A Stochastic Volatility Model With Realized Measures for Option Pricing

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic specification of the model, and an effective MCMC algorithm for its richer variants. The empirical analysis shows the effectiveness of filtering and smoothing realized measures in inflating the latent volatility persistence—the crucial parameter in pricing Standard and Poor’s 500 Index options

Microscopic Model versus Systematic Low-Energy Effective Field Theory for a Doped Quantum Ferromagnet

We consider a microscopic model for a doped quantum ferromagnet as a test case for the systematic low-energy effective field theory for magnons and holes, which is constructed in complete analogy to the case of quantum antiferromagnets. In contrast to antiferromagnets, for which the effective field theory approach can be tested only numerically, in the ferromagnetic case both the microscopic and the effective theory can be solved analytically. In this way the low-energy parameters of the effective theory are determined exactly by matching to the underlying microscopic model. The low-energy behavior at half-filling as well as in the single- and two-hole sectors is described exactly by the systematic low-energy effective field theory. In particular, for weakly bound two-hole states the effective field theory even works beyond perturbation theory. This lends strong support to the quantitative success of the systematic low-energy effective field theory method not only in the ferromagnetic but also in the physically most interesting antiferromagnetic case.Comment: 34 pages, 1 figur

Urinary iodine concentration during pregnancy in an area of unstable dietary iodine intake in Switzerland

We prospectively investigated urinary iodine concentration (UIC) in pregnant women and in female, non-pregnant controls in the canton of Berne, Switzerland, in 1992. Mean UIC of pregnant women [205±151 μg iodine/g creatinine (μg I/g Cr); no.=153] steadily decreased from the first (236±180 μg I/g Cr; no.=31) to the third trimester (183±111 μg I/g Cr, p<0.0001; no.=66) and differed significantly from that of the control group (91±37 μg I/g Cr, p<0.0001; no.=119). UIC increased 2.6-fold from levels indicating mild iodine deficiency in controls to the first trimester, demonstrating that high UIC during early gestation does not necessarily reflect a sufficient iodine supply to the overall population. Pregnancy is accompanied by important alterations in the regulation of thyroid function and iodine metabolism. Increased renal iodine clearance during pregnancy may explain increased UIC during early gestation, whereas increased thyroidal iodine clearance as well as the iodine shift from the maternal circulation to the growing fetal-placental unit, which both tend to lower the circulating serum levels of inorganic iodide, probably are the causes of the continuous decrease of UIC over the course of pregnancy. Mean UIC in our control group, as well as in one parallel and several consecutive investigations in the same region in the 1990s, was found to be below the actually recommended threshold, indicating a new tendency towards mild to moderate iodine deficiency. As salt is the main source of dietary iodine in Switzerland, its iodine concentration was therefore increased nationwide in 1998 for the fourth time, following increases in 1922, 1965 and 198

Flow effects on the freeze-out phase-space density in heavy ion collisions

The strong longitudinal expansion of the reaction zone formed in relativistic heavy-ion collisions is found to significantly reduce the spatially averaged pion phase-space density, compared to naive estimates based on thermal distributions. This has important implications for data interpretation and leads to larger values for the extracted pion chemical potential at kinetic freeze-out.Comment: 5 pages, 3 figures included via epsfig, added discussion of different transverse density profiles, 1 new figur

Impact of Dosing Intervals on Activity of Gentamicin and Ticarcillin Against Pseudomonas aeruginosa in Granulocytopenic Mice

The influence of dosing intervals on the activity of gentamicin and ticarcillin against Pseudomonas aeruginosa was studied in vivo. Granulocytopenic mice infected with P. aeruginosa in the thigh muscle were treated with l-hr or 3-hr injections of gentamicin, ticarcillin, or gentamicin-ticarcillin. Plasma pharmacokinetics of the drugs were correlated with antibacterial activity. Gentamicin injected every 1 hr tended to be less active than gentamicin injected at longer intervals. In contrast, ticarcillin given every 1 hr was significantly more efficacious than equivalent total doses injected every 3 hr. The dosing schedule of gentamicin-ticarcillin was again important for ticarcillin but did not appreciably affect the antibacterial activity of gentamicin. Thus, antimicrobial chemotherapy of P. aeruginosa infections in the granulocytopenic host might be improved by administering ticarcillin rather than gentamicin as a constant infusio

DIFFUSE IDIOPATHIC SKELETAL HYPEROSTOSIS (DISH) OF THE SPINE: A CAUSE OF BACK PAIN? A CONTROLLED STUDY

This is the first controlled study of the frequency of back pain in a European caucasian population with diffuse idiopathic skeletal hyperostosis (DISH). Elderly patients admitted to hospital for reasons other than back pain were assessed for the presence of spinal DISH using the routine lateral chest radiograph films. A total of 106 probands (82 males, 24 females) with a mean age of 70 years fulfilled the criteria for DISH as defined previously. One hundred and seventyeight patients (117 males, 61 females) not meeting these criteria were used as controls. The prevalence of back pain was assessed by a blinded interviewer using a structured questionnaire. Our primary hymthesis was that spinal DISH positive probands had not had back pain more often than controls. The controlled study showed no statistically significant difference in pain frequency between spinal DISH positive probands and controls at any spinal level. We conclude that back pain does not occur more often in radiographically defined DISH positive probands than in controls. The radiological finding of spinal DISH, as far as it does not lead to stenosis of the spinal canal or dysphagia, thus seems to be a finding without clinical relevanc

