On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options

In this work, we propose a one time-step Monte Carlo method for the SABR model. We base our approach on an accurate approximation of the cumulative distribution function of the time-integrated variance (conditional on the SABR volatility), using Fourier techniques and a copula. Resulting is a fast simulation algorithm which can be employed to price European options under the SABR dynamics. Our approach can thus be seen as an alter- native to Hagan’s analytic formula for short maturities that may be employed for model calibration purposes

On an efficient multiple time step Monte Carlo simulation of the SABR model

In this paper, we will present a multiple time step Monte Carlo simulation technique for pricing options under the Stochastic Alpha Beta Rho model. The proposed method is an extension of the one time step Monte Carlo method that we proposed in an accompanying paper Leitao et al. [Appl. Math. Comput. 2017, 293, 461–479], for pricing European options in the context of the model calibration. A highly efficient method results, with many very interesting and nontrivial components, like Fourier inversion for the sum of log-normals, stochastic collocation, Gumbel copula, correlation approximation, that are not yet seen in combination within a Monte Carlo simulation. The present multiple time step Monte Carlo method is especially useful for long-term options and for exotic options

Field study of infiltration capacity reduction of porous mixture surfaces

Porous surfaces have been used all over the world in source control techniques to minimize flooding problems in car parks. Several studies highlighted the reduction in the infiltration capacity of porous mixture surfaces after several years of use. Therefore, it is necessary to design and develop a new methodology to quantify this reduction and to identify the hypothetical differences in permeability between zones within the same car park bay due to the influence of static loads in the parked vehicles. With this aim, nine different zones were selected in order to check this hypothesis (four points under the wheels of a standard vehicle and five points between wheels). This article presents the infiltration capacity reduction results, using the LCS permeameter, of Polymer-Modified Porous Concrete (9 bays) and Porous Asphalt (9 bays) surfaces in the University of Cantabria Campus parking area (Spain) 5 years after their construction. Statistical analysis methodology was proposed for assessing the results. Significant differences were observed in permeability and reduction in infiltration capacity in the case of porous concrete surfaces, while no differences were found for porous asphalt depending on the measurement zone

Social vulnerabilities as determinants of overweight in 2-, 4-and 6-year-old Spanish children

Background: Differences in obesity prevalence among vulnerable groups exist in childhood but it remains unclear whether these differences may be partly determined by socioeconomic status (SES), parental body mass index (BMI) and early life risk factors. We aimed to explore (i) longitudinal associations between belonging to a minority group and being overweight/obese at age 2, 4 and 6 and (ii) associations between accumulation of social vulnerabilities and being overweight/obese at age 6. Methods: In total, 1031 children (53.8% boys) were evaluated at birth and re-examined during a 6-year follow-up in a representative cohort of Aragon (Spain). Children from minority (vulnerable) groups included Spanish Roma/gypsies, Eastern Europeans, Latin Americans and Africans. Two more vulnerable groups were defined at baseline as children whose parents reported low occupation and education. Ethnicity, SES and parental BMI were collected via interviews. We used logistic mixed-effects models and adjusted for parental BMI, SES, mother''s tobacco use, maternal weight gain, birth weight, infant weight gain and breastfeeding practices. Results: Regardless of confounders, Roma/gypsy children (OR = 4.63;[1.69-12.70]95% CI) and with Latin American background (OR = 3.04;[1.59-5.82]95% CI) were more likely to be overweight/obese at age 6 compared with non-gypsy Spanish group. Children with three vulnerabilities (OR = 2.18;[1.31-3.64]95% CI) were more likely to be overweight/obese at age 6 compared with children with no vulnerabilities. No associations were found between belonging to a minority group and overweight/obesity in children under 6. Conclusion: Interventions should target Roma/gypsy children, Latin American children and those who accumulate more vulnerabilities as they are at higher risk of being overweight/obese at age 6

Pbte Quantum Dots - Sio2 Multilayers For Optical Devices Produced By Laser Ablation

