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.

The corporate financial effects of corporate social responsibility, as executed by, and impacted upon, Prime Bank Limited, Bangladesh

Corporate Social Responsibility (CSR) is being implemented in the corporate world at an ever increasing rate, benefitting societies around the world. Several theories have been proposed that contend that the corporations who are implementing CSR programs also benefit financially, making the relationship a symbiotic one. This paper analyzes the financial health of Prime Bank Limited, Bangladesh, (PBL) over a period of a decade in order to determine if PBL has indeed benefited financially from implementing its CSR program. The analysis focuses on examining PBL’s internal and external financial indicators over an extended period of time to determine what the net effect, if any, that the CSR program has had on them. This analysis concludes that the evidence does not support the claim of a causal relationship between CSR spending and positive effects upon PBL, as measured by PBL’s financial indicators.

Varietal flavour compounds of four grape varieties producing Madeira wines

Boal, Malvasia, Sercial and Verdelho are the main white grape varieties used in Madeira wine production. To estimate the free fraction of varietal aroma compounds of these varieties, 39 samples of musts were analysed to determine their content of monoterpenols and C13 norisoprenoids (terpenoids), using dynamic headspace solid-phase microextraction coupled with gas chromatography–mass spectrometry. The r-values for linearity studies of the analytical method used, varied between 0.977 (nerolidol) and 0.999 (linalool). The repeatability for each compound varied between 2.5% (citronellol) and 11.8% (β-ionone). The mean values from three vintages (1998, 1999 and 2000) confirmed that these musts have differentiated contents of terpenoids. In opposition to Verdelho musts, Malvasia showed the highest free terpenoids content. In order to establish relations between the compounds and the varieties under investigation, principal component analysis and linear discriminant analysis were applied to the data, revealing a good separation and classification power between the four groups as a function of varietal origin.

Neuroscience and education: prime time to build the bridge

As neuroscience gains social traction and entices media attention, the notion that education has much to benefit from brain research becomes increasingly popular. However, it has been argued that the fundamental bridge toward education is cognitive psychology, not neuroscience. We discuss four specific cases in which neuroscience synergizes with other disciplines to serve education, ranging from very general physiological aspects of human learning such as nutrition, exercise and sleep, to brain architectures that shape the way we acquire language and reading, and neuroscience tools that increasingly allow the early detection of cognitive deficits, especially in preverbal infants. Neuroscience methods, tools and theoretical frameworks have broadened our understanding of the mind in a way that is highly relevant to educational practice. Although the bridge’s cement is still fresh, we argue why it is prime time to march over it.

Multidrug-resistant Shiga toxin-producing Escherichia coli in dogs with diarrhea

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

Monotonicity and asymptotics of zeros of Sobolev type orthogonal polynomials: A general case

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Molecular epidemiology of Staphylococcus aureus isolates at different sites in the milk producing dairy farms

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

Virulence properties and antimicrobial susceptibility of Shiga toxin-producing Escherichia coli strains isolated from healthy cattle from Parana State, Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Auxin-producing bacteria isolated from the roots of Cattleya walkeriana, an endangered Brazilian orchid, and their role in acclimatization

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Prevalence of Lettuce mosaic virus - common strain on three lettuce producing areas from São Paulo State

O LMV ocorre em todo o mundo e é considerado um dos patógenos mais importantes para a cultura da alface. de acordo com a habilidade em contornar os genes de resistência mo1¹ e mo1² encontrados em alface, os isolados de LMV podem ser dividos em dois sub-grupos: LMV-Most, capazes de contornar a resistência propiciada por estes genes e de serem transmitidos pela semente nestas cutivares, e LMV-Common, que não são capazes de causar sintomas nestes cultivares, além de serem transmitidos pela semente somente em cultivares suscetíveis. Para avaliar a ocorrência destes dois tipos de isolados de LMV foram coletadas, durante 2002-2005, amostras de alface com sintomas de mosaico em áreas de produção de alface comercial das regiões de Campinas, Mogi das Cruzes e Bauru no estado de São Paulo. O RNA total foi utilizado para detecção por RT-PCR utilizando-se oligonucleotídeos universais para LMV que amplificam a porção N-terminal variável da capa protéica, localizada no terminal 3´do genoma. As amostras positivas foram analisadas por um segundo primer que amplifica um fragmento da região central (CI-VPg) do genoma viral. Um total de 1362 amostras foram avaliadas, tendo sido detectado o LMV em 504 amostras (37,29%). O LMV-Common prevaleceu em variedades suscetíveis (77,3%). O LMV-Most foi encontrado frequentemente associado a variedades portadoras do gene de tolerância mo1¹. Apesar da existência dos LMV-Most capazes de contornar a resistência em alface, estes não predominam em nossa condições.

On the zeros of polynomials: An extension of the Enestrom-Kakeya theorem

This paper presents an extension of the Enestrom-Kakeya theorem concerning the roots of a polynomial that arises from the analysis of the stability of Brown (K, L) methods. The generalization relates to relaxing one of the inequalities on the coefficients of the polynomial. Two results concerning the zeros of polynomials will be proved, one of them providing a partial answer to a conjecture by Meneguette (1994)[6]. (C) 2011 Elsevier B.V. All rights reserved.

Protection of insulin-producing cells against toxicity of dexamethasone by catalase overexpression

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

Line-pack management for producing electric power on peak periods

The distribution of natural gas is carried out by means of long ducts and intermediate compression stations to compensate the pressure drops due to friction. The natural gas compressors are usually driven by an electric motor or a gas turbine system, offering possibilities for energy management, one of these consisting in generating energy for use in-plant or to commercialize as independent power producer. It can be done by matching the natural gas demand, at the minimum pressure allowed in the reception point, and the storage capacity of the feed duct with the maximum compressor capacity, for storing the natural gas at the maximum permitted pressure. This allows the gas turbine to drive an electric generator during the time in which the decreasing pressure in duct is above the minimum acceptable by the sink unit. In this paper, a line-pack management analysis is done for an existing compression station considering its actual demand curve for determining the economic feasibility of maintaining the gas turbine system driver generating electricity in a peak and off-peak tariff structure. The potential of cost reduction from the point of view of energy resources (natural gas and electric costs) is also analyzed. (C) 2010 Elsevier Ltd. All rights reserved.

Are poor responders patients at higher risk for producing aneuploid embryos in vitro?

Purpose To test the hypothesis that aged women with poor ovarian response express an increase on embryo chromosomal alterations when compared to aged women who presented normal response.Methods Couples undergoing intracytoplasmic sperm injection cycles with preimplantation genetic screening, were subdivided into two groups: Poor Responder group (n = 34), patients who produced a parts per thousand currency sign4 oocytes; and Normoresponder group (n = 50), patients who produced a parts per thousand yen5 oocytes. Groups were compared regarding cycles' outcomes and aneuploidy frequency.Results There were no significant differences between and groups regarding the fertilization rate (p = 0.6861), clinical pregnancy (p = 0.9208), implantation (p = 0.6863), miscarriage (p = 0.6788) and the percentage of aneuploid embryos (p = 0.270). Embryo transfer rate was significantly lower on poor responder group (p = 0.0128) and logistic regression confirmed the influence of poor response on the chance of embryo transfer (p = 0.016).Conclusions Aged females responding poorly to gonadotrophins are not at a higher risk for producing aneuploid embryos in vitro.