Inherent information in the prices of options

Esta tesis tiene como objetivo analizar el contenido informacional de los precios observados de las opciones. En este caso particular, teniendo diferentes opciones sobre el mismo subyacente y con la misma fecha de vencimiento, podemos obtener información sobre la función de densidad neutral al riesgo (RND). Éstas son las densidades con las que los agentes valoran los activos derivados, y en definitiva cómo ponen precio a unidades de consumo en diferentes estados de la naturaleza futuros. Esta información implícita en el precio de las opciones es considerada información forward-looking (con miras al futuro). Esta tesis consta de tres capítulos enfocados a analizar diferentes aspectos de los mercados financieros a partir de la información extraída de las RNDs implícitas en el precio de las opciones. En el capítulo 1 se analiza la capacidad de las RNDs para predecir futuras realizaciones de los precios del subyacente. Para ello analizamos diferentes mercados: S&P 500, Nasdaq 100 y Russell 2000. La literatura previa analiza esta capacidad predictiva mediante unos tests basados en supuestos muy restrictivos. Para evitar este problema, en esta tesis calculamos los valores críticos usando la metodología block-bootstrap. Contrariamente a la literatura previa, nuestros resultados no presentan evidencia en contra de la hipótesis nula de buena capacidad predictiva de las RNDs. Los resultados son consistentes para RNDs extraídas mediante diferentes metodologías, para diferentes horizontes temporales, diferentes índices y para una muestra reducida la cual no tiene en cuenta los periodos de crisis. En el capítulo 2 estudiamos los cuantiles de pérdidas esperadas de las RNDs implícitas en los precios de las opciones y se analiza cómo impactos en los cuantiles en un determinado mercado financiero se transmiten a mercados financieros extranjeros. Para ello analizamos datos de opciones para diferentes mercados internacionales desarrollados: S&P 500, EuroStoxx 50 y Nikkei 225. Los cuantiles son extraídos a partir de las RNDs extraídas a partir de los precios de las opciones y son modelizados mediante un VAR estructural. Mediante el análisis impulso-respuesta y descomposición de la varianza concluimos que sólo choques en los cuantiles del S&P 500 son transmitidos al resto de mercados. Estos resultados son robustos para diferentes horizontes temporales (30, 60 y 91 días) y para diferentes cuantiles de pérdida (5%, 10%, 15%, 20% y 25%). En el capítulo 3 extraemos la aversión al riesgo para tres mercados internacionales desarrollados diferentes (S&P 500, EuroStoxx 50 y Nikkei 225) y medimos patrones sistemáticos entre ellas, tanto en series temporales como transversales. Mediante un análisis de componentes principales se estudian las comunalidades existentes entre las series de aversión al riesgo en los diferentes países y sus causas. Así mismo, mediante una regresión de las series de aversión al riesgo y diferentes variables macroeconómicas, concluimos que las series de aversión al riesgo en los diferentes mercados son diferentes, siendo variables locales como el desempleo o los tipos de interés las principales causas de heterogeneidad. Concluimos también que las series de aversión al riesgo covarían con diferentes variables macroeconómicas a lo largo del tiempo. Finalmente mediante un análisis de impulso-respuesta encontramos una transmisión de los choques en las series de aversión al riesgo del S&P 500 hacia las series del EuroStoxx 50

Experimental loss of menisci, cartilage and subchondral bone gradually increases anteroposterior knee laxity

