Pricing Defaultable Bonds in a Markov Modulated Market

We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.

A study on seismicity and seismic hazard for Karnataka State

This paper presents a detailed study on the seismic pattern of the state of Karnataka and also quantifies the seismic hazard for the entire state. In the present work, historical and instrumental seismicity data for Karnataka (within 300 km from Karnataka political boundary) were compiled and hazard analysis was done based on this data. Geographically, Karnataka forms a part of peninsular India which is tectonically identified as an intraplate region of Indian plate. Due to the convergent movement of the Indian plate with the Eurasian plate, movements are occurring along major intraplate faults resulting in seismic activity of the region and hence the hazard assessment of this region is very important. Apart from referring to seismotectonic atlas for identifying faults and fractures, major lineaments in the study area were also mapped using satellite data. The earthquake events reported by various national and international agencies were collected until 2009. Declustering of earthquake events was done to remove foreshocks and aftershocks. Seismic hazard analysis was done for the state of Karnataka using both deterministic and probabilistic approaches incorporating logic tree methodology. The peak ground acceleration (PGA) at rock level was evaluated for the entire state considering a grid size of 0.05A degrees x 0.05A degrees. The attenuation relations proposed for stable continental shield region were used in evaluating the seismic hazard with appropriate weightage factors. Response spectra at rock level for important Tier II cities and Bangalore were evaluated. The contour maps showing the spatial variation of PGA values at bedrock are presented in this work.

Ultrahigh-temperature metamorphism from an unusual corundum plus orthopyroxene intergrowth bearing Al-Mg granulite from the Southern Marginal Zone, Limpopo Complex, South Africa

The Southern Marginal Zone of the Limpopo Complex is composed of granite-greenstone cratonic rocks reworked by a Neoarchean high-grade tectono-metamorphic event. Petrographic and mineral chemical characterization of an Al-Mg granulite from this zone is presented here. The granulite has a gneissic fabric with distinct Al-rich and Si-rich layers, with the former preserving the unusual lamellar (random and regular subparallel) intergrowths of corundum and symplectic intergrowth of spinel with orthopyroxene. The Al-rich layer preserves mineral assemblages such as rutile with orthopyroxene + sillimanite +/- A quartz, Al-rich orthopyroxene (similar to 11 wt%), spinel + quartz, and corundum in possible equilibrium with quartz, while the Si-rich layer preserves antiperthites and orthopyroxene + sillimanite +/- A quartz, all considered diagnostic of ultrahigh-temperature metamorphism. Application of Al-in-opx thermometry, ternary feldspar thermometry and construction of suitable pressure-temperature phase diagrams, compositional and model proportion isopleth results indicate P-T conditions as high as similar to 1,050-1,100 A degrees C, and similar to 10-12 kbars for the Al-Mg granulite. Our report of ultrahigh-temperature conditions is significant considering that the very high temperature was reached during decompression of an otherwise high-pressure granulite complex (clockwise P-T path), whereas most other ultrahigh-temperature granulites are linked to magma underplating at the base of the crust (counterclockwise P-T path).

Relay Selection for Geographical Forwarding in Sleep-Wake Cycling Wireless Sensor Networks

