A two-mean reverting-factor model of the term structure of interest rates

This paper presents a two--factor model of the term structure ofinterest rates. We assume that default free discount bond prices aredetermined by the time to maturity and two factors, the long--term interestrate and the spread (difference between the long--term rate and theshort--term (instantaneous) riskless rate). Assuming that both factorsfollow a joint Ornstein--Uhlenbeck process, a general bond pricing equationis derived. We obtain a closed--form expression for bond prices andexamine its implications for the term structure of interest rates. We alsoderive a closed--form solution for interest rate derivatives prices. Thisexpression is applied to price European options on discount bonds andmore complex types of options. Finally, empirical evidence of the model'sperformance is presented.

A process approach to the utility for gambling

This paper argues that any specific utility or disutility for gamblingmust be excluded from expected utility because such a theory is consequentialwhile a pleasure or displeasure for gambling is a matter of process, notof consequences. A (dis)utility for gambling is modeled as a process utilitywhich monotonically combines with expected utility restricted to consequences.This allows for a process (dis)utility for gambling to be revealed. Asan illustration, the model shows how empirical observations in the Allaisparadox can reveal a process disutility of gambling. A more general modelof rational behavior combining processes and consequences is then proposedand discussed.

Determination of extreme floods using a distributed hydrological model

Hydrological models developed for extreme precipitation of PMP type are difficult to calibrate because of the scarcity of available data for these events. This article presents the process and results of calibration for a distributed hydrological model at fine scale developed for the estimation of probable maximal floods in the case of a PMP. This calibration is done on two Swiss catchments for two events of summer storms. The calculation done is concentrated on the estimation of the parameters of the model, divided in two parts. The first is necessary for the computation of flow speeds while the second is required for the determination of the initial and final infiltration capacities for each terrain type. The results, validated with the Nash equation show a good correlation between the simulated and observed flows. We also apply this model on two Romanian catchments, showing the river network and estimated flow.

Use of NIR spectroscopy and multivariate process spectra calibration methodology for pharmaceutical solid samples analysis

Accomplish high quality of final products in pharmaceutical industry is a challenge that requires the control and supervision of all the manufacturing steps. This request created the necessity of developing fast and accurate analytical methods. Near infrared spectroscopy together with chemometrics, fulfill this growing demand. The high speed providing relevant information and the versatility of its application to different types of samples lead these combined techniques as one of the most appropriated. This study is focused on the development of a calibration model able to determine amounts of API from industrial granulates using NIR, chemometrics and process spectra methodology.

Differential vulnerability of neurochemically identified subpopulations of retinal neurons in a monkey model of glaucoma.

The vulnerability of subpopulations of retinal neurons delineated by their content of cytoskeletal or calcium-binding proteins was evaluated in the retinas of cynomolgus monkeys in which glaucoma was produced with an argon laser. We quantitatively compared the number of neurons containing either neurofilament (NF) protein, parvalbumin, calbindin or calretinin immunoreactivity in central and peripheral portions of the nasal and temporal quadrants of the retina from glaucomatous and fellow non-glaucomatous eyes. There was no significant difference between the proportion of amacrine, horizontal and bipolar cells labeled with antibodies to the calcium-binding proteins comparing the two eyes. NF triplet immunoreactivity was present in a subpopulation of retinal ganglion cells, many of which, but not all, likely correspond to large ganglion cells that subserve the magnocellular visual pathway. Loss of NF protein-containing retinal ganglion cells was widespread throughout the central (59-77% loss) and peripheral (96-97%) nasal and temporal quadrants and was associated with the loss of NF-immunoreactive optic nerve fibers in the glaucomatous eyes. Comparison of counts of NF-immunoreactive neurons with total cell loss evaluated by Nissl staining indicated that NF protein-immunoreactive cells represent a large proportion of the cells that degenerate in the glaucomatous eyes, particularly in the peripheral regions of the retina. Such data may be useful in determining the cellular basis for sensitivity to this pathologic process and may also be helpful in the design of diagnostic tests that may be sensitive to the loss of the subset of NF-immunoreactive ganglion cells.

