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.

Pricing executive stock options under employment shocks

We obtain explicit expressions for the subjective, objective and market value of perpetual executive stock options (ESOs) under exogenous employment shocks driven by an independent Poisson process. Within this setup,we obtain the executive's optimal exercise policy which allows us to analyze the determinants of both, the subjective valuation by executives and the objective valuation by firms. The perpetual ESO is compared with the more realistic finite maturity ESO finding that the approximation is reasonably good. We also use the objective valuation's results for accounting purposes. Further,we analyze the objective valuation distribution when there is uncertainty about the employment shock parameter. Finally, the role of ESOs in the design of executive's incentives is also discussed.ESO, Risk Aversion, Undiversification, Incentives, FAS 123R.

Daylighting Performance of Solar Control Films for Hospital Buildings in a Mediterranean Climate

One of the main retrofitting strategies in warm climates is the reduction of the effects of solar radiation. Cooling loads, and in turn, cooling consumption, can be reduced through the implementation of reflective materials such as solar control films. However, these devices may also negatively affect daylight illuminance conditions and the electric consumption of artificial lighting systems. In a hospital building, it is crucial to meet daylighting requirements as well as indoor illuminance levels and visibility from the inside, as these have a significant impact on health outcomes. The aim of this paper is to evaluate the influence on natural illuminance conditions of a solar control film installed on the windows of a public hospital building in a Mediterranean climate. To this end, a hospital room, with and without solar film, was monitored for a whole year. A descriptive statistical analysis was conducted on the use of artificial lighting, illuminance levels and rolling shutter aperture levels, as well as an analysis of natural illuminance and electric consumption of the artificial lighting system. The addition of a solar control film to the external surface of the window, in combination with the user-controlled rolling shutter aperture levels, has reduced the electric consumption of the artificial lighting system by 12.2%. Likewise, the solar control film has increased the percentage of annual hours with natural illuminance levels by 100–300 lux

Indoor Air Quality Assessment: Comparison of Ventilation Scenarios for Retrofitting Classrooms in a Hot Climate

Current energy e ciency policies in buildings foster the promotion of energy retrofitting of the existing stock. In southern Spain, the most extensive public sector is that of educational buildings, which is especially subject to significant internal loads due to high occupancy. A large fraction of the energy retrofit strategies conducted to date have focused on energy aspects and indoor thermal comfort, repeatedly disregarding indoor air quality criteria. This research assesses indoor air quality in a school located in the Mediterranean area, with the objective of promoting di erent ventilation scenarios, based on occupancy patterns and carbon dioxide levels monitored on site. Results show that manual ventilation cannot guarantee minimum indoor quality levels following current standards. A constant ventilation based on CO2 levels allows 15% more thermal comfort hours a year to be reached, compared to CO2-based optimized demand-controlled ventilation. Nevertheless, the latter ensures 35% annual energy savings, compared to a constant CO2-based ventilation, and 37% more annual energy savings over that of a constant ventilation rate of outdoor air per person

Investigation on mobile radio propagation channel model based on measurement data

Los canales de comunicación inalámbricos en comunicaciones móviles cambian la señal transmitida y por lo tanto, estos deben ser modelados apropiadamente. Si un sistema multiple-input multiple-output (MIMO) es considerado, el proceso de modelado se vuelve más desafiante debido a las componentes multicanal de este. Por una parte, las propiedades estadísticas del canal MIMO son modeladas usando un modelo estocástico basado en geometría, como es el modelo WINNER II. Por otra parte, los fenómenos físicos que se producen durante la propagación de las ondas radio puede ser descritos usando modelos determinísticos, como PIROPA (Parallel Implemented Ray Optical Propagation Algorithm). Además, un modelo semi-estocástico puede ser derivado combinando los modelos estocásticos y físicos. En este estudio, un modelo semi-estocástico de canal es implementado y comparado sus resultados con datos obtenidos en un escenario real. Los resultados muestran que el modelo semi-estocástico tiene ventajas en precisión del modelado y tiempo de ejecución respecto al modelo WINNER II, el cual es ampliamente utilizado en la actualidad.Ingeniería de Telecomunicació

Solar Decathlon Latin America and Caribbean: Comfort and the Balance between Passive and Active Design

This article contains an overall analysis of the results obtained by the four highest scoring teams in the Solar Decathlon Latin America and Caribbean 2015 collegiate sustainable habitat competition. Considering that the prototypes developed were based on energy self-su ciency when operational, it was considered necessary to propose this analysis based on the degree of suitability of each of these models based on their di erent performances from the perspective of comfort conditions. It was observed that the design of the prototypes did not manage to properly adjust the relationship between passive and active conditioning elements based on the location’s conditions. Accordingly, this article concludes that a balance of the two aforementioned conditioning modes recorded better results based on the measurements taken

Leftist militarism: The influence of Velasquism in Chávez

Peru lived his own revolution in the sixties. In 1968, a group of army officers led by Juan Velasco Alvarado took the power in the Andean Country. The subsequent military regime lasted until 1975, when he was expulsed by another officer: Francisco Morales Bermudez.2 Velasco Alvarado`s regime was not a conventional regime. The majority of Latin American military dictatorships were conservatives (except Cuba), but the Peruvian model was a left wing regimen. In the 1970s, during the Velasquism, a very young Hugo Chávez visited Peru as a Venezuelan military man. He and his mates were invited by the Peruvian leader to celebrate the sixth centenary of the Battle of Ayacucho. In this trip, Chavez was amazed by Peru’s political model. He was only 20 years old, but his experience marked his posterior way of understanding politics

Key Production Parameters to Obtain Transparent Nanocellular PMMA

Transparent nanocellular polymethylmethacrylate (PMMA) with relative density around 0.4 is produced for the first time by using the gas dissolution foaming technique. The processing conditions and the typical characteristics of the cellular structure needed to manufacture this novel material are discovered. It is proved that low saturation temperatures (−32 °C) combined with high saturation pressures (6, 10, 20 MPa) allow increasing the solubility of PMMA up to values not reached before. In particular, the highest CO2 uptake ever reported for PMMA, (i.e., 48 wt%) is found for a saturation pressure of 20 MPa and a saturation temperature of −32 °C. Due to these processing conditions, cell nucleation densities of 1016 nuclei cm−3 and cell sizes clearly below 50 nm are achieved. The nanocellular polymers obtained, with cell sizes ten times smaller than the wavelength of visible light and very homogeneous cellular structures, show a significant transparency