Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates

Reducible diffusions (RDs) are nonlinear transformations of analytically solvable Basic Diffusions (BDs). Hence, by construction RDs are analytically tractable and flexible diffusion processes. Existing literature on RDs has mostly focused on time-homogeneous transformations, which to a significant extent fail to explore the full potential of RDs from both theoretical and practical points of view. In this paper, we propose flexible and economically justifiable time variations to the transformations of RDs. Concentrating on the Constant Elasticity Variance (CEV) RDs, we consider nonlinear dynamics for our time-varying transformations with both deterministic and stochastic designs. Such time variations can greatly enhance the flexibility of RDs while maintaining sufficient tractability of the resulting models. In the meantime, our modeling approach enjoys the benefits of classical inferential techniques such as the Maximum Likelihood (ML). Our application to the UK and the US short-term interest rates suggests that from an empirical point of view time-varying transformations are highly relevant and statistically significant. We expect that the proposed models can describe more truthfully the dynamic time-varying behavior of economic and financial variables and potentially improve out-of-sample forecasts significantly.

Analysis of Degradation Data of Poly(L-lactide-co-L,D-lactic actide) and Poly(L-lactide) Obtained at Elevated and Physiological Temperatures Using Mathematical Models

The degradation of resorbable polymeric devices often takes months to years. Accelerated testing at elevated temperatures is an attractive but controversial technique. The purposes of this paper include: (a) to provide a summary of the mathematical models required to analyse accelerated degradation data and to indicate the pitfalls of using these models; (b) to improve the model previously developed by Han and Pan; (c) to provide a simple version of the model of Han and Pan with an analytical solution that is convenient to use; (d) to demonstrate the application of the improved model in two different poly(lactic acid) systems. It is shown that the simple analytical relations between molecular weight and degradation time widely used in the literature can lead to inadequate conclusions. In more general situations the rate equations are only part of a complete degradation model. Together with previous works in the literature, our study calls for care in using the accelerated testing technique.

Applications of statistical models in proportioning medium strength self-compacting concrete

Self-compacting concrete (SCC) is generally designed with a relatively higher content of finer, which includes cement, and dosage of superplasticizer than the conventional concrete. The design of the current SCC leads to high compressive strength, which is already used in special applications, where the high cost of materials can be tolerated. Using SCC, which eliminates the need for vibration, leads to increased speed of casting and thus reduces labour requirement, energy consumption, construction time, and cost of equipment. In order to obtain and gain maximum benefit from SCC it has to be used for wider applications. The cost of materials will be decreased by reducing the cement content and using a minimum amount of admixtures. This paper reviews statistical models obtained from a factorial design which was carried out to determine the influence of four key parameters on filling ability, passing ability, segregation and compressive strength. These parameters are important for the successful development of medium strength self-compacting concrete (MS-SCC). The parameters considered in the study were the contents of cement and pulverised fuel ash (PFA), water-to-powder ratio (W/P), and dosage of superplasticizer (SP). The responses of the derived statistical models are slump flow, fluidity loss, rheological parameters, Orimet time, V-funnel time, L-box, JRing combined to Orimet, JRing combined to cone, fresh segregation, and compressive strength at 7, 28 and 90 days. The models are valid for mixes made with 0.38 to 0.72 W/P ratio, 60 to 216 kg/m3 of cement content, 183 to 317 kg/m3 of PFA and 0 to 1% of SP, by mass of powder. The utility of such models to optimize concrete mixes to achieve good balance between filling ability, passing ability, segregation, compressive strength, and cost is discussed. Examples highlighting the usefulness of the models are presented using isoresponse surfaces to demonstrate single and coupled effects of mix parameters on slump flow, loss of fluidity, flow resistance, segregation, JRing combined to Orimet, and compressive strength at 7 and 28 days. Cost analysis is carried out to show trade-offs between cost of materials and specified consistency levels and compressive strength at 7 and 28 days that can be used to identify economic mixes. The paper establishes the usefulness of the mathematical models as a tool to facilitate the test protocol required to optimise medium strength SCC.

