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.

Atrial septal pacing for the termination of atrial fibrillation: study in a biophysical model of human atria.

AIMS: While successful termination by pacing of organized atrial tachycardias has been observed in patients, single site rapid pacing has not yet led to conclusive results for the termination of atrial fibrillation (AF). The purpose of this study was to evaluate a novel atrial septal pacing algorithm for the termination of AF in a biophysical model of the human atria. METHODS AND RESULTS: Sustained AF was generated in a model based on human magnetic resonance images and membrane kinetics. Rapid pacing was applied from the septal area following a dual-stage scheme: (i) rapid pacing for 10-30 s at pacing intervals 62-70% of AF cycle length (AFCL), (ii) slow pacing for 1.5 s at 180% AFCL, initiated by a single stimulus at 130% AFCL. Atrial fibrillation termination success rates were computed. A mean success rate for AF termination of 10.2% was obtained for rapid septal pacing only. The addition of the slow pacing phase increased this rate to 20.2%. At an optimal pacing cycle length (64% AFCL) up to 29% of AF termination was observed. CONCLUSION: The proposed septal pacing algorithm could suppress AF reentries in a more robust way than classical single site rapid pacing. Experimental studies are now needed to determine whether similar termination mechanisms and rates can be observed in animals or humans, and in which types of AF this pacing strategy might be most effective.

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.

Regulation of the Activity of the Dual-Function DnaA Protein in Caulobacter crescentus.

DnaA is a conserved essential bacterial protein that acts as the initiator of chromosomal replication as well as a master transcriptional regulator in Caulobacter crescentus. Thus, the intracellular levels of active DnaA need to be tightly regulated during the cell cycle. Our previous work suggested that DnaA may be regulated at the level of its activity by the replisome-associated protein HdaA. Here, we describe the construction of a mutant DnaA protein [DnaA(R357A)]. The R357 residue in the AAA+ domain of the C. crescentus DnaA protein is equivalent to the R334 residue of the E. coli DnaA protein, which is required for the Regulatory Inactivation of DnaA (RIDA). We found that the expression of the DnaA(R357A) mutant protein in C. crescentus, but not the expression of the wild-type DnaA protein at similar levels, causes a severe phenotype of over-initiation of chromosomal replication and that it blocks cell division. Thus, the mutant DnaA(R357A) protein is hyper-active to promote the initiation of DNA replication, compared to the wild-type DnaA protein. DnaA(R357A) could not replace DnaA in vivo, indicating that the switch in DnaA activity once chromosomal replication has started may be an essential process in C. crescentus. We propose that the inactivation of DnaA is the main mechanism ensuring that chromosomal replication starts only once per cell cycle. We further observed that the R357A substitution in DnaA does not promote the activity of DnaA as a direct transcriptional activator of four important genes, encoding HdaA, the GcrA master cell cycle regulator, the FtsZ cell division protein and the MipZ spatial regulator of cell division. Thus, the AAA+ domain of DnaA may play a role in temporally regulating the bifunctionality of DnaA by reallocating DnaA molecules from initiating DNA replication to transcribing genes within the unique DnaA regulon of C. crescentus.

Correlations between trabecular bone score, measured using anteroposterior dual-energy x-ray absorptiometry acquisition, and 3-dimensional parameters of bone microarchitecture: an experimental study on human cadaver vertebrae.

Developing a novel technique for the efficient, noninvasive clinical evaluation of bone microarchitecture remains both crucial and challenging. The trabecular bone score (TBS) is a new gray-level texture measurement that is applicable to dual-energy X-ray absorptiometry (DXA) images. Significant correlations between TBS and standard 3-dimensional (3D) parameters of bone microarchitecture have been obtained using a numerical simulation approach. The main objective of this study was to empirically evaluate such correlations in anteroposterior spine DXA images. Thirty dried human cadaver vertebrae were evaluated. Micro-computed tomography acquisitions of the bone pieces were obtained at an isotropic resolution of 93μm. Standard parameters of bone microarchitecture were evaluated in a defined region within the vertebral body, excluding cortical bone. The bone pieces were measured on a Prodigy DXA system (GE Medical-Lunar, Madison, WI), using a custom-made positioning device and experimental setup. Significant correlations were detected between TBS and 3D parameters of bone microarchitecture, mostly independent of any correlation between TBS and bone mineral density (BMD). The greatest correlation was between TBS and connectivity density, with TBS explaining roughly 67.2% of the variance. Based on multivariate linear regression modeling, we have established a model to allow for the interpretation of the relationship between TBS and 3D bone microarchitecture parameters. This model indicates that TBS adds greater value and power of differentiation between samples with similar BMDs but different bone microarchitectures. It has been shown that it is possible to estimate bone microarchitecture status derived from DXA imaging using TBS.

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 theoretical and practical study on linear reforms of dual taxes

[cat] En aquest treball extenem les reformes lineals introduïdes per Pfähler (1984) al cas d’impostos duals. Estudiem l’efecte relatiu que els retalls lineals duals d’un impost dual tenen sobre la distribució de la desigualtat -es pot fer un estudi simètric per al cas d’augments d’impostos-. Tambe introduïm mesures del grau de progressivitat d’impostos duals i mostrem que estan connectades amb el criteri de dominació de Lorenz. Addicionalment, estudiem l’elasticitat de la càrrega fiscal de cadascuna de les reformes proposades. Finalment, gràcies a un model de microsimulació i una gran base de dades que conté informació sobre l’IRPF espanyol de l’any 2004, 1) comparem l’efecte que diferents reformes tindrien sobre l’impost dual espanyol i 2) estudiem quina redistribució de la riquesa va suposar la reforma dual de l’IRPF (Llei ’35/2006’) respecte l’anterior impost.

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 %.