Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Tree-structured smooth transition models

The goal of this paper is to introduce a class of tree-structured models that combines aspects of regression trees and smooth transition regression models. The model is called the Smooth Transition Regression Tree (STR-Tree). The main idea relies on specifying a multiple-regime parametric model through a tree-growing procedure with smooth transitions among different regimes. Decisions about splits are entirely based on a sequence of Lagrange Multiplier (LM) tests of hypotheses.

Rent dissipation, political viability and the strategic adoption of free trade agreements

This paper studies the political viability of free trade agreements (FTAs). The key element of the analysis is the “rent dissipation” that these arrangements induce: by eliminating intra-bloc trade barriers, an FTA reduces the incentives of the local firms to lobby for higher external tariffs, thereby causing a reduction of the rents created in the lobbying process. The prospect of rent dissipation moderates the governments’ willingness to participate in FTAs; they will support only arrangements that are “substantially” welfare improving, and no FTA that reduces welfare. Rent dissipation also implies that the prospects of political turnover may create strategic reasons for the formation of FTAs. Specifically, a government facing a high enough probability of losing power may want to form a trade bloc simply to “tie the hands” of its successor. An FTA can affect the likelihood of political turnover as well. If the incumbent party has a known bias toward special interests, it may want to commit to less distortionary policies in order to reduce its electoral disadvantage; the rent dissipation effect ensures that an FTA can serve as the vehicle for such a commitment. In nascent/unstable democracies, the incumbent government can use a free trade agreement also to reduce the likelihood of a dictatorial takeover and to “consolidate” democracy – a finding that is consistent with the timing of numerous accessions to and formations of preferential arrangements.

Helminthological screening of free-ranging grey brocket deer Mazama gouazoubira Fischer, 1817 (Cervidae: Odocoileini) from Brazilian Pantanal wetlands, with considerations on Pygarginema verrucosa (Molin, 1860) Kadenatzii, 1948 (Spirocercidae: Ascaropsinae)

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

Numerical solution of the eXtended Pom-Pom model for viscoelastic free surface flows

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

A combination of implicit and adaptative upwind tools for the numerical solution of incompressible free surface flows

This paper is concerned with the numerical solutions of time dependent two-dimensional incompressible flows. By using the primitive variables of velocity and pressure, the Navier-Stokes and mass conservation equations are solved by a semi-implicit finite difference projection method. A new bounded higher order upwind convection scheme is employed to deal with the non-linear (advective) terms. The procedure is an adaptation of the GENSMAC (J. Comput. Phys. 1994; 110: 171-186) methodology for calculating confined and free surface fluid flows at both low and high Reynolds numbers. The calculations were performed by using the 2D version of the Freeflow simulation system (J. Comp. Visual. Science 2000; 2:199-210). In order to demonstrate the capabilities of the numerical method, various test cases are presented. These are the fully developed flow in a channel, the flow over a backward facing step, the die-swell problem, the broken dam flow, and an impinging jet onto a flat plate. The numerical results compare favourably with the experimental data and the analytical solutions. Copyright (c) 2006 John Wiley & Sons, Ltd.

Evaluation of a bounded high order upwind scheme for 3D incompressible free surface flow computations

fit the context of normalized variable formulation (NVF) of Leonard and total variation diminishing (TVD) constraints of Harten. this paper presents an extension of it previous work by the authors for solving unsteady incompressible flow problems. The main contributions of the paper are threefold. First, it presents the results of the development and implementation of a bounded high order upwind adaptative QUICKEST scheme in the 3D robust code (Freeflow), for the numerical solution of the full incompressible Navier-Stokes equations. Second, it reports numerical simulation results for 1D hock tube problem, 2D impinging jet and 2D/3D broken clam flows. Furthermore, these results are compared with existing analytical and experimental data. and third, it presents the application of the numerical method for solving 3D free surface flow problems. (C) 2007 IMACS. Published by Elsevier B.V. All rights reserved,

Spatial Distribution of Seropositive Dogs to Leptospira spp. and Evaluation of Leptospirosis Risk Factors Using a Decision Tree

