Haar wavelets-based approach for quantifying credit portfolio losses

This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. The Wavelet Approximation (WA) method is specially suitable for non-smooth distributions, often arising in small or concentrated portfolios, when the hypothesis of the Basel II formulas are violated. To test the methodology we consider the Vasicek one-factor portfolio credit loss model as our model framework. WA is an accurate, robust and fast method, allowing to estimate VaR much more quickly than with a Monte Carlo (MC) method at the same level of accuracy and reliability.

An approximation algorithm for #k-SAT

"Vegeu el resum a l'inici del document del fitxer adjunt"

Identification of Mycobacteria by Thin Layer Chromatographic Analysis of Mycolic Acids and Conventional Biochemical Method: Four Years of Experience

Mycolic acids analysis by thin-layer chromatography (TLC) has been employed by several laboratories worldwide as a method for fast identification of mycobacteria. This method was introduced in Brazil by our laboratory in 1992 as a routine identification technique. Up to the present, 861 strains isolated were identified by mycolic acids TLC and by standard biochemical tests; 61% out of these strains came as clinical samples, 4% isolated from frogs and 35% as environmental samples. Mycobacterium tuberculosis strains identified by classical methods were confirmed by their mycolic acids contents (I, III and IV). The method allowed earlier differentiation of M. avium complex - MAC (mycolic acids I, IV and VI) from M. simiae (acids I, II and IV), both with similar biochemical properties. The method also permitted to distinguish M. fortuitum (acids I and V) from M. chelonae (acids I and II) , and to detect mixed mycobacterial infections cases as M. tuberculosis with MAC and M. fortuitum with MAC. Concluding, four years experience shows that mycolic acids TLC is an easy, reliable, fast and inexpensive method, an important tool to put together conventional mycobacteria identification methods.

Local-global splitting for spatiotemporal-adaptive multiscale methods

We present a novel spatiotemporal-adaptive Multiscale Finite Volume (MsFV) method, which is based on the natural idea that the global coarse-scale problem has longer characteristic time than the local fine-scale problems. As a consequence, the global problem can be solved with larger time steps than the local problems. In contrast to the pressure-transport splitting usually employed in the standard MsFV approach, we propose to start directly with a local-global splitting that allows to locally retain the original degree of coupling. This is crucial for highly non-linear systems or in the presence of physical instabilities. To obtain an accurate and efficient algorithm, we devise new adaptive criteria for global update that are based on changes of coarse-scale quantities rather than on fine-scale quantities, as it is routinely done before in the adaptive MsFV method. By means of a complexity analysis we show that the adaptive approach gives a noticeable speed-up with respect to the standard MsFV algorithm. In particular, it is efficient in case of large upscaling factors, which is important for multiphysics problems. Based on the observation that local time stepping acts as a smoother, we devise a self-correcting algorithm which incorporates the information from previous times to improve the quality of the multiscale approximation. We present results of multiphase flow simulations both for Darcy-scale and multiphysics (hybrid) problems, in which a local pore-scale description is combined with a global Darcy-like description. The novel spatiotemporal-adaptive multiscale method based on the local-global splitting is not limited to porous media flow problems, but it can be extended to any system described by a set of conservation equations.

A single LC-tandem mass spectrometry method for the simultaneous determination of 14 antimalarial drugs and their metabolites in human plasma.

