Interest rate exposure of Spanish banks: A nonparametric analysis

Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique that avoids the assumption of a specific functional form. One the one hand, it is found that the Spanish banking sector exhibits a remarkable degree of interest rate exposure, although the impact of interest rate changes on bank stock returns has significantly declined following the introduction of the euro. Further, a pattern of positive exposure emerges during the post-euro period. On the other hand, the results corresponding to the nonparametric model support the expansion of the conventional linear model in an attempt to gain a greater insight into the actual degree of exposure.

Portugal making a difference with children and families: the GADIF model

Portugal is a culture grounded in strong traditions and family. Yet, social changes like women returning to the workforce and a decreas ed national birth rate are impacting the traditional family structure and care giving environments of children. Female employment has been increasing steadily in P ortugal over the last three decades (Galego & Pereira, 2006) and the total fert ility rate decreasing from 4.1 to 2.8 (INE, 2006). Furthermore, extended family me mbers, like grandparents, no longer reside close by to their children and grandc hildren as in the past, because of a changing labor market. Many of the younger gen eration are leaving their rural communities to flock to urban areas because o f job opportunities, leaving behind older relatives who would have otherwise par ticipated in the daily care of children. Given these social and economic changes, children are spending more time in out-of-home care with non-familial caregive rs. Yet, government regulations and guidelines in early care and educat ion (ECCE) and early intervention (EI) are only just emerging; it contin ues to be a work in progress.

Dynamical analysis in growth models: Blumberg’s equation

We present a new dynamical approach to the Blumberg's equation, a family of unimodal maps. These maps are proportional to Beta(p, q) probability densities functions. Using the symmetry of the Beta(p, q) distribution and symbolic dynamics techniques, a new concept of mirror symmetry is defined for this family of maps. The kneading theory is used to analyze the effect of such symmetry in the presented models. The main result proves that two mirror symmetric unimodal maps have the same topological entropy. Different population dynamics regimes are identified, when the intrinsic growth rate is modified: extinctions, stabilities, bifurcations, chaos and Allee effect. To illustrate our results, we present a numerical analysis, where are demonstrated: monotonicity of the topological entropy with the variation of the intrinsic growth rate, existence of isentropic sets in the parameters space and mirror symmetry.

Study of the one dimensional and transient bioheat transfer equation: Multi-layer solution development and applications

: In this work we derive an analytical solution given by Bessel series to the transient and one-dimensional (1D) bioheat transfer equation in a multi-layer region with spatially dependent heat sources. Each region represents an independent biological tissue characterized by temperature-invariant physiological parameters and a linearly temperature dependent metabolic heat generation. Moreover, 1D Cartesian, cylindrical or spherical coordinates are used to define the geometry and temperature boundary conditions of first, second and third kinds are assumed at the inner and outer surfaces. We present two examples of clinical applications for the developed solution. In the first one, we investigate two different heat source terms to simulate the heating in a tumor and its surrounding tissue, induced during a magnetic fluid hyperthermia technique used for cancer treatment. To obtain an accurate analytical solution, we determine the error associated with the truncated Bessel series that defines the transient solution. In the second application, we explore the potential of this model to study the effect of different environmental conditions in a multi-layered human head model (brain, bone and scalp). The convective heat transfer effect of a large blood vessel located inside the brain is also investigated. The results are further compared with a numerical solution obtained by the Finite Element Method and computed with COMSOL Multi-physics v4.1 (c). (c) 2013 Elsevier Ltd. All rights reserved.

Topological Complexity and Predictability in the Dynamics of a Tumor Growth Model with Shilnikov's Chaos

Dynamical systems modeling tumor growth have been investigated to determine the dynamics between tumor and healthy cells. Recent theoretical investigations indicate that these interactions may lead to different dynamical outcomes, in particular to homoclinic chaos. In the present study, we analyze both topological and dynamical properties of a recently characterized chaotic attractor governing the dynamics of tumor cells interacting with healthy tissue cells and effector cells of the immune system. By using the theory of symbolic dynamics, we first characterize the topological entropy and the parameter space ordering of kneading sequences from one-dimensional iterated maps identified in the dynamics, focusing on the effects of inactivation interactions between both effector and tumor cells. The previous analyses are complemented with the computation of the spectrum of Lyapunov exponents, the fractal dimension and the predictability of the chaotic attractors. Our results show that the inactivation rate of effector cells by the tumor cells has an important effect on the dynamics of the system. The increase of effector cells inactivation involves an inverse Feigenbaum (i.e. period-halving bifurcation) scenario, which results in the stabilization of the dynamics and in an increase of dynamics predictability. Our analyses also reveal that, at low inactivation rates of effector cells, tumor cells undergo strong, chaotic fluctuations, with the dynamics being highly unpredictable. Our findings are discussed in the context of tumor cells potential viability.

