Credit risk & forward price models

Doutoramento em Gestão

The hierarchic structure of fears: A cross-cultural replication with the fear survey schedule in a portuguese sample

A confirmatory attempt is made to assess the validity of a hierarchic structural model of fears. Using a sample comprising 1,980 adult volunteers in Portugal, the present study set out to delineate the multidimensional structure and hierarchic organization of a large set of feared stimuli by contrasting a higher-order model comprising general fear at the highest level against a first-order model and a unitary fear model. Following a refinement of the original model, support was found for a five-factor model on a first-order level, namely (1) Social fears, (2) Agoraphobic fears, (3) Fears of bodily injury, death and illness, (4) Fears of display to aggressive scenes, and (5) Harmless animals fears. These factors in turn loaded on a General fear factor at the second-order level. However, the firstorder model was as parsimonious as a hierarchic higher-order model. The hierarchic model supports a quantitative hierarchic approach which decomposes fear disorders into agoraphobic, social, and specific (animal and bloodinjury) fears.

Kinetic analysis of metal uptake by dry and gel alginate particles

The kinetics of metal uptake by gel and dry calcium alginate beads was analysed using solutions of copper or lead ions. Gel beads sorbed metal ions faster than the dry ones and larger diffusivities of metal ions were calculated for gel beads: approximately 10−4 cm2/min vs. 10−6 cm2/min for dry beads. In accordance, scanning electron microscopy and nitrogen adsorption data revealed a low porosity of dry alginate particles. However, dry beads showed higher sorption capacities and a mechanical stability more suitable for large-scale use. Two sorption models were fitted to the kinetic results: the Lagergren pseudo-first order and the Ho and McKay pseudo-second order equations. The former was found to be the most adequate to model metal uptake by dry alginate beads and kinetic constants in the orders of 10−3 and 10−2 min−1 were obtained for lead solutions with concentrations up to 100 g/m3. The pseudo-first order model was also found to be valid to describe biosorbent operation with a real wastewater indicating that it can be used to design processes of metal sorption with alginate-based materials.

Phenomenology of top-philic axion-like particles

Axion like particles (ALPs), i.e., pseudo-scalar bosons interacting via derivative couplings, are a generic feature of many new physics scenarios, including those addressing the strong-CP problem and/or the existence of dark matter. Their phenomenology is very rich, with a wide range of scales and interactions being directly probed at very different experiments, from accelerators to observatories. In this thesis, we explore the possibility that ALPs might indirectly affect precision collider observables. In particular, we consider an ALPs that preferably couple to the top quark (top-philic) and we study new-physics 1- loop corrections to processes involving top quarks in the final state. Our study stems from the simple, yet non-trivial observation that 1-loop corrections are infrared finite even in the case of negligible ALP masses and therefore can be considered on their own. We compute the 1-loop corrections of new physics analytically in key cases involving top quark pair production and then implement and validate a fully general next-to-leading-order model in MadGraph5_aMC@NLO that allows to compute virtual effects for any process of interest. A detailed study of the expected sensitivity to virtual ALPs in ttbar production at the LHC is performed.

Temporal variability of soil CO2 emission after conventional and reduced tillage described by an exponential decay in time model

To study Assessing the impact of tillage practices on soil carbon losses dependents it is necessary to describe the temporal variability of soil CO2 emission after tillage. It has been argued that large amounts of CO2 emitted after tillage may serve as an indicator for longer-term changes in soil carbon stocks. Here we present a two-step function model based on soil temperature and soil moisture including an exponential decay in time component that is efficient in fitting intermediate-term emission after disk plow followed by a leveling harrow (conventional), and chisel plow coupled with a roller for clod breaking (reduced) tillage. Emission after reduced tillage was described using a non-linear estimator with determination coefficient (R²) as high as 0.98. Results indicate that when emission after tillage is addressed it is important to consider an exponential decay in time in order to predict the impact of tillage in short-term emissions.

A high-order arbitrarily unstructured finite-volume model of the global atmosphere: tests solving the shallow-water equations

Simulations of the global atmosphere for weather and climate forecasting require fast and accurate solutions and so operational models use high-order finite differences on regular structured grids. This precludes the use of local refinement; techniques allowing local refinement are either expensive (eg. high-order finite element techniques) or have reduced accuracy at changes in resolution (eg. unstructured finite-volume with linear differencing). We present solutions of the shallow-water equations for westerly flow over a mid-latitude mountain from a finite-volume model written using OpenFOAM. A second/third-order accurate differencing scheme is applied on arbitrarily unstructured meshes made up of various shapes and refinement patterns. The results are as accurate as equivalent resolution spectral methods. Using lower order differencing reduces accuracy at a refinement pattern which allows errors from refinement of the mountain to accumulate and reduces the global accuracy over a 15 day simulation. We have therefore introduced a scheme which fits a 2D cubic polynomial approximately on a stencil around each cell. Using this scheme means that refinement of the mountain improves the accuracy after a 15 day simulation. This is a more severe test of local mesh refinement for global simulations than has been presented but a realistic test if these techniques are to be used operationally. These efficient, high-order schemes may make it possible for local mesh refinement to be used by weather and climate forecast models.

