Pricing Defaultable Bonds in a Markov Modulated Market

We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.

Implications of program phase behavior on timing analysis

Knowledge about program worst case execution time (WCET) is essential in validating real-time systems and helps in effective scheduling. One popular approach used in industry is to measure execution time of program components on the target architecture and combine them using static analysis of the program. Measurements need to be taken in the least intrusive way in order to avoid affecting accuracy of estimated WCET. Several programs exhibit phase behavior, wherein program dynamic execution is observed to be composed of phases. Each phase being distinct from the other, exhibits homogeneous behavior with respect to cycles per instruction (CPI), data cache misses etc. In this paper, we show that phase behavior has important implications on timing analysis. We make use of the homogeneity of a phase to reduce instrumentation overhead at the same time ensuring that accuracy of WCET is not largely affected. We propose a model for estimating WCET using static worst case instruction counts of individual phases and a function of measured average CPI. We describe a WCET analyzer built on this model which targets two different architectures. The WCET analyzer is observed to give safe estimates for most benchmarks considered in this paper. The tightness of the WCET estimates are observed to be improved for most benchmarks compared to Chronos, a well known static WCET analyzer.

Optimal incentive timing strategies for product marketing on social networks

We consider the problem of devising incentive strategies for viral marketing of a product. In particular, we assume that the seller can influence penetration of the product by offering two incentive programs: a) direct incentives to potential buyers (influence) and b) referral rewards for customers who influence potential buyers to make the purchase (exploit connections). The problem is to determine the optimal timing of these programs over a finite time horizon. In contrast to algorithmic perspective popular in the literature, we take a mean-field approach and formulate the problem as a continuous-time deterministic optimal control problem. We show that the optimal strategy for the seller has a simple structure and can take both forms, namely, influence-and-exploit and exploit-and-influence. We also show that in some cases it may optimal for the seller to deploy incentive programs mostly for low degree nodes. We support our theoretical results through numerical studies and provide practical insights by analyzing various scenarios.

Depression biased non-Hebbian spike-timing-dependent synaptic plasticity in the rat subiculum

The subiculum is a structure that forms a bridge between the hippocampus and the entorhinal cortex (EC), and plays a major role in the memory consolidation process. Here, we demonstrate spike-timing-dependent plasticity (STDP) at the proximal excitatory inputs on the subicular pyramidal neurons of juvenile rat. Causal (positive) pairing of a single EPSP with a single back-propagating action potential (bAP) after a time interval of 10 ms (+10 ms) failed to induce plasticity. However, increasing the number of bAPs in a burst to three, at two different frequencies of 50 Hz (bAP burst) and 150 Hz, induced long-term depression (LTD) after a time interval of +10 ms in both the regular-firing (RF), and the weak burst firing (WBF) neurons. The LTD amplitude decreased with increasing time interval between the EPSP and the bAP burst. Reversing the order of the pairing of the EPSP and the bAP burst induced LTP at a time interval of -10 ms. This finding is in contrast with reports at other synapses, wherein prebefore postsynaptic (causal) pairing induced LTP and vice versa. Our results reaffirm the earlier observations that the relative timing of the pre- and postsynaptic activities can lead to multiple types of plasticity profiles. The induction of timing-dependent LTD (t-LTD) was dependent on postsynaptic calcium change via NMDA receptors in the WBF neurons, while it was independent of postsynaptic calcium change, but required active L-type calcium channels in the RF neurons. Thus the mechanism of synaptic plasticity may vary within a hippocampal subfield depending on the postsynaptic neuron involved. This study also reports a novel mechanism of LTD induction, where L-type calcium channels are involved in a presynaptically induced synaptic plasticity. The findings may have strong implications in the memory consolidation process owing to the central role of the subiculum and LTD in this process.

