Application of nonlinear filtering to credit risk

Merton's model views equity as a call option on the asset of the firm. Thus the asset is partially observed through the equity. Then using nonlinear filtering an explicit expression for likelihood ratio for underlying parameters in terms of the nonlinear filter is obtained. As the evolution of the filter itself depends on the parameters in question, this does not permit direct maximum likelihood estimation, but does pave the way for the `Expectation-Maximization' method for estimating parameters. (C) 2010 Elsevier B.V. All rights reserved.

Analysis of flow near a dug well in an unconfined aquifer

A numerical analysis of flow to a dug well in an unconfined aquifer is made, taking into account well storage, elastic storage release, gravity drainage, anisotropy, partial penetration, vertical flow and seepage surface at the well face, and treating the water table in the aquifer and water level in the well as unknown boundaries. The pumped discharge is maintained constant. The solution is obtained by a two-level iterative scheme. The effects of governing parameters on the drawdown, development of seepage surface and contribution from aquifer flow to the total discharge are discussed. The degree of anisotropy and partial penetration are found to be the parameters which affect the flow characteristics most significantly. The effect of anisotropy on the development of seepage surface is very pronounced.

Uncoupling Protein 2 and 3 Gene Polymorphisms and Their Association with Type 2 Diabetes in Asian Indians

Background: This study examined the association of -866G/A, Ala55Val, 45bpI/D, and -55C/T polymorphisms at the uncoupling protein (UCP) 3-2 loci with type 2 diabetes in Asian Indians. Methods: A case-control study was performed among 1,406 unrelated subjects (487 with type 2 diabetes and 919 normal glucose-tolerant NGT]), chosen from the Chennai Urban Rural Epidemiology Study, an ongoing population-based study in Southern India. The polymorphisms were genotyped using polymerase chain reaction-restriction fragment length polymorphism and direct sequencing. Haplotype frequencies were estimated using an expectation-maximization algorithm. Linkage disequilibrium was estimated from the estimates of haplotypic frequencies. Results: The genotype (P = 0.00006) and the allele (P = 0.00007) frequencies of Ala55Val of the UCP2 gene showed a significant protective effect against the development of type 2 diabetes. The odds ratios (adjusted for age, sex, and body mass index) for diabetes for individuals carrying Ala/Val was 0.72, and that for individuals carrying Val/Val was 0.37. Homeostasis insulin resistance model assessment and 2-h plasma glucose were significantly lower among Val-allele carriers compared to the Ala/Ala genotype within the NGT group. The genotype (P = 0.02) and the allele (P = 0.002) frequencies of -55C/T of the UCP3 gene showed a significant protective effect against the development of diabetes. The odds ratio for diabetes for individuals carrying CT was 0.79, and that for individuals carrying TT was 0.61. The haplotype analyses further confirmed the association of Ala55Val with diabetes, where the haplotypes carrying the Ala allele were significantly higher in the cases compared to controls. Conclusions: Ala55Val and -55C/T polymorphisms at the UCP3-2 loci are associated with a significantly reduced risk of developing type 2 diabetes in Asian Indians.