Essays on the treatment of cash flows under stochastic interest rates

Abstract This paper shows how to calculate recursively the moments of the accumulated and discounted value of cash flows when the instantaneous rates of return follow a conditional ARMA process with normally distributed innovations. We investigate various moment based approaches to approximate the distribution of the accumulated value of cash flows and we assess their performance through stochastic Monte-Carlo simulations. We discuss the potential use in insurance and especially in the context of Asset-Liability Management of pension funds.

Three-dimensional aspects of fluid flows in channels. II. Effects of meniscus and thin film regimes on viscous fingers

We perform a three-dimensional study of steady state viscous fingers that develop in linear channels. By means of a three-dimensional lattice-Boltzmann scheme that mimics the full macroscopic equations of motion of the fluid momentum and order parameter, we study the effect of the thickness of the channel in two cases. First, for total displacement of the fluids in the channel thickness direction, we find that the steady state finger is effectively two-dimensional and that previous two-dimensional results can be recovered by taking into account the effect of a curved meniscus across the channel thickness as a contribution to surface stresses. Second, when a thin film develops in the channel thickness direction, the finger narrows with increasing channel aspect ratio in agreement with experimental results. The effect of the thin film renders the problem three-dimensional and results deviate from the two-dimensional prediction.

Three-dimensional aspects of fluid flows in channels. I. Meniscus and thin film regimes

We study the forced displacement of a fluid-fluid interface in a three-dimensional channel formed by two parallel solid plates. Using a lattice-Boltzmann method, we study situations in which a slip velocity arises from diffusion effects near the contact line. The difference between the slip and channel velocities determines whether the interface advances as a meniscus or a thin film of fluid is left adhered to the plates. We find that this effect is controlled by the capillary and Péclet numbers. We estimate the crossover from a meniscus to a thin film and find good agreement with numerical results. The penetration regime is examined in the steady state. We find that the occupation fraction of the advancing finger relative to the channel thickness is controlled by the capillary number and the viscosity contrast between the fluids. For high viscosity contrast, lattice-Boltzmann results agree with previous results. For zero viscosity contrast, we observe remarkably narrow fingers. The shape of the finger is found to be universal.

Effets de la perfusion de facteurs natriurétiques auriculaires synthétiques sur quelques flux régionaux chez le volontaire sain [Effect of synthetic atrial natriuretic factors on various regional blood flows in the healthy subject]

The effects of continuous infusions of 2 synthetic atrial natriuretic peptides Ile12-(3-28) (rANP) and Meth12-(3-28) (hANP) eicosahexapeptides on blood pressure, heart rate, skin blood flow, glomerular filtration rate, renal plasma flow, apparent hepatic blood flow, and carotid blood flow were evaluated in normal volunteers. A rANP infusion at increasing rates (1-40 micrograms/min) induced a decrease in blood pressure, an increase in heart rate and in skin blood flow linearly related to the dose administered. In contrast, hANP infusion at 1 microgram/min for 4 hours induced an initial increase followed by a secondary fall in skin blood flow without blood pressure changes. A 4-hour rANP infusion at 0.5 and 5 mcg/min did not alter glomerular filtration rate but induced a delayed and dose-related fall in renal plasma flow from 531 to 461 (p less than 0.05), and from 554 to 342 ml/min (p less than 0.001) respectively, with a consequential rise in the filtration fraction. The 5 mcg/min dose furthermore significantly reduced blood pressure following a latency period of 2.5 hours. A 2-hours rANP infusion at 0.5 micrograms/min induced a fall in apparent hepatic blood flow from 1,087 to 863 ml/min (p less than 0.01), without simultaneously altering blood pressure. Similarly, a 2-hour hANP infusion at 2 micrograms/min altered neither blood pressure nor carotid blood flow. In conclusion, ANP infusion induced changes in systemic and regional hemodynamics varying in direction, intensity and duration.

Diffusion in spatially and temporarily inhomogeneous media: Effects of turbulent mixing

We consider diffusion of a passive substance C in a phase-separating nonmiscible binary alloy under turbulent mixing. The substance is assumed to have different diffusion coefficients in the pure phases A and B, leading to a spatially and temporarily dependent diffusion ¿coefficient¿ in the diffusion equation plus convective term. In this paper we consider especially the effects of a turbulent flow field coupled to both the Cahn-Hilliard type evolution equation of the medium and the diffusion equation (both, therefore, supplemented by a convective term). It is shown that the formerly observed prolonged anomalous diffusion [H. Lehr, F. Sagués, and J.M. Sancho, Phys. Rev. E 54, 5028 (1996)] is no longer seen if a flow of sufficient intensity is supplied.

Dispersion of passive particles by a quasi-two-dimensional turbulent flow

Using the experimental data of Paret and Tabeling [Phys. Rev. Lett. 79, 4162 (1997)] we consider in detail the dispersion of particle pairs by a two-dimensional turbulent flow and its relation to the kinematic properties of the velocity field. We show that the mean square separation of a pair of particles is governed by rather rare, extreme events and that the majority of initially close pairs are not dispersed by the flow. Another manifestation of the same effect is the fact that the dispersion of an initially dense cluster is not the result of homogeneously spreading the particles within the whole system. Instead it proceeds through a splitting into smaller but also dense clusters. The statistical nature of this effect is discussed.

