956 resultados para Consistent term structure models


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Aims. We present an inversion method based on Bayesian analysis to constrain the interior structure of terrestrial exoplanets, in the form of chemical composition of the mantle and core size. Specifically, we identify what parts of the interior structure of terrestrial exoplanets can be determined from observations of mass, radius, and stellar elemental abundances. Methods. We perform a full probabilistic inverse analysis to formally account for observational and model uncertainties and obtain confidence regions of interior structure models. This enables us to characterize how model variability depends on data and associated uncertainties. Results. We test our method on terrestrial solar system planets and find that our model predictions are consistent with independent estimates. Furthermore, we apply our method to synthetic exoplanets up to 10 Earth masses and up to 1.7 Earth radii, and to exoplanet Kepler-36b. Importantly, the inversion strategy proposed here provides a framework for understanding the level of precision required to characterize the interior of exoplanets. Conclusions. Our main conclusions are (1) observations of mass and radius are sufficient to constrain core size; (2) stellar elemental abundances (Fe, Si, Mg) are principal constraints to reduce degeneracy in interior structure models and to constrain mantle composition; (3) the inherent degeneracy in determining interior structure from mass and radius observations does not only depend on measurement accuracies, but also on the actual size and density of the exoplanet. We argue that precise observations of stellar elemental abundances are central in order to place constraints on planetary bulk composition and to reduce model degeneracy. We provide a general methodology of analyzing interior structures of exoplanets that may help to understand how interior models are distributed among star systems. The methodology we propose is sufficiently general to allow its future extension to more complex internal structures including hydrogen- and water-rich exoplanets.

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Linkage disequilibrium between polymorphisms in a natural population may result from various evolutionary forces, including random genetic drift due to sampling of gametes during reproduction, restricted migration between subpopulations in a subdivided population, or epistatic selection. In this report, we present evidence that the majority of significant linkage disequilibria observed in introns of the alcohol dehydrogenase locus (Adh) of Drosophila pseudoobscura are due to epistatic selection maintaining secondary structure of precursor mRNA (pre-mRNA). Based on phylogenetic-comparative analysis and a likelihood approach, we propose secondary structure models of Adh pre-mRNA for the regions of the adult intron and intron 2 where clustering of linkage disequilibria has been observed. Furthermore, we applied the likelihood ratio test to the phylogenetically predicted secondary structure in intron 1. In contrast to the other two structures, polymorphisms associated with the more conserved stem-loop structure of intron 1 are in low frequency, and linkage disequilibria have not been observed. These findings are qualitatively consistent with a model of compensatory fitness interactions. This model assumes that mutations disrupting pairing in a secondary structural element are individually deleterious if they destabilize a functionally important structure; a second "compensatory" mutation, however, may restabilize the structure and restore fitness.

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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.

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This article examined the relationship between time structure and Macan's process model of time management. This study proposed that time structure—‘appraisal of effective time usage’—would be a more parsimonious mediator than perceived control over time in the relationship between time management behaviours and outcome variables, such as job satisfaction and psychological well-being. Alternative structure models were compared using a sample of 111 university students. Model 1 tested Macan's process model of time management with perceived control over time as the mediator. Model 2 replaced perceived control over time by the construct of time structure. Model 3 examined the possibility of perceived control over time and time structure as being parallel mediators of the relationships between time management and outcomes. Results of this study showed that Model 1 and Model 2 fitted the data equally well. On the other hand, the mediated effects were small and partial in both models. This pattern of results calls for reassessment of the process model.

