942 resultados para equilibrium asset pricing models with latent variables
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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The structure of integrable field theories in the presence of jump defects is discussed in terms of boundary functions under the Lagrangian formalism. Explicit examples of bosonic and fermionic theories are considered. In particular, the boundary functions for the N = 1 and N = 2 super sinh-Gordon models are constructed and shown to generate the Backlund transformations for its soliton solutions. As a new and interesting example, a solution with an incoming boson and an outgoing fermion for the N = 1 case is presented. The resulting integrable models are shown to be invariant under supersymmetric transformation.
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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A simple and easily implemented method is developed to keep the vertical velocity equal to zero at the bottom and top of hydrostatic incompressible numerical models. The pressure is computed at the top by correcting its value given in the previous time step so that the vertical integral of the horizontal divergence is zero at each column. Numerical experiments that exhibit small time variations of pressure at the top are able to simplify the algorithm and save computer time. Numerical simulations illustrate the method effectiveness for a horizontal deformation-induced frontogenesis.
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The human papillomavirus (HPV) has been historically associated with head and neck cancers, although its role in oral carcinogenesis remains poorly defined. The purpose of this study was to investigate the prevalence of HPV in mouth floor squamous cell carcinoma and correlate it with clinicopathologic variables, risk factors and survival. HPV presence was evaluated by nested polymerase chain reaction (nPCR) in 29 paraffin-embedded specimens of mouth floor squamous cell carcinoma. HPV DNA was detected in 17.2% (5 of 29) of the specimens; the highest prevalence was observed in non-smoking patients over the age of 60 years. All HPV DNA positive specimens were detected in men with clinical stage III and IV lesions, being most of which were moderately differentiated. Despite this correlation there were no statistically significant differences observed among the analyzed variables, including patients' survival. The relatively low incidence of HPV DNA present in these tumors suggests that this virus does not, by itself, have a significant role in the development of mouth floor squamous cell carcinoma. J Oral Pathol Med (2008) 37: 593-598
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In some supergravity models there are light weakly coupled scalar (S)-and pseudoscalar (P) particles. These particles arise following a superlight gravitino. In these models the decay SIP → γγ exists. We examine constraints on this process considering these photons as responsible by the extragalactic background light. We also consider the amount of SIP particles produced through the fusion of the cosmic background photons and contributing to the effective number of light neutrino species during primordial nucleosynthesis. We obtain bounds on the gravitino mass complementary to the existing ones.
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The soliton spectrum (massive and massless) of a family of integrable models with local U(1) and U(1) ⊗U(1) symmetries is studied. These models represent relevant integrable deformations of SL(2,ℝ) ⊗U(1) n-1-WZW and SL(2,ℝ) ⊗ SL(2,ℝ) ⊗U(1) n-2-WZW models. Their massless solitons appear as specific topological solutions of the U(1)(or U(1) ⊗ U(1)-) CFTs. The nonconformal analog of the GKO-coset formula is derived and used in the construction of the composite massive solitons of the ungauged integrable models. © SISSA/ISAS 2002.
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We explore regions of parameter space in a simple exponential model of the form V = V0 e-λ(Q/Mp) that are allowed by observational constraints. We find that the level of fine tuning in these models is not different from more sophisticated models of dark energy. We study a transient regime where the parameter λ has to be less than √3 and the fixed point ΩQ = 1 has not been reached. All values of the parameter λ that lead to this transient regime are permitted. We also point out that this model can accelerate the universe today even for λ > √2, leading to a halt of the present acceleration of the universe in the future thus avoiding the horizon problem. We conclude that this model can not be discarded by current observations. © SISSA/ISAS 2002.
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Linear mixed effects models have been widely used in analysis of data where responses are clustered around some random effects, so it is not reasonable to assume independence between observations in the same cluster. In most biological applications, it is assumed that the distributions of the random effects and of the residuals are Gaussian. This makes inferences vulnerable to the presence of outliers. Here, linear mixed effects models with normal/independent residual distributions for robust inferences are described. Specific distributions examined include univariate and multivariate versions of the Student-t, the slash and the contaminated normal. A Bayesian framework is adopted and Markov chain Monte Carlo is used to carry out the posterior analysis. The procedures are illustrated using birth weight data on rats in a texicological experiment. Results from the Gaussian and robust models are contrasted, and it is shown how the implementation can be used for outlier detection. The thick-tailed distributions provide an appealing robust alternative to the Gaussian process in linear mixed models, and they are easily implemented using data augmentation and MCMC techniques.
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We analyze double Higgs boson production at the Large Hadron Collider in the context of Little Higgs models. In double Higgs production, the diagrams involved are directly related to those that cause the cancellation of the quadratic divergence of the Higgs self-energy, providing a robust prediction for this class of models. We find that in extensions of this model with the inclusion of a so-called T-parity, there is a significant enhancement in the cross sections as compared to the Standard Model. © SISSA 2006.
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Numerical modeling of the interaction among waves and coastal structures is a challenge due to the many nonlinear phenomena involved, such as, wave propagation, wave transformation with water depth, interaction among incident and reflected waves, run-up / run-down and wave overtopping. Numerical models based on Lagrangian formulation, like SPH (Smoothed Particle Hydrodynamics), allow simulating complex free surface flows. The validation of these numerical models is essential, but comparing numerical results with experimental data is not an easy task. In the present paper, two SPH numerical models, SPHysics LNEC and SPH UNESP, are validated comparing the numerical results of waves interacting with a vertical breakwater, with data obtained in physical model tests made in one of the LNEC's flume. To achieve this validation, the experimental set-up is determined to be compatible with the Characteristics of the numerical models. Therefore, the flume dimensions are exactly the same for numerical and physical model and incident wave characteristics are identical, which allows determining the accuracy of the numerical models, particularly regarding two complex phenomena: wave-breaking and impact loads on the breakwater. It is shown that partial renormalization, i.e. renormalization applied only for particles near the structure, seems to be a promising compromise and an original method that allows simultaneously propagating waves, without diffusion, and modeling accurately the pressure field near the structure.
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Starting with a brief introduction about the evolution of asset pricing models, we seek here to introduce the critique made by Benoit Mandelbrot about using the normality hypothesis when building such models. This critique arises when empirical and theoretical models where confronted and the expected results diverged from the ones obtained. Next, we reproduce Mandelbrot alternative which he believes is sufficient to solve the main problems implied by the normality hyphotesis
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We investigate the influence of sub-Ohmic dissipation on randomly diluted quantum Ising and rotor models. The dissipation causes the quantum dynamics of sufficiently large percolation clusters to freeze completely. As a result, the zero-temperature quantum phase transition across the lattice percolation threshold separates an unusual super-paramagnetic cluster phase from an inhomogeneous ferromagnetic phase. We determine the low-temperature thermodynamic behavior in both phases, which is dominated by large frozen and slowly fluctuating percolation clusters. We relate our results to the smeared transition scenario for disordered quantum phase transitions, and we compare the cases of sub-Ohmic, Ohmic, and super-Ohmic dissipation.