Colecciones multidisciplinareshttp://hdl.handle.net/10016/12015-07-02T03:35:03Z2015-07-02T03:35:03ZOptimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures marketLafuente, Juan A.http://hdl.handle.net/10016/98532013-09-30T16:57:20Z2000-01-01T00:00:00ZOptimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market
Lafuente, Juan A.
Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper provides an a~alytical discussion of the optimal hedge ratio when discrepancies between the futures trading price and its theoretical valuation according to the cost-of-carry model occurs. Under the assumption of a geometric Brownian motion for spot prices we model the mispricing by a new specific noise in the theoretical dynamic of futures market. Empirical evidence above the model is provided for the Spanish stock index futures. Ex-post simulations reveal that hedging effectiveness applying the estimated ratio is similar to the achieved with a systematic unitary hedge ratio, the optimal one when a mispricing does not appear. However, a small number of futures contracts is needed.
2000-01-01T00:00:00ZFluorescence multi-scale endoscopy and its applications in the study and diagnosis of gastro-intestinal diseases: set-up design and software implementationGómez-García, Pablo AurelioArranz, AliciaFresno, ManuelDesco, ManuelMahmood, UmarVaquero, Juan JoséRipoll, Jorgehttp://hdl.handle.net/10016/211872015-06-26T00:00:33Z2015-01-01T00:00:00ZFluorescence multi-scale endoscopy and its applications in the study and diagnosis of gastro-intestinal diseases: set-up design and software implementation
Gómez-García, Pablo Aurelio; Arranz, Alicia; Fresno, Manuel; Desco, Manuel; Mahmood, Umar; Vaquero, Juan José; Ripoll, Jorge
Endoscopy is frequently used in the diagnosis of several gastro-intestinal pathologies as Crohn disease, ulcerative colitis or colorectal cancer. It has great potential as a non-invasive screening technique capable of detecting suspicious alterations in the intestinal mucosa, such as inflammatory processes. However, these early lesions usually cannot be detected with conventional endoscopes, due to lack of cellular detail and the absence of specific markers. Due to this lack of specificity, the development of new endoscopy technologies, which are able to show microscopic changes in the mucosa structure, are necessary. We here present a confocal endomicroscope, which in combination with a wide field fluorescence endoscope offers fast and specific macroscopic information through the use of activatable probes and a detailed analysis at cellular level of the possible altered tissue areas. This multi-modal and multi-scale imaging module, compatible with commercial endoscopes, combines near-infrared fluorescence (NIRF) measurements (enabling specific imaging of markers of disease and prognosis) and confocal endomicroscopy making use of a fiber bundle, providing a cellular level resolution. The system will be used in animal models exhibiting gastro-intestinal diseases in order to analyze the use of potential diagnostic markers in colorectal cancer. In this work, we present in detail the set-up design and the software implementation in order to obtain simultaneous RGB/NIRF measurements and short confocal scanning times.
Proceedings of: IPA 2015 / SPIE Biophotonics South America. Rio de Janeiro, Brazil, 22-26 May, 2015
2015-01-01T00:00:00ZPerformance of Waterfilling-based Schemes for Interference Cancellation in 4G NetworksPablo González, María LuzGarcía-Armada, AnaSánchez-Fernández, MatildePascual Iserte, AntonioPayaró, Miquelhttp://hdl.handle.net/10016/211642015-06-23T00:00:34Z2012-05-01T00:00:00ZPerformance of Waterfilling-based Schemes for Interference Cancellation in 4G Networks
Pablo González, María Luz; García-Armada, Ana; Sánchez-Fernández, Matilde; Pascual Iserte, Antonio; Payaró, Miquel
In this work we consider the optimization of the power assigned to the user streams in a coordinated base station downlink environment with Orthogonal Frequency Division Modulation (OFDM). In this scenario the base stations perform distributed cooperative processing with a block diagonalization scheme to remove interference among users. Two schemes based on the waterfilling technique are proposed and compared to the optimal solution, which can be obtained numerically, by using convex optimization. We show that the proposed schemes achieve a performance, in terms of weighted sum rate, very close to the optimal, without the heavy computational complexity required by the numerical solution. These sum rates are compared in a simplified scenario consisting of two-user and two-cell. Other more realistic multicell scenario and some examples of achievable rates are presented too.
The proceeding at: 3rd International Workshop on Cognitive Information Processing (CIP 2012), took place 2012, May 28-30, in Baiona, España. The event Web site at http://cip2012.tsc.uc3m.es/
2012-05-01T00:00:00ZHybrid Optimal Control for Aircraft Trajectory Design with a Variable Sequence of ModesKamgarpour, MaryamSoler, ManuelTomlin, Claire J.Olivares, AlbertoLygeros, Johnhttp://hdl.handle.net/10016/210682015-06-11T10:19:26Z2011-01-01T00:00:00ZHybrid Optimal Control for Aircraft Trajectory Design with a Variable Sequence of Modes
Kamgarpour, Maryam; Soler, Manuel; Tomlin, Claire J.; Olivares, Alberto; Lygeros, John
The problem of aircraft trajectory planning is formulated as a hybrid optimal control problem. The aircraft is modeled as a switched system, that is, a class of hybrid dynamical systems. The sequence of modes, the switching times, and the inputs for each mode are the control variables. An iterative bi-level optimization algorithm is employed to solve the optimal control problem. At the lower level, given a pre-de ned sequence of ight modes, the optimal switching times and the input for each mode are determined. This is achieved by extending the continuous state to include the switching times and then solving a conventional optimal control problem for the extended state. At the higher level, the algorithm modi es the mode sequence in order to decrease the value of the cost function. We illustrate the utility of the problem formulation and the solution approach with two case studies in which short horizon aircraft trajectories are optimized in order to reduce fuel burn while avoiding hazardous weather.
Proceedings of: 18th World Congress of the International Federation of Automatic Control (IFAC). Milan, 29 August - 02 September 2011.
2011-01-01T00:00:00Z