Pseudolikelihood equations for Potts MRF model parameter estimation on higher order neighborhood systems

This letter presents pseudolikelihood equations for the estimation of the Potts Markov random field model parameter on higher order neighborhood systems. The derived equation for second-order systems is a significantly reduced version of a recent result found in the literature (from 67 to 22 terms). Also, with the proposed method, a completely original equation for Potts model parameter estimation in third-order systems was obtained. These equations allow the modeling of less restrictive contextual systems for a large number of applications in a computationally feasible way. Experiments with both simulated and real remote sensing images provided good results.

Temporal variability of soil CO2 emission after conventional and reduced tillage described by an exponential decay in time model

A quantificação do impacto das práticas de preparo sobre as perdas de carbono do solo é dependente da habilidade de se descrever a variabilidade temporal da emissão de CO2 do solo após preparo. Tem sido sugerido que as grandes quantidades de CO2 emitido após o preparo do solo podem servir como um indicador das modificações nos estoques de carbono do solo em longo termo. Neste trabalho é apresentado um modelo de duas partes baseado na temperatura e na umidade do solo e que inclui um termo exponencial decrescente do tempo que é eficiente no ajuste das emissões intermediárias após preparo: arado de disco seguido de uma passagem com a grade niveladora (convencional) e escarificador de arrasto seguido da passagem com rolo destorroador (reduzido). As emissões após o preparo do solo são descritas utilizando-se estimativa não linear com um coeficiente de determinação (R²) tão alto quanto 0.98 após preparo reduzido. Os resultados indicam que nas previsões da emissão de CO2 após o preparo do solo é importante considerar um termo exponencial decrescente no tempo após preparo.

Changes In Motor Behavior During Pregnancy In Rats: The Basis For A Possible Animal Model Of Restless Legs Syndrome.

Pregnant women have a 2-3 fold higher probability of developing restless legs syndrome (RLS - sleep-related movement disorders) than general population. This study aims to evaluate the behavior and locomotion of rats during pregnancy in order to verify if part of these animals exhibit some RLS-like features. We used 14 female 80-day-old Wistar rats that weighed between 200 and 250 g. The rats were distributed into control (CTRL) and pregnant (PN) groups. After a baseline evaluation of their behavior and locomotor activity in an open-field environment, the PN group was inducted into pregnancy, and their behavior and locomotor activity were evaluated on days 3, 10 and 19 of pregnancy and in the post-lactation period in parallel with the CTRL group. The serum iron and transferrin levels in the CTRL and PN groups were analyzed in blood collected after euthanasia by decapitation. There were no significant differences in the total ambulation, grooming events, fecal boli or urine pools between the CTRL and PN groups. However, the PN group exhibited fewer rearing events, increased grooming time and reduced immobilization time than the CTRL group (ANOVA, p<0.05). These results suggest that pregnant rats show behavioral and locomotor alterations similar to those observed in animal models of RLS, demonstrating to be a possible animal model of this sleep disorder.

Intestinal Anti-Inflammatory Activity of Baccharis dracunculifolia in the Trinitrobenzenesulphonic Acid Model of Rat Colitis

Baccharis dracunculifolia DC (Asteraceae) is a Brazilian medicinal plant popularly used for its antiulcer and anti-inflammatory properties. This plant is the main botanical source of Brazilian green propolis, a natural product incorporated into food and beverages to improve health. The present study aimed to investigate the chemical profile and intestinal anti-inflammatory activity of B. dracunculifolia extract on experimental ulcerative colitis induced by trinitrobenzenosulfonic acid (TNBS). Colonic damage was evaluated macroscopically and biochemically through its evaluation of glutathione content and its myeloperoxidase (MPO) and alkaline phosphatase activities. Additional in vitro experiments were performed in order to test the antioxidant activity by inhibition of induced lipid peroxidation in the rat brain membrane. Phytochemical analysis was performed by HPLC using authentic standards. The administration of plant extract (5 and 50 mgkg(-1)) significantly attenuated the colonic damage induced by TNBS as evidenced both macroscopically and biochemically. This beneficial effect can be associated with an improvement in the colonic oxidative status, since plant extract prevented glutathione depletion, inhibited lipid peroxidation and reduced MPO activity. Caffeic acid, p-coumaric acid, aromadendrin-4-O-methyl ether, 3-prenyl-p-coumaric acid, 3,5-diprenyl-p-coumaric acid and baccharin were detected in the plant extract.

