Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Valuation and performance of firms in complex ownership structures : an application to Korean chaebols

We propose several new metrics to describe the complex ownership structure of business groups, and provide simple formulas and algorithms to compute these metrics. We use these measures to describe in detail the ownership structure of Korean chaebols in the period of 2003 to 2004. In addition, we validate the usefulness of our new metrics by showing empirically that they are important for understanding the valuation and performance of group firms. In particular, we show evidence that firms that are central to the control structure of the chaebol (central firms), firms in cross-shareholdings, and firms that are placed at the bottom of the group (i.e., with lower ultimate ownership) have lower profitability than other group firms. The valuation results suggest that central firms and firms in cross-shareholding loops have lower valuations than other public Chaebol firms. The lower valuation of these firms is not explained by variation in measures of ownership concentration and separation between ownership and control.

Caracterização microestrutural e elétrica de La(FexNi1-x)O3 sintetizado pelo método da gelatina

The present work deals with the synthesis of materials with perovskite structure with the intention of using them as cathodes in fuel cells SOFC type. The perovskite type materials were obtained by chemical synthesis method, using gelatin as the substituent of citric acid and ethylene glycol, and polymerizing acting as chelating agent. The materials were characterized by X-ray diffraction, thermal analysis, spectroscopy Fourier transform infrared, scanning electron microscopy with EDS, surface area determination by the BET method and Term Reduction Program, TPR. The compounds were also characterized by electrical conductivity for the purpose of observing the possible application of this material as a cathode for fuel cells, solid oxide SOFC. The method using gelatin and polymerizing chelating agent for the preparation of materials with the perovskite structure allows the synthesis of crystalline materials and homogeneous. The results demonstrate that the route adopted to obtain materials were effective. The distorted perovskite structure have obtained the type orthorhombic and rhombohedral; important for fuel cell cathodes. The presentation material properties required of a candidate cathode materials for fuel cells. XRD analysis contacted by the distortion of the structures of the synthesized materials. The analyzes show that the electrical conductivity obtained materials have the potential to act as a cell to the cathode of solid oxide fuel, allowing to infer an order of values for the electrical conductivities of perovskites where LaFeO3 < LaNiO3 < LaNi0,5Fe0,5O3. It can be concluded that the activity of these perovskites is due to the presence of structural defects generated that depend on the method of synthesis and the subsequent heat treatment

Direct Observation of Tetragonal Distortion in Epitaxial Structures through Secondary Peak Split in a Synchrotron Radiation Renninger Scan

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Effects of corn particle size and physical form of the diet on the gastrointestinal structures of broiler chickens

The objective of this experiment was to investigate the effects of different particle sizes, expressed as Geometric Mean Diameter (GMD) of corn (0.336mm, 0.585mm, 0.856mm and 1.12mm) of mash and pelleted broiler chicken diets on the weight of the gizzard, duodenum and jejunum+ileum; on the pH of the gizzard and small intestine and on the characteristics of the duodenal mucous layer (number and height of villi and crypt depth) in 42-day-old broilers. The physical form and the particle size of the diet had no significant effect on gizzard and intestine pH (p > 0.05). A greater gizzard weight was seen in the birds receiving pelleted diet and particle size of 0.336mm (p < 0.008). However, for the particle sizes of 0.856 and 1.12 mm, a greater weight was found in birds that received mash diet (p < 0.039 and p < 0.006, respectively). Also, gizzard weight was greater with increasing corn GMD independent of the physical form of the diet. In the mash diet, the increase in particle size promoted a quadratic response in the weight of duodenum and jejunum + ileum. The pelleted diet promoted a greater number of villi per transverse duodenum cut (p < 0.007) and greater crypt depth (p < 0.05). As the particle size increased, there was a linear increase of villus height and crypt depth in the duodenum, irrespective of the physical form of the diet.

Nest Digging by Leaf-Cutting Ants: Effect of Group Size and Functional Structures.

