Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise

We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

Precificação de derivativos de taxa de juros utilizando o modelo HJM multifatorial com estrutura de volatilidade não paramétrica

Com o objetivo de precificar derivativos de taxas de juros no mercado brasileiro, este trabalho foca na implementação do modelo de Heath, Jarrow e Morton (1992) em sua forma discreta e multifatorial através de uma abordagem numérica, e, que possibilita uma grande flexibilidade na estimativa da taxa forward sob uma estrutura de volatilidade baseada em fatores ortogonais, facilitando assim a simulação de sua evolução por Monte Carlo, como conseqüência da independência destes fatores. A estrutura de volatilidade foi construída de maneira a ser totalmente não paramétrica baseada em vértices sintéticos que foram obtidos por interpolação dos dados históricos de cotações do DI Futuro negociado na BM&FBOVESPA, sendo o período analisado entre 02/01/2003 a 28/12/2012. Para possibilitar esta abordagem foi introduzida uma modificação no modelo HJM desenvolvida por Brace e Musiela (1994).

Modelo HJM com jumps: o caso brasileiro

Utilizando dados de mercado obtidos na BM&F Bovespa, este trabalho propõe uma possível variação do modelo Heath, Jarrow e Morton em sua forma discreta e multifatorial, com a introdução de jumps como forma de considerar o efeito das reuniões realizadas pelo Cômite de Políticas Monetárias (Copom). Através do uso da análise de componentes principais (PCA), é feita a calibração dos parâmetros do modelo, possibilitando a simulação da evolução da estrutura a termo de taxa de juros (ETTJ) da curva prefixada em reais via simulação de Monte Carlo (MCS). Com os cenários da curva simulada em vértices fixos (sintéticos), os resultados são comparados aos dados observados no mercado.

The sense of ending: the closing of a psychiatric hospital in Lisbon - Hospital Miguel Bombarda

RESUMO: Este estudo foi realizado com o objectivo de conhecer os efeitos da desinstitucionalização dos doentes psiquiátricos crónicos durante o processo de encerramento do Hospital Miguel Bombarda (2007-2011). Este processo incluiu a fusão, em 2008, dos dois principais hospitais psiquiátricos de Lisboa- Hospital Miguel Bombarda (HMB) e Hospital Júlio de Matos (HJM), no Centro Psiquiátrico Hospitalar de Lisboa (CHPL). Foi criado um grupo controlo de pacientes ainda hospitalizados no CHPL (n=166) para comparação com o grupo de casos desinstitucionalizados (n=146). Desta amostra inicial (n=312) apenas 142 (76 casos e 66 controlos) foram incluídos, sendo as principais causas de exclusão: diagnóstico (patologia orgânica, demência ou debilidade mental, como diagnóstico primário) e transferência entre hospitais. A desinstitucionalização foi principalmente avaliada em termos de psicopatologia, utilização de serviços, satisfação, crime, condição de “sem abrigo” ou morte. Os resultados mostraram que a maioria dos doentes crónicos pode sair do hospital psiquiátrico para a comunidade sem agravamento da psicopatologia, aumento do crime ou da condição de “sem abrigo”. A satisfação parece estar aumentada na população desinstitucionalizada. A mortalidade, por outro lado, revelou-se uma questão problemática: apesar de não ter sido possível estabelecer uma comparação entre casos e controlos, a Taxa de Mortalidade Standard encontrada neste estudo foi muito superior ao esperado, de acordo com os resultados encontrados na literatura. Um estudo longitudinal da mesma população poderá ser objecto de futura investigação, possivelmente comparada com outra população similar de um programa de desinstitucionalização noutro país.--------- RÉSUMÉ: Cette étude a été menée afin de déterminer les effets de la désinstitutionnalisation des patients chroniques lors de la fermeture de l'hôpital Miguel Bombarda (2007-2011). Ce processus comprenait la fusion en 2008 de deux grands hôpitaux psychiatriques de Lisbonne: À savoir, Hôpital Miguel Bombarda (HMB) et Hôpital Julio de Matos (HJM), maintenant Centre de l'Hôpital Psychiatrique de Lisbonne (CHPL). Il a été créé un groupe contrôle des patients toujours hospitalisés à CHPL (n = 166) pour comparer avec les cas désinstitutionnalisés (n = 146). De cet échantillon initial (n= 312) à peine 142 (76 cas et 66 contrôles) ont été inclus, les principales raisons d'exclusion: diagnostique (maladie organique, démence ou d'arriération mentale comme diagnostic primaire) et les transferts entre hôpitaux. La désinstitutionnalisation a été principalement évaluée en termes de psychopathologie, de l'utilisation des services, la satisfaction, la criminalité, les “sans abri” et de la mort. Les résultats ont montré que la majorité des malades chroniques peuvent quitter l'hôpital psychiatrique et s´intégrer dans la communauté sans aggravation de la psychopathologie, augmentation de la criminalité ou du nombre de “sans-abri”. La satisfaction semble être en hausse dans la population désinstitutionnalisée. Toutefois, la mortalité s'est avéré être une question problématique, même si il n´a pas été possible d'établir une comparaison entre les cas et les contrôles, le Taux de Mortalité Standard estimé dans cette étude fut beaucoup plus élevé que prévu, en tenant compte des résultats établis dans la littérature. Une étude longitudinale de la même population pourra faire l'objet de futures recherches, peut-être comparé à une population similaire d'un programme de désinstitutionnalisation dans un autre pays. ----------- ABSTRACT:This study was conducted to assess the effects of deinstitutionalization of “long-stay” patients during the process of closing Hospital Miguel Bombarda (2007-2011). This process included the fusion, in 2008, of the two main psychiatric hospitals in Lisbon- Hospital Miguel Bombarda (HMB) and Hospital Júlio de Matos (HJM), into Centro Psiquiátrico Hospitalar de Lisboa (CHPL). A control group of still institutionalized patients in CHPL (n=166) was used as a comparison with the deinstitutionalized population (n=146). Of this 312 initial sample only 142 (76 cases and 66 controls) were included, the main causes of exclusion being diagnoses (organic disease, dementia and mental retardation- as first diagnoses) and transference between hospitals. Deinstitutionalization is mainly evaluated in terms of psychopathology, use of services, satisfaction, crime, vagrancy and deaths. The results show that most long-stay patients can successfully leave psychiatric hospitals and be relocated in the community without an increase in psychopathology, crime or vagrancy. Satisfaction seems to be improved in those patients. On the other hand, mortality remains an issue of concern: Although there was no possibility of comparing it between cases and controls, the Standard Mortality Rate (SMR) in our study was found to be much higher than expected judging by other studies results. A longitudinal further study of this same population will be the matter for a future investigation, possibily compared with another similar population from a desinstitutionalization programme in another country.