Our work is motivated by geographical forwarding of sporadic alarm packets to a base station in a wireless sensor network (WSN), where the nodes are sleep-wake cycling periodically and asynchronously. We seek to develop local forwarding algorithms that can be tuned so as to tradeoff the end-to-end delay against a total cost, such as the hop count or total energy. Our approach is to solve, at each forwarding node enroute to the sink, the local forwarding problem of minimizing one-hop waiting delay subject to a lower bound constraint on a suitable reward offered by the next-hop relay; the constraint serves to tune the tradeoff. The reward metric used for the local problem is based on the end-to-end total cost objective (for instance, when the total cost is hop count, we choose to use the progress toward sink made by a relay as the reward). The forwarding node, to begin with, is uncertain about the number of relays, their wake-up times, and the reward values, but knows the probability distributions of these quantities. At each relay wake-up instant, when a relay reveals its reward value, the forwarding node's problem is to forward the packet or to wait for further relays to wake-up. In terms of the operations research literature, our work can be considered as a variant of the asset selling problem. We formulate our local forwarding problem as a partially observable Markov decision process (POMDP) and obtain inner and outer bounds for the optimal policy. Motivated by the computational complexity involved in the policies derived out of these bounds, we formulate an alternate simplified model, the optimal policy for which is a simple threshold rule. We provide simulation results to compare the performance of the inner and outer bound policies against the simple policy, and also against the optimal policy when the source knows the exact number of relays. Observing the good performance and the ease of implementation of the simple policy, we apply it to our motivating problem, i.e., local geographical routing of sporadic alarm packets in a large WSN. We compare the end-to-end performance (i.e., average total delay and average total cost) obtained by the simple policy, when used for local geographical forwarding, against that obtained by the globally optimal forwarding algorithm proposed by Kim et al. 1].

Delineation of seismic source zones based on seismicity parameters and probabilistic evaluation of seismic hazard using logic tree approach

The delineation of seismic source zones plays an important role in the evaluation of seismic hazard. In most of the studies the seismic source delineation is done based on geological features. In the present study, an attempt has been made to delineate seismic source zones in the study area (south India) based on the seismicity parameters. Seismicity parameters and the maximum probable earthquake for these source zones were evaluated and were used in the hazard evaluation. The probabilistic evaluation of seismic hazard for south India was carried out using a logic tree approach. Two different types of seismic sources, linear and areal, were considered in the present study to model the seismic sources in the region more precisely. In order to properly account for the attenuation characteristics of the region, three different attenuation relations were used with different weightage factors. Seismic hazard evaluation was done for the probability of exceedance (PE) of 10% and 2% in 50 years. The spatial variation of rock level peak horizontal acceleration (PHA) and spectral acceleration (Sa) values corresponding to return periods of 475 and 2500 years for the entire study area are presented in this work. The peak ground acceleration (PGA) values at ground surface level were estimated based on different NEHRP site classes by considering local site effects.

Data acquisition and processing at ocean bottom for a Tsunami warning system

The design and development of a Bottom Pressure Recorder for a Tsunami Early Warning System is described here. The special requirements that it should satisfy for the specific application of deployment at ocean bed and pressure monitoring of the water column above are dealt with. A high-resolution data digitization and low circuit power consumption are typical ones. The implementation details of the data sensing and acquisition part to meet these are also brought out. The data processing part typically encompasses a Tsunami detection algorithm that should detect an event of significance in the background of a variety of periodic and aperiodic noise signals. Such an algorithm and its simulation are presented. Further, the results of sea trials carried out on the system off the Chennai coast are presented. The high quality and fidelity of the data prove that the system design is robust despite its low cost and with suitable augmentations, is ready for a full-fledged deployment at ocean bed. (C) 2013 Elsevier Ltd. All rights reserved.

Enhancement in creep resistance of Ti-6Al-4V alloy due to boron addition

The addition of B, up to about 0.1 wt%, to Ti-6Al-4V (Ti64) reduces its as-cast grain and colony sizes by an order of magnitude. In this paper, the creep resistance of this alloy modified with 0.06 and 0.11 wt% B additions was investigated in the temperature range of 475-550 degrees C and compared with that of the base alloy. Conventional dead-weight creep tests as well as stress relaxation tests were employed for this purpose. Experimental results show that the B addition enhances both elevated temperature strength and creep properties of Ti64, especially at the lower end of the temperatures investigated. The steady state creep rate in the alloy with 0.11 wt% B was found to be an order of magnitude lower than that in the base alloy, and both the strain at failure as well as the time for rupture increases with the B content. These marked improvements in the creep resistance due to B addition to Ti64 were attributed primarily to the increased number of inter-phase interfaces - a direct consequence of the microstructural refinement that occurs with the B addition - that provide resistance to dislocation motion. (C) 2014 Elsevier B.V. All rights reserved.