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Virtual prototyping emerges as a new technology to replace existing physical prototypes for product evaluation, which are costly and time consuming to manufacture. Virtualization technology allows engineers and ergonomists to perform virtual builds and different ergonomic analyses on a product. Digital Human Modelling (DHM) software packages such as Siemens Jack, often integrate with CAD systems to provide a virtual environment which allows investigation of operator and product compatibility. Although the integration between DHM and CAD systems allows for the ergonomic analysis of anthropometric design, human musculoskeletal, multi-body modelling software packages such as the AnyBody Modelling System (AMS) are required to support physiologic design. They provide muscular force analysis, estimate human musculoskeletal strain and help address human comfort assessment. However, the independent characteristics of the modelling systems Jack and AMS constrain engineers and ergonomists in conducting a complete ergonomic analysis. AMS is a stand alone programming system without a capability to integrate into CAD environments. Jack is providing CAD integrated human-in-the-loop capability, but without considering musculoskeletal activity. Consequently, engineers and ergonomists need to perform many redundant tasks during product and process design. Besides, the existing biomechanical model in AMS uses a simplified estimation of body proportions, based on a segment mass ratio derived scaling approach. This is insufficient to represent user populations anthropometrically correct in AMS. In addition, sub-models are derived from different sources of morphologic data and are therefore anthropometrically inconsistent. Therefore, an interface between the biomechanical AMS and the virtual human model Jack was developed to integrate a musculoskeletal simulation with Jack posture modeling. This interface provides direct data exchange between the two man-models, based on a consistent data structure and common body model. The study assesses kinematic and biomechanical model characteristics of Jack and AMS, and defines an appropriate biomechanical model. The information content for interfacing the two systems is defined and a protocol is identified. The interface program is developed and implemented through Tcl and Jack-script(Python), and interacts with the AMS console application to operate AMS procedures.

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The mineral svanbergite SrAl 3(PO 4,SO 4) 2(OH) 6 is a hydroxy phosphate-sulphate mineral belonging to the beudantite subgroup of alunites and has been characterised by vibrational spectroscopy. Bands at various wavenumbers were assigned to the different vibrational modes of svanbergite, which were then associated with the structure of the mineral. Bands were primarily assigned to phosphate and sulphate stretching and bending modes. Two symmetric stretching modes for both phosphate and sulphate supported the concept of non-equivalent phosphate and sulphate units in the mineral structure. Bands in the OH stretching region enabled hydrogen bond distances to be calculated. Comparison of the hydrogen bond distances and the calculated hydrogen bond distances from the structure models indicates that hydrogen bonding in svanbergite occurs between the two OH units rather than OH to SO42- units.

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Background. As a society, our interaction with the environment is having a negative impact on human health. For example, an increase in car use for short trips, over walking or cycling, has contributed to an increase in obesity, diabetes and poor heart health and also contributes to pollution, which is associated with asthma and other respiratory diseases. In order to change the nature of that interaction, to be more positive and healthy, it is recommended that individuals adopt a range of environmentally friendly behaviours (such as walking for transport and reducing the use of plastics). Effective interventions aimed at increasing such behaviours will need to be evidence based and there is a need for the rapid communication of information from the point of research, into policy and practice. Further, a number of health disciplines, including psychology and public health, share a common mission to promote health and well-being. Therefore, the objective of this project is to take a cross-discipline and collaborative approach to reveal psychological mechanisms driving environmentally friendly behaviour. This objective is further divided into three broad aims, the first of which is to take a cross-discipline and collaborative approach to research. The second aim is to explore and identify the salient beliefs which most strongly predict environmentally friendly behaviour. The third aim is to build an augmented model to explain environmentally friendly behaviour. The thesis builds on the understanding that an interdisciplinary collaborative approach will facilitate the rapid transfer of knowledge to inform behaviour change interventions. Methods. The application of this approach involved two surveys which explored the psycho-social predictors of environmentally friendly behaviour. Following a qualitative pilot study, and in collaboration with an expert panel comprising academics, industry professionals and government representatives, a self-administered, Theory of Planned Behaviour (TPB) based, mail survey was distributed to a random sample of 3000 residents of Brisbane and Moreton Bay Region (Queensland, Australia). This survey explored specific beliefs including attitudes, norms, perceived control, intention and behaviour, as well as environmental altruism and green identity, in relation to walking for transport and switching off lights when not in use. Following analysis of the mail survey data and based on feedback from participants and key stakeholders, an internet survey was employed (N=451) to explore two additional behaviours, switching off appliances at the wall when not in use, and shopping with reusable bags. This work is presented as a series of interrelated publications which address each of the research aims. Presentation of Findings. Chapter five of this thesis consists of a published paper which addresses the first aim of the research and outlines the collaborative and multidisciplinary approach employed in the mail survey. The paper argued that forging alliances with those who are in a position to immediately utilise the findings of research has the potential to improve the quality and timely communication of research. Illustrating this timely communication, Chapter six comprises a report presented to Moreton Bay Regional Council (MBRC). This report addresses aim's one and two. The report contains a summary of participation in a range of environmentally friendly behaviours and identifies the beliefs which most strongly predicted walking for transport and switching off lights (from the mail survey). These salient beliefs were then recommended as targets for interventions and included: participants believing that they might save money; that their neighbours also switch off lights; that it would be inconvenient to walk for transport and that their closest friend also walks for transport. Chapter seven also addresses the second aim and presents a published conference paper in which the salient beliefs predicting the four specified behaviours (from both surveys) are identified and potential applications for intervention are discussed. Again, a range of TPB based beliefs, including descriptive normative beliefs, were predictive of environmentally friendly behaviour. This paper was also provided to MBRC, along with recommendations for applying the findings. For example, as descriptive normative beliefs were consistently correlated with environmentally friendly behaviour, local councils could engage in marketing and interventions (workshops, letter box drops, internet promotions) which encourage parents and friends to model, rather than simply encourage, environmentally friendly behaviour. The final two papers, presented in Chapters eight and nine, addresses the third aim of the project. These papers each present two behaviours together to inform a TPB based theoretical model with which to predict environmentally friendly behaviour. A generalised model is presented, which is found to predict the four specific behaviours under investigation. The role of demographics was explored across each of the behaviour specific models. It was found that some behaviour's differ by age, gender, income or education. In particular, adjusted models predicted more of the variance in walking for transport amongst younger participants and females. Adjusted models predicted more variance in switching off lights amongst those with a bachelor degree or higher and predicted more variance in switching off appliances amongst those on a higher income. Adjusted models predicted more variance in shopping with reusable bags for males, people 40 years or older, those on a higher income and those with a bachelor degree or higher. However, model structure and general predictability was relatively consistent overall. The models provide a general theoretical framework from which to better understand the motives and predictors of environmentally friendly behaviour. Conclusion. This research has provided an example of the benefits of a collaborative interdisciplinary approach. It has identified a number of salient beliefs which can be targeted for social marketing campaigns and educational initiatives; and these findings, along with recommendations, have been passed on to a local council to be used as part of their ongoing community engagement programs. Finally, the research has informed a practical model, as well as behaviour specific models, for predicting sustainable living behaviours. Such models can highlight important core constructs from which targeted interventions can be designed. Therefore, this research represents an important step in undertaking collaborative approaches to improving population health through human-environment interactions.

