Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation presented in [Mas10] in order to calculate the Expected Shortfall (ES) and the risk contributions under the Vasicek one-factor model framework. We decompose the VaR and the ES as a sum of sensitivities representing the marginal impact on the total portfolio risk. Moreover, we present technical improvements in the Wavelet Approximation (WA) that considerably reduce the computational effort in the approximation while, at the same time, the accuracy increases.

Infectious minor lymphocyte stimulating (Mls) antigens.

Minor lymphocyte stimulating (Mls) antigens have profound effects on the murine immune system and have been very important for our current understanding of immune tolerance. It has recently been discovered that these Mls antigens are encoded in an open reading frame located in the 3' long terminal repeat of endogenous and infectious mouse mammary tumor viruses (MMTV). In this review we will discuss the effects of a novel infectious MMTV with properties of Mls-1a on the neonatal and adult immune system in comparison to the effects of endogenous Mtv-7 (Mls-1a).

The robustness of the weak selection approximation for the evolution of altruism against strong selection.

The weak selection approximation of population genetics has made possible the analysis of social evolution under a considerable variety of biological scenarios. Despite its extensive usage, the accuracy of weak selection in predicting the emergence of altruism under limited dispersal when selection intensity increases remains unclear. Here, we derive the condition for the spread of an altruistic mutant in the infinite island model of dispersal under a Moran reproductive process and arbitrary strength of selection. The simplicity of the model allows us to compare weak and strong selection regimes analytically. Our results demonstrate that the weak selection approximation is robust to moderate increases in selection intensity and therefore provides a good approximation to understand the invasion of altruism in spatially structured population. In particular, we find that the weak selection approximation is excellent even if selection is very strong, when either migration is much stronger than selection or when patches are large. Importantly, we emphasize that the weak selection approximation provides the ideal condition for the invasion of altruism, and increasing selection intensity will impede the emergence of altruism. We discuss that this should also hold for more complicated life cycles and for culturally transmitted altruism. Using the weak selection approximation is therefore unlikely to miss out on any demographic scenario that lead to the evolution of altruism under limited dispersal.

An exogenous mouse mammary tumor virus with properties of Mls-1a (Mtv-7).

The classical minor lymphocyte stimulating (Mls) antigens, which induce a strong primary T cell response in vitro, are closely linked to endogenous copies of mouse mammary tumor viruses (MMTV). Expression of Mls genes leads to clonal deletion of T cell subsets expressing specific T cell receptor (TCR) V beta chains. We describe the isolation and characterization of a new exogenous (infectious) MMTV with biological properties similar to the Mls antigen Mls-1a. In vivo administration of either Mls-1a-expressing B cells or the infectious MMTV (SW) led to an increase of T cells expressing V beta 6 followed by their deletion. Surprisingly, different kinetics of deletion were observed with the exogenous virus depending upon the route of infection. Infection through the mucosa led to a slow deletion of V beta 6+ T cells, whereas deletion was rapid after subcutaneous infection. Sequence analysis of the open reading frames in the 3' long terminal repeat of both this exogenous MMTV (SW) and of Mtv-7 (which is closely linked to Mls-1a) revealed striking similarities, particularly in the COOH terminus, which has been implicated in TCR V beta recognition. The identification of an infectious MMTV with the properties of a strong Mls antigen provides a new, powerful tool to study immunity and tolerance in vivo.

A First approximation to the realism/idealism debate about the external world

El text intenta fer una primera aproximació al debat contemporani entre realistes i anti-realistes sobre el món empíric, centrant-se en les posicions de Putnam i Nagel. El seu objectiu principal és el d'entendre les motivacions de les posicions i l'estructura actual del debat, i el d'establir les característiques que hauria de tenir qualsevol posició satisfactòria

Appropriation of technology in "non-western" societies: an approximation to the case of Bulgaria

The principal focus of the PhD thesis lies in the Social Software area and the appropriation of technology in "non-Western" societies taking the example of Bulgaria. The term "non-Western" is used to explain places considered technologically underdeveloped. The aims have been to capture how Bulgarian users creatively interpret and appropriate Internet identifying the sociocultural, political and subjective conditions in which that appropriation occurs, to identify emerging practices based on the interpretation and use of Internet and the impact they had on society and what conditions could influence the technological interpretation and the meaning these practices had for both users and social configuration of Internet as media in Bulgaria. An ethnographic approach has been used simultaneously in different online and offline contexts. On the one hand, this study is based on exploration of the Bulgarian Internet Space through online participant observation in forums and websites reviews and on the other hand, on semi-structured interviews with different types of users of the virtual platforms found, made both face to face and online and finally online participant observation at the same platforms. It is based on some contributions of the ethnographic work of Christine Hine in virtual environments and the notions of time and space of Barbara Czarniawska contextualized in the modern form of organization that occurs in a network of multiple and fragmented contexts across many movements.

