Do options contain information about excess bond returns ?

There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of time-varying volatility on excess returns for long-term bonds. To address this issue, we incorporate interest rate option prices, which are very sensitive to interest rate volatility, into a dynamic model for the term structure of interest rates. We estimate three-factor affine term structure models using both swap rates and interest rate cap prices. When we incorporate option prices, the model better captures interest rate volatility and is better able to predict excess returns for long-term swaps over short-term swaps, both in- and out-of-sample. Our results indicate that interest rate options contain valuable infor- mation about risk premia and interest rate dynamics that cannot be extracted from interest rates alone.

A systematic component of the jump-risk premium in an AJD model

We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite set of new state variables that affect the paths of the primitive, under both the actual and the risk-neutral measure, by being related to the primitive's jump process. Those new variables are assumed to be commom to all the primitives. We present simulations to ensure that the model generates the volatility smile and compute the "discounted conditional characteristic function'' transform that permits the pricing of a wide range of derivatives.

Microfounded forecasting

Our focus is on information in expectation surveys that can now be built on thousands (or millions) of respondents on an almost continuous-time basis (big data) and in continuous macroeconomic surveys with a limited number of respondents. We show that, under standard microeconomic and econometric techniques, survey forecasts are an affine function of the conditional expectation of the target variable. This is true whether or not the survey respondent knows the data-generating process (DGP) of the target variable or the econometrician knows the respondents individual loss function. If the econometrician has a mean-squared-error risk function, we show that asymptotically efficient forecasts of the target variable can be built using Hansens (Econometrica, 1982) generalized method of moments in a panel-data context, when N and T diverge or when T diverges with N xed. Sequential asymptotic results are obtained using Phillips and Moon s (Econometrica, 1999) framework. Possible extensions are also discussed.

Plane detection from monocular image sequences

AIRES, Kelson R. T. ; ARAÚJO, Hélder J. ; MEDEIROS, Adelardo A. D. . Plane Detection from Monocular Image Sequences. In: VISUALIZATION, IMAGING AND IMAGE PROCESSING, 2008, Palma de Mallorca, Spain. Proceedings..., Palma de Mallorca: VIIP, 2008

Euler e os números pentagonais

The present investigation includes a study of Leonhard Euler and the pentagonal numbers is his article Mirabilibus Proprietatibus Numerorum Pentagonalium - E524. After a brief review of the life and work of Euler, we analyze the mathematical concepts covered in that article as well as its historical context. For this purpose, we explain the concept of figurate numbers, showing its mode of generation, as well as its geometric and algebraic representations. Then, we present a brief history of the search for the Eulerian pentagonal number theorem, based on his correspondence on the subject with Daniel Bernoulli, Nikolaus Bernoulli, Christian Goldbach and Jean Le Rond d'Alembert. At first, Euler states the theorem, but admits that he doesn t know to prove it. Finally, in a letter to Goldbach in 1750, he presents a demonstration, which is published in E541, along with an alternative proof. The expansion of the concept of pentagonal number is then explained and justified by compare the geometric and algebraic representations of the new pentagonal numbers pentagonal numbers with those of traditional pentagonal numbers. Then we explain to the pentagonal number theorem, that is, the fact that the infinite product(1 x)(1 xx)(1 x3)(1 x4)(1 x5)(1 x6)(1 x7)... is equal to the infinite series 1 x1 x2+x5+x7 x12 x15+x22+x26 ..., where the exponents are given by the pentagonal numbers (expanded) and the sign is determined by whether as more or less as the exponent is pentagonal number (traditional or expanded). We also mention that Euler relates the pentagonal number theorem to other parts of mathematics, such as the concept of partitions, generating functions, the theory of infinite products and the sum of divisors. We end with an explanation of Euler s demonstration pentagonal number theorem

Interaction of small amounts of bovine serum albumin with phospholipid monolayers investigated by surface pressure and atomic force microscopy

