The Libor Market Model: from theory to calibration

This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justified by a theoretical demonstration and the resulting formula to price the swaptions coincides with the Black’s one. However, the two models are not compatible from a theoretical point. Therefore, we derive various analytical approximating formulae to price the swaptions in the LIBOR market model and we explain how to perform a Monte Carlo simulation. Finally, we present the calibration of the LIBOR market model to the markets of both caps and swaptions, together with various examples of application to the historical correlation matrix and the cascade calibration of the forward volatilities to the matrix of implied swaption volatilities provided by the market.

Jarrow-Yildirim model for inflation: theory and applications

This thesis deals with inflation theory, focussing on the model of Jarrow & Yildirim, which is nowadays used when pricing inflation derivatives. After recalling main results about short and forward interest rate models, the dynamics of the main components of the market are derived. Then the most important inflation-indexed derivatives are explained (zero coupon swap, year-on-year, cap and floor), and their pricing proceeding is shown step by step. Calibration is explained and performed with a common method and an heuristic and non standard one. The model is enriched with credit risk, too, which allows to take into account the possibility of bankrupt of the counterparty of a contract. In this context, the general method of pricing is derived, with the introduction of defaultable zero-coupon bonds, and the Monte Carlo method is treated in detailed and used to price a concrete example of contract. Appendixes: A: martingale measures, Girsanov's theorem and the change of numeraire. B: some aspects of the theory of Stochastic Differential Equations; in particular, the solution for linear EDSs, and the Feynman-Kac Theorem, which shows the connection between EDSs and Partial Differential Equations. C: some useful results about normal distribution.

Comparison of Model Chemistry and Density Functional Theory Thermochemical Predictions with Experiment for Formation of Ionic Clusters of the Ammonium Cation Complexed with Water and Ammonia; Atmospheric Implications

The G2, G3, CBS-QB3, and CBS-APNO model chemistry methods and the B3LYP, B3P86, mPW1PW, and PBE1PBE density functional theory (DFT) methods have been used to calculate ΔH° and ΔG° values for ionic clusters of the ammonium ion complexed with water and ammonia. Results for the clusters NH4+(NH3)n and NH4+(H2O)n, where n = 1−4, are reported in this paper and compared against experimental values. Agreement with the experimental values for ΔH° and ΔG° for formation of NH4+(NH3)n clusters is excellent. Comparison between experiment and theory for formation of the NH4+(H2O)n clusters is quite good considering the uncertainty in the experimental values. The four DFT methods yield excellent agreement with experiment and the model chemistry methods when the aug-cc-pVTZ basis set is used for energetic calculations and the 6-31G* basis set is used for geometries and frequencies. On the basis of these results, we predict that all ions in the lower troposphere will be saturated with at least one complete first hydration shell of water molecules.

How Minds Work: A Cognitive Theory of Everything - a Tutorial on the IDA Model of Cognition

The IDA model of cognition is a fully integrated artificial cognitive system reaching across the full spectrum of cognition, from low-level perception/action to high-level reasoning. Extensively based on empirical data, it accurately reflects the full range of cognitive processes found in natural cognitive systems. As a source of plausible explanations for very many cognitive processes, the IDA model provides an ideal tool to think with about how minds work. This online tutorial offers a reasonably full account of the IDA conceptual model, including background material. It also provides a high-level account of the underlying computational “mechanisms of mind” that constitute the IDA computational model.

Integrating attentional control theory and the strength model of self-control

In the present article, we argue that it may be fruitful to incorporate the ideas of the strength model of self-control into the core assumptions of the well-established attentional control theory (ACT). In ACT, it is assumed that anxiety automatically leads to attention disruption and increased distractibility, which may impair subsequent cognitive or perceptual-motor performance, but only if individuals do not have the ability to counteract this attention disruption. However, ACT does not clarify which process determines whether one can volitionally regulate attention despite experiencing high levels of anxiety. In terms of the strength model of self-control, attention regulation can be viewed as a self-control act depending on the momentary availability of self-control strength. We review literature that has revealed that self-control strength moderates the anxiety-performance relationship, discuss how to integrate these two theoretical models, and offer practical recommendations of how to counteract negative anxiety effects.

Using the theory of planned behaviour to model antecedents of surgical checklist use: a cross-sectional study.

BACKGROUND Compliance with surgical checklist use remains an obstacle in the context of checklist implementation programs. The theory of planned behaviour was applied to analyse attitudes, perceived behaviour control, and norms as psychological antecedents of individuals' intentions to use the checklist. METHODS A cross-sectional survey study with staff (N = 866) of 10 Swiss hospitals was conducted in German and French. Group mean differences between individuals with and without managerial function were computed. Structural equation modelling and confirmatory factor analysis was applied to investigate the structural relation between attitudes, perceived behaviour control, norms, and intentions. RESULTS Significant mean differences in favour of individuals with managerial function emerged for norms, perceived behavioural control, and intentions, but not for attitudes. Attitudes and perceived behavioural control had a significant direct effect on intentions whereas norms had not. CONCLUSIONS Individuals with managerial function exhibit stronger perceived behavioural control, stronger norms, and stronger intentions. This could be applied in facilitating checklist implementation. The structural model of the theory of planned behaviour remains stable across groups, indicating a valid model to describe antecedents of intentions in the context of surgical checklist implementation.