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Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.

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The objective of this paper is to investigate and model the characteristics of the prevailing volatility smiles and surfaces on the DAX- and ESX-index options markets. Continuing on the trend of Implied Volatility Functions, the Standardized Log-Moneyness model is introduced and fitted to historical data. The model replaces the constant volatility parameter of the Black & Scholes pricing model with a matrix of volatilities with respect to moneyness and maturity and is tested out-of-sample. Considering the dynamics, the results show support for the hypotheses put forward in this study, implying that the smile increases in magnitude when maturity and ATM volatility decreases and that there is a negative/positive correlation between a change in the underlying asset/time to maturity and implied ATM volatility. Further, the Standardized Log-Moneyness model indicates an improvement to pricing accuracy compared to previous Implied Volatility Function models, however indicating that the parameters of the models are to be re-estimated continuously for the models to fully capture the changing dynamics of the volatility smiles.

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This thesis describes research pursued in two areas, both involving the design and synthesis of sequence specific DNA-cleaving proteins. The first involves the use of sequence-specific DNA-cleaving metalloproteins to probe the structure of a protein-DNA complex, and the second seeks to develop cleaving moieties capable of DNA cleavage through the generation of a non-diffusible oxidant under physiological conditions.

Chapter One provides a brief review of the literature concerning sequence-specific DNA-binding proteins. Chapter Two summarizes the results of affinity cleaving experiments using leucine zipper-basic region (bZip) DNA-binding proteins. Specifically, the NH_2-terminal locations of a dimer containing the DNA binding domain of the yeast transcriptional activator GCN4 were mapped on the binding sites 5'-CTGACTAAT-3' and 5'ATGACTCTT- 3' using affinity cleaving. Analysis of the DNA cleavage patterns from Fe•EDTA-GCN4(222-281) and (226-281) dimers reveals that the NH_2-termini are in the major groove nine to ten base pairs apart and symmetrically displaced four to five base pairs from the central C of the recognition site. These data are consistent with structural models put forward for this class of DNA binding proteins. The results of these experiments are evaluated in light of the recently published crystal structure for the GCN4-DNA complex. Preliminary investigations of affinity cleaving proteins based on the DNA-binding domains of the bZip proteins Jun and Fos are also described.

