Derivatív pénzügyi termékek árdinamikája és az új típusú kamatlábmodellek (Interest rate models and the price processes of financial derivatives)

Ennek a cikknek az a célja, hogy áttekintést adjon annak a folyamatnak néhány főbb állomásáról, amit Black, Scholes és Merton opcióárazásról írt cikkei indítottak el a 70-es évek elején, és ami egyszerre forradalmasította a fejlett nyugati pénzügyi piacokat és a pénzügyi elméletet. / === / This review article compares the development of financial theory within and outside Hungary in the last three decades starting with the Black-Scholes revolution. Problems like the term structure of interest rate volatilities which is in the focus of many research internationally has not received the proper attention among the Hungarian economists. The article gives an overview of no-arbitrage pricing, the partial differential equation approach and the related numerical techniques, like the lattice methods in pricing financial derivatives. The relevant concepts of the martingal approach are overviewed. There is a special focus on the HJM framework of the interest rate development. The idea that the volatility and the correlation can be traded is a new horizon to the Hungarian capital market.

Regional Variation on Rates of Bronchopulmonary Dysplasia and Associated Risk Factors

Background. An abnormally high incidence (44%) of bronchopulmonary dysplasia with variations in rates among cities was observed in Colombia among premature infants. Objective. To identify risk factors that could explain the observed high incidence and regional variations of bronchopulmonary dysplasia. Study Design. A case-control study was designed for testing the hypothesis that differences in the disease rates were not explained by differences in city-of-birth specific population characteristics or by differences in respiratory management practices in the first 7 days of life, among cities. Results. Multivariate analysis showed that premature rupture of membranes, exposure to mechanical ventilation after received nasal CPAP, no surfactant exposure, use of rescue surfactant (instead of early surfactant), PDA, sepsis and the median daily FIO2, were associated with a higher risk of dysplasia. Significant differences between cases and controls were found among cities. Models exploring for associations between city of birth and dysplasia showed that being born in the highest altitude city (Bogotá) was associated with a higher risk of dysplasia (OR 1.82 95% CI 1.31–2.53). Conclusions. Bronchopulmonary dysplasia was manly explained by traditional risk factors. Findings suggest that altitude may play an important role in the development of this disease. Prenatal steroids did not appear to be protective at high altitude.

What Does Value Matter? The Interest-Relational Theory of the Semantics and Metaphysics of Value

Value and reasons for action are often cited by rationalists and moral realists as providing a desire-independent foundation for normativity. Those maintaining instead that normativity is dependent upon motivation often deny that anything called '"value" or "reasons" exists. According to the interest-relational theory, something has value relative to some perspective of desire just in case it satisfies those desires, and a consideration is a reason for some action just in case it indicates that something of value will be accomplished by that action. Value judgements therefore describe real properties of objects and actions, but have no normative significance independent of desires. It is argued that only the interest-relational theory can account for the practical significance of value and reasons for action. Against the Kantian hypothesis of prescriptive rational norms, I attack the alleged instrumental norm or hypothetical imperative, showing that the normative force for taking the means to our ends is explicable in terms of our desire for the end, and not as a command of reason. This analysis also provides a solution to the puzzle concerning the connection between value judgement and motivation. While it is possible to hold value judgements without motivation, the connection is more than accidental. This is because value judgements are usually but not always made from the perspective of desires that actually motivate the speaker. In the normal case judgement entails motivation. But often we conversationally borrow external perspectives of desire, and subsequent judgements do not entail motivation. This analysis drives a critique of a common practice as a misuse of normative language. The "absolutist" attempts to use and, as philosopher, analyze normative language in such a way as to justify the imposition of certain interests over others. But these uses and analyses are incoherent - in denying relativity to particular desires they conflict with the actual meaning of these utterances, which is always indexed to some particular set of desires.

