The escape problem under stochastic volatility: the Heston model

We solve the escape problem for the Heston random diffusion model. We obtain exact expressions for the survival probability (which ammounts to solving the complete escape problem) as well as for the mean exit time. We also average the volatility in order to work out the problem for the return alone regardless volatility. We look over these results in terms of the dimensionless normal level of volatility --a ratio of the three parameters that appear in the Heston model-- and analyze their form in several assymptotic limits. Thus, for instance, we show that the mean exit time grows quadratically with large spans while for small spans the growth is systematically slower depending on the value of the normal level. We compare our results with those of the Wiener process and show that the assumption of stochastic volatility, in an apparent paradoxical way, increases survival and prolongs the escape time.Comment: 29 pages, 12 figure

La publicidad con pretendida finalidad sanitaria en la radio española. Un análisis empírico por tipo de emisora

El presente trabajo demuestra que buena parte de la publicidad radiofónica de productos relacionados con la salud vulnera la legislación vigente. El análisis de una muestra de 430 cuñas publicitarias, 1664 si se tiene en cuenta su frecuencia de emisión, ha permitido identificar las cuatro categorías de producto que concentran los claims ilícitos: alimentación, bebidas, belleza e higiene y salud. La proporción de engaños por cada cuña ilícita emitida alcanza el 3,99 en la radio generalista y el 2,2 en la radio temática. El tipo de engaño más frecuente hace referencia a productos que supuestamente proporcionan seguridad de alivio o curación cierta

Accounting for risk of non linear portfolios: a novel Fourier approach

The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.Comment: 10 pages, 12 figures. Final version accepted for publication on Eur. Phys. J.

La fijación externa en los grandes traumatismos

La fijación precoz de las fracturas del paciente politraumatizado mejora su morbilidad y mortalidad. Las puculariedades de la fijación externa la convierten en un método de fijación especialmente indicado para estos pacientes, en especial para las fracturas de pelvis y las fracturas de fémur y tibia. En caso de conversión posterior a enclavado endomedular se aconseja realizarlo antes de las 2 semanas de evolución y en ausencia de infección de los trayectos de los clavos.Early fracture in multiple trauma patient improves his morbidity and mortality. Because of its peculiarities, external stabilization is a fixation method specially indicated for the treatment of these patients, particularly for pelvic, femoral and tibial fractures. Conversion to endomedular nailing is advisable in the first 2 weeks after injury and without pintrack infection

Stable isotope geochemistry of the Ulldemolins Pb-Zn-Cu deposit (SW Catalonian Coastal Ranges, Spain)

The Pb-Zn-Cu deposit of Ulldemolins occurs within the Carboniferous sedimentary series of the southernmost Catalonian Coastal Ranges. It consists of sulphide-bearing calc-silicate assemblages, with epidote, Ca-amphiboles and Ca-garnet, which develop selectively along a dolomicrite bed near the contact with a granite porphyry. Two mineralisation styles can be differentiated: a) banded and b) irregular. Fluid inclusions and stable isotope compositions of sulphur in sulphides (sphalerite, galena and chalcopyrite) and carbon and oxygen in carbonates (calcite and dolomite) were studied in order to constrain the genesis and the source of mineralizing fluids. Fluid inclusions in sphalerite and calcite are aqueous, liquid+vapour and have a salinity between 1.2 and 7.2 wt% NaCl eq. and homogenization temperatures in the range of 273º to 368ºC. The δ34S(V-CDT) values in the banded mineralisation are mostly between –1.5 and +2.1‰, and those from the irregular mineralisation are between –1.1 and +20.5‰. These δ34S values of the banded mineralisation are in agreement with a magmatic origin of sulphur. In addition, the δ18O(SMOW) values of hydrothermal calcite, from +6.9 to +12.5‰, are consistent with a magmatic origin of the fluids that formed the banded ore deposit. Later, a new input of fluids interacted with the previously formed mineral assemblages and modified part of the deposit, leading locally to an irregular skarn mineralisation

Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model

We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein-Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones Index data.Comment: 26 pages, 6 colored figure

Influence of the adequacy of data collection, during two years, in the management of communityacquired pneumonia in emergency departments

Objective. The aim of this study was to analyze whether structured data collection of patients with community-acquired pneumonia (CAP) in the Emergency Department (ED) improves compliance with clinical guidelines regarding inpatient and outpatient treatment and prescription of antibiotics at discharge. Material and methods. We performed a quasi experimental, multicenter, pre/postintervention study. The intervention consisted of basic training for the participating physicians and the incorporation of a data collection sheet in the clinical history chart, including the information necessary for adequate decision making regarding patient admission and treatment, in the case of discharge. We analyzed the adequacy of the final destination of patients classified as Fine I-II and antibiotic treatment in patients receiving outpatient treatment, with each participating physician including 8 consecutive patients (4 pre-intervention and 4 post-intervention). Results. A total of 738 patients were included: 378 pre-intervention and 360 post-intervention. In the pre-intervention group, Fine V was more frequent and patients were older, had more ischemic heart disease, active neoplasms and fewer risk factors for atypical pneumonia. Of the patients with Fine I-II, 23.7% were inadequately admitted and 19.6% of those discharged received treatment not recommended by guidelines. No differences were observed in the target variables between the two groups. Conclusion. The adequacy of the decision to admit patients with Fine I-II CAP and outpatient antibiotic treatment can be improved in the ED. Structured data collection does not improve patient outcome

Dietary supplements’ endorsements. A content analysis of claims and appeals on Spanish radio

The aims of this study are to analyze the presence of endorsers in DS advertising on Spanish radio and the health-related product information of endorsements on full service Spanish radio. To this end, the content analysis of all radio spots broadcast throughout the year 2017 is conducted, deriving a corpus of 165 different radio spots belonging to the product category of dietary supplements, broadcast a total of 10,566 times. According to the Elaboration Likelihood Model, endorsers are a peripheral cue and increase advertising persuasion. The main results show that the most prevalent type of endorser in DS radio spots is the anonymous spokesperson, followed by celebrities, and that endorsers use explicit claims more frequently than implicit claims. Additionally, experts and celebrities use rational appeals more frequently while emotional appeals predominate in endorsements by typical consumers. Thus, rational appeals are prevalent in endorsements voiced by the most credible endorsers: experts and celebrities. That is, the higher the social recognition and credibility of the endorser, the greater the weight of direct, explicit and rational arguments in the message, while less attention is given to emotional appeals.The aims of this study are to analyze the presence of endorsers in DS advertising on Spanish radio and the health-related product information of endorsements on full service Spanish radio. To this end, the content analysis of all radio spots broadcast throughout the year 2017 is conducted, deriving a corpus of 165 different radio spots belonging to the product category of dietary supplements, broadcast a total of 10,566 times. According to the Elaboration Likelihood Model, endorsers are a peripheral cue and increase advertising persuasion. The main results show that the most prevalent type of endorser in DS radio spots is the anonymous spokesperson, followed by celebrities, and that endorsers use explicit claims more frequently than implicit claims. Additionally, experts and celebrities use rational appeals more frequently while emotional appeals predominate in endorsements by typical consumers. Thus, rational appeals are prevalent in endorsements voiced by the most credible endorsers: experts and celebrities. That is, the higher the social recognition and credibility of the endorser, the greater the weight of direct, explicit and rational arguments in the message, while less attention is given to emotional appeals

Los sistemas de transporte minero de la mina de Tub o del Tubo (Almatret, Cuenca lignitífera de Mequinenza, Depresión geológica del Ebro, Lleida)

Postprint (published version