Front dynamics in turbulent media

A study of a stable front propagating in a turbulent medium is presented. The front is generated through a reaction-diffusion equation, and the turbulent medium is statistically modeled using a Langevin equation. Numerical simulations indicate the presence of two different dynamical regimes. These regimes appear when the turbulent flow either wrinkles a still rather sharp propagating interfase or broadens it. Specific dependences of the propagating velocities on stirring intensities appropriate to each case are found and fitted when possible according to theoretically predicted laws. Different turbulent spectra are considered.

Diffusive transport in spatially periodic hydrodynamic flows

We calculate the effective diffusion coefficient in convective flows which are well described by one spatial mode. We use an expansion in the distance from onset and homogenization methods to obtain an explicit expression for the transport coefficient. We find that spatially periodic fluid flow enhances the molecular diffusion D by a term proportional to D-1. This enhancement should be easy to observe in experiments, since D is a small number.

The reconstruction of social meaning in the space of flows

Artikkeli on alunperin julkaistu teoksessa: The informational city (1989) / Manuel Castells

Migration Flows and Quality of Life in a Metropolitan Area: the Case of Barcelona-Spain

The phenomenon of human migration is certainly not new and it has been studied from a variety of perspectives. Yet, the attention on human migration and its determinant has not been fading over time as confirmed by recent contributions (see for instance Cushing and Poot 2004 and Rebhun and Raveh 2006). In this paper we combine the recent theoretical contributions by Douglas (1997) and Wall (2001) with the methodological advancements of Guimarães et al. (2000, 2003) to model inter-municipal migration flows in the Barcelona area. In order to do that, we employ two different types of count models, i.e. the Poisson and negative binomial and compare the estimations obtained. Our results show that, even after controlling for the traditional migration factors, QoL (measured with a Composite Index which includes numerous aspects and also using a list of individual variables) is an important determinant of short distance migration movements in the Barcelona area.

Flujos de detritos recientes en la cordillera frontal de Mendoza: Un ejemplo de riesgo natural en la ruta 7 = Recent debris flows in the Frontal Cordillera of Mendoza: An example of natural risk on the Road 7

In this paper is presented a study dealing with the debris flows that reached the national road 7 in January 2005, in the km 1,118.5, Mendoza province. The area is located in the Frontal Cordillera near the limit of the Precordillera. A detailed geomorphologic map has been realized for this study using a Quickbird satellite imagery of the year 2006. Various calculations of volumes, velocities and peak discharges have been performed with the field data and using a geographic information system (GIS). The geomorphologic survey has permitted to propose three propagation scenarios in case of a new event. These allowed creating a map of debris flows susceptibility for the stretch of the road that has been studied. Finally, it has been proposed protection and mitigation measures, based on the results of the study, to protect the road from a new event.

Debris flows as a factor of hillslope evolution controlled by a continuous or a pulse process?

Flood effectiveness observations imply that two families of processes describe the formation of debris flow volume. One is related to the rainfall?erosion relationship, and can be seen as a gradual process, and one is related to additional geological/geotechnical events, those named hereafter extraordinary events. In order to discuss the hypothesis of coexistence of two modes of volume formation, some methodologies are applied. Firstly, classical approaches consisting in relating volume to catchments characteristics are considered. These approaches raise questions about the quality of the data rather than providing answers concerning the controlling processes. Secondly, we consider statistical approaches (cumulative number of events distribution and cluster analysis) and these suggest the possibility of having two distinct families of processes. However the quantitative evaluation of the threshold differs from the one that could be obtained from the first approach, but they all agree in the sense of the coexistence of two families of events. Thirdly, a conceptual model is built exploring how and why debris flow volume in alpine catchments changes with time. Depending on the initial condition (sediment production), the model shows that large debris flows (i.e. with important volume) are observed in the beginning period, before a steady-state is reached. During this second period debris flow volume such as is observed in the beginning period is not observed again. Integrating the results of the three approaches, two case studies are presented showing: (1) the possibility to observe in a catchment large volumes that will never happen again due to a drastic decrease in the sediment availability, supporting its difference from gradual erosion processes; (2) that following a rejuvenation of the sediment storage (by a rock avalanche) the magnitude?frequency relationship of a torrent can be differentiated into two phases, the beginning one with large and frequent debris flow and a later one with debris flow less intense and frequent, supporting the results of the conceptual model. Although the results obtained cannot identify a clear threshold between the two families of processes, they show that some debris flows can be seen as pulse of sediment differing from that expected from gradual erosion.

Financial reforms and capital flows: Insights from general equilibrium

As a result of debt enforcement problems, many high-productivity firms in emergingeconomies are unable to pledge enough future profits to their creditors and this constrains thefinancing they can raise. Many have argued that, by relaxing these credit constraints, reformsthat strengthen enforcement institutions would increase capital flows to emerging economies. Thisargument is based on a partial equilibrium intuition though, which does not take into account theorigin of any additional resources that flow to high-productivity firms after the reforms. We showthat some of these resources do not come from abroad, but instead from domestic low-productivityfirms that are driven out of business as a result of the reforms. Indeed, the resources released bythese low-productivity firms could exceed those absorbed by high-productivity ones so that capitalflows to emerging economies might actually decrease following successful reforms. This resultprovides a new perspective on some recent patterns of capital flows in industrial and emergingeconomies.