SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE

This paper examines the stochastic volatility model suggested by Heston (1993). We employ a time-series approach to estimate the model and we discuss the potential effects of time-varying skewness and kurtosis on the performance of the model. In particular, it is found that the model tends to overprice out-of-the-money calls and underprice in-the-money calls. It is also found that the daily volatility risk premium presents a quite volatile behavior over time; however, our evidence suggests that the volatility risk premium has a negligible impact on the pricing performance of Heston´s model.Stochastic, Volatility, Skewness, Kurtosis, Pricing.

AUTOREGRESSIVE CONDITIONAL VOLATILITY, SKEWNESS AND KURTOSIS

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.Conditional volatility, skewness and kurtosis; Gram-Charlier series expansion; Stock indices.

Understanding the ex-ante cost of liquidity in the limit order book: a note.

El presente trabajo estima una nueva medida de coste de liquidez de los activos financieros en un mercado dirigido por órdenes. Esta medida, denominada función de liquidez, recoge el coste ex-ante de comprar y vender simultáneamente una determinada cantidad de acciones haciendo uso de toda la información ofrecida por el libro de órdenes. De esta manera se superan las dificultades que la consideración por separado de la horquilla de precios o la profundidad ocasiona sobre la caracterización de la liquidez de los diferentes activos.This paper estimates a new measure of liquidity costs in a market driven by orders. It represents the cost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity that aggregates all available information in the limit order book for a given number of shares. The cost of liquidity is an increasing function relating bid-ask spreads with the amounts available for trading. This measure completely characterizes the cost of liquidity of any given asset. It does not suffer from the usual ambiguities related to either the bid-ask spread or depth when they are considered separately. On the contrary, with a single measure, we are able to capture all dimensions of liquidity costs on ex-ante basis.Función de liquidez; Coste de liquidez; Libro de órdenes límite; Horquilla de precios; Profundidad; liquidity function; liquidity cost; open limit order book; bid-ask spread; depth;

Manufacturing, characterization and modelling of biodegradable composite materials

