Term Structure Movements Implicit in Option Prices

This paper analyzes how including options in the estimation of a dynamic term structure model impacts the way it captures term structure movements. Two versions of a multi-factor Gaussian model are compared: One adopting only bonds data, and the other adopting a joint dataset of bonds and options. Term structure movements extracted under each version behave distinctly, with slope and curvature presenting higher mean reversion rates when options are adopted. The composition of bond risk premium is also affected, with considerably more weight attributed to the level factor when options are included. The inclusion of options in the estimation of the dynamic model also improves the pricing of out-of-sample options.

Identifying Volatility Risk Premium from Fixed Income Asian Options

We provide approximation formulas for at-the-money asian option prices to extract volatility risk premium from a joint dataset of bonds and option prices. The dynamic model generates stochastic volatility and a time-varying volatility risk premium, which explicitly depends on the average cross section of bond yields and on the time series behavior of option prices. When estimated using a joint dataset of Brazilian local bonds and asian options, the model generates bond risk premium strongly correlated (89%) with a widely accepted emerging markets benchmark index, and a negative volatility risk premium implying that investors might be using options as insurance in this market. Volatility premium explains a significant portion (32.5%) of bond premium, confirming that options are indeed important to identify risk premium in dynamic term structure models.

Near-field electromagnetic wave scattering from random self-affine fractal metal surfaces: Spectral dependence of local field enhancements and their statistics in connection with surface-enhanced Raman scattering

11 págs.; 10 figs.By means of rigorous numerical simulation calculations based on the Green's theorem integral equation formulation, we study the near electromagnetic field in the vicinity of very rough, one-dimensional self-affine fractal surfaces of Ag, Au, and Cu (for both vacuum and water propagating media) illuminated by a p-polarized field. Strongly localized enhanced optical excitations (hot spots) are found, with electric field intensity enhancements of close to 4 orders of magnitude and widths below a tenth of the incoming wavelength. These effects are produced by the roughness-induced surface-plasmon polariton excitation. We study the characteristics of these optical excitations as well as other properties of the surface electromagnetic field, such as its statistics (probability density function, average, and fluctuations), and their dependence on the excitation spectrum (in the visible and near-infrared regions). Our study is relevant to the use of self-affine fractals as surface-enhanced Raman scattering substrates, where large local and average field enhancements are desired. ©2000 American Physical SocietyThis work was supported by the Spanish Dirección General de Ensenñanza Superior e Investigación Científica y Técnica, through Grant No. PB97-1221. We also thank the Mexican-Spanish CONACYT-CSIC program for partial travel support.Peer Reviewe

Spatial location patterns of Spanish manufacturing firms

In this paper, we evaluate the spatial location patterns of Spanish manufacturing firms in each industry. We use a distance-based method, Ripley’s K function, which allows us to treat space as continuous. With ‘complete spatial randomness’ as benchmark, every sector presents significant concentration whatever the distance considered. If we use the locations of all manufacturing firms as benchmark, we find dispersion in some sectors and concentration in others, finding also differences in the spatial scale at which clustering occurs. Finally, the use of cities as benchmark reveals that not only is ‘first nature’ among the location determinants of manufacturing firms but they also include the self-reinforcing advantages of ‘second nature’

On the Design of Ambient Intelligent Systems in the Context of Assistive Technologies

The design of Ambient Intelligent Systems (AISs) is discussed in the context of assistive technologies. The main issues include ubiquitous communications, context awareness, natural interactions and heterogeneity, which are analyzed using some examples. A layered architecture is proposed for heterogeneous sub-systems integration with three levels of interactions that may be used as a framework to design assistive AISs.Ministerio de Ciencia y Tecnología TIC2001-1868-C0

Salivary Cytokines in patients with Head and Neck Cancer (HNC) treated with Radiotherapy