Among the various determinants of treatment response, the achievement of sufficient blood levels is essential for curing malaria. For helping us at improving our current understanding of antimalarial drugs pharmacokinetics, efficacy and toxicity, we have developed a liquid chromatography-tandem mass spectrometry method (LC-MS/MS) requiring 200mul of plasma for the simultaneous determination of 14 antimalarial drugs and their metabolites which are the components of the current first-line combination treatments for malaria (artemether, artesunate, dihydroartemisinin, amodiaquine, N-desethyl-amodiaquine, lumefantrine, desbutyl-lumefantrine, piperaquine, pyronaridine, mefloquine, chloroquine, quinine, pyrimethamine and sulfadoxine). Plasma is purified by a combination of protein precipitation, evaporation and reconstitution in methanol/ammonium formate 20mM (pH 4.0) 1:1. Reverse-phase chromatographic separation of antimalarial drugs is obtained using a gradient elution of 20mM ammonium formate and acetonitrile both containing 0.5% formic acid, followed by rinsing and re-equilibration to the initial solvent composition up to 21min. Analyte quantification, using matrix-matched calibration samples, is performed by electro-spray ionization-triple quadrupole mass spectrometry by selected reaction monitoring detection in the positive mode. The method was validated according to FDA recommendations, including assessment of extraction yield, matrix effect variability, overall process efficiency, standard addition experiments as well as antimalarials short- and long-term stability in plasma. The reactivity of endoperoxide-containing antimalarials in the presence of hemolysis was tested both in vitro and on malaria patients samples. With this method, signal intensity of artemisinin decreased by about 20% in the presence of 0.2% hemolysed red-blood cells in plasma, whereas its derivatives were essentially not affected. The method is precise (inter-day CV%: 3.1-12.6%) and sensitive (lower limits of quantification 0.15-3.0 and 0.75-5ng/ml for basic/neutral antimalarials and artemisinin derivatives, respectively). This is the first broad-range LC-MS/MS assay covering the currently in-use antimalarials. It is an improvement over previous methods in terms of convenience (a single extraction procedure for 14 major antimalarials and metabolites reducing significantly the analytical time), sensitivity, selectivity and throughput. While its main limitation is investment costs for the equipment, plasma samples can be collected in the field and kept at 4 degrees C for up to 48h before storage at -80 degrees C. It is suited to detecting the presence of drug in subjects for screening purposes and quantifying drug exposure after treatment. It may contribute to filling the current knowledge gaps in the pharmacokinetics/pharmacodynamics relationships of antimalarials and better define the therapeutic dose ranges in different patient populations.

Approximation algorithms for two-state anti-ferromagnetic spin systems on bounded degree graphs

In a seminal paper [10], Weitz gave a deterministic fully polynomial approximation scheme for counting exponentially weighted independent sets (which is the same as approximating the partition function of the hard-core model from statistical physics) in graphs of degree at most d, up to the critical activity for the uniqueness of the Gibbs measure on the innite d-regular tree. ore recently Sly [8] (see also [1]) showed that this is optimal in the sense that if here is an FPRAS for the hard-core partition function on graphs of maximum egree d for activities larger than the critical activity on the innite d-regular ree then NP = RP. In this paper we extend Weitz's approach to derive a deterministic fully polynomial approximation scheme for the partition function of general two-state anti-ferromagnetic spin systems on graphs of maximum degree d, up to the corresponding critical point on the d-regular tree. The main ingredient of our result is a proof that for two-state anti-ferromagnetic spin systems on the d-regular tree, weak spatial mixing implies strong spatial mixing. his in turn uses a message-decay argument which extends a similar approach proposed recently for the hard-core model by Restrepo et al [7] to the case of general two-state anti-ferromagnetic spin systems.

Development of a novel headspace sorptive extraction method to study the aging of volatile compounds in spent handgun cartridges

Estimating the time since the last discharge of firearms and/or spent cartridges may be a useful piece of information in forensic firearm-related cases. The current approach consists of studying the diffusion of selected volatile organic compounds (such as naphthalene) released during the shooting using solid phase micro-extraction (SPME). However, this technique works poorly on handgun car-tridges because the extracted quantities quickly fall below the limit of detection. In order to find more effective solutions and further investigate the aging of organic gunshot residue after the discharge of handgun cartridges, an extensive study was carried out in this work using a novel approach based on high capacity headspace sorptive extraction (HSSE). By adopting this technique, for the first time 51 gunshot residue (GSR) volatile organic compounds could be simultaneously detected from fired handgun cartridge cases. Application to aged specimens showed that many of those compounds presented significant and complementary aging profiles. Compound-to-compound ratios were also tested and proved to be beneficial both in reducing the variability of the aging curves and in enlarging the time window useful in a forensic casework perspective. The obtained results were thus particularly promising for the development of a new complete forensic dating methodology.