Effect of boiling on deposition of metallic colloids

In this study the relationship between heterogeneous nucleate boiling surfaces and deposition of suspended metallic colloidal particles, popularly known as crud or corrosion products in process industries, on those heterogeneous sites is investigated. Various researchers have reported that hematite is a major constituent of crud which makes it the primary material of interest; however the models developed in this work are irrespective of material choice. Qualitative hypotheses on the deposition process under boiling as proposed by previous researchers have been tested, which fail to provide explanations for several physical mechanisms observed and analyzed. In this study a quantitative model of deposition rate has been developed on the basis of bubble dynamics and colloid-surface interaction potential. Boiling from a heating surface aids in aggregation of the metallic particulates viz. nano-particles, crud particulate, etc. suspended in a liquid, which helps in transporting them to heating surfaces. Consequently, clusters of particles deposit onto the heating surfaces due to various interactive forces, resulting in formation of porous or impervious layers. The deposit layer grows or recedes depending upon variations in interparticle and surface forces, fluid shear, fluid chemistry, etc. This deposit layer in turn affects the rate of bubble generation, formation of porous chimneys, critical heat flux (CHF) of surfaces, activation and deactivation of nucleation sites on the heating surfaces. Several problems are posed due to the effect of boiling on colloidal deposition, which range from research initiatives involving nano-fluids as a heat transfer medium to industrial applications such as light water nuclear reactors. In this study, it is attempted to integrate colloid and surface science with vapor bubble dynamics, boiling heat transfer and evaporation rate. Pool boiling experiments with dilute metallic colloids have been conducted to investigate several parameters impacting the system. The experimental data available in the literature is obtained by flow experiments, which do not help in correlating boiling mechanism with the deposition amount or structure. With the help of experimental evidences and analysis, previously proposed hypothesis for particle transport to the contact line due to hydrophobicity has been challenged. The experimental observations suggest that deposition occurs around the bubble surface contact line and extends underneath area of the bubble microlayer as well. During the evaporation the concentration gradient of a non-volatile species is created, which induces osmotic pressure. The osmotic pressure developed inside the microlayer draws more particles inside the microlayer region or towards contact line. The colloidal escape time is slower than the evaporation time, which leads to the aggregation of particles in the evaporating micro-layer. These aggregated particles deposit onto or are removed from the heating surface, depending upon their total interaction potential. Interaction potential has been computed with the help of surface charge and van der Waals potential for the materials in aqueous solutions. Based upon the interaction-force boundary layer thickness, which is governed by debye radius (or ionic concentration and pH), a simplified quantitative model for the attachment kinetics is proposed. This attachment kinetics model gives reasonable results in predicting attachment rate against data reported by previous researchers. The attachment kinetics study has been done for different pH levels and particle sizes for hematite particles. Quantification of colloidal transport under boiling scenarios is done with the help of overall average evaporation rates because generally waiting times for bubbles at the same position is much larger than growth times. In other words, from a larger measurable scale perspective, frequency of bubbles dictates the rate of collection of particles rather than evaporation rate during micro-layer evaporation of one bubble. The combination of attachment kinetics and colloidal transport kinetics has been used to make a consolidated model for prediction of the amount of deposition and is validated with the help of high fidelity experimental data. In an attempt to understand and explain boiling characteristics, high speed visualization of bubble dynamics from a single artificial large cavity and multiple naturally occurring cavities is conducted. A bubble growth and departure dynamics model is developed for artificial active sites and is validated with the experimental data. The variation of bubble departure diameter with wall temperature is analyzed with experimental results and shows coherence with earlier studies. However, deposit traces after boiling experiments show that bubble contact diameter is essential to predict bubble departure dynamics, which has been ignored previously by various researchers. The relationship between porosity of colloid deposits and bubbles under the influence of Jakob number, sub-cooling and particle size has been developed. This also can be further utilized in variational wettability of the surface. Designing porous surfaces can having vast range of applications varying from high wettability, such as high critical heat flux boilers, to low wettability, such as efficient condensers.

An experimental investigation of air flow and convective heat transfer in enclosures having large ventilative flow rates

The prediction of convective heat transfer in enclosures under high ventilative flow rates is primarily of interest for building design and simulation purposes. Current models are based on experiments performed forty years ago with flat plates under natural convection conditions.

