Specification Tests of Calibrated Option Pricing Models

In spite of the popularity of model calibration in finance, empirical researchers have put more emphasis on model estimation than on the equally important goodness-of-fit problem. This is due partly to the ignorance of modelers, and more to the ability of existing statistical tests to detect specification errors. In practice, models are often calibrated by minimizing the sum of squared difference between the modelled and actual observations. It is challenging to disentangle model error from estimation error in the residual series. To circumvent the difficulty, we study an alternative way of estimating the model by exact calibration. We argue that standard time series tests based on the exact approach can better reveal model misspecifications than the error minimizing approach. In the context of option pricing, we illustrate the usefulness of exact calibration in detecting model misspecification. Under heteroskedastic observation error structure, our simulation results shows that the Black-Scholes model calibrated by exact approach delivers more accurate hedging performance than that calibrated by error minimization

External calibration of polarimetric radar images using distributed targets

A new technique is presented for calibrating polarimetric synthetic aperture radar (SAR) images using only the responses from natural distributed targets. The model for polarimetric radars is assumed to be X = cRST where X is the measured scattering matrix corresponding to the target scattering matrix S distorted by the system matrices T and R (in general T does not equal R(sup t)). To allow for the polarimetric calibration using only distributed targets and corner reflectors, van Zyl assumed a reciprocal polarimetric radar model with T = R(sup t); when applied for JPL SAR data, a heuristic symmetrization procedure is used by POLCAL to compensate the phase difference between the measured HV and VH responses and then take the average of both. This heuristic approach causes some non-removable cross-polarization responses for corner reflectors, which can be avoided by a rigorous symmetrization method based on reciprocity. After the radar is made reciprocal, a new algorithm based on the responses from distributed targets with reflection symmetry is developed to estimate the cross-talk parameters. The new algorithm never experiences problems in convergence and is also found to converge faster than the existing routines implemented for POLCAL. When the new technique is implemented for the JPL polarimetric data, symmetrization and cross-talk removal are performed on a line-by-line (azimuth) basis. After the cross-talks are removed from the entire image, phase and amplitude calibrations are carried out by selecting distributed targets either with azimuthal symmetry along the looking direction or with some well-known volume and surface scattering mechanisms to estimate the relative phases and amplitude responses of the horizontal and vertical channels

Bariatric surgery and its impact on cardiovascular disease and mortality : A systematic review and meta-analysis

Copyright © 2014 Elsevier Ireland Ltd. All rights reserved.Peer reviewedPostprin

Credit And Financial Contagion: A Point Process Approach

This dissertation presents a set of econometric tools to uncover the mechanism of credit and financial contagion. First, a nonparametric Granger causality test for continuous time point process data is proposed. The test delivers inference results that are robust to model misspecifications. Applying the test to the point process data of Chapter 11 filings by U.S. corporations and negative shocks of major stock indices, the dissertation provides evidence for credit contagion across different sectors of the economy, as well as financial contagion across international stock markets. Second, a diagnostic checking procedure for parametric multivariate point process models is studied. The metholodogy equips empirical researchers with a portmanteau test in the crucial step of model validation after estimating a proposed parametric model

Application of symmetry properties to polarimetric remote sensing with JPL AIRSAR data

Based on symmetry properties, polarimetric remote sensing of geophysical media is studied. From the viewpoint of symmetry groups, media with reflection, rotation, azimuthal, and centrical symmetries are considered. The symmetries impose relations among polarimetric scattering coefficients, which are valid to all scattering mechanisms in the symmetrical configurations. Various orientation distributions of non-spherical scatterers can be identified from the scattering coefficients by a comparison with the symmetry calculations. Experimental observations are then analyzed for many geophysical scenes acquired with the Jet Propulsion Laboratory (JPL) airborne polarimetric SAR at microwave frequencies over sea ice and vegetation. Polarimetric characteristics of different ice types are compared with symmetry behaviors. The polarimetric response of a tropical rain forest reveals characteristics close to the centrical symmetry properties, which can be used as a distributed target to relatively calibrate polarimetric radars without any deployment of manmade calibration targets

Invasive Lobular Breast Cancer as a Distinct Disease: Implications for Therapeutic Strategy