Background: Leptospirosis is an important zoonotic disease associated with poor areas of urban settings of developing countries and early diagnosis and prompt treatment may prevent disease. Although rodents are reportedly considered the main reservoirs of leptospirosis, dogs may develop the disease, may become asymptomatic carriers and may be used as sentinels for disease epidemiology. The use of Geographical Information Systems (GIS) combined with spatial analysis techniques allows the mapping of the disease and the identification and assessment of health risk factors. Besides the use of GIS and spatial analysis, the technique of data mining, decision tree, can provide a great potential to find a pattern in the behavior of the variables that determine the occurrence of leptospirosis. The objective of the present study was to apply Geographical Information Systems and data prospection (decision tree) to evaluate the risk factors for canine leptospirosis in an area of Curitiba, PR.Materials, Methods & Results: The present study was performed on the Vila Pantanal, a urban poor community in the city of Curitiba. A total of 287 dog blood samples were randomly obtained house-by-house in a two-day sampling on January 2010. In addition, a questionnaire was applied to owners at the time of sampling. Geographical coordinates related to each household of tested dog were obtained using a Global Positioning System (GPS) for mapping the spatial distribution of reagent and non-reagent dogs to leptospirosis. For the decision tree, risk factors included results of microagglutination test (MAT) from the serum of dogs, previous disease on the household, contact with rats or other dogs, dog breed, outdoors access, feeding, trash around house or backyard, open sewer proximity and flooding. A total of 189 samples (about 2/3 of overall samples) were randomly selected for the training file and consequent decision rules. The remained 98 samples were used for the testing file. The seroprevalence showed a pattern of spatial distribution that involved all the Pantanal area, without agglomeration of reagent animals. In relation to data mining, from 189 samples used in decision tree, a total of 165 (87.3%) animal samples were correctly classified, generating a Kappa index of 0.413. A total of 154 out of 159 (96.8%) samples were considered non-reagent and were correctly classified and only 5/159 (3.2%) were wrongly identified. on the other hand, only 11 (36.7%) reagent samples were correctly classified, with 19 (63.3%) samples failing diagnosis.Discussion: The spatial distribution that involved all the Pantanal area showed that all the animals in the area are at risk of contamination by Leptospira spp. Although most samples had been classified correctly by the decision tree, a degree of difficulty of separability related to seropositive animals was observed, with only 36.7% of the samples classified correctly. This can occur due to the fact of seronegative animals number is superior to the number of seropositive ones, taking the differences in the pattern of variable behavior. The data mining helped to evaluate the most important risk factors for leptospirosis in an urban poor community of Curitiba. The variables selected by decision tree reflected the important factors about the existence of the disease (default of sewer, presence of rats and rubbish and dogs with free access to street). The analyses showed the multifactorial character of the epidemiology of canine leptospirosis.

A marker-and-cell approach to free surface 2-D multiphase flows

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Tree population and community dynamics in a Brazilian tropical semideciduous forest

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Birds and bats diverge in the qualitative and quantitative components of seed dispersal of a pioneer tree

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Is The amphibian tree of life really fatally flawed?