Optimisation of Kinetic Parameters for an After-treatment Catalyst

Mathematical modelling has become an essential tool in the design of modern catalytic systems. Emissions legislation is becoming increasingly stringent, and so mathematical models of aftertreatment systems must become more accurate in order to provide confidence that a catalyst will convert pollutants over the required range of conditions. 
Automotive catalytic converter models contain several sub-models that represent processes such as mass and heat transfer, and the rates at which the reactions proceed on the surface of the precious metal. Of these sub-models, the prediction of the surface reaction rates is by far the most challenging due to the complexity of the reaction system and the large number of gas species involved. The reaction rate sub-model uses global reaction kinetics to describe the surface reaction rate of the gas species and is based on the Langmuir Hinshelwood equation further developed by Voltz et al. [1] The reactions can be modelled using the pre-exponential and activation energies of the Arrhenius equations and the inhibition terms. 
The reaction kinetic parameters of aftertreatment models are found from experimental data, where a measured light-off curve is compared against a predicted curve produced by a mathematical model. The kinetic parameters are usually manually tuned to minimize the error between the measured and predicted data. This process is most commonly long, laborious and prone to misinterpretation due to the large number of parameters and the risk of multiple sets of parameters giving acceptable fits. Moreover, the number of coefficients increases greatly with the number of reactions. Therefore, with the growing number of reactions, the task of manually tuning the coefficients is becoming increasingly challenging. 
In the presented work, the authors have developed and implemented a multi-objective genetic algorithm to automatically optimize reaction parameters in AxiSuite®, [2] a commercial aftertreatment model. The genetic algorithm was developed and expanded from the code presented by Michalewicz et al. [3] and was linked to AxiSuite using the Simulink add-on for Matlab. 
The default kinetic values stored within the AxiSuite model were used to generate a series of light-off curves under rich conditions for a number of gas species, including CO, NO, C_{3H8 and C3H6. These light-off curves were used to generate an objective function.} 
This objective function was used to generate a measure of fit for the kinetic parameters. The multi-objective genetic algorithm was subsequently used to search between specified limits to attempt to match the objective function. In total the pre-exponential factors and activation energies of ten reactions were simultaneously optimized. 
The results reported here demonstrate that, given accurate experimental data, the optimization algorithm is successful and robust in defining the correct kinetic parameters of a global kinetic model describing aftertreatment processes.

Optimal Credit Rationing in Not-For-Profit Financial Institutions

We examine the dynamic optimization problem for not-for-profit financial institutions (NFPs) that maximize consumer surplus, not profits. We characterize the optimal dynamic policy and find that it involves credit rationing. Interest rates set by mature NFPs will typically be more favorable to customers than market rates, as any surplus is distributed in the form of interest rate subsidies, with credit rationing being required to prevent these subsidies from distorting loan volumes from their optimal levels. Rationing overcomes a fundamental problem in NFPs; it allows them to distribute the surplus without distorting the volume of activity from the efficient level.

Information disclosure and depositor discipline in the Chinese banking sector

We investigate the relationship between information disclosure and depositor behaviour in the Chinese banking sector. Specifically, we enquire whether enhanced information disclosure enables investors to more effectively infer a banking institution's risk profile, thereby influencing their deposit decisions. Utilising an unbalanced panel, incorporating financial data from 169 Chinese banks over the 1998–2009 period, we employ generalised-method-of-moments (GMM) estimation procedures to control for potential endogeneity, unobserved heterogeneity, and persistence in the dependent variable. We uncover evidence that: (i) the growth rate of deposits is sensitive to bank fundamentals after controlling for macroeconomic factors, diversity in ownership structure, and government intervention; (ii) a bank publicly disclosing more transparent information in its financial reports, is more likely to experience growth in its deposit base; and (iii) banks characterised by high information transparency, well-capitalised and adopted international accounting standards, are more able to attract funds by offering higher interest rates.

Unsteady Gas Dynamic Engine Simulation

This paper provides an overview of the basic theory underlying 1D unsteady gas dynamics, the computational method developed at Queen’s University Belfast (QUB), the use of CFD as an alternative and some experimental results that demonstrate the techniques used to develop the mathematical models.

