SINGLE FACTOR STOCHASTIC MODELS WITH SEASONALITY APPLIED TO UNDERLYING WEATHER DERIVATIVES VARIABLES

This paper estimates single factor stochastic models describing daily air temperature behaviour. We modify classical financial models to reflect temperature seasonality and fit them to a time series representing temperatures in Spain. The estimated models are used in Montecarlo simulations to obtain heating and cooling degree-days, which are used as an underlying reference in weather derivatives. The final goal of this work is to obtain an insight into weather derivative valuation, and so making it easier to manage economic activity risks closely related to temperature (i.e. oil, gas and electricity prices and volumes). En este trabajo se estiman modelos estocásticos unifactoriales que describen elcomportamiento de la temperatura del aire de un índice representativo de la Españapeninsular. Los modelos más utilizados en finanzas se adaptan para incorporar elcomportamiento estacional de la variable temperatura. El objetivo de este trabajo es obtenerresultados que permitan avanzar en la valoración de activos derivados sobre climatología.Este tipo de derivados permiten gestionar riesgos de la actividad económica estrechamenterelacionados con la temperatura (por ejemplo, los riesgos de precio y volumen del gas y laelectricidad). Con los modelos estimados se realiza un ejercicio de simulación de Montecarlopara obtener los grados día frío y los grados día calor que son las referencias subyacentes enlos contratos de meteorología.Grados Día Frío, Energía, Grados Día Calor, Estacionalidad, Modelos estocásticos y Derivados de la meteorología. Cooling Degree-days, Energy, Heating Degree-days, Seasonality, Stochastic Models, Weather Derivatives.

Has 1997 Asian Crisis increased Information Flows between International Markets?

The Asian crisis started on July 2, 1997 and caused turmoil in developed as well as emerging international stock markets. The objective of this paper is to analyse the movements and dynamic relationships among stock markets, together with their implications for information flows. We use the Morgan Stanley National and International Indexes (MSCI). These indexes refer to four geographic areas (Asia, Europe, North America and Latin America) for two homogeneous and non-overlapping time intervals. The econometric techniques used in this paper include the cointegration test, vector autoregression analysis, forecast error variance decomposition and impulse-response relationships. Our results show that: i) there are no multivariate cointegration relationships across markets, ii) the leadership role played by the U.S. became stronger after the crisis, iii) the response of Asian markets to external markets is more relevant than vice versa, especially after the crisis, iv) the degree of integration, in Phylaktis (1999) sense, between Asian and the rest of the international stock markets has increased after the crisis and, finally, v) the contagion effect determines significantly the dynamic relationships between international stock markets.Asian crisis, stock market, information flow, cointegration, VAR

Expectations and Forward Risk Premium in the Spanish Power Market

To analyse the forward risk premium in the Spanish electricity market, we adopt not only an ex post approach, but also an ex ante. We find that the sign of the ex post forward premium depends on the unexpected variation in demand and on the unexpected variation in the hydro-energy capacity, and that the ex ante forward premium varies with the expected demand in tight market conditions, showing that the participation of forward dealing agents in the Spanish market responds to risk considerations. Moreover, we find support for the implications derived from the Bessembinder & Lemmon (2002) equilibrium model.

On the efectiveness of several market integration measures: an empirical analysis

Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability ad market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice

Los precios en los mercados reestructurados de electricidad: algunas lecciones básicas para la negociación derivada

Este artículo investiga los precios al contado de mercados reestructurados de la electricidad de diversas partes del mundo. Primero se proporciona un análisis detallado de las propiedades distributivas y de la dinámica de los precios de contado eléctricos. Después se realiza una introducción a los múltiples factores por el lado de la demanda y de la oferta que contribuyen a su complejo y variado comportamiento. Finalmente se extraen algunas lecciones fundamentales del análisis anterior para la negociación de derivados sobre la electricidad.This paper investigates the spot prices from restructured electricity markets around the world. First, we provide a comprehensive survey of the distributional properties and the dynamics of spot electricity prices. Then, we introduce the multiple demand and supply factors that contribute to their complex and diverse behaviour. Finally, we extract some fundamental lessons implied by such characteristics, for the power [email protected]

