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.

Immigration as a strategic vector for the socio-economic and institutional development of Brazil

Brazil has demonstrated resilience in relation to the recent economic crises and has an auspicious development potential projected for the coming decades, which, linked to the globalization process, provides important opportunities for our people. Gradually we have established ourselves as one of the leading nations in the world and we have become a reference in questions linked to economic equilibrium, development, energy, agriculture and the environment. This international recognition favors the exchange of experiences with other cultures, governments and organizations, bringing with it the possibility of stimulating a dynamic process of development and innovation.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

Global stabilizing feedback law for a problem of biological control of mosquito-borne diseases

The control of the spread of dengue fever by introduction of the intracellular parasitic bacterium Wolbachia in populations of the vector Aedes aegypti, is presently one of the most promising tools for eliminating dengue, in the absence of an efficient vaccine. The success of this operation requires locally careful planning to determine the adequate number of mosquitoes carrying the Wolbachia parasite that need to be introduced into the natural population. The latter are expected to eventually replace the Wolbachia-free population and guarantee permanent protection against the transmission of dengue to human. In this paper, we propose and analyze a model describing the fundamental aspects of the competition between mosquitoes carrying Wolbachia and mosquitoes free of the parasite. We then introduce a simple feedback control law to synthesize an introduction protocol, and prove that the population is guaranteed to converge to a stable equilibrium where the totality of mosquitoes carry Wolbachia. The techniques are based on the theory of monotone control systems, as developed after Angeli and Sontag. Due to bistability, the considered input-output system has multivalued static characteristics, but the existing results are unable to prove almost-global stabilization, and ad hoc analysis has to be conducted.

Preferência alimentar e identificação das principais fontes de repasto sanguíneo de fêmeas Lutzomyia (Diptera: Psychodidae) em áreas endêmicas para leishmaniose visceral na grande Natal

Leishmaniasis are endemic diseases wild spread in the New and Old World, caused by the flagelated protozoan Leishmania. In the New World, the distribution of different forms of leishmaniasis is mostly in tropical regions. In the State of Rio Grande do Norte, Northeast Brazil, 85% of the captured sand flies fauna is Lutzomyia longipalpis. The distribution of the sand fly vector in the state overlaps with the disease distribution, where the presence of sand flies is associated with presence of animals shelters. The aim of this study was to analyse the blood meal preference of sand flies vector from the genus Lutzomyia spp. in laboratory conditions, to verify the vector life cicle at different temperatures sets and to identify the main blood meal source in endemic areas for visceral leishmaniasis (VL) at peri-urban regions of Natal. Sand flies samples were collected from the municipalities of São Gonçalo do Amarante and Nísia Floresta where female sand flies were grouped for the colony maintenance in the laboratory and for the analysis of the preferred source of sand fly blood meal in natural environment. The prevalence of blood meal preference and oviposition for the females sand flies was 97% for Cavia porcellus with oviposition of 19 eggs/female; 97% for Eqqus caballus with 19 eggs/female; 98% for human blood with 14 eggs/female; 71.3% for Didelphis albiventris with 8.4 eggs/female; 73% for Gallus gallus with 14 eggs/female; 86% for Canis familiaris with 10.3 eggs/female; 81.4% for Galea spixii with 26 eggs/female; 36% for Callithrix jachus with 15 eggs/female; 42.8% for Monodelphis domestica with 0% of oviposition. Female sand flies did not take a blood meal from Felis catus. Sand flies life cycle ranged from 32-40 days, with 21-50 oviposition rates approximately. This study also showed that at 32°C the life cycle had 31 days, at 28° C it had 50 days and at 22°C it increased to 79 days. Adjusting the temperature to 35°C the eggs did not hatch, thus blocking the life cycle. A total of 1540 sand flies were captured, among them, 1.310 were male and 230 were female. Whereas 86% of the sand flies captured were Lu. longipalpis as compared to 10.5% for Lu. evandroi and, 3.2% for L. lenti and 0.3% for Lu whitmani. The ratio between female and male sandfly was approximately 6 males to 1 female. In Nísia Floresta, 50.7% of the collected females took their blood meal from armadillo, 12.8% from human. Among the female sand flies captured in São Gonçalo do Amarante, 80 of them were tested for the Leishmania KDNA infectivity where 5% of them were infected with Leishmania chagasi. Female Lutzomyia spp. showed to have an opportunistic blood meal characteristic. The behavioral parameters seem to have a higher influence in the oviposition when compared to the level of total proteins detected in the host s bloodstream. A higher Lu. longipalpis life cycle viability was observed at 28°C. The increase of temperature dropped the life cycle time, which means that the life cycle is modified by temperature range, source of blood meal and humidity. Lu longipalpis was the most specie found in the inner and peridomiciliar environment. In Nísia Floresta, armadillos were the main source of blood meal for Lutzomyia spp. At São Gonçalo do Amarante, humans were the main source of blood meal due to CDC nets placed inside their houses

Predição de ganhos genéticos em melhoramento florestal

Foram avaliados os ganhos totais preditos por diferentes critérios de seleção, em seis características de crescimento em famílias de meios-irmãos de Eucalyptus camaldulensis. A situação simulada consistiu na seleção de 25% das 44 famílias estudadas, e de 17% das plantas dentro dessas famílias, proporcionando, assim, uma seleção de 4,25% dos indivíduos constantes do ensaio. Os critérios de seleção empregados foram: seleção direta e indireta; índice clássico de Smith & Hazel, com quatro pesos econômicos, e índice de Pesek & Baker, em três situações. Os critérios de seleção utilizados mostraram-se semelhantes entre si, com ligeira superioridade do índice clássico quando se estabeleceu como vetor de pesos econômicos o coeficiente de variação genética associado a cada uma das características analisadas.