A rolling-gliding wear simulator for the investigation of tribological material pairings for application in total knee arthroplasty

Background: Material wear testing is an important technique in the development and evaluation of materials for use in implant for total knee arthroplasty. Since a knee joint induces a complex rolling-gliding movement, standardised material wear testing devices such as Pin-on-Disc or Ring-on-Disc testers are suitable to only a limited extent because they generate pure gliding motion only.Methods: A rolling-gliding wear simulator was thus designed, constructed and implemented, which simulates and reproduces the rolling-gliding movement and loading of the knee joint on specimens of simplified geometry. The technical concept was to run a base-plate, representing the tibia plateau, against a pivoted cylindrical counter-body, representing one femur condyle under an axial load. A rolling movement occurs as a result of the friction and pure gliding is induced by limiting the rotation of the cylindrical counter-body. The set up also enables simplified specimens handling and removal for gravimetrical wear measurements. Long-term wear tests and gravimetrical wear measurements were carried out on the well known material pairings: cobalt chrome-polyethylene, ceramic-polyethylene and ceramic-ceramic, over three million motion cycles to allow material comparisons to be made.Results: The observed differences in wear rates between cobalt-chrome on polyethylene and ceramic on polyethylene pairings were similar to the differences of published data for existing material-pairings. Test results on ceramic-ceramic pairings of different frontal-plane geometry and surface roughness displayed low wear rates and no fracture failures.Conclusions: The presented set up is able to simulate the rolling-gliding movement of the knee joint, is easy to use, and requires a minimum of user intervention or monitoring. It is suitable for long-term testing, and therefore a useful tool for the investigation of new and promising materials which are of interest for application in knee joint replacement implants. © 2010 Richter et al; licensee BioMed Central Ltd.

Is the supply of long-term debt independent of the term premia? Evidence from Portugal

An important assumption in the statistical analysis of the financial market effects of the central bank’s large scale asset purchase program is that the "long-term debt stock variables were exogenous to term premia". We test this assumption for a small open economy in a currency union over the period 2000M3 to 2015M10, via the determinants of short- term financing relative to long-term financing. Empirical estimations indicate that the maturity composition of debt does not respond to the level of interest rate or to the term structure. These findings suggest a lower adherence to the cost minimization mandate of debt management. However, we find that volatility and relative market size respectively decrease and increase short-term financing relative to long-term financing, while it decreases with an increase in government indebtedness.

Governed by the cycle : direct and inverted interest-rate sensitivity of emerging market corporate debt

An innovative approach to quantify interest rate sensitivities of emerging market corporates is proposed. Our focus is centered at price sensitivity of modeled investment grade and high yield portfolios to changes in the present value of modeled portfolios composed of safe-haven assets, which define risk-free interest rates. Our methodology is based on blended yield indexes. Modeled investment horizons are always kept above one year thus allowing to derive empirical implications for practical strategies of interest rate risk management in the banking book. As our study spans over the period 2002 – 2015, it covers interest rate sensitivity of assets under the pre-crisis, crisis, and post-crisis phases of the economic cycles. We demonstrate that the emerging market corporate bonds both, investment grade and high yield types, depending on the phase of a business cycle exhibit diverse regimes of sensitivity to interest rate changes. We observe switching from a direct positive sensitivity under the normal pre-crisis market conditions to an inverted negative sensitivity during distressed turmoil of the recent financial crisis, and than back to direct positive but weaker sensitivity under new normal post-crisis conjuncture. Our unusual blended yield-based approach allows us to present theoretical explanations of such phenomena from economics point of view and helps us to solve an old controversy regarding positive or negative responses of credit spreads to interest rates. We present numerical quantification of sensitivities, which corroborate with our conclusion that hedging of interest rate risk ought to be a dynamic process linked to the phases of business cycles as we evidence a binary-like behavior of interest rate sensitivities along the economic time. Our findings allow banks and financial institutions for approaching downside risk management and optimizing economic capital under Basel III regulatory capital rules.

Real effects of the IFRS 9 adoption in banking

The recent adoption of IFRS 9 is a highly disruptive accounting reform, with significant impacts on how and when negative news (i.e., negative adjustments to reported earnings) are recognized on the financial statements. Using a unique dataset of two major banks operating in one European country we provide evidence of a tightening of the corporate loans pricing after the IFRS 9 adoption. Furthermore, by focusing on the post reform period, we show that the tightening is driven by the new staging classification. Higher risk premiums are associated to clients with previous underperforming exposures (stage 2) and higher probability of default. We also observe that the staging classification is not affecting climate risk premiums. Our results highlight that the lenders, as expected by the regulation, change their risk appetite by charging higher spreads to discourage loan origination for clients that became too risky and expensive under the new standard.

Survival Extrapolation In The Presence Of Cause Specific Hazards.