Wiens (2007, Q. Rev. Biol. 82, 55-56) recently published a severe critique of Frost et al.'s (2006, Bull. Am. Mus. Nat. Hist. 297, 1-370) monographic study of amphibian systematics, concluding that it is a disaster and recommending that readers simply ignore this study. Beyond the hyperbole, Wiens raised four general objections that he regarded as fatal flaws: (1) the sampling design was insufficient for the generic changes made and taxonomic changes were made without including all type species; (2) the nuclear gene most commonly used in amphibian phylogenetics, RAG-1, was not included, nor were the morphological characters that had justified the older taxonomy; (3) the analytical method employed is questionable because equally weighted parsimony assumes that all characters are evolving at equal rates; and (4) the results were at times clearly erroneous, as evidenced by the inferred non-monophyly of marsupial frogs. In this paper we respond to these criticisms. In brief: (1) the study of Frost et al. did not exist in a vacuum and we discussed our evidence and evidence previously obtained by others that documented the non-monophyletic taxa that we corrected. Beyond that, we agree that all type species should ideally be included, but inclusion of all potentially relevant type species is not feasible in a study of the magnitude of Frost et al. and we contend that this should not prevent progress in the formulation of phylogenetic hypotheses or their application outside of systematics. (2) Rhodopsin, a gene included by Frost et al. is the nuclear gene that is most commonly used in amphibian systematics, not RAG-1. Regardless, ignoring a study because of the absence of a single locus strikes us as unsound practice. With respect to previously hypothesized morphological synapomorphies, Frost et al. provided a lengthy review of the published evidence for all groups, and this was used to inform taxonomic decisions. We noted that confirming and reconciling all morphological transformation series published among previous studies needed to be done, and we included evidence from the only published data set at that time to explicitly code morphological characters (including a number of traditionally applied synapomorphies from adult morphology) across the bulk of the diversity of amphibians (Haas, 2003, Cladistics 19, 23-90). Moreover, the phylogenetic results of the Frost et al. study were largely consistent with previous morphological and molecular studies and where they differed, this was discussed with reference to the weight of evidence. (3) The claim that equally weighted parsimony assumes that all characters are evolving at equal rates has been shown to be false in both analytical and simulation studies. (4) The claimed strong support for marsupial frog monophyly is questionable. Several studies have also found marsupial frogs to be non-monophyletic. Wiens et al. (2005, Syst. Biol. 54, 719-748) recovered marsupial frogs as monophyletic, but that result was strongly supported only by Bayesian clade confidence values (which are known to overestimate support) and bootstrap support in his parsimony analysis was < 50%. Further, in a more recent parsimony analysis of an expanded data set that included RAG-1 and the three traditional morphological synapomorphies of marsupial frogs, Wiens et al. (2006, Am. Nat. 168, 579-596) also found them to be non-monophyletic.Although we attempted to apply the rule of monophyly to the naming of taxonomic groups, our phylogenetic results are largely consistent with conventional views even if not wth the taxonomy current at the time of our writing. Most of our taxonomic changes addressed examples of non-monophyly that had previously been known or suspected (e.g., the non-monophyly of traditional Hyperoliidae, Microhylidae, Hemiphractinae, Leptodactylidae, Phrynobatrachus, Ranidae, Rana, Bufo; and the placement of Brachycephalus within Eleutherodactylus, and Lineatriton within Pseudoeurycea), and it is troubling that Wiens and others, as evidenced by recent publications, continue to perpetuate recognition of non-monophyletic taxonomic groups that so profoundly misrepresent what is known about amphibian phylogeny. (C) The Willi Hennig Society 2007.

An interactive environment for solid modeling based on free software

This paper describes an interactive environment built entirely upon public domain or free software, intended to be used as the preprocessor of a finite element package for the simulation of three-dimensional electromagnetic problems.

Characterization of a cellulase-free xylanase producing Bacillus sp for biobleaching of kraft pulp

Application of the xylanase in the pulp bleaching process has been shown to be effective in decreasing the amount of chlorinating agents in the process and improving the brightness of the pulp. The use of thermostable cellulase-free xylanase might enhance both the technical and economic feasibility of the process. In this work an alkalophylic strain of Bacillus sp 77-2, was isolated which showed a high production of xylanase and free cellulases. The xylanase of Bacillus sp displayed an optimum pH of 6.0 (with 70% activity at pH 9.0), all optimum temperature of 60 degrees C, pH stability in the range 5-10 and thermal stability of 50 degrees C. These characteristics are important to the kraft pulp bleaching because they are similar to those found in the industrial paper environment.

PP-wave light-cone free string field theory at finite temperature

In this paper, a real-time formulation of light-cone pp-wave string field theory at finite temperature is presented. This is achieved by developing the thermo field dynamics (TFD) formalism in a second quantized string scenario. The equilibrium thermodynamic quantities for a pp-wave ideal string gas are derived directly from expectation values on the second quantized string thermal vacuum. Also, we derive the real-time thermal pp-wave closed string propagator. In the flat space limit it is shown that this propagator can be written in terms of Theta functions, exactly as the zero temperature one. At the end, we show how superstrings interactions can be introduced, making this approach suitable to study the BMN dictionary at finite temperature.