A Unified Model for XVA, including Interest Rates and Rating

We start in Chapter 2 to investigate linear matrix-valued SDEs and the Itô-stochastic Magnus expansion. The Itô-stochastic Magnus expansion provides an efficient numerical scheme to solve matrix-valued SDEs. We show convergence of the expansion up to a stopping time τ and provide an asymptotic estimate of the cumulative distribution function of τ. Moreover, we show how to apply it to solve SPDEs with one and two spatial dimensions by combining it with the method of lines with high accuracy. We will see that the Magnus expansion allows us to use GPU techniques leading to major performance improvements compared to a standard Euler-Maruyama scheme. In Chapter 3, we study a short-rate model in a Cox-Ingersoll-Ross (CIR) framework for negative interest rates. We define the short rate as the difference of two independent CIR processes and add a deterministic shift to guarantee a perfect fit to the market term structure. We show how to use the Gram-Charlier expansion to efficiently calibrate the model to the market swaption surface and price Bermudan swaptions with good accuracy. We are taking two different perspectives for rating transition modelling. In Section 4.4, we study inhomogeneous continuous-time Markov chains (ICTMC) as a candidate for a rating model with deterministic rating transitions. We extend this model by taking a Lie group perspective in Section 4.5, to allow for stochastic rating transitions. In both cases, we will compare the most popular choices for a change of measure technique and show how to efficiently calibrate both models to the available historical rating data and market default probabilities. At the very end, we apply the techniques shown in this thesis to minimize the collateral-inclusive Credit/ Debit Valuation Adjustments under the constraint of small collateral postings by using a collateral account dependent on rating trigger.

Gut microbiota perturbation induced by emerging dietary habits: an in vitro colon model to predict their effects by a microbiomic and metabolomic approach

Over the past 30 years, unhealthy diets and lifestyles have increased the incidence of noncommunicable diseases and are culprits of diffusion on world’s population of syndromes as obesity or other metabolic disorders, reaching pandemic proportions. In order to comply with such scenario, the food industry has tackled these challenges with different approaches, as the reformulation of foods, fortification of foods, substitution of ingredients and supplements with healthier ingredients, reduced animal protein, reduced fats and improved fibres applications. Although the technological quality of these emerging food products is known, the impact they have on the gut microbiota of consumers remains unclear. In the present PhD thesis, the recipient work was conducted to study different foods with the substitution of the industrial and market components to that of novel green oriented and sustainable ingredients. So far, this thesis included eight representative case studies of the most common substitutions/additions/fortifications in dairy, meat, and vegetable products. The products studied were: (i) a set of breads fortified with polyphenol-rich olive fiber, to replace synthetic antioxidant and preservatives, (ii) a set of Gluten-free breads fortified with algae powder, to fortify the protein content of standard GF products, (iii) different formulations of salami where nitrates were replaced by ascorbic acid and vegetal extract antioxidants and nitrate-reducers starter cultures, (iv) chocolate fiber plus D-Limonene food supplement, as a novel prebiotic formula, (v) hemp seed bran and its alkalase hydrolysate, to introduce as a supplement, (vi) milk with and without lactose, to evaluate the different impact on human colonic microbiota of healthy or lactose-intolerants, (vii) lactose-free whey fermented and/or with probiotics added, to be introduced as an alternative beverage, exploring its impact on human colonic microbiota from healthy or lactose-intolerants, and (viii) antibiotics, to assess whether maternal amoxicillin affects the colon microbiota of piglets.

Essays in nonlinear pricing and rent seeking

This thesis consists of three self-contained essays on nonlinear pricing and rent-seeking. In the first chapter of the thesis, I provide new theoretical insights about non-linear pricing in monopoly and common agency by combining the principal-agent framework with other-regarding preferences. I introduce a new theoretical model that separately characterizes status-seeker and inequity-averse buyers. I show how the buyer’s optimal choice of quality and market inefficiency change when the buyer has other-regarding preferences. In the second chapter, I find the optimal productive rent-seeking and sabotaging efforts when the prize is endogenous. I show that due to the existence of endogeneity, sabotaging the productive rent-seeking efforts causes sabotaging the endogenous part of the prize, which can affect the rent-seeking efforts. Moreover, I introduce social preferences into my model and characterize symmetric productive rent-seeking and sabotaging efforts. In the last chapter, I propose a new theoretical model regarding information disclosure with Bayesian persuasion in rent-seeking contests when the efforts are productive. I show that under one-sided incomplete information, information disclosure decision depends on both the marginal costs of efforts and the marginal benefit of aggregate exerted effort. I find that since the efforts are productive and add a positive surplus on the fixed rent, my model narrows down the conditions for the information disclosure compared to the exogenous model. Under the two-sided incomplete information case, I observe that there is a non-monotone relationship between optimal effort and posterior beliefs. Thus, it might be difficult to conclude whether a contest organizer should disclose any information to contestants.

Montagem de uma disciplina experimental: contribuição para a química geral

The purpose of this paper is to present a classification criterion for general chemistry experiments departing from a survey of 35 years of the experimental general chemistry discipline at the Chemistry Institute - UNICAMP. It is shown that by considering the most remarkable characteristics of an experiment and classifying it under Conceptual, Fundamental, Methodological or Quantitative criterion, teachers could better develop the discipline plan and prevent a subject superposition. Taking into account the system Fe3+/SCN- , the article also exemplify how is possible to modify an experimental approach and to conceive other procedures with different didactic purposes.