Purpose: Anteroposterior knee stability is a relevant factor for the decision-making process of various surgical procedures. In degenerative joints when the implantation of unicompartimental prostheses or corrective osteotomies of the limb are planned, the integrity of the anteroposterior stability with an intact ACL has been regarded as a necessary prerequisite. We hypothesise that joint degeneration, however, may influence the anteroposterior knee laxity. Therefore, we set out to test this hypothesis simulating a progressively ‘degenerated' joint in an experimental cadaveric setting. Methods: Twelve intact transfemorally resected Thiel-fixated cadaver knee joints were divided into 2 groups for manipulation in the medial or lateral compartment. In each knee, we performed (1) unilateral total meniscectomy; (2) simulation of advanced osteoarthritis, by unilateral total cartilage debridement; (3) simulation of a unilateral tibial impression fracture, by resection of 5mm of the tibial plateau; (4) transection of the ACL. The KT-1000 arthrometer was used to measure the extent of anteroposterior translation at 30° of knee flexion. Results: The mean value for tibial anteroposterior translation before intervention was 3.2mm (SD: ±0.8). The mean translation after each intervention was 4.6mm (SD: ±0.9; +44%; n.s.) after meniscectomy, 5.9mm (SD: ±1.5; +84%; P<0.05) after cartilage debridement, 8mm (SD: ±1.5; +150%; P<0.01) after bone debridement, and finally 9.7mm (SD: ±2.2; +203%; P<0.05) after resection of the ACL. There were no significant differences between the medial and lateral compartment. Conclusion: In absence of massive osteophytes or capsular shrinkage, rapid loss of meniscus, cartilage and particularly loss of subchondral bone may result in a massive increase in anteroposterior translation, mimicking a tear of the ACL. In such a situation, a false positive impression of a ligamentous injury may arise, and decision making is falsely directed away from totally or partially knee joint-preserving procedures. Therefore, in degenerate joints, clinical evaluation of anteroposterior stability should rather rely on the presence of a firm stop than an overall increased joint translatio

C-arm flat-panel CT arthrography of the wrist and elbow: first experiences in human cadavers

Objective: To determine the optimal intra-articular iodine concentration for C-arm flat-panel computed tomography (FPCT) arthrography using advanced joint phantoms and to evaluate its application in human cadaveric wrists and elbows. Multi-detector (MD) CT served as the standard of reference. Materials and methods: Joint phantoms and 10 human cadaveric wrist and elbow joints were scanned with C-arm FPCT (5-s, 8-s, and 20-s runs) and standard MDCT using different and optimal concentrations of iodinated contrast material. CT numbers of contrast material, tissue, and noise were measured and contrast-to-noise ratios (CNR) calculated for quantitative analysis. Image and depiction of cartilage, bone, and soft tissues were rated. Radiation doses were compared. Results: In FPCT, iodine concentrations positively correlated with CT numbers and noise of contrast material and with radiation dose (r = 0.713-0.996, p < 0.05 each). At an iodine concentration of 45mg/ml, CNR of cartilage and soft tissues were highest for all FPCT acquisitions and higher than in MDCT. The 20-s FPCT run performed best for image quality and depiction of anatomical structures and was rated overall equal to MDCT (p = 0.857). Conclusion: The optimal iodine concentration for C-arm FPCT arthrography in this study is 45mg/ml, leading to superior CNR and image quality for an optimal FPCT protocol compared with standard MDCT arthrography in human cadaveric joint

Programa para enseñar a tomar decisiones

Programa para trabajar la toma de decisiones por parte del alumnado. Consta de dos volúmenes, uno de guía para el profesorado y otro para el alumnado, con contenidos como la autoevaluación, conocer la propia personalidad, el rendimiento escolar, el mundo laboral y la elección ante alternativas.CataluñaES

Precision of targeting device for subtalar screw placement

BACKGROUND: When performing subtalar arthrodesis, proper screw placement is fundamental to provide primary stability and to help ensure bone healing. In inexperienced hands this step can be time-consuming and exposes surgeons and patients to radiation. By means of a targeting device these potential drawbacks and dangers could be reduced. It was hypothesized that a specifically designed targeting device would reduce radiation exposure while improving screw placement when compared with the conventional "free-hand'' method. METHODS: Twenty matched-pairs of cadaveric hindfoot specimens (Thiel fixation) were prepared for the purpose of the study. The specimens were randomly assigned into two groups consisting of 10 specimens each: in Group 1 screw placement was performed with the targeting device and in Group 2 screw placement was performed under fluoroscopic control. Screw placement was radiographically judged to be optimal, suboptimal and poor. An experienced, fellowship-trained foot and ankle surgeon and a resident, who had never done subtalar fusions performed the screw placements. Exposure to radiation was assessed by means of the dose area product given by the fluoroscope. RESULTS: Optimal screw positioning was achieved in both groups in ten out of 20 specimens (Group 1, n=5; Group 2, n=5). Suboptimal screw placement was found in eight cases (Group 1, n=4; Group 2, n=4). There were two failures which occurred in fusions performed by the resident (Group 1, n=1; Group 2, n=1). Exposure to radiation was significantly reduced in Group 1 when compared with Group 2 (4.1cGy* cm2 versus 8.1cGy* cm2; p=0.012). No lesion of neurovascular structures due to aiming device placement occurred in Group 1. CONCLUSION: A target-device for screw-placement did not provide a significant technical advantage but did result in less radiation exposure