Health economic evaluations require estimates of expected survival from patients receiving different interventions, often over a lifetime. However, data on the patients of interest are typically only available for a much shorter follow-up time, from randomised trials or cohorts. Previous work showed how to use general population mortality to improve extrapolations of the short-term data, assuming a constant additive or multiplicative effect on the hazards for all-cause mortality for study patients relative to the general population. A more plausible assumption may be a constant effect on the hazard for the specific cause of death targeted by the treatments. To address this problem, we use independent parametric survival models for cause-specific mortality among the general population. Because causes of death are unobserved for the patients of interest, a polyhazard model is used to express their all-cause mortality as a sum of latent cause-specific hazards. Assuming proportional cause-specific hazards between the general and study populations then allows us to extrapolate mortality of the patients of interest to the long term. A Bayesian framework is used to jointly model all sources of data. By simulation, we show that ignoring cause-specific hazards leads to biased estimates of mean survival when the proportion of deaths due to the cause of interest changes through time. The methods are applied to an evaluation of implantable cardioverter defibrillators for the prevention of sudden cardiac death among patients with cardiac arrhythmia. After accounting for cause-specific mortality, substantial differences are seen in estimates of life years gained from implantable cardioverter defibrillators.

Coordination dynamics and attentional costs of continuous and discontinuous bimanual circle drawing movements

It has been suggested that the temporal control of rhythmic unimianual movements is different between tasks requiring continuous (e.g., circle drawing) and discontinuous movements (e.g., finger tapping). Specifically, for continuous movements temporal regularities are ail emergent property, whereas for tasks that involve discontinuities timing is ail explicit part of the action goal. The present experiment further investigated the control of continuous and discontinuous movements by comparing the coordination dynamics and attentional demands of bimanual continuous circle drawing with bimanual intermittent circle drawing. The intermittent task required participants to insert a 400 ms pause between each cycle while circling. Using dual-task methodology, 15 right-handed participants performed the two circle drawing tasks, while vocally responding to randomly presented auditory probes. The circle drawing tasks were performed in symmetrical and asymmetrical coordination modes and at movement frequencies of 1 Hz and 1.7 Hz. Intermittent circle drawing exhibited superior spatial and temporal accuracy and stability than continuous circle drawing supporting the hypothesis that the two tasks have different underlying control processes. In terms of attentional cost, probe RT was significantly slower during the intermittent circle drawing task than the continuous circle drawing task across both coordination modes and movement frequencies. Of interest was the finding that in the intermittent circling task reaction time (RT) to probes presented during the pause between cycles did not differ from the RT to probes occurring during the circling movement. The differences in attentional demands between the intermittent and continuous circle drawing tasks may reflect the operation of explicit event timing and implicit emergent timing processes, respectively. (C) 2008 Elsevier B.V. All rights reserved.

Verification of a mixed high-order accurate DNS code for laminar turbulent transition by the method of manufactured solutions

This paper presents results on a verification test of a Direct Numerical Simulation code of mixed high-order of accuracy using the method of manufactured solutions (MMS). This test is based on the formulation of an analytical solution for the Navier-Stokes equations modified by the addition of a source term. The present numerical code was aimed at simulating the temporal evolution of instability waves in a plane Poiseuille flow. The governing equations were solved in a vorticity-velocity formulation for a two-dimensional incompressible flow. The code employed two different numerical schemes. One used mixed high-order compact and non-compact finite-differences from fourth-order to sixth-order of accuracy. The other scheme used spectral methods instead of finite-difference methods for the streamwise direction, which was periodic. In the present test, particular attention was paid to the boundary conditions of the physical problem of interest. Indeed, the verification procedure using MMS can be more demanding than the often used comparison with Linear Stability Theory. That is particularly because in the latter test no attention is paid to the nonlinear terms. For the present verification test, it was possible to manufacture an analytical solution that reproduced some aspects of an instability wave in a nonlinear stage. Although the results of the verification by MMS for this mixed-order numerical scheme had to be interpreted with care, the test was very useful as it gave confidence that the code was free of programming errors. Copyright (C) 2009 John Wiley & Sons, Ltd.

