A two-mean reverting-factor model of the term structure of interest rates

This paper presents a two--factor model of the term structure ofinterest rates. We assume that default free discount bond prices aredetermined by the time to maturity and two factors, the long--term interestrate and the spread (difference between the long--term rate and theshort--term (instantaneous) riskless rate). Assuming that both factorsfollow a joint Ornstein--Uhlenbeck process, a general bond pricing equationis derived. We obtain a closed--form expression for bond prices andexamine its implications for the term structure of interest rates. We alsoderive a closed--form solution for interest rate derivatives prices. Thisexpression is applied to price European options on discount bonds andmore complex types of options. Finally, empirical evidence of the model'sperformance is presented.

The cross-cultural generalizability of Zuckerman's alternative Five-Factor Model of personality

The aim of this study was to analyze the cross-cultural generalizability of the alternative Five-Factor Model (AFFM). The total sample was made up of 9,152 subjects from six countries: China, Germany, Italy, Spain, Switzerland, and the United States. The internal consistencies for all countries were generally similar to those found for the normative American sample. Factor analyses within cultures showed that the normative American structure was replicated in all cultures, however the congruence coefficients were slightly lower in China and Italy. A similar analysis at the facet level confirmed the high cross-cultural replicability of the AFFM. Mean-level comparisons did not always show the hypothesized effects. The mean score differences across countries were very small.

The personality profile of borderline personality disordered patients using the five-factor model of personality

The purpose of this ex post facto study is to analyze the personality profile of outpatients who met criteria for borderline personality disorder according to the Five-Factor Model of personality. All patients (N = 52) completed the International Personality Disorder Examination (IPDE) Screening Questionnaire, the Big Five Questionnaire (BFQ), the Beck Depression Inventory (BDI), and the Beck Hopelessness Scale (BHS). The results show a high comorbidity with other DSM-IV-TR Axis II disorders, in particular with those from Cluster C. The BFQ average score indicates that the outpatients who met borderline criteria score lower than controls on all five dimensions, and especially on emotional stability. Correlations were computed between the BFQ and the IPDE scales in our sample. These results suggest that specific personality profile are linked to different comorbidity patterns. More than a half of our sample has clinically significant scores on Beck's scales. Surprisingly, depression and hopelessness are neither correlated with the borderline scale, nor have an effect in the relationship between personality and personality disorders.

A Semi-Parametric Factor Model for Interest Rates.

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi-parametric procedure to model interest rates.

Real-time factor model forecasting and the effects of instability

Factor forecasting models are shown to deliver real-time gains over autoregressive models for US real activity variables during the recent period, but are less successful for nominal variables. The gains are largely due to the Financial Crisis period, and are primarily at the shortest (one quarter ahead) horizon. Excluding the pre-Great Moderation years from the factor forecasting model estimation period (but not from the data used to extract factors) results in a marked fillip in factor model forecast accuracy, but does the same for the AR model forecasts. The relative performance of the factor models compared to the AR models is largely unaffected by whether the exercise is in real time or is pseudo out-of-sample.

A new limit of the AdS(5) x S-5 sigma model

Using the pure spinor formalism, a quantizable sigma model has been constructed for the superstring in an AdS(5) X S-5 background with manifest PSU(2,2 vertical bar 4) invariance. The PSU(2,2 vertical bar 4) metric g(AB) has both vector components gab and spinor components g, 3, and in the limit where the spinor components g, 3 are taken to infinity, the AdS5 X S5 sigma model reduces to the worldsheet action in a flat background. In this paper, we instead consider the limit where the vector components g(ab) are taken to infinity. In this limit, the AdS5 X S5 sigma model simplifies to a topological A-model constructed from fermionic N=2 superfields whose bosonic components transform like twistor variables. Just as d=3 Chern-Simons theory can be described by the open string sector of a topological A-model, the open string sector of this topological A-model describes d=4 N=4 super-Yang-Mills. These results might be useful for constructing a worldsheet proof of the Maldacena conjecture analogous to the Gopakumar-Vafa-Ooguri worldsheet proof of Chern-Simons/conifold duality.

Perturbative super-Yang-Mills from the topological AdS 5 × S 5 sigma model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Dimensional approaches to schizophrenia: A comparison of the Bern Psychopathology scale and the five-factor model of the Positive and Negative Syndrome Scale

The aim was to examine to what extent the dimensions of the BPS map the five factors derived from the PANSS in order to explore the level of agreement of these alternative dimensional approaches in patients with schizophrenia. 149 inpatients with schizophrenia spectrum disorders were recruited. Psychopathological symptoms were assessed with the Bern Psychopathology Scale (BPS) and the Positive and Negative Syndrome Scale (PANSS). Linear regression analyses were conducted to explore the association between the factors and the items of the BPS. The robustness of patterns was evaluated. An understandable overlap of both approaches was found for positive and negative symptoms and excitement. The PANSS positive factor was associated with symptoms of the affect domain in terms of both inhibition and disinhibition, the PANSS negative factor with symptoms of all three domains of the BPS as an inhibition and the PANSS excitement factor with an inhibition of the affect domain and a disinhibition of the language and motor domains. The results show that here is only a partial overlap between the system-specific approach of the BPS and the five-factor PANSS model. A longitudinal assessment of psychopathological symptoms would therefore be of interest.