The influence of small amounts of bovine serum albumin (BSA) (nM concentration) on the lateral organization of phospholipid monolayers at the air-water interface and transferred onto solid substrates as one-layer Langmuir-Blodgett (LB) films was investigated. The kinetics of adsorption of BSA onto the phospholipid monolayers was monitored with surface pressure isotherms in a Langmuir trough, for the zwitterionic dipalmitoylphosphatidyl ethanolamine (N,N-dimethyl-PE) and the anionic dimyristoylphosphatidic acid (DMPA). A monolayer of N,N-dimethyl-PE or DMPA incorporating BSA was transferred onto a solid substrate using the Langmuir-Blodgett technique. Atomic force microscopy (AFM) images of one-layer LB films displayed protein-phospholipid domains, whose morphology was characterized using dynamic scaling theories to calculate roughness exponents. For DMPA-BSA films the surface is characteristic of self-affine fractals, which may be described with the Kardar-Parisi-Zhang (KPZ) equation. on the other hand, for N,N-dimethyl-PE-BSA films, the results indicate a relatively flat surface within the globule. The height profile and the number and size of globules varied with the type of phospholipid. The overall results, from kinetics of adsorption on Langmuir monolayers and surface morphology in LB films, could be interpreted in terms of the higher affinity of BSA to the anionic DMPA than to the zwitterionic N,N-dimethyl-PE. Furthermore, the effects from such small amounts of BSA in the monolayer point to a cooperative response of DMPA and N,N-dimethyl-PE monolayers to the protein. (c) 2005 Elsevier B.V. All rights reserved.

Fractal characterization of brittle fracture in ceramics under mode I stress loading

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

Comitês de grupamento aplicados a dados de expressão gênica

The main goal of this work is to investigate the suitability of applying cluster ensemble techniques (ensembles or committees) to gene expression data. More specifically, we will develop experiments with three diferent cluster ensembles methods, which have been used in many works in literature: coassociation matrix, relabeling and voting, and ensembles based on graph partitioning. The inputs for these methods will be the partitions generated by three clustering algorithms, representing diferent paradigms: kmeans, ExpectationMaximization (EM), and hierarchical method with average linkage. These algorithms have been widely applied to gene expression data. In general, the results obtained with our experiments indicate that the cluster ensemble methods present a better performance when compared to the individual techniques. This happens mainly for the heterogeneous ensembles, that is, ensembles built with base partitions generated with diferent clustering algorithms

Função Afifim: Teoria e aplicações

In this work we present a proposal to contribute to the teaching and learning of affine function in the first year of high school having as prerequisite mathematical knowledge of basic education. The proposal focuses on some properties, special cases and applications of affine functions in order to show the importance of the demonstrations while awaken student interest by showing how this function is important to solve everyday problems

Anxiolytic and sedative effects of extracts and essential oil from Citrus aurantium L.

Citrus aurantium L. is commonly used as an alternative treatment for insomnia, anxiety and epilepsy. Essential oil from peel (EOP) and hydroethanolic (70% w/v) extract (HE) from leaves were obtained. Hexanic (HF), dichloromethanic (DF) and final aqueous (AF) fractions were obtained from HE by successive partitions. Swiss male mice (35-45 g) were treated orally with 0.5 or 1.0 g/kg of these preparations 30 min before the experiments for the evaluation of the sedative/hypnotic activity (sleeping time induced by sodium pentobarbital-SPB: 40 mg/kg, i.p.), anxiolytic activity (elevated plus maze-EPM) and anticonvulsant activity (induced by pentylenetetrazole-PTZ: 85 mg/kg, se or by maximal electroshock-MES: 50 mA, 0.11s, corneal). The results showed that EOP (0.5 g/kg) increased the latency period of tonic seizures in both convulsing experimental models. This effect was not dose-dependent. Treatment with 1.0 g/kg increased the sleeping time induced by barbiturates and the time spent in the open arms of the EPM. Specific tests indicated that the preparation, in both doses used, did not promote deficits in general activity or motor coordination. HF and DF fractions (1.0 g/kg) did not interfere in the epileptic seizures, but were able to enhance the sleeping time induced by barbiturates. The results obtained with EOP in the anxiety model, and with EOP, HF and DF in the sedation model, are in accord with the ethnopharmacological use of Citrus aurantium L., which could be useful in primary medical care, after toxicological investigation.

