Second-Order Approximation to the Rotemberg Model around a Distorted Steady State

Less is known about social welfare objectives when it is costly to change prices, as in Rotemberg (1982), compared with Calvo-type models. We derive a quadratic approximate welfare function around a distorted steady state for the costly price adjustment model. We highlight the similarities and differences to the Calvo setup. Both models imply inflation and output stabilization goals. It is explained why the degree of distortion in the economy influences inflation aversion in the Rotemberg framework in a way that differs from the Calvo setup.

Calibration of stochastic volatility models via second order approximation: the Heston model case

Using a suitable Hull and White type formula we develop a methodology to obtain asecond order approximation to the implied volatility for very short maturities. Using thisapproximation we accurately calibrate the full set of parameters of the Heston model. Oneof the reasons that makes our calibration for short maturities so accurate is that we alsotake into account the term-structure for large maturities. We may say that calibration isnot "memoryless", in the sense that the option's behavior far away from maturity doesinfluence calibration when the option gets close to expiration. Our results provide a wayto perform a quick calibration of a closed-form approximation to vanilla options that canthen be used to price exotic derivatives. The methodology is simple, accurate, fast, andit requires a minimal computational cost.

Factors affecting Hg (II) adsorption in soils from the Rio Negro basin (Amazon)

Mercury (II) adsorption studies in top soils (top 10 cm) from the Rio Negro basin show this process depends strongly on some selected parameters of the aqueous phase in contact with the soils. Maximum adsorption occurred in the pH range 3.0-5.0 (>90%). Dissolved organic matter shows an inhibitory effect on the availability of Hg (II) to be adsorbed by the soils, whereas a higher chloride content of the solution resulted in a lower adsorption of Hg (II) at pH 5.0. Soils with higher organic matter content were less affected by changes in the salinity. An increase in the initial Hg (II) concentration increased the amount of Hg (II) adsorbed by the soil and decreased the time needed to reach equilibrium. A Freundlich isotherm provided a good model for Hg (II) adsorption in the two types of soil studied. The kinetics of Hg (II) adsorption on Amazonian soils showed to be very fast and followed pseudo-second order kinetics. An environmental implication of these results is discussed under the real scenario present in the Negro River basin, where acidic waters are in contact with a soil naturally rich in mercury.

Second-order model for remote and close-up short-circuit faults currents on DC traction supply

A technique to calculate the current waveform for both close-up and remote short-circuit faults on DC supplied railways and subways is presented. Exact DC short-circuit current calculation is best performed by sophisticated computer transient simulations. However, an accurate simplified calculation method based on second-order approximation which can be easily executed with the help of a calculator or a spreadsheet program is proposed.

Superspace approach to the renormalization of the O'Raifeartaigh model up to the second order in the linear delta expansion parameter

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Factors affecting Hg (II) adsorption in soils from the Rio Negro basin (Amazon)

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

A numerical model for shoaling and refraction of second-order cnoidal waves over an irregular bottom /

Mode of access: Internet.

Fixed bed reactors with catalyst poisoning - first order kinetics.

The long performance of an isothermal fixed bed reactor undergoing catalyst poisoning is theoretically analyzed using the dispersion model. First order reaction with dth order deactivation is assumed and the model equations are solved by matched asymptotic expansions for large Peclet number. Simple closed-form solutions, uniformly valid in time, are obtained.

Subcycling first- and second-order generalizations of the trapezoidal rule

Subcycling algorithms which employ multiple timesteps have been previously proposed for explicit direct integration of first- and second-order systems of equations arising in finite element analysis, as well as for integration using explicit/implicit partitions of a model. The author has recently extended this work to implicit/implicit multi-timestep partitions of both first- and second-order systems. In this paper, improved algorithms for multi-timestep implicit integration are introduced, that overcome some weaknesses of those proposed previously. In particular, in the second-order case, improved stability is obtained. Some of the energy conservation properties of the Newmark family of algorithms are shown to be preserved in the new multi-timestep extensions of the Newmark method. In the first-order case, the generalized trapezoidal rule is extended to multiple timesteps, in a simple way that permits an implicit/implicit partition. Explicit special cases of the present algorithms exist. These are compared to algorithms proposed previously. (C) 1998 John Wiley & Sons, Ltd.