Resonances and subharmonic bifurcations of large amplitude periodic orbits of planar polynomial vector fields

In this work are studied periodic perturbations, depending on two parameters, of planar polynomial vector fields having an annulus of large amplitude periodic orbits, which accumulate on a symmetric infinite heteroclinic cycle. Such periodic orbits and the heteroclinic trajectory can be seen only by the global consideration of the polynomial vector fields on the whole plane, and not by their restriction to any compact set. The global study involving infinity is performed via the Poincare Compactification. It is shown that, for certain types of periodic perturbations, one can seek, in a neighborhood of the origin in the parameter plane, curves C-(m) of subharmonic bifurcations, for which the periodically perturbed system has subharmonics of order m, for any integer m.

Periodic perturbations of quadratic planar polynomial vector fields

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Attraction of the cutaneous leishmaniasis vector Nyssomyia neivai (Diptera: Psychodidae) to host odour components in a wind tunnel

Background: Laboratory studies of host-seeking olfactory behaviour in sandflies have largely been restricted to the American visceral leishmaniasis vector Lutzomyia longipalpis. In comparison, almost nothing is known about the chemical ecology of related species, which transmit American cutaneous leishmaniasis (ACL), due in part to difficulties in raising these insects in the laboratory. Understanding how ACL vectors locate their hosts will be essential to developing new vector control strategies to combat this debilitating disease.Methods: This study examined host-odour seeking behaviour of the ACL vector Nyssomyia neivai (Pinto) (=Lutzomyia neivai) using a wind tunnel olfactometer. The primary aim was to determine whether field-collected female N. neivai would respond to host odours in the laboratory, thereby eliminating the need to maintain colonies of these insects for behavioural experiments. Responses to two key host odour components, 1-octen-3-ol and lactic acid, and a commercially-available mosquito lure (BG-Lure (TM)) were assessed and compared relative to an air control. We also tested whether trials could be conducted outside of the normal evening activity period of N. neivai without impacting on fly behaviour, and whether the same flies could be used to assess baseline responses to air without affecting responses to octenol, thereby reducing the number of flies required for experiments.Results: Octenol was found to both activate host-seeking behaviour and attract female N. neivai in the wind tunnel, while lactic acid elicited weaker responses of activation and attractiveness under identical conditions. The BG-Lure did not activate or attract N. neivai under test conditions. Further experiments showed that sandfly behaviour in the wind tunnel was not affected by time of day, such that experiments need not be restricted to nocturnal hours. Moreover, using the same flies to measure both baseline responses to air and attraction to test compounds did not affect odour-seeking behaviour.Conclusions: The results of this study demonstrate that N. neivai taken from the field are suitable for use in laboratory olfactometer experiments. It is hoped this work will facilitate further research into chemical ecology of this species, and other ACL vectors.

Kondo-attractive-Hubbard model for the ordering of local magnetic moments in superconductors

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

On 3-Parameter Families of Piecewise Smooth Vector Fields in the Plane

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

Bounded solutions of fermions in the background of mixed vector-scalar inversely linear potentials

The problem of a fermion subject to a general mixing of vector and scalar potentials in a two-dimensional world is mapped into a Sturm-Liouville problem. Isolated bounded solutions are also searched. For the specific case of an inversely linear potential, which gives rise to an effective Kratzer potential in the Sturm-Liouville problem, exact bounded solutions are found in closed form. The case of a pure scalar potential with their isolated zero-energy solutions, already analyzed in a previous work, is obtained as a particular case. The behavior of the upper and lower components of the Dirac spinor is discussed in detail and some unusual results are revealed. The nonrelativistic limit of our results adds a new support to the conclusion that even-parity solutions to the nonrelativistic one-dimensional hydrogen atom do not exist. (c) 2004 Elsevier B.V. All rights reserved.

Effects of a mixed vector-scalar screened coulomb potential for spinless particles

The problem of a spinless particle subject to a general mixing of vector and scalar screened Coulomb potentials in a two-dimensional world is analyzed and its bounded solutions are found. Some unusual results, including the existence of a bona fide solitary zero-eigenmode solution, are revealed for the Klein-Gordon equation. The cases of pure vector and scalar potentials, already analyzed in previous works, are obtained as particular cases.

Unified treatment of mixed vector-scalar screened Coulomb potentials for fermions

The problem of a fermion subject to a general mixing of vector and scalar screened Coulomb potentials in a two-dimensional world is analyzed and quantization conditions are found.