Classification and characterization of places for mapping of environment using hierarchical neural network and omnivision

Mobile robots need autonomy to fulfill their tasks. Such autonomy is related whith their capacity to explorer and to recognize their navigation environments. In this context, the present work considers techniques for the classification and extraction of features from images, using artificial neural networks. This images are used in the mapping and localization system of LACE (Automation and Evolutive Computing Laboratory) mobile robot. In this direction, the robot uses a sensorial system composed by ultrasound sensors and a catadioptric vision system equipped with a camera and a conical mirror. The mapping system is composed of three modules; two of them will be presented in this paper: the classifier and the characterizer modules. Results of these modules simulations are presented in this paper.

Separation and partitioning of Green Fluorescent Protein from Escherichia coli homogenate in poly(ethylene glycol)/sodium-poly(acrylate) aqueous two-phase systems

The partitioning of Green Fluorescent Protein (GFP) in poly(ethylene glycol)/Na-poly(acrylate) aqueous two-phase systems (PEG/NaPA-ATPS) has been investigated. The aqueous two-phase systems are formed by mixing the polymers with a salt and a protein solution. The protein partitioning in the two-phase system was investigated at 25 degrees C. The concentration of the GFP was measured by fluorimetry. It was found that the partitioning of GFP depends on the salt type, pH and concentration of PEG. The data indicates that GFP partitions more strongly to the PEG phase in presence of Na2SO4 relative to NaCl. Furthermore, the GFP partitions more to the PEG phase at higher pH. The partition to the PEG phase is strongly favoured in systems with larger tie-line lengths (i.e. systems with higher polymer concentrations). The molecular weight of PEG is important since the partition coefficient (K) of GFP gradually decreases with increasing PEG size, from K ca. 300-400 for PEG 400 to K equal to 1.19 for PEG 8000. A separation process was developed where GFP was separated from a homogenate in two extraction steps: the GFP is first partitioned to the PEG phase in a PEG 3000/NaPA 8000 system containing 3 wt% Na2SO4, where the K value of GFP was 8. The GFP is then re-extracted to a salt phase formed by mixing the previous top-phase with a Na2SO4 solution. The K-value of GFP in this back-extraction was 0.22. The total recovery based on the start material was 74%. (c) 2008 Elsevier B.V. All rights reserved.

Protein partitioning in poly(ethylene glycol)/sodium polyacrylate aqueous two-phase systems

The partition of hemoglobin, lysozyme and glucose-6-phospate dehydrogenase (G6PDH) in a novel inexpensive aqueous two-phase system (ATPS) composed by poly(ethylene glycol) (PEG) and sodium polyacrylate (NaPA) has been studied. The effect of NaCl and Na2SO4, pH and PEG molecular size on the partitioning has been studied. At high pH (above 9), hemoglobin partitions strongly to the PEG-phase. Although some precipitation of hemoglobin occurs, high recovery values are obtained particularly for lysozyme and G6PDH. The partitioning forces are dominated by the hydrophobic and electrochemical (salt) effects, since the positively charged lysozyme and negatively charged G6PDH partitions to the non-charged PEG and the strongly negatively charged polyacrylate enriched phase, respectively. (c) 2007 Elsevier B.V. All rights reserved.

T-duality in 2D integrable models

The non-conformal analogue of Abelian T-duality transformations relating pairs of axial and vector integrable models from the non-Abelian affine Toda family is constructed and studied in detail.