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.

Reflecting on new developmentalism and classical developmentalism

This paper, first, distinguishes new developmentalism, a new theoretical system that is being created, from really existing developmentalism – a form of organizing capitalism. Second, it distinguishes new developmentalism from its antecedents, Development Economics or classical developmentalism and Keynesian Macroeconomics. Third, it discusses the false opposition that some economists have adopted between new developmentalism and social-developmentalism, which the author understands as a form of really existing developmentalism; as theory, it is just a version of classical developmentalism with a bias toward immediate consumption. Finally, it makes a summary of new developmentalism – of its main political economy, economic theory and economic policy claims

Studies in non-Gaussian analysis

This thesis presents general methods in non-Gaussian analysis in infinite dimensional spaces. As main applications we study Poisson and compound Poisson spaces. Given a probability measure μ on a co-nuclear space, we develop an abstract theory based on the generalized Appell systems which are bi-orthogonal. We study its properties as well as the generated Gelfand triples. As an example we consider the important case of Poisson measures. The product and Wick calculus are developed on this context. We provide formulas for the change of the generalized Appell system under a transformation of the measure. The L² structure for the Poisson measure, compound Poisson and Gamma measures are elaborated. We exhibit the chaos decomposition using the Fock isomorphism. We obtain the representation of the creation, annihilation operators. We construct two types of differential geometry on the configuration space over a differentiable manifold. These two geometries are related through the Dirichlet forms for Poisson measures as well as for its perturbations. Finally, we construct the internal geometry on the compound configurations space. In particular, the intrinsic gradient, the divergence and the Laplace-Beltrami operator. As a result, we may define the Dirichlet forms which are associated to a diffusion process. Consequently, we obtain the representation of the Lie algebra of vector fields with compact support. All these results extends directly for the marked Poisson spaces.

An essay on economic growth: classical determinants, convergence and financial development

This dissertation surveys the literature on economic growth. I review a substantial number of articles published by some of the most renowned researchers engaged in the study of economic growth. The literature is so vast that before undertaking new studies it is very important to know what has been done in the field. The dissertation has six chapters. In Chapter 1, I introduce the reader to the topic of economic growth. In Chapter 2, I present the Solow model and other contributions to the exogenous growth theory proposed in the literature. I also briefly discuss the endogenous approach to growth. In Chapter 3, I summarize the variety of econometric problems that affect the cross-country regressions. The factors that contribute to economic growth are highlighted and the validity of the empirical results is discussed. In Chapter 4, the existence of convergence, whether conditional or not, is analyzed. The literature using both cross-sectional and panel data is reviewed. An analysis on the topic of convergence using a quantile-regression framework is also provided. In Chapter 5, the controversial relationship between financial development and economic growth is analyzed. Particularly, I discuss the arguments in favour and against the Schumpeterian view that considers financial development as an important determinant of innovation and economic growth. Chapter 6 concludes the dissertation. Summing up, the literature appears to be not fully conclusive about the main determinants of economic growth, the existence of convergence and the impact of finance on growth.

Parametric correlation functions to model the structure of permanent environmental (co)variances in milk yield random regression models

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

Covariance functions for body weight from birth to maturity in Nellore cows

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Estimação de funções de covariância para características de crescimento da raça Tabapuã utilizando modelos de regressão aleatória

Foram utilizados 35.732 registros de peso do nascimento aos 660 dias de idade de 8.458 animais da raça Tabapuã para estimar funções de covariância utilizando modelos de regressão aleatória sobre polinômios de Legendre. Os modelos incluíram: como aleatórios, os efeitos genético aditivo direto, materno, de ambiente permanente de animal e materno; como fixos, os efeitos de grupo de contemporâneo; como covariáveis, a idade do animal à pesagem e a idade da vaca ao parto (linear e quadrática); e sobre a idade à pesagem, polinômio ortogonal de Legendre (regressão cúbica) foi considerado para modelar a curva média da população. O resíduo foi modelado considerando sete classes de variância e os modelos foram comparados pelos critérios de informação Bayesiano de Schwarz e Akaike. O melhor modelo apresentou ordens 4, 3, 6, 3 para os efeitos genético aditivo direto e materno, de ambiente permanente de animal e materno, respectivamente. As estimativas de covariância e herdabilidades, obtidas utilizando modelo bicaracter, e de regressão aleatória foram semelhantes. As estimativas de herdabilidade para o efeito genético aditivo direto, obtidas com o modelo de regressão aleatória, aumentaram do nascimento (0,15) aos 660 dias de idade (0,45). Maiores estimativas de herdabilidade materna foram obtidas para pesos medidos logo após o nascimento. As correlações genéticas variaram de moderadas a altas e diminuíram com o aumento da distância entre as pesagens. A seleção para maiores pesos em qualquer idade promove maior ganho de peso do nascimento aos 660 dias de idade.

