly high profile in the international scenario. Large domestic market makes it more likely to obtain ‘growth-led exports’ rather than ‘export-led growth’, which implies a pro-active role in international relations. The option for intensifying regional trade links is a reasonable one and perhaps even inevitable, taking into account the experience elsewhere, but the actual regional conditions raise a number of questions that have to do both with further empirical assessment and to more specific identification of expectations with regard to probable achievements. This article has shown that the road to reach significant progress in this direction is not flat and requires more clear signalling to economic agents, strong political will and a good deal of specific measures. But it has also suggested that it might provide positive results.

Tropical tanniniferous legumes used as an option to mitigate sheep enteric methane emission

This study presents the first results from Brazil using SF6 tracer technique adapted from cattle to evaluate the capability of condensed tannin (CT) present in three tropical legume forages, Leucaena leucocephala (LEU), Styzolobium aterrimum (STA), and Mimosa caesalpiniaefolia Benth (MIM) to reduce enteric CH4 production in Santa Ins sheep. Twelve male lambs [27.88 +/- 2.85 kg body weight (BW)] were allocated in individual metabolic cages for 20-day adaptation followed by 6 days for measuring dry matter intake (DMI) and CH4 emission. All lambs received water, mineral supplement, and Cynodon dactylon v. coast-cross hay ad libitum. The treatments consisted of soybean meal (710 g/kg) and ground corn (290 g/kg) [control (CON)]; soybean meal (150 g/kg), ground corn (30 g/kg), and Leucaena hay (820 g/kg) (LEU); soybean meal (160 g/kg), ground corn (150 g/kg), and Mucuna hay (690 g/kg) (STA); and soybean meal (280 g/kg), ground corn (190 g/kg), and Mimosa hay (530 g/kg) (MIM); all calculated to provide 40 g/kg CT (except for CON). DMI (in grams of DMI per kilogram BW per day) was lower for LEU (22.0) than CON (29.3), STA (31.2), and MIM (31.6). The LEU group showed emission of 7.8 g CH4/day, significantly lower than CON (10.5 g CH4/day), STA (10.4 g CH4/day), and MIM (11.3 g CH4/day). However, when the CH4 emission per DMI was considered, there were no significant differences among treatments (0.37, 0.36, 0.33, and 0.35 g CH4/g DMI/kg BW/day, respectively, for CON, LEU, STA, and MIM). The sheep receiving STA had shown a tendency (p = 0.15) to reduce methane emission when compared to the CON group. Therefore, it is suggested that tropical tanniniferous legumes may have potential to reduce CH4 emission in sheep, but more research is warranted to confirm these results.