Quadratic programming versus second order con programming in portfolio optimization

Despite the extensive literature in finding new models to replace the Markowitz model or trying to increase the accuracy of its input estimations, there is less studies about the impact on the results of using different optimization algorithms. This paper aims to add some research to this field by comparing the performance of two optimization algorithms in drawing the Markowitz Efficient Frontier and in real world investment strategies. Second order cone programming is a faster algorithm, appears to be more efficient, but is impossible to assert which algorithm is better. Quadratic Programming often shows superior performance in real investment strategies.

Second-order parameter estimation

This work provides a general framework for the design of second-order blind estimators without adopting anyapproximation about the observation statistics or the a prioridistribution of the parameters. The proposed solution is obtainedminimizing the estimator variance subject to some constraints onthe estimator bias. The resulting optimal estimator is found todepend on the observation fourth-order moments that can be calculatedanalytically from the known signal model. Unfortunately,in most cases, the performance of this estimator is severely limitedby the residual bias inherent to nonlinear estimation problems.To overcome this limitation, the second-order minimum varianceunbiased estimator is deduced from the general solution by assumingaccurate prior information on the vector of parameters.This small-error approximation is adopted to design iterativeestimators or trackers. It is shown that the associated varianceconstitutes the lower bound for the variance of any unbiasedestimator based on the sample covariance matrix.The paper formulation is then applied to track the angle-of-arrival(AoA) of multiple digitally-modulated sources by means ofa uniform linear array. The optimal second-order tracker is comparedwith the classical maximum likelihood (ML) blind methodsthat are shown to be quadratic in the observed data as well. Simulationshave confirmed that the discrete nature of the transmittedsymbols can be exploited to improve considerably the discriminationof near sources in medium-to-high SNR scenarios.

Adsorção do corante vermelho congo por derivados da o-carboximetilquitosana hidrofobicamente modificados

Hydrophobically modified O-carboxymethylchitosan derivatives were synthesized through a reaction with lauroyl chloride and applied for adsorption of congo red dye. The Langmuir-Freundlich isotherm model was found to be the most suitable one for the VC adsorption and maximum adsorption capacity obtained was 281.97 mg g-1 at a pH value of 7.0 for HL 1.0. The adsorption process follows the pseudo-second-order kinetics and the corresponding rate constants were obtained. The thermodynamic parameters showed that adsorption process is spontaneous (positive ∆Hº) and favorable (negative ∆Gº). The hydrophobic derivatives are able to adsorb the dye even in high pH values.

Second Order Fit for Mercuric Chloride Catalysed Solvolysis of Alkyl Chlorides in Aqueous DMSO Solvents

Kinetics of mercuric chloride catalysed solvolysis of l-butyl chloride, benzyl chloride. p-methylbenzyl chloride, l-phenylethyl chloride and triethylcarbinyl chloride have been studied in aq. DMSO, aq. acetonitrile and aq. ethanol. The kinetic data fit a second order rate equation in aq. DMSO. The calculated values of the second order rate coefficients increase in the case of aq. acetonitrile and aq. ethanol. The order in catalyst in 95%(v/v) aq. DMSO is less than unity.

Cosmic acceleration from second order gauge gravity

We construct a phenomenological theory of gravitation based on a second order gauge formulation for the Lorentz group. The model presents a long-range modification for the gravitational field leading to a cosmological model provided with an accelerated expansion at recent times. We estimate the model parameters using observational data and verify that our estimative for the age of the Universe is of the same magnitude than the one predicted by the standard model. The transition from the decelerated expansion regime to the accelerated one occurs recently (at similar to 9.3 Gyr).