Chapter Three describes experiments demonstrating the simultaneous binding of GCN4(226-281) and 1-Methylimidazole-2-carboxamide-netropsin (2-ImN), a designed synthetic peptide which binds in the minor groove of DNA at 5'-TGACT-3' sites as an antiparallel, side-by-side dimer. Through the use of Fe•EDTA-GCN4(226-281) as a sequence-specific footprinting agent, it is shown that the dimeric protein GCN4(226-281) and the dimeric peptide 2- ImN can simultaneously occupy their common binding site in the major and minor grooves of DNA, respectively. The association constants for 2-ImN in the presence and in the absence of Fe•EDTA-GCN4(226-281) are found to be similar, suggesting that the binding of the two dimers is not cooperative.

Chapter Four describes the synthesis and characterization of PBA-β-OH-His- Hin(139-190), a hybrid protein containing the DNA-binding domain of Hin recombinase and the putative iron-binding and oxygen-activating domain of the antitumor antibiotic bleomycin. This 54-residue protein, comprising residues 139-190 of Hin recombinase with the dipeptide pyrimidoblamic acid-β-hydroxy-L-histidine (PBA-β-OH-His) at the NH2 terminus, was synthesized by solid phase methods. PBA-β-OH-His-Hin(139- 190) binds specifically to DNA at four distinct Hin binding sites with affinities comparable to those of the unmodified Hin(139-190). In the presence of dithiothreitol (DTT), Fe•PB-β-OH-His-Hin(139-190) cleaves DNA with specificity remarkably similar to that of Fe•EDTA-Hin(139-190), although with lower efficiency. Analysis of the cleavage pattern suggests that DNA cleavage is mediated through a diffusible species, in contrast with cleavage by bleomycin, which occurs through a non-diffusible oxidant.

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Performance on visual working memory tasks decreases as more items need to be remembered. Over the past decade, a debate has unfolded between proponents of slot models and slotless models of this phenomenon (Ma, Husain, Bays (Nature Neuroscience 17, 347-356, 2014). Zhang and Luck (Nature 453, (7192), 233-235, 2008) and Anderson, Vogel, and Awh (Attention, Perception, Psychophys 74, (5), 891-910, 2011) noticed that as more items need to be remembered, "memory noise" seems to first increase and then reach a "stable plateau." They argued that three summary statistics characterizing this plateau are consistent with slot models, but not with slotless models. Here, we assess the validity of their methods. We generated synthetic data both from a leading slot model and from a recent slotless model and quantified model evidence using log Bayes factors. We found that the summary statistics provided at most 0.15 % of the expected model evidence in the raw data. In a model recovery analysis, a total of more than a million trials were required to achieve 99 % correct recovery when models were compared on the basis of summary statistics, whereas fewer than 1,000 trials were sufficient when raw data were used. Therefore, at realistic numbers of trials, plateau-related summary statistics are highly unreliable for model comparison. Applying the same analyses to subject data from Anderson et al. (Attention, Perception, Psychophys 74, (5), 891-910, 2011), we found that the evidence in the summary statistics was at most 0.12 % of the evidence in the raw data and far too weak to warrant any conclusions. The evidence in the raw data, in fact, strongly favored the slotless model. These findings call into question claims about working memory that are based on summary statistics.

