A Unified Model for XVA, including Interest Rates and Rating

We start in Chapter 2 to investigate linear matrix-valued SDEs and the Itô-stochastic Magnus expansion. The Itô-stochastic Magnus expansion provides an efficient numerical scheme to solve matrix-valued SDEs. We show convergence of the expansion up to a stopping time τ and provide an asymptotic estimate of the cumulative distribution function of τ. Moreover, we show how to apply it to solve SPDEs with one and two spatial dimensions by combining it with the method of lines with high accuracy. We will see that the Magnus expansion allows us to use GPU techniques leading to major performance improvements compared to a standard Euler-Maruyama scheme. In Chapter 3, we study a short-rate model in a Cox-Ingersoll-Ross (CIR) framework for negative interest rates. We define the short rate as the difference of two independent CIR processes and add a deterministic shift to guarantee a perfect fit to the market term structure. We show how to use the Gram-Charlier expansion to efficiently calibrate the model to the market swaption surface and price Bermudan swaptions with good accuracy. We are taking two different perspectives for rating transition modelling. In Section 4.4, we study inhomogeneous continuous-time Markov chains (ICTMC) as a candidate for a rating model with deterministic rating transitions. We extend this model by taking a Lie group perspective in Section 4.5, to allow for stochastic rating transitions. In both cases, we will compare the most popular choices for a change of measure technique and show how to efficiently calibrate both models to the available historical rating data and market default probabilities. At the very end, we apply the techniques shown in this thesis to minimize the collateral-inclusive Credit/ Debit Valuation Adjustments under the constraint of small collateral postings by using a collateral account dependent on rating trigger.

Spontaneous long and short-range ferroelectric ordering in Pb(0.55)La(0.30)TiO(3) ceramics

In this work, we investigated the temperature dependence of short and long-range ferroelectric ordering in Pb(0.55)La(0.30)TiO(3) relaxor composition. High-resolution x-ray powder diffraction measurements revealed a clear spontaneous macroscopic cubic-to-tetragonal phase transition in the PLT relaxor sample at similar to 60 K below the maximum of the dielectric constant peak (T(m)). Indeed, the x-ray diffraction (XRD) data showed that at 300 K (above T(m) but below the Burns temperature, T(B)) the long-range order structure corresponds to a macroscopic cubic symmetry, space group number 221 (Pm-3m), whereas the data collected at 20 K revealed a macroscopic tetragonal symmetry, space group number 99 (P4mm) with c/a=1.0078, that is comparable to that of a normal ferroelectric. These results show that for samples with tetragonal composition, the long-range ferroelectric order may be recovered spontaneously at cryogenics temperatures, in contrast to ferroelectric samples with rhombohedral symmetry. On the other hand, x-ray absorption spectroscopy investigations intriguingly revealed the existence of local tetragonal disorder around Ti atoms for temperatures far below T(m) and above T(B), for which the sample presents macroscopic tetragonal and cubic symmetries, respectively. (C) 2010 American Institute of Physics. [doi: 10.1063/1.3431024]

Short-term and long-term cardiovascular actions of different doses of perindopril in the rabbit

Short-term (one week) and chronic (six week) cardiovascular effects of orally administered perindopril were examined in the rabbit to demonstrate if short-term results can predict chronic outcomes. In short-term treatment, five doses of perindopril were examined in random order separated by a one week recovery period in each of six rabbits. Two doses of perindopril which resulted in a moderate hypotensive effect (-14 mmHg) and no hypotensive effect, respectively, were then selected for long-term treatment. Each rabbit in the short-term study received perindopril in doses of 0.01, 0.06, 0.32, 1.8 and 10 mg kg(-1) day(-1) for a week at a time. Rabbits on long-term treatment received either 0.3 or 0.01 mg kg(-1) day(-1) perindopril for six weeks. All rabbits had their mean arterial blood pressure (MAP) and heart rate recorded throughout treatment. Plasma angiotensin I (AngI), perindoprilat, angiotensin converting enzyme (ACE) inhibition were also assayed. Perindopril treatment for one week produced a dose-dependent hypotensive effect with the threshold dose, 0.06 mg kg(-1) day(-1), producing a 6.5+/-1.8 mmHg fall in MAP. The highest dose (10.0 mg kg(-1) day(-1)) produced a large fall in blood pressure of -29.6+/-4.2 mmHg. The 0.01 and 0.06 mg kg(-1) day(-1) doses of perindopril produced an average 2.65 fold increase in plasma AngI levels compared to the initial control. The three higher doses (0.32-10.0 mg kg(-1) day(-1)) of perindopril produced an equivalent 5.7 fold increase in plasma AngI levels compared to the initial controls. However, over six weeks 0.01 mg kg(-1) day(-1) perindopril induced a similar decrease in MAP as the 30 fold higher dose (-9.3 mmHg compared to -11.7 mmHg,). This was in spite of a 3 fold difference in plasma perindoprilat concentrations between the high and low dose perindopril groups. Plasma ACE inhibition was >80% with both doses of perindopril. The results indicate that while perindopril decreases MAP in a dose-dependent manner in short-term (one week) periods, over longer treatment times (six weeks) low concentrations of perindopril, non-hypotensive with shortterm treatment, may be as anti-hypertensive as considerably higher doses. (C) 1996 The Italian Pharmacological Society.