Bayesian analysis of random regression models using B-splines to model test-day milk yield of Holstein cattle in Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Random regression analyses using B-spline functions to model growth of Nellore cattle

The objective of this study was to estimate (co)variance components using random regression on B-spline functions to weight records obtained from birth to adulthood. A total of 82 064 weight records of 8145 females obtained from the data bank of the Nellore Breeding Program (PMGRN/Nellore Brazil) which started in 1987, were used. The models included direct additive and maternal genetic effects and animal and maternal permanent environmental effects as random. Contemporary group and dam age at calving (linear and quadratic effect) were included as fixed effects, and orthogonal Legendre polynomials of age (cubic regression) were considered as random covariate. The random effects were modeled using B-spline functions considering linear, quadratic and cubic polynomials for each individual segment. Residual variances were grouped in five age classes. Direct additive genetic and animal permanent environmental effects were modeled using up to seven knots (six segments). A single segment with two knots at the end points of the curve was used for the estimation of maternal genetic and maternal permanent environmental effects. A total of 15 models were studied, with the number of parameters ranging from 17 to 81. The models that used B-splines were compared with multi-trait analyses with nine weight traits and to a random regression model that used orthogonal Legendre polynomials. A model fitting quadratic B-splines, with four knots or three segments for direct additive genetic effect and animal permanent environmental effect and two knots for maternal additive genetic effect and maternal permanent environmental effect, was the most appropriate and parsimonious model to describe the covariance structure of the data. Selection for higher weight, such as at young ages, should be performed taking into account an increase in mature cow weight. Particularly, this is important in most of Nellore beef cattle production systems, where the cow herd is maintained on range conditions. There is limited modification of the growth curve of Nellore cattle with respect to the aim of selecting them for rapid growth at young ages while maintaining constant adult weight.

Random regression models using different functions to model test-day milk yield of Brazilian Holstein cows

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

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.

Low voltage analog synthesizer of orthogonal signals: A current-mode approach

An analog synthesizer of orthogonal signals for digital CMOS technology and 3V supply voltage is presented. The adaptive architecture accomplishes the synthesis of mutually orthogonal signal, such as trigonometric and polynomial basis. Experimental results using 0.35 mu m AMS CMOS process are presented for generation of the cosine and Legendre basis.

Low voltage analog synthesizer of orthogonal signals using current mode techniques

An analog synthesizer of orthogonal signals for digital CMOS technology and 3V supply voltage is presented. The adaptive architecture accomplishes the synthesis of mutually orthogonal signal, such as trigonometric and polynomial basis. Simulation results using 0.35 mu m AMS CMOS process are presented for generation of the cosine and Legendre basis.

Identification of Mechanical Systems through Kautz Filter

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

O graben de Palestina: contribuição à estratigrafia e estrutura do estágio rifte na bacia do Araripe, nordeste do Brasil

The Palestina Graben is one of the NE-trending asymmetric grabens of the Araripe Basin. This basin rests on the precambrian terrains of the Transversal Zone, Borborema Province, immediately to the south of the Patos Lineament. It is part of the Interior Basins province of Northeastern Brazil, being related to the fragmentation of the Gondwana supercontinent and the opening of the South Atlantic ocean. The Palestina Graben trends NE-SW and presents an asymmetric geometry, controled by the NW extensional eocretaceous strain. The graben borders display distinct geometries. The SE border is a flexural margin, characterized by the non conformity of the eopaleozoic Mauriti Formation (the oldest unit of the basin) overlying the crystalline basement, but also affected by normal faults with small displacements. On the opposite, the NW border is continuous and rectilinear, being marked by normal faults with major displacements, that control the general tilting of the layers to the NW. In this sense, the Mauriti Formation is overlain by the Brejo Santo, Missão Velha (which also occurs in the Brejo Santo-Mauriti horst, to the NW of the fault border) and Abaiara formations, the latter restricted to the graben. The interpretation of available gravity data and a seismic line indicates that the main fault has a variable dip slip component, defining two deeper portions within the graben, in which the sedimentary column can reach thicknesses of up to 2 km. Regarding to the stratigraphy of Araripe Basin in the study area, the sedimentary package includes three distinct tectonosequences. The Paleozoic Syneclisis Tectonosequence is composed by the Mauriti Formation, deposited by a braided fluvial system. The Jurassic Tectonosequence, whose tectonic setting is still debatable (initial stage of the Neocomian rift, or a pre-rift syneclisis ?), is represented by the Brejo Santo Formation, originated in a distal floodplain related to ephemeral drainages. The Rift Tectonosequence, of neocomian age, includes the Missão Velha Formation, whose lower section is related to a braided to meandering fluvial system, outlining the Rift Initiation Tectonic Systems Tract. The upper section of the Missão Velha Formation is separated from the latter by a major unconformity. This interval was originated by a braided fluvial system, overlain by the Abaiara Formation, a deltaic system fed by a meandering fluvial system. Both sections correspond to the Rift Climax Tectonic Systems Tract. In the area, NE-trending normal to oblique faults are associated with NW transfer faults, while ENE to E-W faults display dominant strike slip kinematics. Both NE and E-W fault sets exhibit clear heritage from the basement structures (in particular, shear zones), which must have been reactivated during the eocretaceous rifting. Faults with EW trends display a dominant sinistral shear sense, commonly found along reactivated segments of the Patos Lineament and satellyte structures. Usually subordinate, dextral directional movements, occur in faults striking NNW to NE. Within this framework bearing to the Palestina Graben, classical models with orthogonal extension or pull-apart style deserve some caution in their application. The Palestina Graben is not limited, in its extremeties, by E-W transcurrent zones (as it should be in the case of the pull-apart geometry), suggesting a model close to the classic style of orthogonal opening. At the same time, others, adjacent depocenters (like the Abaiara-Jenipapeiro semi-graben) display a transtensional style. The control by the basement structures explains such differences