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.

An optimal control tool for trajectory generation of autonomous drones

In the recent years, autonomous aerial vehicles gained large popularity in a variety of applications in the field of automation. To accomplish various and challenging tasks the capability of generating trajectories has assumed a key role. As higher performances are sought, traditional, flatness-based trajectory generation schemes present their limitations. In these approaches the highly nonlinear dynamics of the quadrotor is, indeed, neglected. Therefore, strategies based on optimal control principles turn out to be beneficial, since in the trajectory generation process they allow the control unit to best exploit the actual dynamics, and enable the drone to perform quite aggressive maneuvers. This dissertation is then concerned with the development of an optimal control technique to generate trajectories for autonomous drones. The algorithm adopted to this end is a second-order iterative method working directly in continuous-time, which, under proper initialization, guarantees quadratic convergence to a locally optimal trajectory. At each iteration a quadratic approximation of the cost functional is minimized and a decreasing direction is then obtained as a linear-affine control law, after solving a differential Riccati equation. The algorithm has been implemented and its effectiveness has been tested on the vectored-thrust dynamical model of a quadrotor in a realistic simulative setup.

Nonparametric estimation of time-dependent ROC curves conditional on a continuous covariate

The receiver-operating characteristic (ROC) curve is the most widely used measure for evaluating the performance of a diagnostic biomarker when predicting a binary disease outcome. The ROC curve displays the true positive rate (or sensitivity) and the false positive rate (or 1-specificity) for different cut-off values used to classify an individual as healthy or diseased. In time-to-event studies, however, the disease status (e.g. death or alive) of an individual is not a fixed characteristic, and it varies along the study. In such cases, when evaluating the performance of the biomarker, several issues should be taken into account: first, the time-dependent nature of the disease status; and second, the presence of incomplete data (e.g. censored data typically present in survival studies). Accordingly, to assess the discrimination power of continuous biomarkers for time-dependent disease outcomes, time-dependent extensions of true positive rate, false positive rate, and ROC curve have been recently proposed. In this work, we present new nonparametric estimators of the cumulative/dynamic time-dependent ROC curve that allow accounting for the possible modifying effect of current or past covariate measures on the discriminatory power of the biomarker. The proposed estimators can accommodate right-censored data, as well as covariate-dependent censoring. The behavior of the estimators proposed in this study will be explored through simulations and illustrated using data from a cohort of patients who suffered from acute coronary syndrome.

Assessing the Relationship between the Baseline Value of a Continuous Variable and Subsequent Change over Time

Analyzing the relationship between the baseline value and subsequent change of a continuous variable is a frequent matter of inquiry in cohort studies. These analyses are surprisingly complex, particularly if only two waves of data are available. It is unclear for non-biostatisticians where the complexity of this analysis lies and which statistical method is adequate.With the help of simulated longitudinal data of body mass index in children,we review statistical methods for the analysis of the association between the baseline value and subsequent change, assuming linear growth with time. Key issues in such analyses are mathematical coupling, measurement error, variability of change between individuals, and regression to the mean. Ideally, it is better to rely on multiple repeated measurements at different times and a linear random effects model is a standard approach if more than two waves of data are available. If only two waves of data are available, our simulations show that Blomqvist's method - which consists in adjusting for measurement error variance the estimated regression coefficient of observed change on baseline value - provides accurate estimates. The adequacy of the methods to assess the relationship between the baseline value and subsequent change depends on the number of data waves, the availability of information on measurement error, and the variability of change between individuals.

Mean first-passage time of continuous non-Markovian processes driven by colored noise

An equation for mean first-passage times of non-Markovian processes driven by colored noise is derived through an appropriate backward integro-differential equation. The equation is solved in a Bourret-like approximation. In a weak-noise bistable situation, non-Markovian effects are taken into account by an effective diffusion coefficient. In this situation, our results compare satisfactorily with other approaches and experimental data.

Continuous phase transition in a spin-glass model without time-reversal symmetry

We investigate the phase transition in a strongly disordered short-range three-spin interaction model characterized by the absence of time-reversal symmetry in the Hamiltonian. In the mean-field limit the model is well described by the Adam-Gibbs-DiMarzio scenario for the glass transition; however, in the short-range case this picture turns out to be modified. The model presents a finite temperature continuous phase transition characterized by a divergent spin-glass susceptibility and a negative specific-heat exponent. We expect the nature of the transition in this three-spin model to be the same as the transition in the Edwards-Anderson model in a magnetic field, with the advantage that the strong crossover effects present in the latter case are absent.

Mean first-passage time of continuous non-Markovian processes driven by colored noise

An equation for mean first-passage times of non-Markovian processes driven by colored noise is derived through an appropriate backward integro-differential equation. The equation is solved in a Bourret-like approximation. In a weak-noise bistable situation, non-Markovian effects are taken into account by an effective diffusion coefficient. In this situation, our results compare satisfactorily with other approaches and experimental data.