Effects of short-duration and long-duration exercise on lipoprotein(a)

Purpose: Most studies that use either a single exercise session, exercise training, or a cross-sectional design have failed to find a relationship between exercise and plasma lipoprotein(a) [Lp(a)] concentrations. However, a few studies investigating the effects of longer and/or more strenuous exercise have shown elevated Lp(a) concentrations, possibly as an acute-phase reactant to muscle damage. Based on the assumption that greater muscle damage would occur with exercise of longer duration, the purpose of the present study was to determine whether exercise of longer duration would increase Lp(a) concentration and creatine kinase. (CK) activity more than exercise of shorter duration. Methods: Ten endurance-trained men (mean +/- SD: age, 27 +/- 6 yr; maximal oxygen consumption [(V)over dotO(2max)], 57 +/- 7 mL(.)kg(-1) min(-1)) completed two separate exercise sessions at 70% (V)over dotO(2max). One session required 900 kcal of energy expenditure (60 +/- 6 min), and the other required 1500 kcal (112 +/- 12 min). Fasted blood samples were taken immediately before (0-pre), immediately after (0-post), 1 d after (1-post), and 2 d after (2-post) each exercise session. Results: CK activity increased after both exercise sessions (mean +/- SE; 800 kcal: 0-pre 55 +/- 11, 1-post 168 +/- 64 U(.)L(-1.)min(-1); 1500 kcal: 0-pre 51 +/- 5, 1-post 187 +/- 30, 2-post 123 +/- 19 U(.)L(-1.)min(-1); P < 0.05). However, median Lp(a) concentrations were not altered by either exercise session (800 kcal: 0-pre 5.0 mg(.)dL(-1), 0-post 3.2 mg(.)dL(-1), 1-post 4.0 mg(.)dL(-1), 2-post 3.4 mg(.)dL(-1); 1500 kcal: 0-pre 5.8 mg(.)dL(-1), 0-post 4.3 mg(.)dL(-1), 1-post 3.2 mg(.)dL(-1), 2-post 5.3 mg(.)dL(-1)). In addition, no relationship existed between exercise-induced changes in CK activity and Lp(a) concentration (800 kcal: r = -0.26; 1500 kcal: r = -0.02). Conclusion: These results suggest that plasma Lp(a) concentration will not increase in response to minor exercise-induced muscle damage in endurance-trained runners.

Three essays on the term structure of interest rates

A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics

Nominal Interest Rates and Stationarity

This paper investigates the (break) stationarity null hypothesis using data for 25 interest rates with different maturities and risk characteristics in Canada and the US. In contrast to a large part of the literature, this paper reports strong empirical evidence in favour of the null hypothesis of stationarity for the interest rate series.

The evolution of inbred social systems in spiders and other organisms: from short-term gains to long-term evolutionary dead-ends?

The question of why some social systems have evolved close inbreeding is particularly intriguing given expected short- and long-term negative effects of this breeding system. Using social spiders as a case study, we quantitatively show that the potential costs of avoiding inbreeding through dispersal and solitary living could have outweighed the costs of inbreeding depression in the origin of inbred spider sociality. We further review the evidence that despite being favored in the short term, inbred spider sociality may constitute in the long run an evolutionary dead end. We also review other cases, such as the naked mole rats and some bark and ambrosia beetles, mites, psocids, thrips, parasitic ants, and termites, in which inbreeding and sociality are associated and the evidence for and against this breeding system being, in general, an evolutionary dead end.

