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.

Studies on reactivation of regressing bonnet monkey corpus luteum on day 1 of menses: A pilot study

Studies on functional characteristics of the regressing primate corpus luteum (CL) to luteotrophic stimulus on day 1 of the non-fertile menstrual cycle are scarce. Recombinant human luteinizing hormone (rhLH) (20 IU/Kg BW; n = 10) or human chorionic gonadotropin (hCG) (180 IU; n = 6) were administered intravenously to female bonnet monkeys on day 1 of menses. Exogenous treatment of rhLH or hCG caused a significant increase in circulating progesterone (P4) levels 2-4 hours post treatment (P < 0.05). Lutectomy prior to onset of menses confirmed that CL is the site of the increased P4 concentrations. Increased levels of phosphorylated P44/42 MAPK, MKK3/6 activation and concomitant histological changes were observed within 4 hours in CL of monkeys receiving hCG treatment. The results from this study demonstrate the acute progesterone synthesizing capacity of regressing monkey CL after LH or hCG challenge. This has potential implications for interpreting the steroidogenic response after gonadotropin stimulation tests in the early follicular phase of the normal ovulatory and anovulatory women undergoing controlled ovarian stimulation protocols as part of assisted reproductive technology (ART) and in women with polycystic ovarian syndrome.

Improving query focused summarization using look-ahead strategy

Query focused summarization is the task of producing a compressed text of original set of documents based on a query. Documents can be viewed as graph with sentences as nodes and edges can be added based on sentence similarity. Graph based ranking algorithms which use 'Biased random surfer model' like topic-sensitive LexRank have been successfully applied to query focused summarization. In these algorithms, random walk will be biased towards the sentences which contain query relevant words. Specifically, it is assumed that random surfer knows the query relevance score of the sentence to where he jumps. However, neighbourhood information of the sentence to where he jumps is completely ignored. In this paper, we propose look-ahead version of topic-sensitive LexRank. We assume that random surfer not only knows the query relevance of the sentence to where he jumps but he can also look N-step ahead from that sentence to find query relevance scores of future set of sentences. Using this look ahead information, we figure out the sentences which are indirectly related to the query by looking at number of hops to reach a sentence which has query relevant words. Then we make the random walk biased towards even to the indirect query relevant sentences along with the sentences which have query relevant words. Experimental results show 20.2% increase in ROUGE-2 score compared to topic-sensitive LexRank on DUC 2007 data set. Further, our system outperforms best systems in DUC 2006 and results are comparable to state of the art systems.

Ductile fracture by multiple void growth and interaction ahead of a notch tip in polycrystalline plastic solids

The objectives of this paper are to study the effects of plastic anisotropy and evolution in crystallographic texture with deformation on the ductile fracture behaviour of polycrystalline solids. To this end, numerical simulations of multiple void growth and interaction ahead of a notch tip are performed under mode I, plane strain, small scale yielding conditions using two approaches. The first approach is based on the Hill yield theory, while the second employs crystal plasticity constitutive equations and a Taylor-type homogenization in order to represent the ductile polycrystalline solid. The initial textures pertaining to continuous cast Al-Mg AA5754 sheets in recrystallized and cold rolled conditions are considered. The former is nearly-isotropic, while the latter displays pronounced anisotropy. The results indicate distinct changes in texture in the ligaments bridging the voids ahead of the notch tip with increase in load level which gives rise to retardation in porosity evolution and increase in tearing resistance for both materials.

Adaptive selection of search space in look ahead orthogonal matching pursuit

Compressive Sensing theory combines the signal sampling and compression for sparse signals resulting in reduction in sampling rate and computational complexity of the measurement system. In recent years, many recovery algorithms were proposed to reconstruct the signal efficiently. Look Ahead OMP (LAOMP) is a recently proposed method which uses a look ahead strategy and performs significantly better than other greedy methods. In this paper, we propose a modification to the LAOMP algorithm to choose the look ahead parameter L adaptively, thus reducing the complexity of the algorithm, without compromising on the performance. The performance of the algorithm is evaluated through Monte Carlo simulations.

Investigation of the separated region ahead of three-dimensional protuberances on plates and cones in hypersonic flows with laminar boundary layers

Heat transfer rate and pressure measurements were made upstream of surface pro-tuberances on a flat plate and a sharp cone subjected to hypersonic flow in a conventional shock tunnel. Heat flux was measured using platinum thin-film sensors deposited on macor substrate and the pressure measurements were made using fast acting piezoelectric sensors. A distinctive hot spot with highest heat flux was obtained near the foot of the protuberance due to heavy vortex activity in the recirculating region. Schlieren flow visualization was used to capture the shock structures and the separation distance ahead of the protrusions was quantitatively measured for varying protuberance heights. A computational analysis was conducted on the flat plate model using commercial computational fluid dynamics software and the obtained trends of heat flux and pressure were compared with the experimental observation. Experiments were also conducted by physically disturbing the laminar boundary layer to check its effect on the magnitude of the hot spot heat flux. In addition to air, argon was also used as test gas so that the Reynolds number can be varied. (C) 2014 AIP Publishing LLC.