Calibrating a CGE model with NTBs that Incorporates Standard Models of Modern Trade Theory

We propose a way to incorporate NTBs for the four workhorse models of the modern trade literature in computable general equilibrium models (CGEs). CGE models feature intermediate linkages and thus allow us to study global value chains (GVCs). We show that the Ethier-Krugman monopolistic competition model, the Melitz firm heterogeneity model and the Eaton and Kortum model can be defined as an Armington model with generalized marginal costs, generalized trade costs and a demand externality. As already known in the literature in both the Ethier-Krugman model and the Melitz model generalized marginal costs are a function of the amount of factor input bundles. In the Melitz model generalized marginal costs are also a function of the price of the factor input bundles. Lower factor prices raise the number of firms that can enter the market profitably (extensive margin), reducing generalized marginal costs of a representative firm. For the same reason the Melitz model features a demand externality: in a larger market more firms can enter. We implement the different models in a CGE setting with multiple sectors, intermediate linkages, non-homothetic preferences and detailed data on trade costs. We find the largest welfare effects from trade cost reductions in the Melitz model. We also employ the Melitz model to mimic changes in Non tariff Barriers (NTBs) with a fixed cost-character by analysing the effect of changes in fixed trade costs. While we work here with a model calibrated to the GTAP database, the methods developed can also be applied to CGE models based on the WIOD database.

Some past decision theory models for euro construction model codes and for road drainage in Spain, and modest hints with multi-criteria methods for agro and environmental assurance

The authors are from UPM and are relatively grouped, and all have intervened in different academic or real cases on the subject, at different times as being of different age. With precedent from E. Torroja and A. Páez in Madrid Spain Safety Probabilistic models for concrete about 1957, now in ICOSSAR conferences, author J.M. Antón involved since autumn 1967 for euro-steel construction in CECM produced a math model for independent load superposition reductions, and using it a load coefficient pattern for codes in Rome Feb. 1969, practically adopted for European constructions, giving in JCSS Lisbon Feb. 1974 suggestion of union for concrete-steel-al.. That model uses model for loads like Gumbel type I, for 50 years for one type of load, reduced to 1 year to be added to other independent loads, the sum set in Gumbel theories to 50 years return period, there are parallel models. A complete reliability system was produced, including non linear effects as from buckling, phenomena considered somehow in actual Construction Eurocodes produced from Model Codes. The system was considered by author in CEB in presence of Hydraulic effects from rivers, floods, sea, in reference with actual practice. When redacting a Road Drainage Norm in MOPU Spain an optimization model was realized by authors giving a way to determine the figure of Return Period, 10 to 50 years, for the cases of hydraulic flows to be considered in road drainage. Satisfactory examples were a stream in SE of Spain with Gumbel Type I model and a paper of Ven Te Chow with Mississippi in Keokuk using Gumbel type II, and the model can be modernized with more varied extreme laws. In fact in the MOPU drainage norm the redacting commission acted also as expert to set a table of return periods for elements of road drainage, in fact as a multi-criteria complex decision system. These precedent ideas were used e.g. in wide Codes, indicated in symposia or meetings, but not published in journals in English, and a condensate of contributions of authors is presented. The authors are somehow involved in optimization for hydraulic and agro planning, and give modest hints of intended applications in presence of agro and environment planning as a selection of the criteria and utility functions involved in bayesian, multi-criteria or mixed decision systems. Modest consideration is made of changing in climate, and on the production and commercial systems, and on others as social and financial.

An information theory model of hydrophobic interactions.

A molecular model of poorly understood hydrophobic effects is heuristically developed using the methods of information theory. Because primitive hydrophobic effects can be tied to the probability of observing a molecular-sized cavity in the solvent, the probability distribution of the number of solvent centers in a cavity volume is modeled on the basis of the two moments available from the density and radial distribution of oxygen atoms in liquid water. The modeled distribution then yields the probability that no solvent centers are found in the cavity volume. This model is shown to account quantitatively for the central hydrophobic phenomena of cavity formation and association of inert gas solutes. The connection of information theory to statistical thermodynamics provides a basis for clarification of hydrophobic effects. The simplicity and flexibility of the approach suggest that it should permit applications to conformational equilibria of nonpolar solutes and hydrophobic residues in biopolymers.

Restaurant Health and Hygiene: A Model Program with Theory-Based Guidelines for Implementation

Poor hygienic practices and illness of restaurant employees are major contributors to the contamination of food and the occurrence of food-borne illness in the United States, costing the food industry and society billions of dollars each year. Risk factors associated with this problem include lack of proper handwashing; food handlers reporting to work sick; poor personal hygiene; and bare hand contact with ready-to-eat foods. However, traditional efforts to control these causes of food-borne illness by public health authorities have had limited impact, and have revealed the need for comprehensive and innovative programs that provide active managerial control over employee health and hygiene in restaurant establishments. Further, the introduction and eventual adoption by the food industry of such programs can be facilitated through the use of behavior-change theory. This Capstone Project develops a model program to assist restaurant owners and operators in exerting active control over health and hygiene in their establishments and provides theory-based recommendations for the introduction of the program to the food industry.