On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

A two-mean reverting-factor model of the term structure of interest rates

This paper presents a two--factor model of the term structure ofinterest rates. We assume that default free discount bond prices aredetermined by the time to maturity and two factors, the long--term interestrate and the spread (difference between the long--term rate and theshort--term (instantaneous) riskless rate). Assuming that both factorsfollow a joint Ornstein--Uhlenbeck process, a general bond pricing equationis derived. We obtain a closed--form expression for bond prices andexamine its implications for the term structure of interest rates. We alsoderive a closed--form solution for interest rate derivatives prices. Thisexpression is applied to price European options on discount bonds andmore complex types of options. Finally, empirical evidence of the model'sperformance is presented.

Land plants and DNA barcodes: short-term and long-term goals.

Land plants have had the reputation of being problematic for DNA barcoding for two general reasons: (i) the standard DNA regions used in algae, animals and fungi have exceedingly low levels of variability and (ii) the typically used land plant plastid phylogenetic markers (e.g. rbcL, trnL-F, etc.) appear to have too little variation. However, no one has assessed how well current phylogenetic resources might work in the context of identification (versus phylogeny reconstruction). In this paper, we make such an assessment, particularly with two of the markers commonly sequenced in land plant phylogenetic studies, plastid rbcL and internal transcribed spacers of the large subunits of nuclear ribosomal DNA (ITS), and find that both of these DNA regions perform well even though the data currently available in GenBank/EBI were not produced to be used as barcodes and BLAST searches are not an ideal tool for this purpose. These results bode well for the use of even more variable regions of plastid DNA (such as, for example, psbA-trnH) as barcodes, once they have been widely sequenced. In the short term, efforts to bring land plant barcoding up to the standards being used now in other organisms should make swift progress. There are two categories of DNA barcode users, scientists in fields other than taxonomy and taxonomists. For the former, the use of mitochondrial and plastid DNA, the two most easily assessed genomes, is at least in the short term a useful tool that permits them to get on with their studies, which depend on knowing roughly which species or species groups they are dealing with, but these same DNA regions have important drawbacks for use in taxonomic studies (i.e. studies designed to elucidate species limits). For these purposes, DNA markers from uniparentally (usually maternally) inherited genomes can only provide half of the story required to improve taxonomic standards being used in DNA barcoding. In the long term, we will need to develop more sophisticated barcoding tools, which would be multiple, low-copy nuclear markers with sufficient genetic variability and PCR-reliability; these would permit the detection of hybrids and permit researchers to identify the 'genetic gaps' that are useful in assessing species limits.

Three essays on the determinants of output, inflation and interest rates

Résumé: Output, inflation and interest rates are key macroeconomic variables, in particular for monetary policy. In modern macroeconomic models they are driven by random shocks which feed through the economy in various ways. Models differ in the nature of shocks and their transmission mechanisms. This is the common theme underlying the three essays of this thesis. Each essay takes a different perspective on the subject: First, the thesis shows empirically how different shocks lead to different behavior of interest rates over the business cycle. For commonly analyzed shocks (technology and monetary policy errors), the patterns square with standard models. The big unknown are sources of inflation persistence. Then the thesis presents a theory of monetary policy, when the central bank can better observe structural shocks than the public. The public will then seek to infer the bank's extra knowledge from its policy actions and expectation management becomes a key factor of optimal policy. In a simple New Keynesian model, monetary policy becomes more concerned with inflation persistence than otherwise. Finally, the thesis points to the huge uncertainties involved in estimating the responses to structural shocks with permanent effects.

Fiscal policy and interest rates: the role of financial and economic integration

It is commonly believed that a fiscal expansion raises interest rates. However, these crowding out effects of deficits have been found to be small or non-existent. One explanation is that financial integration offsets interest rate differentials on globalised bond markets. This paper measures the degree of integration of government bond markets, using spatial modelling techniques to take this spillover on financial markets into account. Our main finding is that the crowding out effect on domestic interest rates is significant, but is reduced by spillover across borders. This spillover is important in major crises or in periods of coordinated policy actions. This result is generally robust to various measures of cross-country linkages. We find spillover to be much stronger among EU countries.