An application of structural equation modeling of test dispositional optimism as mediator or moderator in quality of life in patients with chronic disease

The aim of the present study was to test a hypothetical model to examine if dispositional optimism exerts a moderating or a mediating effect between personality traits and quality of life, in Portuguese patients with chronic diseases. A sample of 540 patients was recruited from central hospitals in various districts of Portugal. All patients completed self-reported questionnaires assessing socio-demographic and clinical variables, personality, dispositional optimism, and quality of life. Structural equation modeling (SEM) was used to analyze the moderating and mediating effects. Results suggest that dispositional optimism exerts a mediator rather than a moderator role between personality traits and quality of life, suggesting that “the expectation that good things will happen” contributes to a better general well-being and better mental functioning.

A Model to Evaluate Vertical Handovers on JRRM

In a heterogeneous cellular networks environment, users behaviour and network deployment configuration parameters have an impact on the overall Quality of Service. This paper proposes a new and simple model that, on the one hand, explores the users behaviour impact on the network by having mobility, multi-service usage and traffic generation profiles as inputs, and on the other, enables the network setup configuration evaluation impact on the Joint Radio Resource Management (JRRM), assessing some basic JRRM performance indicators, like Vertical Handover (VHO) probabilities, average bit rates, and number of active users, among others. VHO plays an important role in fulfilling seamless users sessions transfer when mobile terminals cross different Radio Access Technologies (RATs) boundaries. Results show that high bit rate RATs suffer and generate more influence from/on other RATs, by producing additional signalling traffic to a JRRM entity. Results also show that the VHOs probability can range from 5 up to 65%, depending on RATs cluster radius and users mobility profile.

A one-dimensional prescribed curvature equation modeling the corneal shape

We prove existence, uniqueness, and stability of solutions of the prescribed curvature problem (u'/root 1 + u'(2))' = au - b/root 1 + u'(2) in [0, 1], u'(0) = u(1) = 0, for any given a > 0 and b > 0. We also develop a linear monotone iterative scheme for approximating the solution. This equation has been proposed as a model of the corneal shape in the recent paper (Okrasinski and Plociniczak in Nonlinear Anal., Real World Appl. 13:1498-1505, 2012), where a simplified version obtained by partial linearization has been investigated.

H → Zr in the complex two Higgs doublet model

The latest LHC data confirmed the existence of a Higgs-like particle and made interesting measurements on its decays into gamma gamma, ZZ*, WW*, tau(+)tau(-), and b (b) over bar. It is expected that a decay into Z gamma might be measured at the next LHC round, for which there already exists an upper bound. The Higgs-like particle could be a mixture of scalar with a relatively large component of pseudoscalar. We compute the decay of such a mixed state into Z gamma, and we study its properties in the context of the complex two Higgs doublet model, analysing the effect of the current measurements on the four versions of this model. We show that a measurement of the h -> Z gamma rate at a level consistent with the SM can be used to place interesting constraints on the pseudoscalar component. We also comment on the issue of a wrong sign Yukawa coupling for the bottom in Type II models.

A one-dimensional prescribed curvature equation modeling the corneal shape.

We prove existence, uniqueness, and stability of solutions of the prescribed curvature problem (u'/root 1 + u'(2))' = au - b/root 1 + u'(2) in [0, 1], u'(0) = u(1) = 0, for any given a > 0 and b > 0. We also develop a linear monotone iterative scheme for approximating the solution. This equation has been proposed as a model of the corneal shape in the recent paper (Okrasinski and Plociniczak in Nonlinear Anal., Real World Appl. 13:1498-1505, 2012), where a simplified version obtained by partial linearization has been investigated.

Machine learning Vasicek model calibration with Gaussian processes

In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.

A numerical analysis of generalized Boussinesq-type equation using continuos/discontinuous FEM

An improved class of Boussinesq systems of an arbitrary order using a wave surface elevation and velocity potential formulation is derived. Dissipative effects and wave generation due to a time-dependent varying seabed are included. Thus, high-order source functions are considered. For the reduction of the system order and maintenance of some dispersive characteristics of the higher-order models, an extra O(mu 2n+2) term (n ??? N) is included in the velocity potential expansion. We introduce a nonlocal continuous/discontinuous Galerkin FEM with inner penalty terms to calculate the numerical solutions of the improved fourth-order models. The discretization of the spatial variables is made using continuous P2 Lagrange elements. A predictor-corrector scheme with an initialization given by an explicit RungeKutta method is also used for the time-variable integration. Moreover, a CFL-type condition is deduced for the linear problem with a constant bathymetry. To demonstrate the applicability of the model, we considered several test cases. Improved stability is achieved.

Synchronization in Von Bertalanffy’s models

Many data have been useful to describe the growth of marine mammals, invertebrates and reptiles, seabirds, sea turtles and fishes, using the logistic, the Gom-pertz and von Bertalanffy's growth models. A generalized family of von Bertalanffy's maps, which is proportional to the right hand side of von Bertalanffy's growth equation, is studied and its dynamical approach is proposed. The system complexity is measured using Lyapunov exponents, which depend on two biological parameters: von Bertalanffy's growth rate constant and the asymptotic weight. Applications of synchronization in real world is of current interest. The behavior of birds ocks, schools of fish and other animals is an important phenomenon characterized by synchronized motion of individuals. In this work, we consider networks having in each node a von Bertalanffy's model and we study the synchronization interval of these networks, as a function of those two biological parameters. Numerical simulation are also presented to support our approaches.