Early Sac Shrinkage Predicts a Low Risk of Late Complications After Endovascular Aortic Aneurysm Repair

BACKGROUND: Aneurysm shrinkage has been proposed as a marker of successful endovascular aneurysm repair (EVAR). Patients with early postoperative shrinkage may experience fewer subsequent complications, and consequently require less intensive surveillance. METHODS: Patients undergoing EVAR from 2000 to 2011 at three vascular centres (in 2 countries), who had two imaging examinations (postoperative and after 6-18 months), were included. Maximum diameter, complications and secondary interventions during follow-up were registered. Patients were categorized according to early sac dynamics. The primary endpoint was freedom from late complications. Secondary endpoints were freedom from secondary intervention, postimplant rupture and direct (type I/III) endoleaks. RESULTS: Some 597 EVARs (71.1 per cent of all EVARs) were included. No shrinkage was observed in 284 patients (47.6 per cent), moderate shrinkage (5-9 mm) in 142 (23.8 per cent) and major shrinkage (at least 10 mm) in 171 patients (28.6 per cent). Four years after the index imaging, the rate of freedom from complications was 84.3 (95 per cent confidence interval 78.7 to 89.8), 88.1 (80.6 to 95.5) and 94.4 (90.1 to 98.7) per cent respectively. No shrinkage was an independent risk factor for late complications compared with major shrinkage (hazard ratio (HR) 3.11; P < 0.001). Moderate compared with major shrinkage (HR 2.10; P = 0.022), early postoperative complications (HR 3.34; P < 0.001) and increasing abdominal aortic aneurysm baseline diameter (HR 1.02; P = 0.001) were also risk factors for late complications. Freedom from secondary interventions and direct endoleaks was greater for patients with major sac shrinkage. CONCLUSION: Early change in aneurysm sac diameter is a strong predictor of late complications after EVAR. Patients with major sac shrinkage have a very low risk of complications for up to 5 years. This parameter may be used to tailor postoperative surveillance.

Low Socioeconomic Status is an Independent Risk Factor for Survival After Abdominal Aortic Aneurysm Repair and Open Surgery for Peripheral Artery Disease