The Role of Plantar Fascia Tightness in Hallux Limitus: A Biomechanical Analysis

Restriction of greater toe dorsiflexion without degeneration of the first metatarsophalangeal joint is defined as hallux limitus. We assume that in hallux limitus the limitation of greater toe dorsiflexion takes place in the terminal stance phase because of massive tightening of the calf and plantar structures. The current study investigated the role of a tight plantar fascial structure in impairing dorsiflexion of the greater toe. For the purpose of the study, 7 lower limbs from Thiel-fixated human cadavers were evaluated. To simulate double-limb standing stance, the tibia and fibula were mounted on a materials testing machine and constantly loaded with 350 N. Additionally, the tendons of the specimens were loaded using a custom-made system. The plantar fascia was fixed to a clamp and tensioned using a threaded bar. Four different tensile forces were then applied to the plantar fascia (approximately 100, 200, 300, and 350 N) and the extension of the first toe was measured. The results show a significant positive correlation between the decrease in extension of the hallux and the tension applied to the plantar fascia reaching a maximum mean decrease of 4.2° (117% compared with the untightened situation) for an applied tension of 364 N

Standard axillary radiographs of the shoulder may mimic posterior subluxation of the lateral end of the clavicle

OBJECTIVES: On standard axillary radiographs of normal shoulders, the clavicle may appear subluxated posteriorly. This subluxation might be viewed as an indication for surgical stabilization in acromioclavicular (AC) injury. The purpose of this study was to assess the reliability of identification of anteroposterior displacements of the AC joint on standard axillary radiographs of the human shoulder. METHODS: We performed 170 radiographs of the AC joint in 10 cadaveric shoulders using various projection angles. The distance from the anterior margin of the acromion to the distal clavicle was measured to identify an "optimal" view to image the true anteroposterior alignment of normal AC joints. RESULTS: On the standard axillary view of intact shoulders, we found an average posterior translation of 1.7 mm (range, -3 to 7; SD, 2.8) and of 0.9 mm (range, -5 to 5; SD, 2.8) in an "optimal view," tilted 15 degees dorsal and 15 degees lateral. CONCLUSIONS: The standard axillary radiograph has a very high sensitivity but poor accuracy in identifying a posterior clavicular translation in the AC joint. We could not identify a reliable modification of the axillary radiographic projection to improve the accuracy. Therefore, an apparent posterior subluxation of the clavicle identified on an axillary radiograph is more likely a false positive finding than an identification of a true pathology

C-arm flat-panel CT arthrography of the wrist and elbow: first experiences in human cadavers

OBJECTIVE: To determine the optimal intra-articular iodine concentration for C-arm flat-panel computed tomography (FPCT) arthrography using advanced joint phantoms and to evaluate its application in human cadaveric wrists and elbows. Multi-detector (MD) CT served as the standard of reference. MATERIALS AND METHODS: Joint phantoms and 10 human cadaveric wrist and elbow joints were scanned with C-arm FPCT (5-s, 8-s, and 20-s runs) and standard MDCT using different and optimal concentrations of iodinated contrast material. CT numbers of contrast material, tissue, and noise were measured and contrast-to-noise ratios (CNR) calculated for quantitative analysis. Image and depiction of cartilage, bone, and soft tissues were rated. Radiation doses were compared. RESULTS: In FPCT, iodine concentrations positively correlated with CT numbers and noise of contrast material and with radiation dose (r = 0.713-0.996, p < 0.05 each). At an iodine concentration of 45 mg/ml, CNR of cartilage and soft tissues were highest for all FPCT acquisitions and higher than in MDCT. The 20-s FPCT run performed best for image quality and depiction of anatomical structures and was rated overall equal to MDCT (p = 0.857). CONCLUSION: The optimal iodine concentration for C-arm FPCT arthrography in this study is 45 mg/ml, leading to superior CNR and image quality for an optimal FPCT protocol compared with standard MDCT arthrography in human cadaveric joints