University of Vienna

About: University of Vienna is a education organization based out in Vienna, Austria. It is known for research contribution in the topics: Population & Context (language use). The organization has 44686 authors who have published 95840 publications receiving 2907492 citations.

The fundamental theorem of asset pricing for unbounded stochastic processes

Abstract: The Fundamental Theorem of Asset Pricing states - roughly speaking - that the absence of arbitrage possibilities for a stochastic process S is equivalent to the existence of an equivalent martingale measure for S. It turns out that it is quite hard to give precise and sharp versions of this theorem in proper generality, if one insists on modifying the concept of "no arbitrage" as little as possible. It was shown in [DS94] that for a locally bounded R^d-valued semi-martingale S the condition of No Free Lunch with Vanishing Risk is equivalent to the existence of an equivalent local martingale measure for the process S. It was asked whether the local boundedness assumption on S may be dropped. In the present paper we show that if we drop in this theorem the local boundedness assumption on S the theorem remains true if we replace the term equivalent local martingale measure by the term equivalent sigma-martingale measure. The concept of sigma-martingales was introduced by Chou and Emery - under the name of "semimartingales de la classe (Sigma_m)". We provide an example which shows that for the validity of the theorem in the non locally bounded case it is indeed necessary to pass to the concept of sigma-martingales. On the other hand, we also observe that for the applications in Mathematical Finance the notion of sigma-martingales provides a natural framework when working with non locally bounded processes S. The duality results which we obtained earlier are also extended to the non locally bounded case. As an application we characterize the hedgeable elements. (author's abstract)

Domains of physical activity and all-cause mortality: systematic review and dose–response meta-analysis of cohort studies

Abstract: Background The dose–response relation between physical activity and all-cause mortality is not well defined at present. We conducted a systematic review and meta-analysis to determine the association with all-cause mortality of different domains of physical activity and of defined increases in physical activity and energy expenditure. Methods MEDLINE, Embase and the Cochrane Library were searched up to September 2010 for cohort studies examining all-cause mortality across different domains and levels of physical activity in adult general populations. We estimated combined risk ratios (RRs) associated with defined increments and recommended levels, using random-effects meta-analysis and dose–response meta-regression models. Results Data from 80 studies with 1 338 143 participants (118 121 deaths) were included. Combined RRs comparing highest with lowest activity levels were 0.65 [95% confidence interval (95% CI) 0.60–0.71] for total activity, 0.74 (95% CI 0.70–0.77) for leisure activity, 0.64 (95% CI 0.55–0.75) for activities of daily living and 0.83 (95% CI 0.71–0.97) for occupational activity. RRs per 1-h increment per week were 0.91 (95% CI 0.87–0.94) for vigorous exercise and 0.96 (95% CI 0.93–0.98) for moderate-intensity activities of daily living. RRs corresponding to 150 and 300 min/week of moderate to vigorous activity were 0.86 (95% CI 0.80–0.92) and 0.74 (95% CI 0.65–0.85), respectively. Mortality reductions were more pronounced in women. Conclusion Higher levels of total and domain-specific physical activity were associated with reduced all-cause mortality. Risk reduction per unit of time increase was largest for vigorous exercise. Moderate-intensity activities of daily living were to a lesser extent beneficial in reducing mortality.

Improved constraints on the expansion rate of the Universe up to z ∼ 1.1 from the spectroscopic evolution of cosmic chronometers

Abstract: We present new improved constraints on the Hubble parameter H(z) in the redshift range 0.15 \textless z \textless 1.1, obtained from the differential spectroscopic evolution of early-type galaxies as a function of redshift. We extract a large sample of early-type galaxies ( 11000) from several spectroscopic surveys, spanning almost 8 billion years of cosmic lookback time (0.15 \textless z \textless 1.42). We select the most massive, red elliptical galaxies, passively evolving and without signature of ongoing star formation. Those galaxies can be used as standard cosmic chronometers, as firstly proposed by Jimenez & Loeb (2002), whose (life! Nit age evolution as a function of cosmic time directly probes H (z). We analyze the 4000 angstrom break (D4000) as a function of redshift, use stellar population synthesis models to theoretically calibrate the dependence of the differential age evolution on the differential D4000, and estimate the Hubble parameter taking into account both statistical and systematical errors. We provide 8 new measurements of H(z) (see table 4), and determine its change in H(z) to a precision of 5-12% mapping homogeneously the redshift range up to z 1.1; for the first time, we place a constraint on 11(z) at z not equal 0 with a precision comparable with the one achieved for the Hubble constant (about 5-6% at z similar to 0.2), and covered a redshift range (0.5 \textless z \textless 0.8) which is crucial to distinguish many different quintessence cosmologies. These measurements have been tested to best match a ACDM model, clearly providing a statistically robust indication that the Universe is undergoing an accelerated expansion. This method shows the potentiality to open a new avenue in constrain a variety of alternative cosmologies, especially when future surveys (e.g. Euclid) will open the possibility to extend it up to z similar to 2.