Stochastic discount factor bounds and rare events: a review

We aim to provide a review of the stochastic discount factor bounds usually applied to diagnose asset pricing models. In particular, we mainly discuss the bounds used to analyze the disaster model of Barro (2006). Our attention is focused in this disaster model since the stochastic discount factor bounds that are applied to study the performance of disaster models usually consider the approach of Barro (2006). We first present the entropy bounds that provide a diagnosis of the analyzed disaster model which are the methods of Almeida and Garcia (2012, 2016); Ghosh et al. (2016). Then, we discuss how their results according to the disaster model are related to each other and also present the findings of other methodologies that are similar to these bounds but provide different evidence about the performance of the framework developed by Barro (2006).

Stochastic simulation of time-series models combined with geostatistics to predict water-table scenarios in a Guarani Aquifer System outcrop area, Brazil

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Method of numerical correction of errors occasioned by delay of records during the monitoring of environmental variables of interest for animal production

As condições de ambiente térmico e aéreo, no interior de instalações para animais, alteram-se durante o dia, devido à influência do ambiente externo. Para que análises estatísticas e geoestatísticas sejam representativas, uma grande quantidade de pontos distribuídos espacialmente na área da instalação deve ser monitorada. Este trabalho propõe que a variação no tempo das variáveis ambientais de interesse para a produção animal, monitoradas no interior de instalações para animais, pode ser modelada com precisão a partir de registros discretos no tempo. O objetivo deste trabalho foi desenvolver um método numérico para corrigir as variações temporais dessas variáveis ambientais, transformando os dados para que tais observações independam do tempo gasto durante a aferição. O método proposto aproximou os valores registrados com retardos de tempo aos esperados no exato momento de interesse, caso os dados fossem medidos simultaneamente neste momento em todos os pontos distribuídos espacialmente. O modelo de correção numérica para variáveis ambientais foi validado para o parâmetro ambiental temperatura do ar, sendo que os valores corrigidos pelo método não diferiram pelo teste Tukey, a 5% de probabilidade dos valores reais registrados por meio de dataloggers.

Stability of multistep second derivative methods for integro-differential equations

The stability of multistep second derivative methods for integro-differential equations is examined through a test equation which allows for the construction of the associated characteristic polynomial and its region of stability (roots in the unit circle) at a proper parameter space. (c) 2004 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

Numerical simulation of drop impact and jet buckling problems using the eXtended Pom-Pom model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Comparison between Two Methods to Calculate the Transition Matrix of Orbit Motion

Two methods to evaluate the state transition matrix are implemented and analyzed to verify the computational cost and the accuracy of both methods. This evaluation represents one of the highest computational costs on the artificial satellite orbit determination task. The first method is an approximation of the Keplerian motion, providing an analytical solution which is then calculated numerically by solving Kepler's equation. The second one is a local numerical approximation that includes the effect of J(2). The analysis is performed comparing these two methods with a reference generated by a numerical integrator. For small intervals of time (1 to 10s) and when one needs more accuracy, it is recommended to use the second method, since the CPU time does not excessively overload the computer during the orbit determination procedure. For larger intervals of time and when one expects more stability on the calculation, it is recommended to use the first method.

A study of a numerical solution of the steady two dimensions Navier-Stokes equations in a constricted channel problem by a compact fourth order method

We present a numerical solution for the steady 2D Navier-Stokes equations using a fourth order compact-type method. The geometry of the problem is a constricted symmetric channel, where the boundary can be varied, via a parameter, from a smooth constriction to one possessing a very sharp but smooth corner allowing us to analyse the behaviour of the errors when the solution is smooth or near singular. The set of non-linear equations is solved by the Newton method. Results have been obtained for Reynolds number up to 500. Estimates of the errors incurred have shown that the results are accurate and better than those of the corresponding second order method. (C) 2002 Elsevier B.V. All rights reserved.