Proposta de avaliação da simetria e transferencia de peso e a relação dessa condição com a atividade funcional do hemiplegico

Universidade Estadual de Campinas . Faculdade de Educação Física

Beneficios da atividade fisica para pessoas com deficiencia visual : contribuições a partir da teoria de Erik Erickson

Universidade Estadual de Campinas . Faculdade de Educação Física

Tratamento nutricional da bulimia nervosa

A bulimia nervosa é um transtorno alimentar caracterizado por compulsões alimentares e métodos compen-satórios recorrentes. Os pacientes apresentam ingestão alimentar inadequada e comportamentos alimentares disfuncionais. O adequado tratamento do transtorno requer uma equipe multiprofissional e terapia nutricional especializada. Compreender as características desse transtorno, os padrões de consumo e o comportamento alimentar, bem como atentar para as atitudes alimentares dos pacientes, é fundamental para o planejamento e para a adequada condução da abordagem nutricional. A terapia nutricional para esse transtorno é diferenciada, exigindo do nutricionista maiores habilidades de aconselhamento nutricional. Educação nutricional e acon-selhamento nutricional, com ênfase na abordagem de atitudes alimentares e insatisfação corporal, são o foco da terapia nutricional. Para o atendimento eficaz desses pacientes e o sucesso no tratamento nutricional, é importante que o profissional se mantenha atualizado sobre nutrição e transtornos alimentares e procure especialização e experiência nessa área do conhecimento.

A primeira planta cartográfica da cidade de São Paulo

The first known plan of the city of Sao Paulo, made in 1810 by Rufino Felizardo e Costa, is analyzed with emphasis on the cartographic and astronomical details: the precision, scale, magnetic declination, and orientation in relation to the north, the prime meridian, the precision of the coordinates (latitude and longitude) and others. An analytic methodology is followed, observing the plan and formulating questions. To answer then, resources of modern technologies are employed (digital cartography, GPS) as well as knowledge of the history of cartography. The work is justified by the fact that there are no cartographic studies about this important document.

Brazilian flavonoid database: Application of quality evaluation system

Much information on flavonoid content of Brazilian foods has already been obtained; however, this information is spread in scientific publications and non-published data. The objectives of this work were to compile and evaluate the quality of national flavonoid data according to the United States Department of Agriculture`s Data Quality Evaluation System (USDA-DQES) with few modifications, for future dissemination in the TBCA-USP (Brazilian Food Composition Database). For the compilation, the most abundant compounds in the flavonoid subclasses were considered (flavonols, flavones, isoflavones, flavanones, flavan-3-ols, and anthocyanidins) and the analysis of the compounds by HPLC was adopted as criteria for data inclusion. The evaluation system considers five categories, and the maximum score assigned to each category is 20. For each data, a confidence code (CC) was attributed (A, B, C and D), indicating the quality and reliability of the information. Flavonoid data (773) present in 197 Brazilian foods were evaluated. The CC ""C"" (as average) was attributed to 99% of the data and ""B"" (above average) to 1%. The main categories assigned low average scores were: number of samples; sampling plan and analytical quality control (average scores 2, 5 and 4, respectively). The analytical method category received an average score of 9. The category assigned the highest score was the sample handling (20 average). These results show that researchers need to be conscious about the importance of the number and plan of evaluated samples and the complete description and documentation of all the processes of methodology execution and analytical quality control. (C) 2010 Elsevier Inc. All rights reserved.

Sketch design drawing, Hill House, Chapel Hill, Brisbane

Sketch floor plan and diagrams.

L36 Standard House

Hand-drawn plan and elevation.

Economic performance of Brazilian manufacturing firms: a counterfactual analysis of innovation impacts

This article assesses if innovators outperform non-innovators in Brazilian manufacturing during 1996-2002. To do so, we begin with a simple theoretical model and test the impacts of technological innovation (treatment) on innovating firms (treated) by employing propensity score matching techniques. Correcting for the survivorship bias in the period, it was verified that, on an average, the accomplishment of technological innovations produces positive and significant impacts on the employment, the net revenue, the labor productivity, the capital productivity, and market share of the firms. However, this result was not observed for the mark-up. Especially, the net revenue reflects more robustly the impacts of the innovations. Quantitatively speaking, innovating firms experienced a 10.8-12.5 percentage points (p.p. henceforth) higher growth on employment, a 18.1-21.7 p.p. higher growth on the net revenue, a 10.8-11.9 p.p. higher growth on labor productivity, a 11.8-12.0 p.p. higher growth on capital productivity, and a 19.9-24.3 p.p. higher growth on their market share, relative to the average of the non-innovating firms in the control group. It was also observed that the conjunction of product and process innovations, relative to other forms of innovation, presents the stronger impacts on the performance of Brazilian firms.

Challenges of nutritional assessment in pediatric ICU

Purpose of review The nutritional assessment of children in the pediatric ICU is unique in view of the metabolic changes of the underlying disease. This review addresses the use and limitations of anthropometry and laboratorial and body composition markers in the diagnosis of the nutritional status of such patients. Recent findings The presence of inflammatory activity leads to body composition changes (lean mass reduction) and undernutrition. Nutritional assessment in pediatric ICU must prioritize anthropometric and laboratory markers that can differentiate body composition to detect specific macronutrient and micronutrient deficiencies and assessment of the inflammatory activity. Summary Nutritional assessment is one of the main aspects of the pediatric intensive care patient and is the most important tool to avoid hospital undernutrition. There is currently no gold standard for nutritional assessment in the pediatric ICU. The results of anthropometric and laboratory markers must be jointly analyzed, but individually interpreted according to disease and metabolic changes, in order to reach a correct diagnosis of the nutritional status and to plan and monitor the nutritional treatment.