Holistic Measures for Evaluating Prediction Models in Smart Grids

The performance of prediction models is often based on ``abstract metrics'' that estimate the model's ability to limit residual errors between the observed and predicted values. However, meaningful evaluation and selection of prediction models for end-user domains requires holistic and application-sensitive performance measures. Inspired by energy consumption prediction models used in the emerging ``big data'' domain of Smart Power Grids, we propose a suite of performance measures to rationally compare models along the dimensions of scale independence, reliability, volatility and cost. We include both application independent and dependent measures, the latter parameterized to allow customization by domain experts to fit their scenario. While our measures are generalizable to other domains, we offer an empirical analysis using real energy use data for three Smart Grid applications: planning, customer education and demand response, which are relevant for energy sustainability. Our results underscore the value of the proposed measures to offer a deeper insight into models' behavior and their impact on real applications, which benefit both data mining researchers and practitioners.

Properties of the chalcogenide-carbon nano tubes and graphene composite materials

Composite can deliver more than the individual elemental property of the material. Specifically chalcogenide- multi walled carbon nano tubes and chalcogenide- bilayer graphene composite materials could be interesting for the investigation, which have been less covered by the investigators. We describe micro structural properties of Se55Te25Ge20, Se55Te25Ge20 + 0.025% multi walled carbon nano tubes and Se55Te25Ge20 + 0.025% bilayer graphene materials. This gives realization of the alloying constituents inclusion/or diffusion inside the multi walled carbon nano tubes and bilayer graphene under the homogeneous parent alloy configuration. Raman spectroscopy, X-ray photoelectron spectroscopy, UV/Visible spectroscopy and Fourier transmission infrared spectroscopy have also been carried out under the discussion. A considerable core energy levels peak shifts have been noticed for the composite materials by the X-ray photoelectron spectroscopy. The optical energy band gaps are measured to be varied in between 1.2 and 1.3 eV. In comparison to parent (Se55Te25Ge20) alloy a higher infrared transmission has been observed for the composite materials. Subsequently, variation in physical properties has been explained on the basis of bond formation in solids. (C) 2014 Elsevier B. V. All rights reserved.

Detailed mechanism and kinetic study of CO oxidation on cobalt oxide surfaces

Co3O4 catalysts were prepared by combustion synthesis using different fuels glycine (G), ODH (O) and urea (U). Morphological changes of the materials were observed by using different fuels. The prepared catalysts were characterized by XRD, XPS, SEM, TEM, BET and DRIFTS analysis. All compounds showed 100% conversion of CO below 175C. The prepared catalysts exhibited very high stability and conversions did not decrease even after 50 h of continuous operation. The oxygen storage capacity (OSC) of materials was measured by H-2-TPR analysis. Co3O4-O is having high OSC among the synthesized catalysts. The activation energies of these catalysts were found to be in the range of 42.3-64.8 kJ mol(-1). With DRIFTS analysis, the surface carbonates, superoxide anions, adsorbed CO, O-2 species on the catalyst surface were found and this information was used to develop a detailed reaction pathway. A kinetic model was developed with the help of proposed mechanism and used to fit the data. (C) 2014 Elsevier B.V. All rights reserved.

Experimental investigation of thermocapillary migration of isolated drops

Experimental hardware has been developed to perform experiments on the Marangoni migration of drops in the case of intermediate Reynolds numbers in a microgravity environment. The experiments were conducted using the drop shaft free fall facility with a 4.5 second microgravity period in the Microgravity Laboratory of Japan. In this experiment, the thermocapillary velocity of drop migration was measured for drops of different sizes in a series of temperature gradients.