OBJECTIVE/BACKGROUND: The association between socioeconomic status (SES), presentation, and outcome after vascular surgery is largely unknown. This study aimed to determine the influence of SES on post-operative survival and severity of disease at presentation among vascular surgery patients in the Dutch setting of equal access to and provision of care. METHODS: Patients undergoing surgical treatment for peripheral artery disease (PAD), abdominal aortic aneurysm (AAA), or carotid artery stenosis between January 2003 and December 2011 were retrospectively included. The association between SES, quantified by household income, disease severity at presentation, and survival was studied using logistic and Cox regression analysis adjusted for demographics, and medical and behavioral risk factors. RESULTS: A total of 1,178 patients were included. Low income was associated with worse post-operative survival in the PAD cohort (n = 324, hazard ratio 1.05, 95% confidence interval [CI] 1.00-1.10, per 5,000 Euro decrease) and the AAA cohort (n = 440, quadratic relation, p = .01). AAA patients in the lowest income quartile were more likely to present with a ruptured aneurysm (odds ratio [OR] 2.12, 95% CI 1.08-4.17). Lowest income quartile PAD patients presented more frequently with symptoms of critical limb ischemia, although no significant association could be established (OR 2.02, 95% CI 0.96-4.26). CONCLUSIONS: The increased health hazards observed in this study are caused by patient related factors rather than differences in medical care, considering the equality of care provided by the study setting. Although the exact mechanism driving the association between SES and worse outcome remains elusive, consideration of SES as a risk factor in pre-operative decision making and focus on treatment of known SES related behavioral and psychosocial risk factors may improve the outcome of patients with vascular disease.

Reinternações psiquiátricas no Rio Grande do Norte: implicações e impacto das novas estratégias de atenção à saúde mental

The Brazilian Psychiatric Reform based on the desinstitucionalization of the assistance, translated to the emphasis on community/territorial treatment and in the social inclusion of the mental suffering, promoted advances in the psychiatric restructuring. In the Rio Grande do Norte (RN), we can enumerate as advances of the Brazilian Psychiatric Reform the expansion of the mental health care chain and the implementation of some strategies that, together, aims to further the psychosocial attention of the individual with psych suffering and to reduce the indices of psychiatrics readmissions in the state. In the current Brazilian‟s mental health situation we were interesting in answered the following question: what the impact of the substitutes services‟ extension in the revolving door phenomenon? This search aims to analyze the revolving door phenomenon occurrences based on the news strategies of mental health care in the Rio Grande do Norte. This is a descriptive-exploratory study with a qualitative approach, oriented by the theoretical framework of critical-dialectical approach about the Brazilian Psychiatric Reform and using the thematic oral history as method of information collects. The search was realized on the Hospital João Machado (HJM), estate reference in psychiatric treatment, and the participants was 20 professionals that work on it. The collection of information had started after the approval of the UFRN Research Ethics Committee with the opinion number 216/2011 and CAAE number 0021.0.051.000-11 and was realized using the direct observation and semi-structured interview. The study‟s results were categorized in two categories and five subcategories of analysis. CATEGORY 1) Current situation of the mental health care chain in the RN, with the subcategories: 1.1 Impact of the new services of mental health care in the revolving door phenomenon in the RN; 1.2 Implications of the new services of mental health care in assisting user to the HJM; 1.3 Issues the permeate the mental health care chain in the RN. CATEORY 2) Main causes of the revolving door phenomenon in HJM, with the categories: 2.1 Family problems; 2.2 Lack of assistance after discharge from psychiatric hospital. In summary, we conclude that the extension of the mental health care chain contributed for the reduction of the psychiatrics re-hospitalization‟s indices in RN. However, we realized that territorial services of mental health care are not the only responsible for the revolving door phenomenon. Factors as family problems and the disarticulation of the assistance after the discharge from hospital influence on the perpetuation of hospitalizations and re-hospitalizations in the local scenario. To study the revolving door phenomenon that occur in the psychiatrics‟ assistance considering the news strategies of mental health care allowed us to approach the advances and challenges brought by the RPb and by the desinstitucionatization in the state, indicating the need for further discussions and problem-solving strategies of psychosocial care.

Moradores crônicos de hospital psiquiátrico: um desafio à desinstitucionalização

The existence of chronic inhabitants in the psychiatric hospitals imposes a challenge to the Psychiatric Reform, that proposes things such as the gradual and progressive way to extinct mental institutions, once the permanence of the hospital in the system is only necessary because there is not a net of well structured substitute services capable of receiving that demand. This work considered relevant to deepen the knowledge about those people who passes their lives jailed by the walls of psychiatric hospitals and compose significant part of the world population. It also aimed to investigate the problem relative to the condition of being an inhabitant of a psychiatric hospital the Dr. João Machado Hospital (HJM), in the city of Natal/RN. The paper used different points of view (patients , families and professionals ) to define the profile of the inhabitants, to identify the possibility of insertion in substituting social equipment, to know the expectations of the inhabitants and their relatives regarding to the exit of the life shelter, to investigate the demands related to the net of cares social support for making feasible the discharge and to identify the difficulties that are involved in the exit of the chronic inhabitant of the hospital. There were defined three methodological phases: delineation of the identification, socio-economic and clinical profile of the inhabitants of the HJM; semi-structured interviews with professionals; and open interviews with inhabitants and family. It concluded that the psychiatric institutionalization contributes to the generation of chronic inhabitants in the psychiatric hospitals. Among the professionals, it was detached the defense of desospitalization, but an existence of devices of the asylum model. The relatives showed a resistance to participate in the care and the inhabitants exposed their desire to leave the hospital, as well like the wish of permanence. It was considered important: the construction of an extra-hospital net that enables to desinstitutionalization; the qualification of the technical; orientation to the family, stimulating its participation in the process of caring; give freedom to the individuals in mental suffering, enabling them to be ahead of their lives and express their desires and opinions; the implementation of an extended clinic that is capable of building new possibilities; and a subjectivity guided by the social enclosure