Understanding Medical Device Patenting and Clinical Trials for Product Leadership

Unmet clinical needs remain the primary driving force for innovations in medical devices. While appropriate mechanisms to protect these innovative outcomes are essential, the performance of clinical trials to ensure safety is also mandated before the invention is ready for public use. Literature explaining the relationship between patenting activities and clinical trials of medical devices is scarce. Linking patent ownership to clinical trials may imply product leadership and value chain control. In this paper, we use patent data from Indian Patent Office (IPO), PCT, and data from Clinical Trials Registry of India (CTRI) to identify whether patent assignees have any role in leading as primary sponsors of clinical trials. A total of 42 primary sponsors are identified from the CTRI database in India. Number of patents awarded to these primary sponsors in the particular medical device, total number of patents awarded to the primary sponsor in all technologies, total number of patents in the specific medical device technology provides an indication of leadership and control in the value chain.

Timing Recovery Algorithms and Architectures for 2-D Magnetic Recording Systems

We investigate the problem of timing recovery for 2-D magnetic recording (TDMR) channels. We develop a timing error model for TDMR channel considering the phase and frequency offsets with noise. We propose a 2-D data-aided phase-locked loop (PLL) architecture for tracking variations in the position and movement of the read head in the down-track and cross-track directions and analyze the convergence of the algorithm under non-separable timing errors. We further develop a 2-D interpolation-based timing recovery scheme that works in conjunction with the 2-D PLL. We quantify the efficiency of our proposed algorithms by simulations over a 2-D magnetic recording channel with timing errors.

Segregating Discourse Segments from Engineering Documents for Knowledge Acquisition

The broader goal of the research being described here is to automatically acquire diagnostic knowledge from documents in the domain of manual and mechanical assembly of aircraft structures. These documents are treated as a discourse used by experts to communicate with others. It therefore becomes possible to use discourse analysis to enable machine understanding of the text. The research challenge addressed in the paper is to identify documents or sections of documents that are potential sources of knowledge. In a subsequent step, domain knowledge will be extracted from these segments. The segmentation task requires partitioning the document into relevant segments and understanding the context of each segment. In discourse analysis, the division of a discourse into various segments is achieved through certain indicative clauses called cue phrases that indicate changes in the discourse context. However, in formal documents such language may not be used. Hence the use of a domain specific ontology and an assembly process model is proposed to segregate chunks of the text based on a local context. Elements of the ontology/model, and their related terms serve as indicators of current context for a segment and changes in context between segments. Local contexts are aggregated for increasingly larger segments to identify if the document (or portions of it) pertains to the topic of interest, namely, assembly. Knowledge acquired through such processes enables acquisition and reuse of knowledge during any part of the lifecycle of a product.

Timing Calculations for a General N-Level Dodecagonal Space Vector Structure Using Only Reference Phase Voltages

Multilevel inverters with dodecagonal (12-sided polygon) voltage space vector (SV) structures have advantages like extension of linear modulation range, elimination of fifth and seventh harmonics in phase voltages and currents for the full modulation range including extreme 12-step operation, reduced device voltage ratings, lesser dv/dt stresses on devices and motor phase windings resulting in lower EMI/EMC problems, and lower switching frequency-making it more suitable for high-power drive applications. This paper proposes a simple method to obtain pulsewidth modulation (PWM) timings for a dodecagonal voltage SV structure using only sampled reference voltages. In addition to this, a carrier-based method for obtaining the PWM timings for a general N-level dodecagonal structure is proposed in this paper for the first time. The algorithm outputs the triangle information and the PWM timing values which can be set as the compare values for any carrier-based hardware PWM module to obtain SV PWM like switching sequences. The proposed method eliminates the need for angle estimation, computation of modulation indices, and iterative search algorithms that are typical in multilevel dodecagonal SV systems. The proposed PWM scheme was implemented on a five-level dodecagonal SV structure. Exhaustive simulation and experimental results for steady-state and transient conditions are presented to validate the proposed method.

Correct biological timing in Arabidopsis requires multiple light-signaling pathways.

