Colecciones multidisciplinareshttp://hdl.handle.net/10016/12015-03-05T18:45:42Z2015-03-05T18:45:42ZOptimal 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.
2000-01-01T00:00:00ZDesign of DOI PET detector Modules using phoswich and SIPMs: First ResultsVaquero, Juan JoséSánchez, J. J.Lage, EduardoUdías, José ManuelGuerra, PedroDesco, Manuelhttp://hdl.handle.net/10016/200982015-02-25T10:51:38Z2011-01-01T00:00:00ZDesign of DOI PET detector Modules using phoswich and SIPMs: First Results
Vaquero, Juan José; Sánchez, J. J.; Lage, Eduardo; Udías, José Manuel; Guerra, Pedro; Desco, Manuel
PET detector modules that implement depth of interaction information reduce uncertainties about the actual line-of-response after positron annihilation. This, in turn, has an effect in the spatial resolution and uniformity across the field of view of the reconstructed image. It also has an effect on the system sensitivity since it enables the use of thicker crystal with respect to a non-DOI system without deteriorating significantly the spatial resolution. In this work we evaluate a DOI detector design based on a scintillator phoswich of two types of pixelated crystals with different time decay constants. A matrix of silicon phomultipliers (SiPM) was coupled to this crystal array without any light-guide, and its outputs were connected to an anger logic type of charge divider which outputs were buffered using a transimpedance amplifier. These position signals were digitized using charge-to-digital converters, and the time decay constant of the crystal of interaction was measured using a delayed charge method. Previous works reported in the literature have demonstrated that this scheme for DOI PET detectors produce very good results in terms of spatial and energy resolution; however, the replacement of PMT with a SiPM matrix introduces some uncertainties that required further study. SiPM have demonstrated their good imaging capabilities when used with pixelated crystal scintillators, and their good timing performance allow us to predict that the DOI resolution was not going to be a problem with this technology. In this work we present quantitative results that assess the goodness of these detectors for its use on small-animal PET scanners.
Proceedings of: 2011 IEEE Nuclear Science Symposium and Medical Imaging Conference (NSS/MIC). Valencia, Spain, 23-29 October 2011
2011-01-01T00:00:00ZInvestigation of Different Compressed Sensing Approaches for Respiratory Gating in Small Animal CTAbascal, JuanSisniega, AlejandroChavarrías, CristinaVaquero, Juan JoséDesco, ManuelAbella, Mónicahttp://hdl.handle.net/10016/200972015-02-25T09:21:43Z2012-01-01T00:00:00ZInvestigation of Different Compressed Sensing Approaches for Respiratory Gating in Small Animal CT
Abascal, Juan; Sisniega, Alejandro; Chavarrías, Cristina; Vaquero, Juan José; Desco, Manuel; Abella, Mónica
Respiratory gating is necessary in cardio-thoracic small-animal imaging because of the physiological motions that are present during scanning. When applying a low-dose protocol, fewer than 180 noisy projections may be left for the reconstruction of each respiratory phase, leading to streaking artifacts. The Prior Image Constrained Compressed Sensing (PICCS) algorithm enables accurate reconstruction of highly undersampled data when a prior image is available. The gradient domain is the preferred choice for enforcing the sparsity of the variation of each phase with respect to the prior. We evaluate three CS algorithms based on the Split-Bregman approach, with different transformations of the prior penalty function: Gradient (TV-PICCS), L1-norm (L1-PICCS), and Wavelet Transform (WT-PICCS), on low-dose data acquired on a micro-CT scanner. High-dose projection data, acquired with a cone-beam micro-CT scanner, were arranged into four gates using a software-based retrospective gating and reconstructed with an FDK algorithm. To simulate the low-dose case, we took 120 projections from each gate and added Poisson noise. Prior image was obtained by the addition of all low-dose gates with Gaussian filtering. All CS methods performed very similarly in terms of noise and resolution, greatly improving FBP (79 % noise reduction) and eliminating streaks. Pixel and wavelet domains were found to be sparser than the commonly used gradient domain. In conclusion, compressed sensing using a Split-Bregman methodology is a feasible approach to reduce dose in CT respiratory gating. The selection of the sparsity transform for the prior term does not affect resolution and noise performance but it has an influence on the final image texture: Wavelet transform showed a more natural pattern than TV and L1-norm.
Proceedings of: 2012 IEEE Nuclear Science Symposium and Medical Imaging Conference (NSS/MIC). Anaheim, California, USA. October 29 - November 3, 2012
2012-01-01T00:00:00ZAutomatic Monte-Carlo Based Scatter correction for X-ray Cone Beam CT using General Purpose Graphic Processing Units (GP-GPU): a Feasibility studySisniega, AlejandroAbella, MónicaLage, EduardoDesco, ManuelVaquero, Juan Joséhttp://hdl.handle.net/10016/200872015-02-24T12:28:40Z2011-01-01T00:00:00ZAutomatic Monte-Carlo Based Scatter correction for X-ray Cone Beam CT using General Purpose Graphic Processing Units (GP-GPU): a Feasibility study
Sisniega, Alejandro; Abella, Mónica; Lage, Eduardo; Desco, Manuel; Vaquero, Juan José
Scattered photons highly degrade the quality of X-ray images and their effect has become more important due to the increasing interest in cone-beam geometry for the acquisition of CT (CBCT) and micro-CT data. The random nature of scatter events and the great influence of the sample suggest that the most accurate methods for their estimation are Monte Carlo (MC) techniques, but their use is usually hampered by the large computation time required to obtain an acceptable estimation of the scattered radiation. We present an approach for scatter correction in CBCT by MC estimation, speeding up the computation by means of general purpose graphic processing units (GPGPU) and developing a framework for the automatic correction and reconstruction of projection data. The method consists of five stages: FDK reconstruction of the original data; histogram based automatic segmentation of the volume assigning a material and density to each voxel; fast MC estimation of the scatter signal; denoising of the independent scatter components and subtraction from original data; and FDK reconstruction of the corrected data. Every stage runs in a GPGPU using Nvidia CUD A. The MC stage is based on the MC-GPU code. To simulate polychromatic X-ray beams, the Spektr model is used to generate the source spectrum. Photon scattering is forced in order to reduce the number of events needed to obtain an acceptable scatter image weighting the photon histories to assure the correctness of the result. Further reduction in the variance is obtained by split the photon in several virtual photons which are forced point to the detector and are transported with no further interaction to the detector's surface. Furthermore, the divergence of the execution path of GPGPU kernels has been minimized. These techniques achieve a reduction of the variance of the scatter signal of two orders of magnitude and the final efficiency is improved by a factor of ~30.
Proceedings of: 2011 IEEE Nuclear Science Symposium and Medical Imaging Conference (NSS/MIC). Valencia, Spain, 23-29 October 2011
2011-01-01T00:00:00Z