On spectral approximation, Folner sequences and crossed products

In this article we review first some of the possibilities in which the notions of Fo lner sequences and quasidiagonality have been applied to spectral approximation problems. We construct then a canonical Fo lner sequence for the crossed product of a concrete C* -algebra and a discrete amenable group. We apply our results to the rotation algebra (which contains interesting operators like almost Mathieu operators or periodic magnetic Schrödinger operators on graphs) and the C* -algebra generated by bounded Jacobi operators.

Bernstein's problem on weighted polynomial approximation

We formulate a necessary and sufficient condition for polynomials to be dense in a space of continuous functions on the real line, with respect to Bernstein's weighted uniform norm. Equivalently, for a positive finite measure [lletra "mu" minúscula de l'alfabet grec] on the real line we give a criterion for density of polynomials in Lp[lletra "mu" minúscula de l'alfabet grec entre parèntesis].

On concentrators and related approximation constants

Pippenger [Pi77] showed the existence of (6m,4m,3m,6)-concentrator for each positive integer m using a probabilistic method. We generalize his approach and prove existence of (6m,4m,3m,5.05)-concentrator (which is no longer regular, but has fewer edges). We apply this result to improve the constant of approximation of almost additive set functions by additive set functions from 44.5 (established by Kalton and Roberts in [KaRo83] to 39. We show a more direct connection of the latter problem to the Whitney type estimate for approximation of continuous functions on a cube in &b&R&/b&&sup&d&/sup& by linear functions, and improve the estimate of this Whitney constant from 802 (proved by Brudnyi and Kalton in [BrKa00] to 73.

Mls: a link between immunology and retrovirology.

The nature of the mysterious minor lymphocyte stimulating (Mls) antigens has recently been clarified. These molecules which were key elements for our current understanding of immune tolerance, have a strong influence on the mouse immune system and are encoded by the open reading frame (orf) of endogenous and exogenous mouse mammary tumor viruses (MMTV's). The knowledge that these antigens are encoded by cancerogenic retroviruses opens an interdisciplinary approach for understanding the mechanisms of immune responses and immune tolerance, retroviral carcinogenesis, and retroviral strategies for infection.

Nuclear relaxation contribution to static and dynamic (infinite frequency approximation) nonlinear optical properties by means of electrical property expansions: Application to HF, CH4, CF4, and SF6

Electrical property derivative expressions are presented for the nuclear relaxation contribution to static and dynamic (infinite frequency approximation) nonlinear optical properties. For CF4 and SF6, as opposed to HF and CH4, a term that is quadratic in the vibrational anharmonicity (and not previously evaluated for any molecule) makes an important contribution to the static second vibrational hyperpolarizability of CF4 and SF6. A comparison between calculated and experimental values for the difference between the (anisotropic) Kerr effect and electric field induced second-harmonic generation shows that, at the Hartree-Fock level, the nuclear relaxation/infinite frequency approximation gives the correct trend (in the series CH4, CF4, SF6) but is of the order of 50% too small

Equivalence of piecewise-linear approximation and Lagrangian relaxation for network revenue management

The network revenue management (RM) problem arises in airline, hotel, media,and other industries where the sale products use multiple resources. It can be formulatedas a stochastic dynamic program but the dynamic program is computationallyintractable because of an exponentially large state space, and a number of heuristicshave been proposed to approximate it. Notable amongst these -both for their revenueperformance, as well as their theoretically sound basis- are approximate dynamic programmingmethods that approximate the value function by basis functions (both affinefunctions as well as piecewise-linear functions have been proposed for network RM)and decomposition methods that relax the constraints of the dynamic program to solvesimpler dynamic programs (such as the Lagrangian relaxation methods). In this paperwe show that these two seemingly distinct approaches coincide for the network RMdynamic program, i.e., the piecewise-linear approximation method and the Lagrangianrelaxation method are one and the same.

Calibration of stochastic volatility models via second order approximation: the Heston model case

Using a suitable Hull and White type formula we develop a methodology to obtain asecond order approximation to the implied volatility for very short maturities. Using thisapproximation we accurately calibrate the full set of parameters of the Heston model. Oneof the reasons that makes our calibration for short maturities so accurate is that we alsotake into account the term-structure for large maturities. We may say that calibration isnot "memoryless", in the sense that the option's behavior far away from maturity doesinfluence calibration when the option gets close to expiration. Our results provide a wayto perform a quick calibration of a closed-form approximation to vanilla options that canthen be used to price exotic derivatives. The methodology is simple, accurate, fast, andit requires a minimal computational cost.