A common Tabu search algorithm for the global optimization of engineering problems

A novel common Tabu algorithm for global optimizations of engineering problems is presented. The robustness and efficiency of the presented method are evaluated by using standard mathematical functions and hy solving a practical engineering problem. The numerical results show that the proposed method is (i) superior to the conventional Tabu search algorithm in robustness, and (ii) superior to the simulated annealing algorithm in efficiency. (C) 2001 Elsevier B.V. B.V. All rights reserved.

Numerical approximation of the Ginzburg-Landau equation with memory effects in the dynamics of phase transitions

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Crossover between the extended and localized regimes in stochastic partially self-avoiding walks in one-dimensional disordered systems

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Correlation times in stochastic equations with delayed feedback and multiplicative noise

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Numerical exploration of resonant dynamics in the system of Saturnian major satellites

We numerically investigate the long-term dynamics of the Saturnian system by analyzing the Fourier spectra of ensembles of orbits taken around the current orbits of Mimas, Enceladus, Tethys, Rhea and Hyperion. We construct dynamical maps around the current position of these satellites in their respective phase spaces. The maps are the result of a great deal of numerical simulations where we adopt dense sets of initial conditions and different satellite configurations. Several structures associated to the current two-body mean-motion resonances, unstable regions associated to close approaches between the satellites, and three-body mean-motion resonances in the system, are identified in the map. (C) 2010 Elsevier Ltd. All rights reserved.

PHYLOGENETIC STUDIES OF SOME SPECIES OF THE GENUS COFFEA .1. NUMERICAL-ANALYSIS OF FLAVONOID COMPOUNDS

Flavonoid compounds were analyzed in ripe fruit pulp of ten species of Coffea, including two cultivars of C. arabica and two of C. canephora. Three coefficients of similarity: Simple-Matching, Jaccard and Ochiai and three different clustering methods, Single Linkage, Complete Linkage and Unweighted Pair Group, Using Arithmetic Averages (UPGMA), were used to analyze the data.Jaccard and Ochiai's coefficients of association showed a more coherent result, when compared with taxonomic and hybridization studies. Inclusion of Psilanthopsis kapakata in the genus Coffea, as C. kapakata, is justified by the similarity of this species with other studied species, and clusters clearly approximate the species C. arabica and C. eugenioides. The latter is one of the possible parents of the allotetraploid species C. arabica, C. congensis is the only species whose position remains ambiguous, probably due to the fact that the plants of this species that were introduced into the Campinas collections, were hybrids and not typical of C. congensis.

A modified ant colony optimization algorithm modeled on tabu-search methods

An earlier model underlying the foraging strategy of a pachycodyla apicalis ant is modified. The proposed algorithm incorporates key features of the tabu-search method in the development of a relatively simple but robust global ant colony optimization algorithm. Numerical results are reported to validate and demonstrate the feasibility and effectiveness of the proposed algorithm in solving electromagnetic (EM) design problems.

PHYLOGENETIC STUDIES OF SOME SPECIES OF THE GENUS COFFEA .2. NUMERICAL-ANALYSIS OF ISOENZYMATIC DATA

Thirteen species of Coffea were studied for five enzymes systems, including alpha and beta esterase, alkaline phosphatase, acid phosphatase, malate dehydrogenase and acid dehydrogenase. Three coefficients of similarity: Simple Matching, Jaccard and Ochiai and three different clustering methods: Single Linkage, Complete Linkage and Unweighted Pair Group, using Arithmetic Averages (UPGMA) were used to analyse the data.The phylogenetic relationships among the twelve diploid species and between them and the tetraploid species C. arabica showed that similarity among species of the same subsection is not always greater than among species of different subsections. In addition, although there are several similarity groups in common, established by isoenzymatic polymorphism, morphological characteristics, chemical data, crossability and geographic distribution, there is no common trend among the phylogenetic relationships as indicated by all these different evaluating procedures.