What are the economic prospects of developing aquaculture in Queensland to supply the low price white fillet market? Lessons from the US channel catfish industry

The farming of channel catfish (Ictalurus punctatus) is the largest (by volume and value) and most successful (in terms of market impact) aquaculture industry in the United States of America. Farmed channel catfish is the most consumed (in terms of volume per capita) fish fillet in the U.S. market. Within Australia, it has long been suggested by researchers and industry that silver perch (Bidyanus bidyanus) and possibly other endemic teraponid species possess similar biological attributes for aquaculture as channel catfish and may have the potential to generate a similar industry. The current teraponid industry in Australia, however, shows very little resemblance to the catfish industry, either in production style or market philosophy. A well established budget framework from the literature on U.S. channel catfish farming has been adapted for cost and climate conditions of the Burdekin region, Queensland, Australia. Breakeven prices for the hypothetical teraponid farms were found to be up to 50% higher than those published for catfish farms however were much lower than those reported for silver perch production in Australia using current, endemic styles of production. The breakeven prices for the hypothetical teraponid farms were most sensitive (in order of significance) to feed prices, production rates, interest rates, fingerling prices and electricity prices. At equivalent feed costs the costs of production between the hypothetical catfish farms in the Mississippi, U.S. and the hypothetical teraponid farms in the Burdekin, Australia were remarkably similar. The cost of feeds suitable for teraponid production in Australia are currently around double that of catfish feeds in the U.S. Issues currently hindering the development of a large scale teraponid industry in Australia are discussed.

Analysis of proximal femur DXA scans in growing children: Comparisons of different protocols for cross-sectional 8-month and 7-year longitudinal data

Dual-energy X-ray absorptiometry (DXA) is a widely used method for measuring bone mineral in the growing skeleton. Because scan analysis in children offers a number of challenges, we compared DXA results using six analysis methods at the total proximal femur (PF) and five methods at the femoral neck (FN), In total we assessed 50 scans (25 boys, 25 girls) from two separate studies for cross-sectional differences in bone area, bone mineral content (BMC), and areal bone mineral density (aBMD) and for percentage change over the short term (8 months) and long term (7 years). At the proximal femur for the short-term longitudinal analysis, there was an approximate 3.5% greater change in bone area and BMC when the global region of interest (ROI) was allowed to increase in size between years as compared with when the global ROI was held constant. Trend analysis showed a significant (p < 0.05) difference between scan analysis methods for bone area and BMC across 7 years. At the femoral neck, cross-sectional analysis using a narrower (from default) ROI, without change in location, resulted in a 12.9 and 12.6% smaller bone area and BMC, respectively (both p < 0.001), Changes in FN area and BMC over 8 months were significantly greater (2.3 %, p < 0.05) using a narrower FN rather than the default ROI, Similarly, the 7-year longitudinal data revealed that differences between scan analysis methods were greatest when the narrower FN ROI was maintained across all years (p < 0.001), For aBMD there were no significant differences in group means between analysis methods at either the PF or FN, Our findings show the need to standardize the analysis of proximal femur DXA scans in growing children.

Modelling solute transport in structured soils: Performance evaluation of the ADR and TRM models

The movement of chemicals through the soil to the groundwater or discharged to surface waters represents a degradation of these resources. In many cases, serious human and stock health implications are associated with this form of pollution. The chemicals of interest include nutrients, pesticides, salts, and industrial wastes. Recent studies have shown that current models and methods do not adequately describe the leaching of nutrients through soil, often underestimating the risk of groundwater contamination by surface-applied chemicals, and overestimating the concentration of resident solutes. This inaccuracy results primarily from ignoring soil structure and nonequilibrium between soil constituents, water, and solutes. A multiple sample percolation system (MSPS), consisting of 25 individual collection wells, was constructed to study the effects of localized soil heterogeneities on the transport of nutrients (NO3-, Cl-, PO43-) in the vadose zone of an agricultural soil predominantly dominated by clay. Very significant variations in drainage patterns across a small spatial scale were observed tone-way ANOVA, p < 0.001) indicating considerable heterogeneity in water flow patterns and nutrient leaching. Using data collected from the multiple sample percolation experiments, this paper compares the performance of two mathematical models for predicting solute transport, the advective-dispersion model with a reaction term (ADR), and a two-region preferential flow model (TRM) suitable for modelling nonequilibrium transport. These results have implications for modelling solute transport and predicting nutrient loading on a larger scale. (C) 2001 Elsevier Science Ltd. All rights reserved.