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.

Zeros of Gegenbauer and Hermite polynomials and connection coefficients

In this paper, sharp upper limit for the zeros of the ultraspherical polynomials are obtained via a result of Obrechkoff and certain explicit connection coefficients for these polynomials. As a consequence, sharp bounds for the zeros of the Hermite polynomials are obtained.

SYMMETRICAL ORTHOGONAL POLYNOMIALS AND THE ASSOCIATED ORTHOGONAL L-POLYNOMIALS

We show how symmetric orthogonal polynomials can be linked to polynomials associated with certain orthogonal L-polynomials. We provide some examples to illustrate the results obtained Finally as an application, we derive information regarding the orthogonal polynomials associated with the weight function (1 + kx(2))(1 - x(2))(-1/2), k > 0.

Another connection between orthogonal polynomials and L-orthogonal polynomials

We consider a connection that exists between orthogonal polynomials associated with positive measures on the real line and orthogonal Laurent polynomials associated with strong measures of the class S-3 [0, beta, b]. Examples are given to illustrate the main contribution in this paper. (c) 2006 Elsevier B.V. All rights reserved.

Szego polynomials and the truncated trigonometric moment problem

We show how Szego polynomials can be used in the theory of truncated trigonometric moment problem.

Chebyshev-Laurent polynomials and weighted approximation

Let (a, b) subset of (0, infinity) and for any positive integer n, let S-n be the Chebyshev space in [a, b] defined by S-n:= span{x(-n/2+k),k= 0,...,n}. The unique (up to a constant factor) function tau(n) is an element of S-n, which satisfies the orthogonality relation S(a)(b)tau(n)(x)q(x) (x(b - x)(x - a))(-1/2) dx = 0 for any q is an element of Sn-1, is said to be the orthogonal Chebyshev S-n-polynomials. This paper is an attempt to exibit some interesting properties of the orthogonal Chebyshev S-n-polynomials and to demonstrate their importance to the problem of approximation by S-n-polynomials. A simple proof of a Jackson-type theorem is given and the Lagrange interpolation problem by functions from S-n is discussed. It is shown also that tau(n) obeys an extremal property in L-q, 1 less than or equal to q less than or equal to infinity. Natural analogues of some inequalities for algebraic polynomials, which we expect to hold for the S-n-pelynomials, are conjectured.

Szego type polynomials and para-orthogonal polynomials

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

Squeezed states, generalized Hermite polynomials and pseudo-diffusion equation

We show that the wavefunctions 〈pq; λ|n〈, of the harmonic oscillator in the squeezed state representation, have the generalized Hermite polynomials as their natural orthogonal polynomials. These wavefunctions lead to generalized Poisson Distribution Pn(pq;λ), which satisfy an interesting pseudo-diffusion equation: ∂Pnp,q;λ) ∂λ= 1 4 [ ∂2 ∂p2-( 1 λ2) ∂2 ∂q2]P2(p,q;λ), in which the squeeze parameter λ plays the role of time. Th entropies Sn(λ) have minima at the unsqueezed states (λ=1), which means that squeezing or stretching decreases the correlation between momentum p and position q. © 1992.

A Family of Stationary Solutions to the Euler Equations and Generalized Solutions

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

Lê–Greuel type formula for the Euler obstruction and applications

The Euler obstruction of a function f can be viewed as a generalization of the Milnor number for functions defined on singular spaces. In this work, using the Euler obstruction of a function, we establish several Lê–Greuel type formulas for germs f:(X,0)→(C,0) and g:(X,0)→(C,0). We give applications when g is a generic linear form and when f and g have isolated singularities.

Existence of solutions and asymtptotic limits of the Euler-Poisson and the quantum drift-diffusion systems

My work concerns two different systems of equations used in the mathematical modeling of semiconductors and plasmas: the Euler-Poisson system and the quantum drift-diffusion system. The first is given by the Euler equations for the conservation of mass and momentum, with a Poisson equation for the electrostatic potential. The second one takes into account the physical effects due to the smallness of the devices (quantum effects). It is a simple extension of the classical drift-diffusion model which consists of two continuity equations for the charge densities, with a Poisson equation for the electrostatic potential. Using an asymptotic expansion method, we study (in the steady-state case for a potential flow) the limit to zero of the three physical parameters which arise in the Euler-Poisson system: the electron mass, the relaxation time and the Debye length. For each limit, we prove the existence and uniqueness of profiles to the asymptotic expansion and some error estimates. For a vanishing electron mass or a vanishing relaxation time, this method gives us a new approach in the convergence of the Euler-Poisson system to the incompressible Euler equations. For a vanishing Debye length (also called quasineutral limit), we obtain a new approach in the existence of solutions when boundary layers can appear (i.e. when no compatibility condition is assumed). Moreover, using an iterative method, and a finite volume scheme or a penalized mixed finite volume scheme, we numerically show the smallness condition on the electron mass needed in the existence of solutions to the system, condition which has already been shown in the literature. In the quantum drift-diffusion model for the transient bipolar case in one-space dimension, we show, by using a time discretization and energy estimates, the existence of solutions (for a general doping profile). We also prove rigorously the quasineutral limit (for a vanishing doping profile). Finally, using a new time discretization and an algorithmic construction of entropies, we prove some regularity properties for the solutions of the equation obtained in the quasineutral limit (for a vanishing pressure). This new regularity permits us to prove the positivity of solutions to this equation for at least times large enough.

Methods to convert continuous outcomes into odds ratios of treatment response and numbers needed to treat: meta-epidemiological study

Clinicians find standardized mean differences (SMDs) calculated from continuous outcomes difficult to interpret. Our objective was to determine the performance of methods in converting SMDs or means to odds ratios of treatment response and numbers needed to treat (NNTs) as more intuitive measures of treatment effect.