Head and Neck cancer (HNC) is the sixth most common cancer in the world. The 5-year survival rate depends on early diagnosis and appropriate therapy. Typically, late diagnosis requires not only surgical intervention, but also radiotherapy treatment combined or not with chemotherapy. Ionizing radiation is known to increase the expression of a number of cytokines involved in inflammation, wound healing and toxicity areas. Salivary cytokines have promising features to be used as biomarkers for disease screening and outcome prediction in this malignancy. The aim of this article is to analyze the role of salivary inflammatory response elements in HNC patients treated with radiotherapy, their modulation and association with the treatment outcome. A bibliographical search was performed on Pubmed, Cochrane and Embase using the following keywords: cytokines, saliva, head and neck cancer, radiotherapy. The cut-off point for the research were scientific papers published over the last 10 years. After a two-step selection process, 15 articles were identified and subjected to review. Radiotherapy treatment was shown to influence a number of salivary cytokines. A trend towards a growth of IL-1?, IL-6, IL-8, MCP-1, and TNF-? levels was observed and it correlated with the irradiation dose. The analysis of salivary cytokines could be a useful biomarker for predicting radiotherapy outcome in HNC. However, large-scale investigations are required to validate the use of these cytokines in predicting and diagnosing HNC, as well as evaluating the response to the treatment

Salivary inflammatory proteins in patients with oral potentially malignant disorders

Cytokines are a group of small proteins involved in the regulation of infection, immune responses and inflammation. Since altered cytokine responsiveness has been linked to Oral Squamous Cell Carcinoma (OSCC), research to date indicates the possibility of using salivary pro- and anti-inflammatory proteins for screening of oral disorders. OSCC is a multistep neoplasia in which many genetic and epigenetic changes have been correlated to cancerous transformation of oral potentially malignant disorders (OPMD) such as oral leukoplakia, erythroplakia and lichen planus. The goal of the innovative salivary diagnostics is the identification of a single or multiple biomarkers that will serve as a clinical test facilitating the diagnosis of patients predisposed to develop OSCC. Based on scientific literature review, this article summarizes the results from nine articles, all of them being case-control studies where TNF-?, IL-1?, IL-6 and IL-8 were considered possible indicators of malignant transformation

Collective electromagnetic emission from molecular layers on metal nanostructures mediated by surface plasmons

6 págs.; 3 figs.; PACS number s : 73.20.Mf, 78.30. j, 78.67.Bf, 42.25.FxCollective electromagnetic processes stemming from molecular emission close to complex nanostructured metal surfaces pumped at and/or near surface-plasmon resonances are theoretically investigated. A classical electrodynamics model is used to describe macroscopically the surface molecular layer emission. Generalized Fresnel coefficients are analytically obtained for planar surfaces, indeed predicting collective quenching for redshifted emission at given angles. The model is introduced into a scattering formulation based on surface integral equations in order to explore collective spontaneous emission near metallic nanoantennas and surface-enhanced Raman scattering. Frequency-shifted near-field patterns and properly defined enhancement factors are obtained that manifest collective processes and cannot be simply inferred from calculations of near fields at the pump frequency. © 2007 The American Physical Society.This work was supported in part by the Spanish “Ministerio de Educación y Ciencia” Grant Nos. FIS2006-07894 and FIS2004-0108 and “Comunidad de Madrid” Grant No. S-0505/TIC-0191 and V.G.’s Ph.D. scholarshipPeer Reviewe

Thrombophilia screening: An artificial neural network approach

Thrombotic disorders have severe consequences for the patients and for the society in general, being one of the main causes of death. These facts reveal that it is extremely important to be preventive; being aware of how probable is to have that kind of syndrome. Indeed, this work will focus on the development of a decision support system that will cater for an individual risk evaluation with respect to the surge of thrombotic complaints. The Knowledge Representation and Reasoning procedures used will be based on an extension to the Logic Programming language, allowing the handling of incomplete and/or default data. The computational framework in place will be centered on Artificial Neural Networks.This work is funded by National Funds through the FCT – Fundação para a Ciência e a Tecnologia (Portuguese Foundation for Science and Technology) within projects PEst-OE/EEI/UI0752/2014 and PEst-OE/QUI/UI0619/2012

Analysis and forecasting of time series by averaged scalar products of flow vectors

The relationship between the quality of state space reconstruction and the accuracy in time series forecasting is analyzed. The averaged scalar product of the dynamical system flowvectors has been used to give a degree of determinism to the selected state space reconstruction. This value helps distinguish between those regions of the state space here predictions will be accurate and those where they are not . A time series measured in an industri al environment where noise is present is used as an example. It is shown that prediction methods used to estimate futu re values play a less important role than a good reconstruction of the state space itself.Grateful acknowledgment is due to the ESPRIT project HI T E6447 for support of this work. One of us (R. H.) wants to thank to the M.E.C. for financial suppor