Antimalarial drug susceptibility testing of Plasmodium falciparum in Brazil using a radioisotope method

From March 1996 to August 1997, a study was carried out in a malaria endemic area of the Brazilian Amazon region. In vivo sensitivity evaluation to antimalarial drugs was performed in 129 patients. Blood samples (0.5 ml) were drawn from each patient and cryopreserved to proceed to in vitro studies. In vitro sensitivity evaluation performed using a radioisotope method was carried out with the cryopreserved samples from September to December 1997. Thirty-one samples were tested for chloroquine, mefloquine, halofantrine, quinine, arteether and atovaquone. Resistance was evidenced in 96.6% (29/30) of the samples tested for chloroquine, 3.3% (1/30) for quinine, none (0/30) for mefloquine and none for halofantrine (0/30). Overall low sensitivity was evidenced in 10% of the samples tested for quinine, 22.5% tested for halofantrine and in 20% tested for mefloquine. Means of IC 50 values were 132.2 (SD: 46.5) ng/ml for chloroquine, 130.6 (SD: 49.6) ng/ml for quinine, 3.4 (SD: 1.3) ng/ml for mefloquine, 0.7 (SD: 0.3) ng/ml for halofantrine, 1 (SD: 0.6) ng/ml for arteether and 0.4 (SD: 0.2) ng/ml for atovaquone. Means of chloroquine IC 50 of the tested samples were comparable to that of the chloroquine-resistant strain W2 (137.57 ng/ml) and nearly nine times higher than that of the chloroquine-sensitive strain D6 (15.09 ng/ml). Means of quinine IC 50 of the tested samples were 1.7 times higher than that of the low sensitivity strain W2 (74.84 ng/ml) and nearly five times higher than that of the quinine-sensitive strain D6 (27.53 ng/ml). These results disclose in vitro high resistance levels to chloroquine, low sensitivity to quinine and evidence of decreasing sensitivity to mefloquine and halofantrine in the area under evaluation.

Standartization of broth microdilution method for Mycobacterium tuberculosis

Indirect drug susceptibility tests of Mycobacterium tuberculosis was done to investigate the accuracy and feasibility of a broth microdilution method (BMM) for determining minimal inhibitory concentrations of conventional drugs against M. tuberculosis. Test drugs included isoniazid (H), rifampicin (R), ethambutol (E), streptomycin (S) and pyrazinamide (Z). Fifty isolates of M. tuberculosis from patients who had never received drug therapy, and H37Rv strain for control, were evaluated in the system. When comparing this method with the gold standard proportional method in Lowenstein-Jensen medium, sensitivity of 100% for all drugs and specifities of 91, 100, 96, 98 and 85% were observed respectively for H, R, E, S and Z. The BMM was read faster (14-20 days) than the proportional method (20-28 days). The microdilution method evaluated allows the testing of multiple drugs in multiple concentrations. It is easy to perform and does not require special equipment or expensive supplies. In contrast to radiometric method it does not use radioactive material.

A simple method for human peripheral blood monocyte Isolation

We describe a simple method using percoll gradient for isolation of highly enriched human monocytes. High numbers of fully functional cells are obtained from whole blood or buffy coat cells. The use of simple laboratory equipment and a relatively cheap reagent makes the described method a convenient approach to obtaining human monocytes.

Antimicrobial susceptibility of Campylobacter jejuni subsp. jejuni assessed by E-test and double dilution agar method in Southern Chile

The susceptibility patterns of 108 Campylobacter jejuni subsp. jejuni clinical strains, to six antimicrobial agents was determined by using the E-test and the double dilution agar methods. Using both metods, no strain was found to be resistant to ciprofloxacin, erythromycin and gentamicin, but two (1.8%) were resistant to tetracycline and all to aztreonam. Seven (6.5%) strains were resistant to ampicillin by the E-test and five (4.6%) by the double dilution agar method and by both meyhods. No great discrepancies were observed between both methods.

A simplified method for sample collection and DNA isolation for polymerase chain reaction detection of Trypanosoma rangeli and Trypanosoma cruzi in triatomine vectors

Due to the overlapping distribution of Trypanosoma rangeli and T. cruzi in Central and South America, sharing several reservoirs and triatomine vectors, we herein describe a simple method to collect triatomine feces and hemolymph in filter paper for further detection and specific characterization of these two trypanosomes. Experimentally infected triatomines feces and hemolymph were collected in filter paper and specific detection of T. rangeli or T. cruzi DNA by polymerase chain reaction was achieved. This simple DNA collection method allows sample collection in the field and further specific trypanosome detection and characterization in the laboratory.