Liquid polymorphism, order-disorder transitions and anomalous behavior: A Monte Carlo study of the Bell-Lavis model for water

The Bell-Lavis model for liquid water is investigated through numerical simulations. The lattice-gas model on a triangular lattice presents orientational states and is known to present a highly bonded low density phase and a loosely bonded high density phase. We show that the model liquid-liquid transition is continuous, in contradiction with mean-field results on the Husimi cactus and from the cluster variational method. We define an order parameter which allows interpretation of the transition as an order-disorder transition of the bond network. Our results indicate that the order-disorder transition is in the Ising universality class. Previous proposal of an Ehrenfest second order transition is discarded. A detailed investigation of anomalous properties has also been undertaken. The line of density maxima in the HDL phase is stabilized by fluctuations, absent in the mean-field solution. (C) 2009 American Institute of Physics. [doi:10.1063/1.3253297]

A Model for comparing reduced impact logging with conventional logging for an Eastern Amazonian Forest

Using data from a logging experiment in the eastern Brazilian Amazon region, we develop a matrix growth and yield model that captures the dynamic effects of harvest system choice on forest structure and composition. Multinomial logistic regression is used to estimate the growth transition parameters for a 10-year time step, while a Poisson regression model is used to estimate recruitment parameters. The model is designed to be easily integrated with an economic model of decisionmaking to perform tropical forest policy analysis. The model is used to compare the long-run structure and composition of a stand arising from the choice of implementing either conventional logging techniques or more carefully planned and executed reduced-impact logging (RIL) techniques, contrasted against a baseline projection of an unlogged forest. Results from log and leave scenarios show that a stand logged according to Brazilian management requirements will require well over 120 years to recover its initial commercial volume, regardless of logging technique employed. Implementing RIL, however, accelerates this recovery. Scenarios imposing a 40-year cutting cycle raise the possibility of sustainable harvest volumes, although at significantly lower levels than is implied by current regulations. Meeting current Brazilian forest policy goals may require an increase in the planned total area of permanent production forest or the widespread adoption of silvicultural practices that increase stand recovery and volume accumulation rates after RIL harvests. Published by Elsevier B.V.

Influence of a probiotic soy product on fecal microbiota and its association with cardiovascular risk factors in an animal model

Background: Previous work showed that daily ingestion of an aqueous soy extract fermented with Enterococcus faecium CRL 183 and Lactobacillus helveticus 416, supplemented or not with isoflavones, reduced the total cholesterol and non-HDL-cholesterol levels, increased the high-density lipoprotein (HDL) concentration and inhibited the raising of autoantibody against oxidized low-density lipoprotein (ox-LDL Ab) and the development of atherosclerotic lesions. Objective: The aim of this study was to characterize the fecal microbiota in order to investigate the possible correlation between fecal microbiota, serum lipid parameters and atherosclerotic lesion development in rabbits with induced hypercholesterolemia, that ingested the aqueous soy extract fermented with Enterococcus faecium CRL 183 and Lactobacillus helveticus 416. Methods: The rabbits were randomly allocated to five experimental groups (n = 6): control (C), hypercholesterolemic (H), hypercholesterolemic plus unfermented soy product (HUF), hypercholesterolemic plus fermented soy product (HF) and hypercholesterolemic plus isoflavone-supplemented fermented soy product (HIF). Lipid parameters and microbiota composition were analyzed on days 0 and 60 of the treatment and the atherosclerotic lesions were quantified at the end of the experiment. The fecal microbiota was characterized by enumerating the Lactobacillus spp., Bifidobacterium spp., Enterococcus spp., Enterobacteria and Clostridium spp. populations. Results: After 60 days of the experiment, intake of the probiotic soy product was correlated with significant increases (P < 0.05) on Lactobacillus spp., Bifidobacterium spp. and Enterococcus spp. and a decrease in the Enterobacteria population. A strong correlation was observed between microbiota composition and lipid profile. Populations of Enterococcus spp., Lactobacillus spp. and Bifidobacterium spp. were negatively correlated with total cholesterol, non-HDL-cholesterol, autoantibodies against oxidized LDL (ox-LDL Ab) and lesion size. HDL-C levels were positively correlated with Lactobacillus spp., Bifidobacterium spp., and Enterococcus spp. populations. Conclusion: In conclusion, daily ingestion of the probiotic soy product, supplemented or not with isoflavones, may contribute to a beneficial balance of the fecal microbiota and this modulation is associated with an improved cholesterol profile and inhibition of atherosclerotic lesion development.

Off-diagonal long-range order in a supersymmetric integrable model of correlated electrons

A new model for correlated electrons is presented which is integrable in one-dimension. The symmetry algebra of the model is the Lie superalgebra gl(2\1) which depends on a continuous free parameter. This symmetry algebra contains the eta pairing algebra as a subalgebra which is used to show that the model exhibits Off-Diagonal Long-Range Order in any number of dimensions.

New integrable model of correlated electrons with off-diagonal long-range order from so(5) symmetry

We present a new integrable model for correlated electrons which is based on so(5) symmetry. By using an eta-pairing realization we construct eigenstates of the Hamiltonian with off-diagonal long-range order. It is also shown that these states lie in the ground state sector. We exactly solve the model on a one-dimensional lattice by the Bethe ansatz.