The impact of Economics on health policy and management in Spain

Background Despite the intrinsic value of scientific disciplines, such as Economics, it is appropriate to gauge the impact of its applications on social welfare, or at least –Health Economics’ (HE) case- its influence on health policy and management. Methods The three relevant features of knowledge (production, diffusion and application) are analyzed, more from an ‘emic’ perspective –the one used in Anthropology relying on the experience of the members of a culture- than from an ‘etic’ approach seated on material descriptions and dubious statistics. Results The soundness of the principles and results of HE depends on its disciplinary foundations, whereas its relevance –than does not imply translation into practice- is more linked with the problems studied. Important contributions from Economics to the health sphere are recorded. HE in Spain ranks seventh in the world despite the relatively minor HE contents of its clinical and health services research journals. HE has in Spain more presence than influence, having failed to impregnate sufficiently the daily events. Conclusions HE knowledge required by a politician, a health manager or a clinician is rather limited; the main impact of HE could be to develop their intuition and awareness.Health Economics, Health Policy and Management, Spain

Crítica a los fundamentos éticos de la clonación humana con fines de investigación terapéutica

La clonación humana por transferencia nuclear ha sido propuesta como solución para que el tratamiento con células madre embrionarias no produzca rechazo. Sin embargo, desde el punto de vista científico hasta ahora no es posible llevarla a cabo por las dificultades que conlleva la reprogramación celular, como se demostró a consecuencia del fraude en Corea del Sur. A pesar de esto y de la aparición de las células iPS (induced pluripotent stem cells) (1), que abren otro camino para el estudio de las enfermedades y su posible curación, aunque también podrían ser mal utilizadas, y a pesar de los grandes avances con células madre adultas, la ley española apuesta por la mal llamada “clonación terapéutica”. Después de revisar algunos documentos internacionales y las leyes españolas sobre el particular, en este trabajo se trata de exponer los fundamentos éticos y filosóficos que se esgrimen para justificar la clonación por transferencia nuclear, como vía para investigar y alcanzar tratamientos a partir de las células de la masa interna del embrión clónico. Posteriormente, se realiza un análisis crítico desde la ética general y la bioética personalista.Human cloning by nuclear transfer has been proposed as a solution, so that the embryonic stem cell treatment does not cause rejection. However, taken into consideration the scientific point of view, so far it´s not possible to carry it out due to the difficulties involved in cell reprogramming, as it was demonstrated with the fraud developed in South Korea. Despite this and due to the reappearance of iPS cells (induced pluripotent stem cells), which open another way for the study of diseases and their possible cure; although there is a possibility that these cells could be applied for wrong purposes. Even though there has been significant progress with adult stem cells, Spanish law still supports the so-called ‘therapeutic cloning’. After revising some international and Spanish law on the topic, this paper intends to outline the ethical and philosophical foundations which are used to justify nuclear transfer cloning, as a way to do some research and obtain treatments from inner cells taken from the mass of the cloned embryo. In addition, a critical analysis taken into consideration the general ethics and personalist bioethics was done.Filosofí

The effectiveness of several market integration measures when facing a market turmoil.

Many market integration measures are operationalised to compute their numerical values during a period characterised by lack of stability and market turmoil. The results of the test give their degree of effectiveness, and revel that measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets.Effectiveness; Securities markets; Correlation analysis; Mathematical models;

Applying evidence-based medicine in telehealth: an interactive pattern recognition approximation

[EN] Born in the early nineteen nineties, evidence-based medicine (EBM) is a paradigm intended to promote the integration of biomedical evidence into the physicians daily practice.This paradigm requires the continuous study of diseases to provide the best scientific knowledge for supporting physicians in their diagnosis and treatments in a close way. Within this paradigm, usually, health experts create and publish clinical guidelines, which provide holistic guidance for the care for a certain disease. The creation of these clinical guidelines requires hard iterative processes in which each iteration supposes scientificc progress in the knowledge of the disease. To perform this guidance through telehealth, the use of formal clinical guidelines will allow the building of care processes that can be interpreted and executed directly by computers. In addition, the formalization of clinical guidelines allows for the possibility to build automatic methods, using pattern recognition techniques, to estimate the proper models, as well as the mathematical models for optimizing the iterative cycle for the continuous improvement of the guidelines. However, to ensure the efficiency of the system, it is necessary to build a probabilistic model of the problem. In this paper, an interactive pattern recognition approach to support professionals in evidence-based medicine is formalized.The authors want to acknowledge the European Commision for their suport via MOSAIC (ICT-FP7-600914) and HEARTWAYS (ICT-SME-315659) EU-ProjectsFernández Llatas, C.; Meneu, T.; Traver Salcedo, V.; Benedí Ruiz, JM. (2013). Applying evidence-based medicine in telehealth: an interactive pattern recognition approximation. International Journal of Environmental Research and Public Health. 10(11):5671-5682. https://doi.org/10.3390/ijerph10115671S56715682101