How does financial theory apply to catastrophe-linked derivatives? En empirical test of several princing models

The paper focuses on the PCS Catastrophe Insurance Option Contracts and empirically tests the degree of agreement between their real quotes and the standard fmancial theory. The highest possible precision is incorporated since the real quotes are perfectly synchronized and the bid-ask spread is always considered. A static setting is assumed and the main topics of arbitrage, hedging and portfolio choice are involved in the analysis. Three significant conclusions are reached. First, the catastrophe derivatives may be very often priced by arbitrage methods, and the paper provides some examples of practical strategies that were available in the market. Second, hedging arguments also yield adequate criteria to price the derivatives and some real examples are provided as well. Third, in a variance aversion context many agents could be interested in selling derivatives to invest the money in stocks and bonds. These strategies show a suitable level in the variance for any desired expected return. Furthermore, the methodology here applied seems to be quite general and may be useful to price other derivative securities. Simple assumptions on the underlying asset behavior are the only required conditions

Rapid detection of Listeria monocytogenes in food using culture enrichment combined with real-time PCR.

A rapid method for the detection of Listeria monocytogenes in foods combining culture enrichment and real-time PCR was compared to the ISO 11290-1 standard method. The culture enrichment component of the rapid method is based on the ISO standard and includes 24h incubation in half-Fraser broth, 4h incubation in Fraser broth followed by DNA extraction and real-time PCR detection of the ssrA gene of L. monocytogenes. An internal amplification control, which is co-amplified with the same primers as the L. monocytogenes DNA, was also included in the assay. The method has a limit of detection of 1-5CFU/25g food sample and can be performed in 2 working days compared to up to 7days for the ISO standard. A variety of food samples from retail outlets and food processing plants (n=175) and controls (n=31) were tested using rapid and conventional methods. The rapid method was 99.44% specific, 96.15% sensitive and 99.03% accurate when compared to the standard method. This method has the potential to be used as an alternative to the standard method for food quality assurance providing rapid detection of L. monocytogenes in food

The Mezquita of Cordoba and Madinat Al-Zahra

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How Financial Theory Applies to Catastrophe-Linked Derivatives--An Empirical Test of Several Pricing Models

This paper discusses the PCS Catastrophe Insurance Option Contracts, pro- viding empirical support on the level of correspondence between real quotes and standard financial theory. The highest possible precision is incorpo- rated since the real quotes are perfectly synchronized and the bid-ask spread is always considered. A static setting is assumed and the main topics of arbitrage, hedging, and portfolio choice are involved in the analysis. Three significant conclusions are reached. First, the catastrophe derivatives may often be priced by arbitrage methods, and the paper provides some examples of practical strategies that were available in the market. Second, hedging arguments also yield adequate criteria to price the derivatives, and some real examples are provided as well. Third, in a variance aversion context many agents could be interested in selling derivatives to invest the money in stocks and bonds. These strategies show a suitable level in the variance for any desired expected return. Furthermore, the methodology here ap- plied seems to be quite general and may be useful to price other derivative securities. Simple assumptions on the underlying asset behavior are the only required conditions.Publicad

Two-Dimensional Central-Upwind Schemes for Curvilinear Grids and Application to Gas Dynamics with Angular Momentum

In this work we present new second order semi-discrete central schemes for systems of hyperbolic conservation laws on curvilinear grids. Our methods generalise the two-dimensional central-upwind schemes developed by Kurganov and Tadmor. In these schemes we account for area and volume changes in the numerical flux functions due to the non-cartesian geometries. In case of vectorial conservation laws we introduce a general prescription of the geometrical source terms valid for various orthogonal curvilinear coordinate systems. The methods are applied to the two-dimensional Euler equations of inviscid gas dynamics with and without angular momentum transport. In the latter case we introduce a new test problem to examine the detailed conservation of specific angular momentum.Comment: 38 pages, 1

A combination of the work formalism for exchange with an optimized correlation energy functional for atoms