Leaf-cutting ant workers dig underground chambers, for housing their symbiotic fungus, interconnected by a vast quantity of tunnels whose function is to permit the entrance of food (leaves), gaseous exchanges, andmovement of workers, offspring, and the queen. Digging is a task executed by a group of workers, but little is known about the group effect and group-constructed functional structures. Thus, we analyzed the structures formed by worker groups (5, 10, 20, and 40 individuals) of the leaf-cutting ant, Atta sexdens rubropilosa, for 2 days of excavation. The digging arena was the same for the 4 groups, with each group corresponding to a different density. Our results verified a pattern of tunneling by the workers, but no chamber was constructed. The group effect is well known, since the 40-worker group dug significantly more than the groups of 5, 10, and 20. These groups did not differ statistically from each other. Analysis of load/worker verified that workers of the smallest group carried the greatest load. Our paper demonstrates the group effect on the digging of nests, namely, that excavation is proportional to group size, but without emergence of a functional structure such as a chamber.

Morphological and Structural changes of CaxSr1-xTiO3 Powders Obtained by the Microwave-Assisted Hydrothermal Method

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

Order-disorder degree of self-assembled clusters: Influence on photoluminescence emission and morphology of BaxSr1-xTiO3 nanocrystals

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

Vanadium complexes with thiosemicarbazones: Synthesis, characterization, crystal structures and anti-Mycobacterium tuberculosis activity

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

Structural and optical properties of CaTiO3 perovskite-based materials obtained by microwave-assisted hydrothermal synthesis: An experimental and theoretical insight

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The strut-and-tie models in reinforced concrete structures analysed by a numerical technique

Os modelos de bielas e tirantes são procedimentos de análise apropriados para projetar elementos de concreto armado em casos de regiões onde há alterações geométricas ou concentrações de tensões, denominadas regiões D. Trata-se de bons modelos de representação da estrutura para avaliar melhor o seu comportamento estrutural e seu mecanismo resistente. O presente artigo aplica a técnica da otimização topológica para identificar o fluxo de tensões nas estruturas, definindo a configuração dos membros de bielas e tirantes, e quantifica seus valores para dimensionamento. Utilizam-se o método ESO, e uma variante desse, o SESO (Smoothing ESO) com o método dos elementos finitos em elasticidade plana. A filosofia do SESO baseia-se na observação de que se o elemento não for necessário à estrutura, sua contribuição de rigidez vai diminuindo progressivamente. Isto é, sua remoção é atenuada nos valores da matriz constitutiva, como se este estivesse em processo de danificação. Para validar a presente formulação, apresentam-se alguns exemplos numéricos onde se comparam suas respostas com as advindas de trabalhos científicos pioneiros sobre o assunto.

Nonpolynomial potentials with deformable topological structures

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Fatigue strength of tungsten inert gas-repaired weld joints in airplane critical structures

In this work the effect of Gas Tungsten Arc Welding (GTAW) repairs on the axial fatigue strength of an AISI 4130 steel welded joint used in airframe critical to the flight-safety was investigated. Fatigue tests were performed at room temperature on 0.89 mm thick hot-rolled plates with constant amplitude and load ratio of R = 0.1, at 20 Hz frequency. Monotonic tensile tests, optical metallography and microhardness, residual stress and weld geometric factors measurements were also performed. The fatigue strength decreased with the number of GTAW repairs, and was related to microstructural and microhardness changes, as well as residual stress field and weld profile geometry factors, which gave origin to high stress concentration at the weld toe. (C) 2011 Elsevier B.V. All rights reserved.

Optimal design of smart structures using bonded plezoelectrics for vibration control

Smart material technology has become an area of increasing interest for the development of lighter and stronger structures which are able to incorporate actuator and sensor capabilities for collocated control. In the design of actively controlled structures, the determination of the actuator locations and the controller gains, is a very important issue. For that purpose, smart material modelling, modal analysis methods, control and optimization techniques are the most important ingredients to be taken into account. The optimization problem to be solved in this context presents two interdependent aspects. The first one is related to the discrete optimal actuator location selection problem which is solved in this paper using genetic algorithms. The second is represented by a continuous variable optimization problem, through which the control gains are determined using classical techniques. A cantilever Euler-Bernoulli beam is used to illustrate the presented methodology.