Australian Asian options

We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian Asian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use dierent approximations that produce very similar results.Asian options, arithmetic average, geometric average, edgeworth expansion, lognormal distribution, gamma distribution

Consistency of objective Bayes factors as the model dimension grows

In the class of normal regression models with a finite number of regressors, and for a wide class of prior distributions, a Bayesian model selection procedure based on the Bayes factor is consistent [Casella and Moreno J. Amer. Statist. Assoc. 104 (2009) 1261--1271]. However, in models where the number of parameters increases as the sample size increases, properties of the Bayes factor are not totally understood. Here we study consistency of the Bayes factors for nested normal linear models when the number of regressors increases with the sample size. We pay attention to two successful tools for model selection [Schwarz Ann. Statist. 6 (1978) 461--464] approximation to the Bayes factor, and the Bayes factor for intrinsic priors [Berger and Pericchi J. Amer. Statist. Assoc. 91 (1996) 109--122, Moreno, Bertolino and Racugno J. Amer. Statist. Assoc. 93 (1998) 1451--1460]. We find that the the Schwarz approximation and the Bayes factor for intrinsic priors are consistent when the rate of growth of the dimension of the bigger model is $O(n^b)$ for $b<1$. When $b=1$ the Schwarz approximation is always inconsistent under the alternative while the Bayes factor for intrinsic priors is consistent except for a small set of alternative models which is characterized.Comment: Published in at http://dx.doi.org/10.1214/09-AOS754 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Energy partition and segregation for an intruder in a vibrated granular system under gravity

The difference of temperatures between an impurity and the surrounding gas in an open vibrated granular system is studied. It is shown that, in spite of the high inhomogeneity of the state, the temperature ratio remains constant in the bulk of the system. The lack of energy equipartition is associated to the change of sign of the pressure diffusion coefficient for the impurity at certain values of the parameters of the system, leading to a segregation criterium. The theoretical predictions are consistent with previous experimental results, and also in agreement with molecular dynamics simulation results reported in this paper.Comment: To appear in Phys. Rev. Let

Consistency of Bayesian procedures for variable selection

It has long been known that for the comparison of pairwise nested models, a decision based on the Bayes factor produces a consistent model selector (in the frequentist sense). Here we go beyond the usual consistency for nested pairwise models, and show that for a wide class of prior distributions, including intrinsic priors, the corresponding Bayesian procedure for variable selection in normal regression is consistent in the entire class of normal linear models. We find that the asymptotics of the Bayes factors for intrinsic priors are equivalent to those of the Schwarz (BIC) criterion. Also, recall that the Jeffreys--Lindley paradox refers to the well-known fact that a point null hypothesis on the normal mean parameter is always accepted when the variance of the conjugate prior goes to infinity. This implies that some limiting forms of proper prior distributions are not necessarily suitable for testing problems. Intrinsic priors are limits of proper prior distributions, and for finite sample sizes they have been proved to behave extremely well for variable selection in regression; a consequence of our results is that for intrinsic priors Lindley's paradox does not arise.Comment: Published in at http://dx.doi.org/10.1214/08-AOS606 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

On the frequentist and Bayesian approaches to hypothesis testing

Hypothesis testing is a model selection problem for which the solution proposed by the two main statistical streams of thought, frequentists and Bayesians, substantially differ. One may think that this fact might be due to the prior chosen in the Bayesian analysis and that a convenient prior selection may reconcile both approaches. However, the Bayesian robustness viewpoint has shown that, in general, this is not so and hence a profound disagreement between both approaches exists. In this paper we briefly revise the basic aspects of hypothesis testing for both the frequentist and Bayesian procedures and discuss the variable selection problem in normal linear regression for which the discrepancies are more apparent. Illustrations on simulated and real data are given

Symmetry breaking and clustering in a vibrated granular gas with several macroscopically connected compartments

The spontaneous symmetry breaking in a vibro-fluidized low-density granular gas in three connected compartments is investigated. When the total number of particles in the system becomes large enough, particles distribute themselves unequally among the three compartments. Particles tend to concentrate in one of the compartments, the other two having the (relatively small) same average number of particles. A hydrodynamical model that accurately predicts the bifurcation diagram of the system is presented. The theory can be easily extended to the case of an arbitrary number of connected compartments

2S Albumin Storage Proteins: What Makes them Food Allergens?

2S albumin storage proteins are becoming of increasing interest in nutritional and clinical studies as they have been reported as major food allergens in seeds of many mono- and di-cotyledonous plants. This review describes the main biochemical, structural and functional properties of these proteins thought to play a role in determining their potential allergenicity. 2S albumins are considered to sensitize directly via the gastrointestinal tract (GIT). The high stability of their intrinsic protein structure, dominated by a well-conserved skeleton of cysteine residues, to the harsh conditions present in the GIT suggests that these proteins are able to cross the gut mucosal barrier to sensitize the mucosal immune system and/or elicit an allergic response. The flexible and solvent-exposed hypervariable region of these proteins is immunodominant and has the ability to bind IgE from allergic patients´ sera. Several linear IgE-binding epitopes of 2S albumins spanning this region have been described to play a major role in allergenicity; the role of conformational epitopes of these proteins in food allergy is far from being understood and need to be investigated. Finally, the interaction of these proteins with other components of the food matrix might influence the absorption rates of immunologically reactive 2S albumins but also in their immune response

Uncertainty representation in software models: a survey

This paper provides a comprehensive overview and analysis of research work on how uncertainty is currently represented in software models. The survey presents the definitions and current research status of different proposals for addressing uncertainty modeling and introduces a classification framework that allows to compare and classify existing proposals, analyze their current status and identify new trends. In addition, we discuss possible future research directions, opportunities and challenges.This work is partially supported by the European Commission (FEDER) and the Spanish Government under projects APOLO (US1264651), HORATIO (RTI2018-101204-B-C21), EKIPMENT-PLUS (P18-FR-2895) and COSCA (PGC2018-094905-B-I00)