In the recent decades, there has been a high rise in the development of renewable materials due to awareness in environmental care. Part of the research in such materials has focused on the development of biodegradable composites using natural fibres as reinforcement of 'green' plastics. The use of biocomposites means a major reduction in the environmental impact of industrial components after their life cycle, thus, the development of tools for design with biocomposites could mean a breakthrough for its implementation in the industry. In this thesis, the basis for the development of tools for modelling the mechanical behavior of biocomposites have been arise for first time through the development of a constitutive model based on the simulation of the mechanical behaviour through rheological elements. The seven model parameters have been adjusted by quasi-static tensile tests, while the model has been successfully validated by tensile tests at different strain rates. The constitutive model has proved to be valid for composites reinforced with cotton, flax and jute, allowing a greater understanding of the behaviour of those biocomposites, as the fact that the viscoplastic behaviour is mainly produced by fibres behaviour. The existence of a constitutive model for biocomposites opens the doors to its application in structural components of responsibility greatly reducing design costs. Four different biocomposites were chosen to test the versatility of the constitutive model. Biodegradable PLA composites were manufactured by compression moulding combining two types of PLA as matrix and three natural fibres (flax, cotton and jute) as reinforcement. Moreover, the ACC’s were manufactured by solving the surface cellulose of the fibres, which after a regeneration process forms the composite matrix. Thus, four different biocomposites were successfully manufactured in this thesis. The parameters influencing the PLA based biocomposites manufacturing process (temperature, pressure, number of layers, type of fibre and matrix type) have been optimized to obtain a material with a strength greater than 100 MPa, indicating their potential application for replacing traditional composites, especially glass fibre composites. This could mean a large increase in the use of biocomposites in industrial applications such as automotive or aviation. However, it has been observed that biocomposites presents a viscoplastic behaviour with permanent deformations, which is far from the linear elastic behaviour until failure of traditional composites. This has motivated the development of computational tools for biocomposites to predict their behaviour under dynamic conditions such as impacts or machining. Impact test in drop tower were conducted in flax/PLA biocomposites, revealing a high energy absorption, above the absorbed by carbon fibre composites in the range of energies analysed. The main failure mode was fibre failure, while delaminations were not found. Due to this differences in failure modes, the normalized residual strength observed in biocomposites was higher than that reported in carbon fibre reinforced composites. Two different Finite Element Models were developed. First, a linear elastic model was used to reproduce the impact behaviour of ACC plates. Second, a model considering the influence of strain rate on the plastic behaviour of biocomposites was implemented to reproduce the impact behaviour of flax/PLA biodegradable composites. Finally, the different mechanisms of damage induced in drilling had been studied. For this, the damage induced under different cutting speeds, advances and drill geometries was analysed, noting that in this case delaminations were neither found as failure mode, revealing a good cohesion between fibre and matrix. Is also detachable the damage reduction with increasing drill feed rate, which is a novelty that can reduce the processing times of these materials in the industry. These machining tests are the basis for the application of a numerical model based on the constitutive model defined in this work.En las últimas décadas se ha producido un gran auge en el desarrollo de materiales renovables debido a la concienciación en el cuidado del medio ambiente. Parte de la investigación en dichos materiales se ha focalizado en el desarrollo de materiales compuestos biodegradables, empleando fibras naturales como refuerzo de plásticos ‘verdes’. El uso de los biocomposites puede suponer una gran reducción en el impacto ambiental de componentes industriales tras su ciclo de vida, por lo que el desarrollo de herramientas para el diseño con biocomposites significaría un gran avance para su implementación en la industria. En el presente trabajo se han planteado por primera vez las bases para el desarrollo de herramientas para el modelizado de los biocomposites desarrollando un modelo constitutivo que los defina, basándose dicho modelo en la simulación de su comportamiento mecánico por medio de elementos reológicos. Los siete parámetros del modelo han sido ajustados mediante ensayos a tracción cuasi-estáticos, mientras que la validación de los mismos se ha realizado con éxito por medio de ensayos de tracción a distintas velocidades de deformación. El modelo constitutivo ha demostrado ser válido para biocomposites reforzados con algodón, lino y yute, permitiendo una mayor comprensión del comportamiento de los biocomposites, tal como el hecho de que los comportamientos viscoplásticos tienen origen en las fibras y no en la matriz. La existencia de un modelo constitutivo para biocomposites abre las puertas a su aplicación en componentes de responsabilidad estructural reduciendo enormemente los costes de diseño. Se han fabricado distintos materiales para comprobar la versatilidad del modelo constitutivo. Los materiales compuestos biodegradables de PLA se han fabricado mediante modelizado por compresión en caliente, empleando dos tipos de PLA y tres fibras naturales (lino, algodón y yute). Por otro lado, los ACC han sido fabricados mediante la disolución de la celulosa superficial de las fibras, que tras una regeneración conforma la matriz del compuesto. Por lo tanto, se han fabricado con éxito cuatro biocomposites diferentes en el marco de la tesis. Los parámetros que influyen en el proceso de fabricación de los compuestos de PLA (temperatura, presión, número de capas, tipo de fibra y tipo de matriz) han sido optimizados para la obtención de un material con una resistencia superior a los 100 MPa, lo que revela su potencial aplicación para la sustitución de los materiales compuestos tradicionales, especialmente los compuestos de fibra de vidrio. Esto hace prever un gran incremento en su uso en aplicaciones industriales tales como la automoción o la aviación. Sin embargo, también se ha podido observar que los biocomposites presentan un comportamiento viscoso con deformaciones permanentes, lo que dista del comportamiento elástico lineal hasta rotura de los materiales compuestos tradicionales. Esto ha motivado el desarrollo de herramientas de cálculo para los biocomposites para la predicción de su comportamiento en condiciones dinámicas tales como impactos o mecanizados. Se han realizado ensayos de impactos en torre de caída en compuestos de lino/PLA, lo que ha revelado una gran absorción de energía de los mismos, superior a la absorbida por compuestos de fibra de carbono en el rango de energías analizado. El principal modo de fallo localizado en los biocomposites es la rotura de fibras, mientras que no se han encontrado delaminaciones. Debido a esta diferencia en los modos de fallo la resistencia residual normalizada es mayor en biocomposites que en compuestos de fibra de carbono estudiados. Se han desarrollado dos modelos de elementos finitos. En primer lugar, se han reproducido impactos en placas de ACC por medio de un modelo elástico lineal. En segundo lugar, se ha desarrollado un modelo que tiene en cuenta la influencia de la velocidad de deformación en el comportamiento plástico de los biocomposites, el cual fue implementado para reproducir el comportamiento ante impactos de compuestos de lino/PLA. Por último, se han estudiado los distintos mecanismos de daño inducidos en el taladrado de compuestos de PLA. Para ello, se ha estudiado el daño ante distintas velocidades de corte, avances y geometrías de broca, destacando que en este caso tampoco se han localizado delaminaciones como modo de fallo, revelando una buena cohesión entre fibra y matriz. También cabe destacar que se ha determinado una reducción del daño con el incremento de la velocidad de avance, lo que supone una novedad que puede reducir los tiempos de procesado de estos materiales en la industria. Estos ensayos son la base para la aplicación de un modelo numérico basado en el modelo constitutivo definido en este trabajo.Author gratefully acknowledge the support of Spanish Ministry of Economy under the project DPI2013-43994-R and the Carlos III of Madrid University for the financial support during the last three years.Programa Oficial de Doctorado en Ingeniería Mecánica y de Organización IndustrialPresidente: José Fernández Sáez.- Secretario: Eugenio Giner Maravilla.- Vocal: Samuel Charca Maman

Integration of CRISPR-Cas9, shRNA with other genomic data provides reliable predicions of gene essentiality

Recent genome-wide loss-of-function screening studies have provided an unprecedented amount of information to perform functional analysis of the genome. Two main strategies have been followed to perform these experiments: shRNA and, more recently, CRISPR-Cas9. Both technologies have shown their ability to knock down genes and, in the case of CRISPR-Cas9, the ability to create new cell-line strands with different phenotype

Grecia y el cine: historia, mitos y leyendas para entretenimiento del espectador

I Congreso Internacional de Historia y Cine: 5, 6, 7 y 8 de Septiembre de 2007

Comparing Protonolysis and Transmetalation Reactions: Microcalorimetric Studies of C–AuI Bonds in [AuRL] Complexes

Producción CientíficaThe protonolysis of C–Au bonds in [AuRL] organometallic complexes has been studied by calorimetry for twelve R groups. The experimental data have been combined with DFT calculations to obtain Bond Dissociation Energy values (BDE). The C–Au BDE values show a good correlation with the corresponding isolobal C–H BDE values. The heat released in the protonolysis of [AuRL] has also been measured for R = Ph and L = P(OPh)3, PPh3, PMe3, PCy3, and IPr, and these values strongly depend on the trans influence of L because of the mutual destabilization of the L–Au and Au–C bonds. The enthalpy of the transmetalation reactions [AuR(PPh3)] + SnIBu3 → [AuI(PPh3)] + SnRBu3 for seven R groups have been measured and compared with the corresponding [AuR(PPh3)] protonolysis.Ministerio de Economía, Industria y Competitividad (Project CTQ2016-80913-P)Junta de Castilla y León (Project VA 051P17