Fronts with continuous waiting-time distributions: Theory and application to virus infections

We generalize to arbitrary waiting-time distributions some results which were previously derived for discrete distributions. We show that for any two waiting-time distributions with the same mean delay time, that with higher dispersion will lead to a faster front. Experimental data on the speed of virus infections in a plaque are correctly explained by the theoretical predictions using a Gaussian delay-time distribution, which is more realistic for this system than the Dirac delta distribution considered previously [J. Fort and V. Méndez, Phys. Rev. Lett.89, 178101 (2002)]

An on-line algorithm of uncertain time delay estimation in a continuous system

In this paper, we present an on-line estimation algorithm for an uncertain time delay in a continuous system based on the observational input-output data, subject to observational noise. The first order Pade approximation is used to approximate the time delay. At each time step, the algorithm combines the well known Kalman filter algorithm and the recursive instrumental variable least squares (RIVLS) algorithm in cascade form. The instrumental variable least squares algorithm is used in order to achieve the consistency of the delay parameter estimate, since an error-in-the-variable model is involved. An illustrative example is utilized to demonstrate the efficacy of the proposed approach.

Continuous prewarping of time for multiuser interactive virtual environments

Dynamic multi-user interactions in a single networked virtual environment suffer from abrupt state transition problems due to communication delays arising from network latency--an action by one user only becoming apparent to another user after the communication delay. This results in a temporal suspension of the environment for the duration of the delay--the virtual world `hangs'--followed by an abrupt jump to make up for the time lost due to the delay so that the current state of the virtual world is displayed. These discontinuities appear unnatural and disconcerting to the users. This paper proposes a novel method of warping times associated with users to ensure that each user views a continuous version of the virtual world, such that no hangs or jumps occur despite other user interactions. Objects passed between users within the environment are parameterized, not by real time, but by a virtual local time, generated by continuously warping real time. This virtual time periodically realigns itself with real time as the virtual environment evolves. The concept of a local user dynamically warping the local time is also introduced. As a result, the users are shielded from viewing discontinuities within their virtual worlds, consequently enhancing the realism of the virtual environment.

Comparative validation using quantitative real-time PCR (qPCR) and conventional PCR of bovine semen centrifuged in continuous density gradient

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

Skin Penetration Time-Profiles for Continuous 810nm and Superpulsed 904nm Lasers in a Rat Model

Objective: The purpose of this study was to investigate the rat skin penetration abilities of two commercially available low-level laser therapy (LLLT) devices during 150 sec of irradiation. Background data: Effective LLLT irradiation typically lasts from 20 sec up to a few minutes, but the LLLT time-profiles for skin penetration of light energy have not yet been investigated. Materials and methods: Sixty-two skin flaps overlaying rat's gastrocnemius muscles were harvested and immediately irradiated with LLLT devices. Irradiation was performed either with a 810 nm, 200mW continuous wave laser, or with a 904 nm, 60mW superpulsed laser, and the amount of penetrating light energy was measured by an optical power meter and registered at seven time points (range, 1-150 sec). Results: With the continuous wave 810nm laser probe in skin contact, the amount of penetrating light energy was stable at similar to 20% (SEM +/- 0.6) of the initial optical output during 150 sec irradiation. However, irradiation with the superpulsed 904 nm, 60mW laser showed a linear increase in penetrating energy from 38% (SEM +/- 1.4) to 58% (SEM +/- 3.5) during 150 sec of exposure. The skin penetration abilities were significantly different (p < 0.01) between the two lasers at all measured time points. Conclusions: LLLT irradiation through rat skin leaves sufficient subdermal light energy to influence pathological processes and tissue repair. The finding that superpulsed 904nm LLLT light energy penetrates 2-3 easier through the rat skin barrier than 810nm continuous wave LLLT, corresponds well with results of LLLT dose analyses in systematic reviews of LLLT in musculoskeletal disorders. This may explain why the differentiation between these laser types has been needed in the clinical dosage recommendations of World Association for Laser Therapy.

Development of enzymic time-temperature integrators with rapid detection for evaluation of continuous HTST pasteurization processes

The assessment of the thermal process impact in terms of food safety and quality is of great importance for process evaluation and design. This can be accomplished from the analysis of the residence time and temperature distributions coupled with the kinetics of thermal change, or from the use of a proper time-temperature integrator (TTI) as indicator of safety and quality. The objective of this work was to develop and test enzymic TTIs with rapid detection for the evaluation of continuous HTST pasteurization processes (70-85 degrees C, 10-60 s) of low-viscosity liquid foods, such as milk and juices. Enzymes peroxidase, lactoperoxidase and alkaline phosphatase in phosphate buffer were tested and activity was determined with commercial reflectometric strips. Discontinuous thermal treatments at various time-temperature combinations were performed in order to adjust a first order kinetic model of a two-component system. The measured time-temperature history was considered instead of assuming isothermal conditions. Experiments with slow heating and cooling were used to validate the adjusted model. Only the alkaline phosphatase TTI showed potential to be used for the evaluation of pasteurization processes. The choice was based on the obtained z-values of the thermostable and thermolabile fractions, on the cost and on the validation tests. (C) 2012 Elsevier Ltd. All rights reserved.