The optimal dividend barrier in the Gamma-Omega model

In the traditional actuarial risk model, if the surplus is negative, the company is ruined and has to go out of business. In this paper we distinguish between ruin (negative surplus) and bankruptcy (going out of business), where the probability of bankruptcy is a function of the level of negative surplus. The idea for this notion of bankruptcy comes from the observation that in some industries, companies can continue doing business even though they are technically ruined. Assuming that dividends can only be paid with a certain probability at each point of time, we derive closed-form formulas for the expected discounted dividends until bankruptcy under a barrier strategy. Subsequently, the optimal barrier is determined, and several explicit identities for the optimal value are found. The surplus process of the company is modeled by a Wiener process (Brownian motion).

Un model d'implantació d'un sistema de gestió de la documentació administrativa: el projecte DursiGED

[cat] Aquest article descriu el procés d'implantació d'un sistema de gestió de la documentació administrativa al Departament d'Universitats, Recerca i Societat de la Informació de la Generalitat de Catalunya (actualment Departament d'Innovació, Universitats i Empresa). El projecte, anomenat DursiGED, ha inclòs l'anàlisi, el desenvolupament i la implantació dels productes i serveis necessaris per gestionar la documentació electrònica i en suport paper de manera normalitzada i d'acord amb uns paràmetres de qualitat. L'article inclou la descripció de la planificació del projecte, el procés d'implantació i seguiment, i els productes i serveis que n'han resultat.

ON THE ROLE OF PERIOD-2 IN THE CIRCADIAN AND HOMEOSTATIC REGULATION OF SLEEP

Humans spend one third of their life sleeping, then we could raise the basic question: Why do we sleep? Despite the fact that we still don't fully understand its function, we made much progress in understanding at different levels how sleep is regulated. One model suggests that sleep is regulated by two processes: a homeostatic process that tracks the need for sleep and by a circadian rhythm that determines the preferred time-of-day sleep occurs. At the molecular level circadian rhythms are a property of interlocking transcriptional regula-tors referred to as clock genes. The heterodimeric transcription factors BMAL1::CLOCK/NPAS2 drive the transcription of many target genes including the clock genes Cryptochome1 (Cry1), Cry2, Period1 (Per1), and Per2. The encoded CRY/PER proteins are transcriptional inhibitors of BMAL1::CLOCK/NPAS2 thereby providing negative feedback to their own transcription. These genes seem, however, also involved in sleep homeostasis because the brain expression of clock genes, es-pecially that of Per2, increase as a function of time-spent-awake and because mice lacking clock genes display altered sleep homeostasis. The aim of first part of my doctoral work has been to advance our understanding the link that exists between sleep homeostasis and circadian rhythms investigating a possible mechanism by which sleep deprivation could alter clock gene expression by quantifying DNA-binding of the core-clock genes BMAL1, CLOCK and NPAS2 to their target chromatin loci including the E-box enhancers of the Per2 promoter. We made use of chromatin immunoprecipitation (ChIP) and quantitative poly-merase chain reaction (qPCR) to show that DNA-binding of CLOCK and BMAL1 to their target genes changes as a function of time-of-day in both liver and cerebral cortex. We then performed a 6h sleep deprivation (SD) and observed a significant decrease in DNA-binding of CLOCK and BMAL1 to Dbp. This is consistent with a decrease in Dbp mRNA levels after SD. The DNA-binding of NPAS2 and BMAL1 to Per2 was similarly decreased following SD. However, SD has been previously shown to in-crease Per2 expression in the cortex which seems paradoxical. Our results demonstrate that sleep-wake history can affect the molecular clock machinery directly at the level of the chromatin thereby altering the cortical expression of Dbp and Per2, and likely other targets. However, the precise dy-namic relationship between DNA-binding and mRNA expression, especially for Per2, remains elusive. The second aim of my doctoral work has been to perform an in depth characterization of cir-cadian rhythmicity, sleep architecture, analyze the response to SD in full null-Per2 knock-out (Per2-/-) mice, and Per1-/- mice, as well as their double knock-out offspring (Per1,2-/-) and littermate wildtype (Wt) mice. The techniques used include locomotor activity recording by passive infrared (PIR) sen-sors, EEG/EMG surgery, recording, and analysis, and cerebral cortex extraction and quantification of mRNA levels by qPCR. Under standard LD12:12 conditions, we found that wakefulness onset, as well as the time courses of clock gene expression in the brain and corticosterone plasma levels were ad-vanced by about 2h in Per2-/- mice compared to Wt mice. When released under constant dark condi-tions almost all Per2-/- mice (97%) became arrhythmic immediately. From these observations, we conclude that while Per2-/- mice seem to be able to anticipate dark onset, this does not result from a self-sustained circadian clock. Our results suggest instead that the earlier onset of activity results from a labile, not-self sustained 22h rhythm linked to light onset suggesting the existence of a light-driven rhythm. Analyses of sleep under LD12:12 conditions revealed that in both Per2-/- and Per1,2-/- mice the same sleep phenotypes are observed compared to Wt mice: increased NREM sleep frag-mentation and inability to adequately compensate the loss of NREM sleep. That suggests a possible role of PER2 in sleep consolidation and recovery.