Reduced Look Ahead Orthogonal Matching Pursuit

Compressed Sensing (CS) is an elegant technique to acquire signals and reconstruct them efficiently by solving a system of under-determined linear equations. The excitement in this field stems from the fact that we can sample at a rate way below the Nyquist rate and still reconstruct the signal provided some conditions are met. Some of the popular greedy reconstruction algorithms are the Orthogonal Matching Pursuit (OMP), the Subspace Pursuit (SP) and the Look Ahead Orthogonal Matching Pursuit (LAOMP). The LAOMP performs better than the OMP. However, when compared to the SP and the OMP, the computational complexity of LAOMP is higher. We introduce a modified version of the LAOMP termed as Reduced Look Ahead Orthogonal Matching Pursuit (Reduced LAOMP). Reduced LAOMP uses prior information from the results of the OMP and the SP in the quest to speedup the look ahead strategy in the LAOMP. Monte Carlo simulations of this algorithm deliver promising results.

Router Attack toward NoC-enabled MPSoC and Monitoring Countermeasures against such Threat

The growing number of applications and processing units in modern Multiprocessor Systems-on-Chips (MPSoCs) come along with reduced time to market. Different IP cores can come from different vendors, and their trust levels are also different, but typically they use Network-on-Chip (NoC) as their communication infrastructure. An MPSoC can have multiple Trusted Execution Environments (TEEs). Apart from performance, power, and area research in the field of MPSoC, robust and secure system design is also gaining importance in the research community. To build a secure system, the designer must know beforehand all kinds of attack possibilities for the respective system (MPSoC). In this paper we survey the possible attack scenarios on present-day MPSoCs and investigate a new attack scenario, i.e., router attack targeted toward NoC architecture. We show the validity of this attack by analyzing different present-day NoC architectures and show that they are all vulnerable to this type of attack. By launching a router attack, an attacker can control the whole chip very easily, which makes it a very serious issue. Both routing tables and routing logic-based routers are vulnerable to such attacks. In this paper, we address attacks on routing tables. We propose different monitoring-based countermeasures against routing table-based router attack in an MPSoC having multiple TEEs. Synthesis results show that proposed countermeasures, viz. Runtime-monitor, Restart-monitor, Intermediate manager, and Auditor, occupy areas that are 26.6, 22, 0.2, and 12.2 % of a routing table-based router area. Apart from these, we propose Ejection address checker and Local monitoring module inside a router that cause 3.4 and 10.6 % increase of a router area, respectively. Simulation results are also given, which shows effectiveness of proposed monitoring-based countermeasures.

PLAStiCC: Predictive Look-Ahead Scheduling for Continuous dataflows on Clouds

Scalable stream processing and continuous dataflow systems are gaining traction with the rise of big data due to the need for processing high velocity data in near real time. Unlike batch processing systems such as MapReduce and workflows, static scheduling strategies fall short for continuous dataflows due to the variations in the input data rates and the need for sustained throughput. The elastic resource provisioning of cloud infrastructure is valuable to meet the changing resource needs of such continuous applications. However, multi-tenant cloud resources introduce yet another dimension of performance variability that impacts the application's throughput. In this paper we propose PLAStiCC, an adaptive scheduling algorithm that balances resource cost and application throughput using a prediction-based lookahead approach. It not only addresses variations in the input data rates but also the underlying cloud infrastructure. In addition, we also propose several simpler static scheduling heuristics that operate in the absence of accurate performance prediction model. These static and adaptive heuristics are evaluated through extensive simulations using performance traces obtained from Amazon AWS IaaS public cloud. Our results show an improvement of up to 20% in the overall profit as compared to the reactive adaptation algorithm.

Evaluación del crecimiento y producción de turiones de espárrago verde (Asparagus officinalis L.) producidos bajo dos sistemas de inicio, arañas y plantines, en Azul, Buenos Aires

En dos plantaciones de espárrago verde (Asparagus officinalis L.) en el centro de la Pcia. de Buenos Aires, del cultivar UC 157 F2, iniciadas con arañas y plantines, durante su primer año de cosecha, se determinó la tasa de elongación diaria y total hasta el momento de la ramificación de los turiones, el número de días hasta alcanzar el largo exportable (22.5 cm) y los días hasta el momento de la ramificación con el objetivo de estudiar su comportamiento en la zona centro de la provincia de Buenos Aires. Las mediciones se efectuaron durante seis semanas, desde el 26 de septiembre hasta el 4 de noviembre de 2005, desde la emergencia del turión hasta el día de su ramificación (rama de 5 mm sobre su bráctea). La elongación máxima hasta el día de ramificación en promedio y para ambos sistemas de inicio, varió 2 desde 35.3 cm al principio de la cosecha hasta 22.8 cm al final de la misma. Las tasas de elongación relativas variaron en promedio para ambos sistemas de inicio, entre 0.11 cm cm-1 d-1 y 0.38 cm cm-1 d-1 dependiendo de la temperatura del aire. Al mismo tiempo las parcelas constituyentes del ensayo fueron sometidas a una cosecha comercial durante las seis semanas de evaluación. Los espárragos cosechados constituyeron el rendimiento total (kg ha-1) para cada sistema de inicio entre los cuales no se encontraron diferencias estadísticamente significativas. Este estudio permitiría explicar las diferencias de rendimiento comercial para un mismo cultivar en diferentes zonas de producción. Se concluye que para una zona dada, la elongación y sobre todo la ramificación, son variables prioritarias para la determinación del potencial productivo de un cultivar, debiendo tener en cuenta las condiciones de temperatura en las cual se pretende producir este cultivo y el mercado de destino de la producción debido a las mercadas preferencias entre sus consumidores.

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).