THE PREVALENCE OF PALPABLE FINGER JOINT NODULES IN DIFFUSE IDIOPATHIC SKELETAL HYPEROSTOSIS (DISH). A CONTROLLED STUDY

The presence of clinically palpable finger joint nodules a(Heberden's and Bouchard's nodes) was documented in 123 consecutive cases with diffuse idiopathic skeletal hyperostosis (DISH) of the thoracic spine and 191 matched DISH negative controls. The prevalence of palpable finger joint nodules was almost twice as frequent in cases with spinal DISH compared to controls (46% versus 31%, X2 = 7.67, P<0.01; multivariate adjusted odds ratio OR = 1.84; 95% CI: 1.14-2.98). This increase was most marked at the proximal interphalangeal joint, in males and in patients up to the age of 65 years. In addition and independent of other variables such as hyperostotic features, age and sex, the prevalence of palpable finger joint nodules was about twice as high in probands with a history of physically heavy work compared to those without (43% ver sus 26%, X = 9.18, P<0.005; multivariate adjusted odds ratio OR = 2.10; 95% CI: 1.26-3.52). From these results we con clude that DISH should be considered as an independent risk factor in the development of finger joint nodule

DIFFUSE IDIOPATHIC SKELETAL HYPEROSTOSIS (DISH) OF THE SHOULDER: A CAUSE OF SHOULDER PAIN?

Shoulder pain is a common complaint and shoulder hyperostosis a frequent radiological condition. However, little is known about the association between the clinical and radiological findings. To evaluate the clinical relevance of shoulder hyperostosis we performed a controlled, blind study of 99 hospitalized probands with and without thoracospinal hyperostosis on lateral chest X-rays. The study included grading of the shoulder hyperostosis on the basis of three bilateral standard radiographs, assessing shoulder pain in a standardized way by an interviewer and recording extraskeletal causes of shoulder pain. The prevalence of shoulder hyperostosis was doubled in probands with thoracospinal hyperostosis compared to controls (X2= 5.90, F>0.025, n = 99). Shoulder hyperostosis, irrespective of thoracospinal hyperostosis, predisposed to shoulder pain (40% versus 18%, x2 = 4.06, F>0.05, n = 74). Shoulder hyperostosis in combination with thoracospinal hyperostosis (shoulder DISH) predisposed to shoulder pain to an even greater extent (46% versus 12%, x2 = 6.64, P>0.01, n = 47). We conclude that shoulder hyperostosis is a radiological finding of potential clinical relevanc

DIFFUSE IDIOPATHIC SKELETAL HYPEROSTOSIS (DISH) OF THE ELBOW: A CAUSE OF ELBOW PAIN? A CONTROLLED STUDY

Elbow pain is a common complaint and elbow hyperostosis a frequent radiological condition. However, little is known about the association between the clinical and radiological findings. To evaluate the relationship between spinal and extraspinal hyperostotic features and the clinical relevance of elbow hyperostosis we have performed the first controlled, double-blinded study of 85 hospitalized probands, 33 with and 52 without thoracospinal hyperostosis on lateral chest X-ray. Elbow and shoulder hyperostosis were graded on bilateral standard radiographs. Elbow pain was assessed by an interviewer using a standardized questionnaire and extraskeletal causes of elbow pain were recorded. The prevalence of elbow hyperostosis was increased in cases with thoracospinal hyperostosis compared to controls (82% versus 58%, X2 = 5.32, P<0.025, n = 85, odds ratio (OR) 3.30 (95% Cl 1.16-9.35)). Similarly, the prevalence of elbow hyperostosis was increased in cases with shoulder hyperostosis compared to controls (83% versus 60%, x2 = 4.51, P<0.05, n = 84, OR = 3.20 (95% CI 1.06-9.66)), emphasizing the multifocal nature of hyperostotic features. Elbow pain was only slightly more prevalent in cases with elbow hyperostosis compared to controls (21% versus l3%, x2 = 0.75, NS, OR = 1.84 (95% CI 0.46-7.44)). We conclude that elbow hyperostosis is a radiological finding of doubtful clinical relevanc

Nonrelativistic effective Lagrangians

Chiral perturbation theory is extended to nonrelativistic systems with spontaneously broken symmetry. In the effective Lagrangian, order parameters associated with the generators of the group manifest themselves as effective coupling constants of a topological term, which is gauge invariant only up to a total derivative. In the case of the ferromagnet, a term connected with the Brouwer degree dominates the derivative expansion. The general analysis includes antiferromagnetic magnons and phonons, while the effective field theory of fluids or gases is beyond the scope of the method.Comment: 30 pages, BUTP-93/2