Influència de la música sobre l'atenció humana: especial a la metodologia d'anàlisi, tot combinant metodologia quantitavia amb qualitativa (mix method)

Projecte de recerca elaborat a partir d’una estada a la University of Calgary, Canadà, entre desembre del 2007 i febrer del 2008. El projecte ha consistit en l'anàlisi de les dades d'una recerca en el camp de la psicologia de la música, concretament en com influeix la música en l'atenció a través de les vies dels estats emocionals i enèrgics de la persona. Per a la recerca es feu ús de videu en les sessions, obtenint dades visuals i auditives per a complementar les dades de tipus quantitatiu provinents dels resultats d'uns tests d'atenció subministrats. L'anàlisi es realitzà segons mètodes i tècniques de caràcter qualitatiu, apresos durant l'estada. Així mateix també s'ha aprofundit en la comprensió del paradigma qualitatiu com a paradigma vàlid i realment complementari del paradigma qualitatiu. S'ha focalitzat especialment en l'anàlisi de la conversa des d'un punt de vista interpretatiu així com l'anàlisi de llenguatge corporal i facial a partir de l'observació de videu, tot formulant descriptors i subdescriptors de la conducta que està relacionada amb la hipòtesis. Alguns descriptors havien estat formulats prèviament a l’anàlisi, en base a altres investigacions i al background de la investigadora; altres s’han anat descobrint durant l’anàlisi. Els descriptors i subdescriptors de la conducta estan relacionats amb l'intent dels estats anímics i enèrgics dels diferents participants. L'anàlisi s'ha realitzat com un estudi de casos, fent un anàlisi exhaustiu persona per persona amb l'objectiu de trobar patrons de reacció intrapersonals i intrapersonals. Els patrons observats s'utilitzaran com a contrast amb la informació quantitativa, tot realitzant triangulació amb les dades per trobar-ne possibles recolzaments o contradiccions entre sí. Els resultats preliminars indiquen relació entre el tipus de música i el comportament, sent que la música d'emotivitat negativa està associada a un tancament de la persona, però quan la música és enèrgica els participants s'activen (conductualment observat) i somriuen si aquesta és positiva.

Hybrid Multiscale Finite Volume method for two-phase flow in porous media

We present a novel hybrid (or multiphysics) algorithm, which couples pore-scale and Darcy descriptions of two-phase flow in porous media. The flow at the pore-scale is described by the Navier?Stokes equations, and the Volume of Fluid (VOF) method is used to model the evolution of the fluid?fluid interface. An extension of the Multiscale Finite Volume (MsFV) method is employed to construct the Darcy-scale problem. First, a set of local interpolators for pressure and velocity is constructed by solving the Navier?Stokes equations; then, a coarse mass-conservation problem is constructed by averaging the pore-scale velocity over the cells of a coarse grid, which act as control volumes; finally, a conservative pore-scale velocity field is reconstructed and used to advect the fluid?fluid interface. The method relies on the localization assumptions used to compute the interpolators (which are quite straightforward extensions of the standard MsFV) and on the postulate that the coarse-scale fluxes are proportional to the coarse-pressure differences. By numerical simulations of two-phase problems, we demonstrate that these assumptions provide hybrid solutions that are in good agreement with reference pore-scale solutions and are able to model the transition from stable to unstable flow regimes. Our hybrid method can naturally take advantage of several adaptive strategies and allows considering pore-scale fluxes only in some regions, while Darcy fluxes are used in the rest of the domain. Moreover, since the method relies on the assumption that the relationship between coarse-scale fluxes and pressure differences is local, it can be used as a numerical tool to investigate the limits of validity of Darcy's law and to understand the link between pore-scale quantities and their corresponding Darcy-scale variables.

A subspace correction method for discontinuous Galerkin discretizations of linear elasticity equations

We study preconditioning techniques for discontinuous Galerkin discretizations of isotropic linear elasticity problems in primal (displacement) formulation. We propose subspace correction methods based on a splitting of the vector valued piecewise linear discontinuous finite element space, that are optimal with respect to the mesh size and the Lamé parameters. The pure displacement, the mixed and the traction free problems are discussed in detail. We present a convergence analysis of the proposed preconditioners and include numerical examples that validate the theory and assess the performance of the preconditioners.