Methodology for Validating Artifact Removal Techniques for Physiological Signals

Artifact removal from physiological signals is an essential component of the biosignal processing pipeline. The need for powerful and robust methods for this process has become particularly acute as healthcare technology deployment undergoes transition from the current hospital-centric setting toward a wearable and ubiquitous monitoring environment. Currently, determining the relative efficacy and performance of the multiple artifact removal techniques available on real world data can be problematic, due to incomplete information on the uncorrupted desired signal. The majority of techniques are presently evaluated using simulated data, and therefore, the quality of the conclusions is contingent on the fidelity of the model used. Consequently, in the biomedical signal processing community, there is considerable focus on the generation and validation of appropriate signal models for use in artifact suppression. Most approaches rely on mathematical models which capture suitable approximations to the signal dynamics or underlying physiology and, therefore, introduce some uncertainty to subsequent predictions of algorithm performance. This paper describes a more empirical approach to the modeling of the desired signal that we demonstrate for functional brain monitoring tasks which allows for the procurement of a ground truth signal which is highly correlated to a true desired signal that has been contaminated with artifacts. The availability of this ground truth, together with the corrupted signal, can then aid in determining the efficacy of selected artifact removal techniques. A number of commonly implemented artifact removal techniques were evaluated using the described methodology to validate the proposed novel test platform. © 2012 IEEE.

Incorporating uncertainty in predictive species distribution modelling

Motivated by the need to solve ecological problems (climate change, habitat fragmentation and biological invasions), there has been increasing interest in species distribution models (SDMs). Predictions from these models inform conservation policy, invasive species management and disease-control measures. However, predictions are subject to uncertainty, the degree and source of which is often unrecognized. Here, we review the SDM literature in the context of uncertainty, focusing on three main classes of SDM: niche-based models, demographic models and process-based models. We identify sources of uncertainty for each class and discuss how uncertainty can be minimized or included in the modelling process to give realistic measures of confidence around predictions. Because this has typically not been performed, we conclude that uncertainty in SDMs has often been underestimated and a false precision assigned to predictions of geographical distribution. We identify areas where development of new statistical tools will improve predictions from distribution models, notably the development of hierarchical models that link different types of distribution model and their attendant uncertainties across spatial scales. Finally, we discuss the need to develop more defensible methods for assessing predictive performance, quantifying model goodness-of-fit and for assessing the significance of model covariates.

Implications of Intercellular Signaling for Radiation Therapy: A Theoretical Dose-Planning Study

Purpose
Recent in vitro results have shown significant contributions to cell killing from signaling effects at doses that are typically used in radiation therapy. This study investigates whether these in vitro observations can be reconciled with in vivo knowledge and how signaling may have an impact on future developments in radiation therapy.
Methods and Materials
Prostate cancer treatment plans were generated for a series of 10 patients using 3-dimensional conformal therapy, intensity modulated radiation therapy (IMRT), and volumetric modulated arc therapy techniques. These plans were evaluated using mathematical models of survival following modulated radiation exposures that were developed from in vitro observations and incorporate the effects of intercellular signaling. The impact on dose-volume histograms and mean doses were evaluated by converting these survival levels into "signaling-adjusted doses" for comparison.
Results
Inclusion of intercellular communication leads to significant differences between the signalling-adjusted and physical doses across a large volume. Organs in low-dose regions near target volumes see the largest increases, with mean signaling-adjusted bladder doses increasing from 23 to 33 Gy in IMRT plans. By contrast, in high-dose regions, there is a small decrease in signaling-adjusted dose due to reduced contributions from neighboring cells, with planning target volume mean doses falling from 74 to 71 Gy in IMRT. Overall, however, the dose distributions remain broadly similar, and comparisons between the treatment modalities are largely unchanged whether physical or signaling-adjusted dose is compared. Conclusions Although incorporating cellular signaling significantly affects cell killing in low-dose regions and suggests a different interpretation for many phenomena, their effect in high-dose regions for typical planning techniques is comparatively small. This indicates that the significant signaling effects observed in vitro are not contradicted by comparison with clinical observations. Future investigations are needed to validate these effects in vivo and to quantify their ranges and potential impact on more advanced radiation therapy techniques.