Invasive lobular carcinoma comprises 10–15% of all breast cancers and is increasingly recognised as a distinct and understudied disease compared with the predominant histological subtype, invasive ductal carcinoma. Hallmarks of invasive lobular carcinoma include E-cadherin loss, leading to discohesive morphology with cells proliferating in single-file strands and oestrogen receptor positivity, with favourable response to endocrine therapy. This review summarises the distinct histological and molecular features of invasive lobular carcinoma with focus on diagnostic challenges and the impact on surgical management and medical therapy. Emphasis is placed on recent advances in our understanding of the unique molecular biology of lobular breast cancer and how this is optimising our therapy approach in the clinic

A Sample of Intermediate-Mass Star-Forming Regions: Making Stars at Mass Column Densities <1 g/cm^2

In an effort to understand the factors that govern the transition from low- to high-mass star formation, we identify for the first time a sample of intermediate-mass star-forming regions (IM SFRs) where stars up to - but not exceeding - 8 solar masses are being produced. We use IRAS colors and Spitzer Space Telescope mid-IR images, in conjunction with millimeter continuum and CO maps, to compile a sample of 50 IM SFRs in the inner Galaxy. These are likely to be precursors to Herbig AeBe stars and their associated clusters of low-mass stars. IM SFRs constitute embedded clusters at an early evolutionary stage akin to compact HII regions, but they lack the massive ionizing central star(s). The photodissociation regions that demarcate IM SFRs have typical diameters of ~1 pc and luminosities of ~10^4 solar luminosities, making them an order of magnitude less luminous than (ultra)compact HII regions. IM SFRs coincide with molecular clumps of mass ~10^3 solar masses which, in turn, lie within larger molecular clouds spanning the lower end of the giant molecular cloud mass range, 10^4-10^5 solar masses. The IR luminosity and associated molecular mass of IM SFRs are correlated, consistent with the known luminosity-mass relationship of compact HII regions. Peak mass column densities within IM SFRs are ~0.1-0.5 g/cm^2, a factor of several lower than ultra-compact HII regions, supporting the proposition that there is a threshold for massive star formation at ~1 g/cm^2.Comment: 61 pages, 6 tables, 20 figures. Accepted for publication in the Astronomical Journa

Scaling and Universality in City Space Syntax: between Zipf and Matthew

We report about universality of rank-integration distributions of open spaces in city space syntax similar to the famous rank-size distributions of cities (Zipf's law). We also demonstrate that the degree of choice an open space represents for other spaces directly linked to it in a city follows a power law statistic. Universal statistical behavior of space syntax measures uncovers the universality of the city creation mechanism. We suggest that the observed universality may help to establish the international definition of a city as a specific land use pattern.Comment: 24 pages, 5 *.eps figure

Nonspecific eddy current heating in magnetic field hyperthermia

In this Perspective article, we explore the definition and use of clinical tolerability metrics associated with nonspecific eddy current heating in magnetic field hyperthermia (MFH). We revisit the origins of the “Brezovich criterion,” Hof ≤ 485 MA m−1s−1, as it is applied to axial time-varying magnetic fields H (t) = Ho sin(2πft) and the human torso. We then consider alternative metrics, including the “maximal specific absorption rate” (SARmax) of eddy-current-induced power absorbed per unit mass of tissue. With reference to previously published clinical data and the results of two volunteer studies in our laboratory, we show that the SARmax metric is both suitable and reliable. We also show how it may be extracted from in silico finite element models to cope with confounding effects such as anatomical hot spots and non-axial-field geometries. We note a parallel with a standardized metric, the “local SAR” used in magnetic resonance imaging (MRI). We suggest that the limits established in clinical MRI (that the local SAR, averaged over 10 g of tissue and 6 min of treatment, should not exceed 20 mW g−1 in the torso or head, and 40 mW g−1 in the limbs) might be regarded as a good starting point for the design of MFH interventions. We conclude with the recommendation that the SARmax metric is adopted for future use in the development of clinically safe and tolerable MFH equipment

Precise Hong Kong Geoid HKGEOID-2000

Abstract: This paper briefly discusses the data and methodology used in the construction of a Hong Kong local geoid of centimeter accuracy HKGEOID-2000. The results have been published in the website of Department of Land obtain the Surveying and Geo-Informatics, the Hong Kong Polytechnic University for public use. Users can directly geoidal height of a point by inputting its geodetic coordinates (in ITRF96 reference frame) or the HK1980 grid coordinates. Examples are given to illustrate the procedures