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

An agency-oriented model to explain vine-growing specialization in the province of Barcelona (Catalonia, Spain) in the mid-nineteenth century

[cat] En aquest treball presentem un model per explicar el procés d’especialització vitícola assolit als municipis de la província de Barcelona, a mitjans del s. XIX,que cerca entendre com va sorgir històricament un avantatge comparatiu fruit d’un procés que esdevindria un dels punts de partida del procés d’industrialització a Catalunya. Els resultats confirmen els papers jugats pel impuls “Boserupià” de la població en un context d’intensificació de l’ús de la terra, i d’un impuls del mercat “Smithià” en un context d’expansió de la demanda per part de les economies atlàntiques. També es posa de manifest la importància de les dotacions agro-ecològiques i les condicions socioinstitucionals relacionades amb la desigualtat d’ingrés. La difusió de la vinya donà com a resultat unes comunitats rurals menys desiguals fins al 1820, tot i que aquesta desigualtat augmentà de nou a partir d'aleshores.

A joint back calculation model for the imputation of the date of HIV infection in a prevalent cohort.

In studies of the natural history of HIV-1 infection, the time scale of primary interest is the time since infection. Unfortunately, this time is very often unknown for HIV infection and using the follow-up time instead of the time since infection is likely to provide biased results because of onset confounding. Laboratory markers such as the CD4 T-cell count carry important information concerning disease progression and can be used to predict the unknown date of infection. Previous work on this topic has made use of only one CD4 measurement or based the imputation on incident patients only. However, because of considerable intrinsic variability in CD4 levels and because incident cases are different from prevalent cases, back calculation based on only one CD4 determination per person or on characteristics of the incident sub-cohort may provide unreliable results. Therefore, we propose a methodology based on the repeated individual CD4 T-cells marker measurements that use both incident and prevalent cases to impute the unknown date of infection. Our approach uses joint modelling of the time since infection, the CD4 time path and the drop-out process. This methodology has been applied to estimate the CD4 slope and impute the unknown date of infection in HIV patients from the Swiss HIV Cohort Study. A procedure based on the comparison of different slope estimates is proposed to assess the goodness of fit of the imputation. Results of simulation studies indicated that the imputation procedure worked well, despite the intrinsic high volatility of the CD4 marker.