Parasites that change predator or prey behaviour can have keystone effects on community composition

Parasites play pivotal roles in structuring communities, often via indirect interactions with non-host species. These effects can be density-mediated (through mortality) or trait-mediated (behavioural, physiological and developmental), and may be crucial to population interactions, including biological invasions. For instance, parasitism can alter intraguild predation (IGP) between native and invasive crustaceans, reversing invasion outcomes. Here, we use mathematical models to examine how parasite-induced trait changes influence the population dynamics of hosts that interact via IGP. We show that trait-mediated indirect interactions impart keystone effects, promoting or inhibiting host coexistence. Parasites can thus have strong ecological impacts, even if they have negligible virulence, underscoring the need to consider trait-mediated effects when predicting effects of parasites on community structure in general and biological invasions in particular.

In Vitro Release from Reverse Poloxamine/alpha-Cyclodextrin Matrices: Modelling and Comparison of Dissolution Profiles

Gels obtained by complexation of octablock star polyethylene oxide/polypropylene oxide copolymers (Tetronic 90R4) with -cyclodextrin (-CD) were evaluated as matrices for drug release. Both molecules are biocompatible so they can be potentially applied to drug delivery systems. Two different types of matrices of Tetronic 90R4 and -CD were evaluated: gels and tablets. These gels are capable to gelifying in situ and show sustained erosion kinetics in aqueous media. Tablets were prepared by freeze-drying and comprising the gels. Using these two different matrices, the release of two model molecules, L-tryptophan (Trp), and a protein, bovine serum albumin (BSA), was evaluated. The release profiles of these molecules from gels and tablets prove that they are suitable for sustained delivery. Mathematical models were applied to the release curves from tablets to elucidate the drug delivery mechanism. Good correlations were found for the fittings of the release curves to different equations. The results point that the release of Trp from different tablets is always governed by Fickian diffusion, whereas the release of BSA is governed by a combination of diffusion and tablet erosion. 

Release of β-galactosidase from poloxamine/α-cyclodextrin hydrogels

All mammals lose their ability to produce lactase (β-galactosidase), the enzyme that cleaves lactose into galactose and glucose, after weaning. The prevalence of lactase deficiency (LD) spans from 2 to 15% among northern Europeans, to nearly 100% among Asians. Following lactose consumption, people with LD often experience gastrointestinal symptoms such as abdominal pain, bowel distension, cramps and flatulence, or even systemic problems such as headache, loss of concentration and muscle pain. These symptoms vary depending on the amount of lactose ingested, type of food and degree of intolerance. Although those affected can avoid the uptake of dairy products, in doing so, they lose a readily available source of calcium and protein. In this work, gels obtained by complexation of Tetronic 90R4 with α-cyclodextrin loaded with β-galactosidase are proposed as a way to administer the enzyme immediately before or with the lactose-containing meal. Both molecules are biocompatible, can form gels in situ, and show sustained erosion kinetics in aqueous media. The complex was characterized by FTIR that evidenced an inclusion complex between the polyethylene oxide block and α-cyclodextrin. The release profiles of β-galactosidase from two different matrices (gels and tablets) of the in situ hydrogels have been obtained. The influence of the percentage of Tetronic in media of different pH was evaluated. No differences were observed regarding the release rate from the gel matrices at pH 6 (t50 = 105 min). However, in the case of the tablets, the kinetics were faster and they released a greater amount of 90R4 (25%, t50 = 40–50 min). Also, the amount of enzyme released was higher for mixtures with 25% Tetronic. Using suitable mathematical models, the corresponding kinetic parameters have been calculated. In all cases, the release data fit quite well to the Peppas–Sahlin model equation, indicating that the release of β-galactosidase is governed by a combination of diffusion and erosion processes. It has been observed that the diffusion mechanism prevails over erosion during the first 50 minutes, followed by continued release of the enzyme due to the disintegration of the matrix.