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Both the global and regional P wave tomographic studies have revealed significant deep structural heterogeneities in subduction zone regions. In particular, low-velocity anomalies have been observed beneath the descending high-velocity slabs in a number of subduction zones. The limited resolution at large depths and possible trade-off between the high and low velocities, however, make it difficult to substantiate this feature and evaluate the vertical extent of the low-velocity structure. From broadband waveform modeling of triplicated phases near the 660-km discontinuity for three deep events, we constrained both the P and SH wave velocity structures around the base of the upper mantle in northeast Asia. For the two events beneath the southern Kurile, the rays traveled through the lowermost transition zone and uppermost lower mantle under the descending Pacific slab. Our preferred models consistently suggest normal-to-lower P and significantly low SH velocities above and below the 660-km discontinuity extending to about 760-km depth compared with the global IASP91 model, corroborating previous observations for a slow structure underneath the slab. In contrast, both high P and SH velocity anomalies are shown in our preferred models for the Japan subduction zone region, likely reflecting the structural feature of a slab stagnant above the 660-km discontinuity. The velocity jumps across the 660-km discontinuity were found to be on average 4.5% and 7% for P and S waves under the south Kurile, and 3% and 6% under the Japan subduction zone. The respective velocity contrasts in the two regions are consistent with mineralogical models for colder slab interior and hotter under-slab areas. Based on mineral physics data, the depth-averaged ~1.5% P and ~2.5% SH velocity differences in the depth range of 560-760 km between the two regions could be primarily explained by a 350~450K temperature variation, although the presence of about 0.5wt%~1wt% water might also contribute to the subtle velocity variations near the base of the transition zone in the southern Kurile. From our modeling results, we speculate that the slow structure in the southern Kurile may be correlated to the low velocity zone observed previously around the 410-km discontinuity under Northern Honshu. Both are probably associated with a thermal anomaly rooted in the lower mantle beneath the subduction zone in northeast Asia.

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Extreme arid regions in the worlds' major deserts are typified by quartz pavement terrain. Cryptic hypolithic communities colonize the ventral surface of quartz rocks and this habitat is characterized by a relative lack of environmental and trophic complexity. Combined with readily identifiable major environmental stressors this provides a tractable model system for determining the relative role of stochastic and deterministic drivers in community assembly. Through analyzing an original, worldwide data set of 16S rRNA-gene defined bacterial communities from the most extreme deserts on the Earth, we show that functional assemblages within the communities were subject to different assembly influences. Null models applied to the photosynthetic assemblage revealed that stochastic processes exerted most effect on the assemblage, although the level of community dissimilarity varied between continents in a manner not always consistent with neutral models. The heterotrophic assemblages displayed signatures of niche processes across four continents, whereas in other cases they conformed to neutral predictions. Importantly, for continents where neutrality was either rejected or accepted, assembly drivers differed between the two functional groups. This study demonstrates that multi-trophic microbial systems may not be fully described by a single set of niche or neutral assembly rules and that stochasticity is likely a major determinant of such systems, with significant variation in the influence of these determinants on a global scale.

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This Ph.D. research focuses on asymmetric rolling (ASR), as an alternative method for improving mechanical responses of aluminium-magnesium alloy and interstitial free (IF) steel regarding industrial requirements. Aluminium alloys are attractive materials in various industries due to their appropriate properties such as low density and corrosion resistance; however, their low formability has limited their applications. As formability of aluminium alloys can be improved through texture development, part of this dissertation is dedicated to producing the desired crystallographic texture with the ASR process. Two types of ASR (i.e. reverse and continuous asymmetric rolling) were investigated. The impact of shear deformation imposed by ASR processes on developing the desirable texture and consequently on mechanical behaviours was observed. The developed shear texture increased the normal and also planar anisotropy. Texture evolution during plastic deformation as well as induced mechanical behaviour were simulated using the “self-consistent” and Taylor models. Interstitial free (IF) steel was the second material selected in this dissertation. Since IF steel is one of the most often used materials in automotive industries it was chosen to investigate the effect of shear deformation through ASR on its properties. Two types of reverse and continuous asymmetric rolling were carried out to deform IF steel sheets. The results of optical microscopy and atomic force microscopy observations showed no significant difference between the grains’ morphology of asymmetric and conventionally rolled samples, whereas the obtained results of transmission electron microscopy indicated that fine and equiaxed dislocation cells were formed through the asymmetric rolling process. This structure is due to imposed shear deformation during the ASR process. Furthermore, the mechanical behaviour of deformed and annealed sheets was evaluated through uniaxial tensile tests. Results showed that at low thickness reductions (18%) the asymmetric rolled sample presented higher stress than that of the conventionally rolled sheet; while for higher thickness reductions (60%) the trend was reversed. The texture analyses indicated that intense rolling texture components which developed through 60% thickness reduction of conventional rolling cause a relatively higher stress; on the contrary the fine structure resulting from ASR appears to be the source of higher stress observed after pre-deformation of 18%.