Use of the swat model for hydro-sedimentologic simulation in a small rural watershed

Mathematical models have great potential to support land use planning, with the goal of improving water and land quality. Before using a model, however, the model must demonstrate that it can correctly simulate the hydrological and erosive processes of a given site. The SWAT model (Soil and Water Assessment Tool) was developed in the United States to evaluate the effects of conservation agriculture on hydrological processes and water quality at the watershed scale. This model was initially proposed for use without calibration, which would eliminate the need for measured hydro-sedimentologic data. In this study, the SWAT model was evaluated in a small rural watershed (1.19 km²) located on the basalt slopes of the state of Rio Grande do Sul in southern Brazil, where farmers have been using cover crops associated with minimum tillage to control soil erosion. Values simulated by the model were compared with measured hydro-sedimentological data. Results for surface and total runoff on a daily basis were considered unsatisfactory (Nash-Sutcliffe efficiency coefficient - NSE < 0.5). However simulation results on monthly and annual scales were significantly better. With regard to the erosion process, the simulated sediment yields for all years of the study were unsatisfactory in comparison with the observed values on a daily and monthly basis (NSE values < -6), and overestimated the annual sediment yield by more than 100 %.

Side-branch growth in two-dimensional dendrits. Part II: Phase-field model

The development of side-branching in solidifying dendrites in a regime of large values of the Peclet number is studied by means of a phase-field model. We have compared our numerical results with experiments of the preceding paper and we obtain good qualitative agreement. The growth rate of each side branch shows a power-law behavior from the early stages of its life. From their birth, branches which finally succeed in the competition process of side-branching development have a greater growth exponent than branches which are stopped. Coarsening of branches is entirely defined by their geometrical position relative to their dominant neighbors. The winner branches escape from the diffusive field of the main dendrite and become independent dendrites.

MORM--a Petri net based model for assessing OH&S risks in industrial processes: modeling qualitative aspects.

Because of the increase in workplace automation and the diversification of industrial processes, workplaces have become more and more complex. The classical approaches used to address workplace hazard concerns, such as checklists or sequence models, are, therefore, of limited use in such complex systems. Moreover, because of the multifaceted nature of workplaces, the use of single-oriented methods, such as AEA (man oriented), FMEA (system oriented), or HAZOP (process oriented), is not satisfactory. The use of a dynamic modeling approach in order to allow multiple-oriented analyses may constitute an alternative to overcome this limitation. The qualitative modeling aspects of the MORM (man-machine occupational risk modeling) model are discussed in this article. The model, realized on an object-oriented Petri net tool (CO-OPN), has been developed to simulate and analyze industrial processes in an OH&S perspective. The industrial process is modeled as a set of interconnected subnets (state spaces), which describe its constitutive machines. Process-related factors are introduced, in an explicit way, through machine interconnections and flow properties. While man-machine interactions are modeled as triggering events for the state spaces of the machines, the CREAM cognitive behavior model is used in order to establish the relevant triggering events. In the CO-OPN formalism, the model is expressed as a set of interconnected CO-OPN objects defined over data types expressing the measure attached to the flow of entities transiting through the machines. Constraints on the measures assigned to these entities are used to determine the state changes in each machine. Interconnecting machines implies the composition of such flow and consequently the interconnection of the measure constraints. This is reflected by the construction of constraint enrichment hierarchies, which can be used for simulation and analysis optimization in a clear mathematical framework. The use of Petri nets to perform multiple-oriented analysis opens perspectives in the field of industrial risk management. It may significantly reduce the duration of the assessment process. But, most of all, it opens perspectives in the field of risk comparisons and integrated risk management. Moreover, because of the generic nature of the model and tool used, the same concepts and patterns may be used to model a wide range of systems and application fields.

Viral self-assembly as a thermodynamic process

The protein shells, or capsids, of nearly all spherelike viruses adopt icosahedral symmetry. In the present Letter, we propose a statistical thermodynamic model for viral self-assembly. We find that icosahedral symmetry is not expected for viral capsids constructed from structurally identical protein subunits and that this symmetry requires (at least) two internal switching configurations of the protein. Our results indicate that icosahedral symmetry is not a generic consequence of free energy minimization but requires optimization of internal structural parameters of the capsid proteins