Circadian oscillators provide rhythmic temporal cues for a range of biological processes in plants and animals, enabling anticipation of the day/night cycle and enhancing fitness-associated traits. We have used engineering models to understand the control principles of a plant's response to seasonal variation. We show that the seasonal changes in the timing of circadian outputs require light regulation via feed-forward loops, combining rapid light-signaling pathways with entrained circadian oscillators. Linear time-invariant models of circadian rhythms were computed for 3,503 circadian-regulated genes and for the concentration of cytosolic-free calcium to quantify the magnitude and timing of regulation by circadian oscillators and light-signaling pathways. Bioinformatic and experimental analysis show that rapid light-induced regulation of circadian outputs is associated with seasonal rephasing of the output rhythm. We identify that external coincidence is required for rephasing of multiple output rhythms, and is therefore important in general phase control in addition to specific photoperiod-dependent processes such as flowering and hypocotyl elongation. Our findings uncover a fundamental design principle of circadian regulation, and identify the importance of rapid light-signaling pathways in temporal control.

Semi-analytic slope delay model for CMOS switch-level timing verification

A novel slope delay model for CMOS switch-level timing verification is presented. It differs from conventional methods in being semianalytic in character. The model assumes that all input waveforms are trapezoidal in overall shape, but that they vary in their slope. This simplification is quite reasonable and does not seriously affect precision, but it facilitates rapid solution. The model divides the stages in a switch-level circuit into two types. One corresponds to the logic gates, and the other corresponds to logic gates with pass transistors connected to their outputs. Semianalytic modeling for both cases is discussed.

Switch-level timing verification for CMOS circuits. A semianalytic approach

The paper describes a semianalytic slope delay model for CMOS switch-level timing verification. It is characterised by classification of the effects of the input slope, internal size and load capacitance of a logic gate on delay time, and then the use of a series of carefully chosen analytic functions to estimate delay times under different circumstances. In the field of VLSI analysis, this model achieves improvements in speed and accuracy compared with conventional approaches to transistor-level and switch-level simulation.

Hierarchical approach to timing verification in CMOS VLSI design

This paper describes a novel hierarchical approach to timing verification. Four types of relationship existing among signal paths are distinguished, based on a classification of the degree of interdependency in the circuit. In this way, irrelevant path delays can be excluded through consideration of the interaction between critical paths and others. Furthermore, under suitable conditions, bounded delay values for large hierarchical systems can be deduced using bounded delays determined for their constituent cells. Finally, we discuss the impact on design strategy of the hierarchical delay model presented in this paper.

The international economic crisis from point of view of the social market economy

Conferencia dictada el día miércoles 8 de agosto de 2012 como parte de la Cátedra Konrad Adenauer, “Escuela de Economía Francisco Valsecchi” de la Pontificia Universidad Católica Argentina (UCA).

Did bankruptcy reform lead to looser mortgage lending standard? : evidence from the U. S. mortgage market 2000-2007

Resumen: El presente trabajo intenta encontrar una causa exógena al deterioro, a partir de 2005, en los estándares de crédito hipotecario que contribuyeron a la crisis subprime en los Estados Unidos. Sostenemos que la nueva provisión de la prueba de medios de la ley Bankruptcy Abuse Prevention and Consumer Protection Act (BAPCPA) de 2005 fue dicho shock exógeno en el mercado hipotecario. Mostramos que la prueba de medios, que impide solicitar la bancarrota bajo Chapter 7 a los deudores con mayores ingresos relativos, causó un desplazamiento de la oferta de crédito hipotecario de deudores con mayores ingresos a deudores con menores ingresos relativos. Simultáneamente, observamos que todos los deudores debieron pagar tasas de interés más altas, independientemente del nivel de ingresos. Nuestros resultados implican que la ley BAPCPA podría ser un factor que contribuyó al deterioro en los estándares de crédito en el mercado hipotecario de los Estados Unidos.