Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar.

This research paper presents statistical comparisons between two methods that are commonly used to estimate option implied Risk-Neutral Densities (RND). These are: 1) mixture of lognormals (MXL); and, 2) volatility function technique (VFT). The former is a parametric method whilst the latter is a non-parametric approach. The RNDs are extracted from over-thecounter European-style options on the Mexican Peso–US Dollar exchange rate. The non-parametric method was the superior one for out-of-sample evaluations. The implied mean, median and mode were, in general, statistically different between the competing approaches. It is recommended to apply the VFT instead of the MXL given that the former has superior accuracy and it can be estimated when there is a relatively short crosssection of option exercise price range. The results have implications for financial investors and policy makers given that they could use the information content in options to analyze market’s perceptions about the future expected variability of the financial asset under study.currency option implied volatility, exchange rate, parametric methods, non-parametric methods, risk-neutral densities

Selection of Software Product Line Implementation Components Using Recommender Systems: An Application to Wordpress

In software products line (SPL), there may be features which can be implemented by different components, which means there are several implementations for the same feature. In this context, the selection of the best components set to implement a given configuration is a challenging task due to the high number of combinations and options which could be selected. In certain scenarios, it is possible to find information associated with the components which could help in this selection task, such as user ratings. In this paper, we introduce a component-based recommender system, called (REcommender System that suggests implementation Components from selecteD fEatures), which uses information associated with the implementation components to make recommendations in the domain of the SPL configuration. We also provide a RESDEC reference implementation that supports collaborative-based and content-based filtering algorithms to recommend (i.e., implementation components) regarding WordPress-based websites configuration. The empirical results, on a knowledge base with 680 plugins and 187 000 ratings by 116 000 users, show promising results. Concretely, this indicates that it is possible to guide the user throughout the implementation components selection with a margin of error smaller than 13% according to our evaluation.Ministerio de Economía y Competitividad RTI2018-101204-B-C22Ministerio de Economía y Competitividad TIN2014-55894-C2-1-RMinisterio de Economía y Competitividad TIN2017-88209-C2-2-RMinisterio de Economía, Industria y Competitividad MCIU-AEI TIN2017-90644-RED

Una propuesta metodológica para la optimización de portafolios de inversión y su aplicacion al caso colombiano

El mercado de capitales constituye un universo oferente de diversas alternativas de inversión donde cada activo tiene un nivel de riesgo dado. La función de los financistas está en lograr el mayor rendimiento minimizando el riesgo y sobre este tema han surgido varias teorías. El trabajo plantea la aplicación de un modelo de optimización en Excel que permite crear portafolios eficientes a partir de la teoría del portafolio moderno de Markowitz y empleando el concepto de la línea del mercado de capitales con activos disponibles en el mercado.Portafolios internacionales, frontera eficiente, línea de mercado de capitales, renta fija, varianza, covarianza, acciones y optimización

Accessibility Variability Model: The UTPL MOOC Case Study

Several approaches to define Variability Models (VM) of non-functional requirements or quality attributes have been proposed. However, these approaches have focused on specific quality attributes rather than more general non-functional aspects established by standards such as ISO/IEC 25010 for software evaluation and quality. Thus, developing specific software products by selecting features and at the same time measuring the level of compliance with a standard/ guideline is a challenge. In this work, we present the definition of an accessibility VM based on the web content accessibility guides (WCAG) 2.1 W3C recommendation, to obtain a quantitative measure to improve or construct specific SPL products that require to be accessibility-aware. This paper is specially focused on illustrating the experience of measuring the accessibility in a software product line (SPL) in order to check if it is viable measuring products and recommending improvements in terms of features before addressing the construction of accessibility-aware products. The adoption of the VM accessibility has been putted into practice through a pilot case study, the MOOC (Massive Open Online Course) initiative of the Universidad Técnica Particular de Loja. The conduction of this pilot case study has allowed us to illustrate how it is possible to model and measure the accessibility in SPL using accessibility VM, as well as to recommend accessibility configuration improvements for the construction of new or updated MOOC platforms.Ministerio de Economía, Industria y Competitividad TIN2016- 79726-C2-1-RMinisterio de Ciencia, Innovación y Universidades RTI2018-101204-B-C22Agencia Estatal de Investigación TIN2017-90644-RED

Towards a New Repository for Feature Model Exchange

Feature models are one of the most important contributions to the field of software product lines, feature oriented software develop ment or variability intensive systems. Since their invention in 1990, many feature model dialects appeared from less formal to more formal, from visual to textual, integrated in tool chains or just as a support for a concrete research contribution. Ten year ago, S.P.L.O.T. a feature model online tool was presented. One of its most used features has been the ability to centralise a feature model repository with its own feature model dialect. As a result of MODEVAR, we hope to have a new simple textual feature model language that can be shared by the community. Having a new repository for that language can help to share knowledge. In this paper we present some ideas about the characteristics that the future feature model repository should have in the future. The idea is to discuss those characteristics with the communityMinisterio de Economía y Competitividad RTI2018-101204-B-C22 (OPHELIA)Ministerio de Ciencia, Innovación y Universidades MCIU-AEI TIN2017-90644-REDT (TASOVA

Variability Management in an unaware software product line company: An experience report

Software product line adoption is a challenging task in software development organisations. There are some reports in the literature of how software product line engineering has been adopted in several companies using di erent variabil-ity management techniques and patterns. However, to the best of our knowledge, there are no empirical reports on how variability management is handled in companies that do not know about software product line methods and tools. In this paper we present an experience report observing variability management practices in a software development company that was unaware of software product line approaches. We brie y report how variability management is performed in di erent areas ranging from business architecture to software assets management. From the observation we report some open research opportunities for the future and foster further similar and more structured empirical studies on unaware software product line companies.Ministerio de Economía y Competitividad TIN2012-32273Junta de Andalucía TIC-5906Junta de Andalucía P12-TIC-186

Variability Modelling Challenges from the Trenches of an Open Source Product Line Re-Engineering Project

Variability models, feature diagrams ahead, have become commonplace in the software product lines engineering literature. Whereas ongoing research keeps improving their expressiveness, formalisation and automation, more experience reports on their usage in real projects are needed. This paper describes some challenges encountered during the re-engineering of PloneMeeting, an Open Source software family, into a software product line. The main challenging issues we could observe were (i) the ambiguity originating from implicit information (missing definitions of feature labels and unclear modelling viewpoint), (ii) the necessity of representing spurious features, (iii) the difficulty of making diagrams and constraints resistant to change, and (iv) the risks of using feature attributes to represent large sets of subfeatures. Our study reveals the limitations of current constructs, and calls for both language and methodological improvements. It also suggests further comparative evaluations of modelling alternatives.Comisión Interministerial de Ciencia y Tecnología TIN2006-0047

Automated analysis of feature models: challenges ahead

Ministerio de Ciencia y Tecnología TIC 2003-02737-C02-01Ministerio de Ciencia y Tecnología TIN2006-0047