Thin films of glass doped with PbTe quantum dots were successfully fabricated. The semiconducting quantum dots were grown by laser ablation of a PbTe target (99.99%) using the second harmonic of a Q-Switched Quantel Nd:YAG laser under high purity argon atmosphere. The glass matrix was fabricated by a plasma chemical vapor deposition method using vapor of tetramethoxysilane (TMOS) as precursor. The QD's and the glass matrix were alternately deposited onto a Si (100) wafer for 60 cycles. Cross-section TEM image clearly showed QD's layer well separated from each other with glass matrix layers. The influence of the ablation time on the size distribution of the quantum dots is studied. HRTEM revealed anisotropy in the size of the QD's: they were about 9nm in the high and 3-5 in diameter. Furthermore HRTEM studies revealed that the QD's basically growth in the (200) and (220) directions. The thickness of the glass matrix layer was about 20 nm. Absorption, photo luminescence and relaxation time of the multilayer were also measured.5734116123Alivisatos, A.P., (1996) Sci., 271, p. 933Warnock, J., Awschalom, D.D., (1985) Phys. Rev. B, 32, p. 5529Borrelli, N.F., May, D.W., Holland, H.J., Smith, D.W., (1987) J. Appl. Phys., 61, p. 399Potter, B.G., Simmons, J.H., (1988) Phys. Rev. B, 37, p. 10838Gleiter, H., (1989) Prog. Mater. Sci., 33, p. 223Tsunetomo, K., Shunsuke, S., Koyama, T., Tanaka, S., Sasaki, F., Kobayashi, S., (1995) Nonlinear Opt., 13, p. 109Reynoso, V.C.S., De Paula, A.M., Cuevas, R.F., Neto, J.A.M., Alves, O.L., Cesar, C.L., Barbosa, L.C., (1995) Electr. Lett., 31 (12), pp. 1013-1015Jacob, G.J., Cesar, C.L., Barbosa, L.C., (2002) Chem. Phys. Glass, 43 C, pp. 250-252Singh, R.K., Narayan, J., (1990) Phys. Rev. B, 41, p. 8843Barnes, J.P., (2002) Nanotechnology, 13, p. 465Tudury, G.E., Marquezini, M.V., Ferreira, L.G., Barbosa, L.C., Cesar, C.L., (2000) Phys. Rev. B, 62 (11), pp. 7357-7364Cesar, C.L., Jacob, G.J., Tudury, G.E., Marquezini, M.V., Barbosa, L.C., (2004) Atti della Fondazione G. Ronchi Journal, (4), pp. 519-528. , Anno LI

Water quality and quantity assessment of pervious pavements performance in experimental car park areas

Pervious pavements have become one of the most used sustainable urban drainage system (SUDS) techniques in car parks. This research paper presents the results of monitoring water quality from several experimental car park areas designed and constructed in Spain with bays made of interlocking concrete block pavement, porous asphalt, polymer-modified porous concrete and reinforced grass with plastic and concrete cells. Moreover, two different sub-base materials were used (limestone aggregates and basic oxygen furnace slag). This study therefore encompasses the majority of the materials used as permeable surfaces and sub-base layers all over the world. Effluent from the test bays was monitored for dissolved oxygen, pH, electric conductivity, total suspended solids, turbidity and total petroleum hydrocarbons in order to analyze the behaviour shown by each combination of surface and sub-base materials. In addition, permeability tests were undertaken in all car parks using the ‘Laboratorio Caminos Santander’ permeameter and the Cantabrian Portable Infiltrometer. All results are presented together with the influence of surface and sub-base materials on water quality indicators using bivariate correlation statistical analysis at a confidence level of 95%. The polymer-modified porous concrete surface course in combination with limestone aggregate sub-base presented the best performance

Estado del Arte en Cambio Climático, Agricultura y Seguridad Alimentaria en El Salvador

El Salvador es uno de los países con mayor vulnerabilidad ante los efectos del cambio climático en América Central; es por esto que el Ministerio de Agricultura y Ganadería (MAG) en colaboración con el Programa de Investigación de CGIAR en Cambio Climático, Agricultura y Seguridad Alimentaria (CCAFS) en América Latina y con apoyo del Consejo Agropecuario Centroamericano (CAC) presentan el “Estado del Arte en Cambio Climático, Agricultura y Seguridad Alimentaria en El Salvador”, así como el marco gubernamental y actores involucrados en torno a esta temática. En el documento se evidencia que a nivel nacional se realizan diferentes iniciativas para enfrentar los efectos del cambio climático en el sector agropecuario, que se han agravado debido al deterioro ambiental del territorio nacional, así como por la alta vulnerabilidad ante eventos climáticos extremos y el nivel de pobreza de las comunidades. Estas iniciativas promueven el desarrollo integral de los productores de cultivos de subsistencia y comerciales, mediante un abordaje transversal de los temas de cambio climático y seguridad alimentaria con la intervención de actores tanto del sector público como privado, y con un marco de políticas e instrumentos que fomentan las acciones colaborativas a nivel regional y nacional hacia el desarrollo sostenible. Sin embargo es necesario fomentar y fortalecer las investigaciones a nivel nacional, así como las capacidades de los productores para adaptarse a los efectos del cambio climático