The Harbola-Sahni formalism for the exchange potential of many-electron systems gives extremely accurate total energies for atoms (the energies are practically indistinguishable from the Hartree-Fock energies). We combine here this formalism with the usual density functional prescription for the correlation potential, using a recently developed optimized local correlation functional (Gritsenko O.V. et al., Phys. Rev. A 47 (1993) 1811). Numerical tests carried out for several closed shell atoms and ions indicate that the results preserve the accuracy of the exchange-only calculations. We expect the same behavior to hold true for large molecules and atomic clusters. However, similar tests for the He, Be and Ne isoelectronic series indicate that the optimized local correlation functional is not valid for highly ionized atoms

Predicting the influence of a p2-symmetric substrate on molecular self-organization with an interaction-site model

An interaction-site model can a priori predict molecular selforganisation on a new substrate in Monte Carlo simulations. This is experimentally confirmed with scanning tunnelling microscopy on Fre´chet dendrons of a pentacontane template. Local and global ordering motifs, inclusion molecules and a rotated unit cell are correctly predicted

Evaluation of Exchange-Correlation Energy, Potential, and Stress

We describe a method for calculating the exchange and correlation (XC) contributions to the total energy, effective potential, and stress tensor in the generalized gradient approximation. We avoid using the analytical expressions for the functional derivatives of E_xc*rho, which depend on discontinuous second-order derivatives of the electron density rho. Instead, we first approximate E_xc by its integral in a real space grid, and then we evaluate its partial derivatives with respect to the density at the grid points. This ensures the exact consistency between the calculated total energy, potential, and stress, and it avoids the need of second-order derivatives. We show a few applications of the method, which requires only the value of the (spin) electron density in a grid (possibly nonuniform) and returns a conventional (local) XC potential.Comment: 7 pages, 3 figure

All electron and pseudopotential study of the spin polarization of the V (001) surface: LDA versus GGA

The spin-polarization at the V(001) surface has been studied by using different local (LSDA) and semilocal (GGA) approximations to the exchange-correlation potential of DFT within two ab initio methods: the all-electron TB-LMTO-ASA and the pseudopotential LCAO code SIESTA (Spanish Initiative for Electronic Simulations with Thousands of Atoms). A comparative analysis is performed first for the bulk and then for a N-layer V(001) film (7 < N < 15). The LSDA approximation leads to a non magnetic V(001) surface with both theoretical models in agreement (disagreement) with magneto-optical Kerr (electron-capture spectroscopy) experiments. The GGA within the pseudopotential method needs thicker slabs than the LSDA to yield zero moment at the central layer, giving a high surface magnetization (1.70 Bohr magnetons), in contrast with the non magnetic solution obtained by means of the all-electron code.Comment: 12 pages, 1 figure. Latex gzipped tar fil

Chondroitin sulphate mediated fusion of brain: neural folds in rat embryons

Producción CientíficaPrevious studies have demonstrated that during neural fold fusion in different species, an apical extracellular material rich in glycoconjugates is involved. However, the composi- tion and the biological role of this material remain undeter- mined. In this paper, we show that this extracellular matrix in rat increases notably prior to contact between the neural folds, suggesting the dynamic behaviour of the secretory process. Immunostaining has allowed us to demonstrate that this extracellular matrix contains chondroitin sulphate proteoglycan (CSPG), with a spatio-temporal distribution pattern, suggesting a direct relationship with the process of adhesion. The degree of CSPG involvement in cephalic neu- ral fold fusion in rat embryos was determined by treatment with specific glycosidases. In vitro rat embryo culture and microinjection techniques were employed to carry out se- lective digestion, with chondroitinase AC, of the CSPG on the apical surface of the neural folds; this was done immediately prior to the bonding of the cephalic neural folds. In all the treated embryos, cephalic defects of neural fold fusion could tant role in the fusion of the cephalic neural folds in rat em- bryos, which implies that this proteoglycan could be in- volved in cellular recognition and adhesion. Abbreviations used in this paper CSPG chondroitin sulphate proteoglycan HSPG heparan sulphate proteoglycan PBS phosphate-buffered saline SEM scanning electron microscopy be detected. These results show that CSPG plays an impor