Comparative studies of AOT and NaDEHP by fluorescence technique and z-potential (ζ) measurements

The aggregation behaviors of two surfactants with the same hydrophobic tail, sodium bis(2-ethylhexyl)sulfosuccinate (AOT) and sodium bis(2-ethylhexyl)phosphate (NaDEHP), have been investigated by the fluorescence technique and z-potential (ζ) measurements. Five fine peaks of the pyrene molecule fluorescence spectroscopy appear in the surfactant solution, and the micropolarity at which pyrene locates is monitored from the intensity ratio of the first (I1) and the third peak (I3). A wide peak around 475 nm, the emission spectra of the excimer of pyrene molecules, is observed in the NaDEHP solution, while this is not found for the AOT system. The value of I1/I3 decreases in a more limited concentration range for the AOT system than for NaDEHP, indicating that small aggregates can be more easily formed by NaDEHP molecules. The z-potential results for the aggregates formed by the two surfactants show that the interaction between AOT and PVP is stronger than that between NaDEHP and PVP.

Comportamiento agronómico por rebrote de seis genotipos de sorgo (Sorghum bicolor L. Moench) bajo dos diferentes dosis de fertilización NPK, en el Valle de Sébaco

Con el objetivo de determinar el potencial de rendimiento de grano por rebrote de seis genotipos de Sorgo (Sorghum bicolor L Moench), sometidos bajo dos diferentes dosis de fertilización NPK, se estableció un experimento de campo en Bloques Completos al Azar con 4 repeticiones en terrenos de la Estación Experimental “Raúl González A.” del Valle de Sebaco. Los resultados obtenidos indican que el hibrido HSN 89 con 6 Ton/Ha, fue el que presento el mayor rendimiento de grano por rebrote, ubicándose en segundo lugar los genotipos H887 v2 y SPV 475 con 4.98 y 4.53 Ton/HA respectivamente. Resultados similares fueron obtenidos en relación al rendimiento total de grano (durante las dos cosechas), con 12.25 Ton/Ha; 10.58 Ton/Ha y 9.90 Ton/Ha respectivamente. El incremento en la fertilización ejercio efecto en el rendimiento de grano obtenido durante el segundo ciclo del cultivo (rebrote), alcanzando los mayores rendimientos de 10.37 Ton/Ha, con la mayor fertilización. En relación a las demás características agronómicas como altura de planta; excersion de panoja; longitud de panoja y Acame, los genotipos se comportaron muy bien, a excepción de la variedad T 43 que mostro un 54% de Acame durante el segundo ciclo del cultivo (rebrote).

Estudio sobre algunas causas de baja germinación de tres variedades de sorgo (Sorghum bicolor L. Moench.)

Este trabajo se realizó en época de postrera de 1989, en terrenos del programa Recursos Genéticos Nicaragüenses (REGEN). Con el objetivo de determinar las causas de la baja germinación de tres variedades de sorgo que se producen en el país. Las variedades que se utilizaron durante la investigación fueron: El híbrido D-55, la variedad 1-43 y la Línea SPV-4/5. La razón por la cual se usaron estas variedades, es que dos de alias en esa época estaban en producción y la línea SPV-475 en proceso de liberación comercial. El diseño utilizado fue el de parcelas simples, tres en total con un área de 50 metros cuadrados cada una, se usó como parcela útil el área formada por los seis surcos centrales de cada parcela, dejando un metro de borde. Las variables a medir fueron: Los porcentajes de germinación al momento de la cosecha y después de tres meses de almacenamiento, también los porcentajes de germinación de las semillas afectadas por los diferentes hongos que la atacan en el campe y el porcentaje de semillas latentes. Los resultados indican que el híbrido D-55, tuvo un mayor porcentaje de semillas latentes, seguido de la variedad T-43 y SPV-475 (Pinolero-1). En relación a la infección, tanto las variedades como el híbrido en estudio resultaron fuertemente atacados por los hongos, siendo Fusarium el único que se comprobó afecto la viabilidad de la semilla. Con respecto a la humedad del grano para la cosecha, se recomienda cosechar temprano las variedades de color blanco y cosechar tarde las variedades de color rojo.