Free actions of abelian p-groups on the n-torus

In this work we make some contributions to the theory of actions of abelian p-groups on the n-Torus T-n. Set congruent to Z(pk1)(h1) x Z(pk2)(h2) x...x Z(pkr)(hr), r >= 1, k(1) >= k(2) >=...>= k(r) >= 1, p prime. Suppose that the group H acts freely on T-n and the induced representation on pi(1)(T-n) congruent to Z(n) is faithful and has first Betti number b. We show that the numbers n, p, b, k(i) and h(i) (i = 1,..,r) satisfy some relation. In particular, when H congruent to Z(p)(h), the minimum value of n is phi(p) + b when b >= 1. Also when H congruent to Z(pk1) x Z(p) the minimum value of n is phi(p(k1)) + p - 1 + b for b >= 1. Here phi denotes the Euler function.

Sampling associated with resolvent-type kernels and lagrange-type interpolation series

In this paper a new class of Kramer kernels is introduced, motivated by the resolvent of a symmetric operator with compact resolvent. The article gives a necessary and sufficient condition to ensure that the associ- ated sampling formula can be expressed as a Lagrange-type interpolation series. Finally, an illustrative example, taken from the Hamburger moment problem theory, is included.

Derivatív pénzügyi termékek árdinamikája és az új típusú kamatlábmodellek (Interest rate models and the price processes of financial derivatives)

Ennek a cikknek az a célja, hogy áttekintést adjon annak a folyamatnak néhány főbb állomásáról, amit Black, Scholes és Merton opcióárazásról írt cikkei indítottak el a 70-es évek elején, és ami egyszerre forradalmasította a fejlett nyugati pénzügyi piacokat és a pénzügyi elméletet. / === / This review article compares the development of financial theory within and outside Hungary in the last three decades starting with the Black-Scholes revolution. Problems like the term structure of interest rate volatilities which is in the focus of many research internationally has not received the proper attention among the Hungarian economists. The article gives an overview of no-arbitrage pricing, the partial differential equation approach and the related numerical techniques, like the lattice methods in pricing financial derivatives. The relevant concepts of the martingal approach are overviewed. There is a special focus on the HJM framework of the interest rate development. The idea that the volatility and the correlation can be traded is a new horizon to the Hungarian capital market.

Credit risk & forward price models

Doutoramento em Gestão

Modelli Stocastici per la valutazione di un Total Return Swap

L’obiettivo del presente lavoro di tesi è quello di derivare la valutazione di un Total Return Swap (TRS) utilizzando la modellistica stocastica che sta alla base dello studio del pricing di derivati finanziari. I contratti di tipo swap, la cui origine è collocata intorno agli anni ’70, prevedono lo scambio di flussi tra due parti, definiti sulla base del sottostante. In particolare, un Total Return Swap è un derivato finanziario che prevede lo scambio periodico di pagamenti definiti rispetto alla gamba di performance del sottostante e alla gamba di interesse. L’elaborato è composto da un’introduzione alle nozioni matematiche preliminari alla costruzione di un modello di mercato utile a derivare il pricing di un derivato (i.e. Teoria di non arbitraggio, esistenza di una misura martingala e le condizioni sotto le quali questa è unica). Nel secondo capitolo, vengono presentate le definizioni finanziarie necessarie alla descrizione di tali prodotti (e.g. Tassi d’interesse spot e Tassi forward). Nel corso della tesi viene presentata una rassegna della modellistica per l’evoluzione dei tassi descritti da dinamiche di volta in volta più complesse, e.g. Modello di Vasicek, modello di Dothan e approccio di Heath-Jarrow-Morton (HJM). In tale contesto, sono state derivate le formule di valutazione ad Accrual e a Net Present Value (NPV) per il TRS sfruttando la teoria di non arbitraggio, la cui principale differenza diviene dal considerare o meno l’attualizzazione tramite il fattore di sconto stocastico dei flussi di cassa previsti tra le due parti del contratto. Nell’ultimo capitolo, viene presentata un’analisi delle due modalità di pricing effettuata su due TRS rispettivamente su basket di azioni e basket di indici.