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.

Computer simulation of the stochastic transport equation

Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos Aires

A Higher order and stable method for the numerical integration of Random Differential Equations

Trabalho apresentado no Congresso Nacional de Matemática Aplicada à Indústria, 18 a 21 de novembro de 2014, Caldas Novas - Goiás

A non-invasive method for silencing gene transcription in honeybees maintained under natural conditions

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

Otimização Topológica com Termo-elasticidade Utilizando Elementos Tri3

This work proposes a formulation for optimization of 2D-structure layouts submitted to mechanic and thermal shipments and applied an h-adaptive filter process which conduced to computational low spend and high definition structural layouts. The main goal of the formulation is to minimize the structure mass submitted to an effective state of stress of von Mises, with stability and lateral restriction variants. A criterion of global measurement was used for intents a parametric condition of stress fields. To avoid singularity problems was considerate a release on the stress restriction. On the optimization was used a material approach where the homogenized constructive equation was function of the material relative density. The intermediary density effective properties were represented for a SIMP-type artificial model. The problem was simplified by use of the method of finite elements of Galerkin using triangles with linear Lagrangian basis. On the solution of the optimization problem, was applied the augmented Lagrangian Method, that consists on minimum problem sequence solution with box-type restrictions, resolved by a 2nd orderprojection method which uses the method of the quasi-Newton without memory, during the problem process solution. This process reduces computational expends showing be more effective and solid. The results materialize more refined layouts with accurate topologic and shape of structure definitions. On the other hand formulation of mass minimization with global stress criterion provides to modeling ready structural layouts, with violation of the criterion of homogeneous distributed stress

Otimização topológica de estruturas termoelásticas tridimensionais

This work presents an optimization technique based on structural topology optimization methods, TOM, designed to solve problems of thermoelasticity 3D. The presented approach is based on the adjoint method of sensitivity analysis unified design and is intended to loosely coupled thermomechanical problems. The technique makes use of analytical expressions of sensitivities, enabling a reduction in the computational cost through the use of a coupled field adjoint equation, defined in terms the of temperature and displacement fields. The TOM used is based on the material aproach. Thus, to make the domain is composed of a continuous distribution of material, enabling the use of classical models in nonlinear programming optimization problem, the microstructure is considered as a porous medium and its constitutive equation is a function only of the homogenized relative density of the material. In this approach, the actual properties of materials with intermediate densities are penalized based on an artificial microstructure model based on the SIMP (Solid Isotropic Material with Penalty). To circumvent problems chessboard and reduce dependence on layout in relation to the final optimal initial mesh, caused by problems of numerical instability, restrictions on components of the gradient of relative densities were applied. The optimization problem is solved by applying the augmented Lagrangian method, the solution being obtained by applying the finite element method of Galerkin, the process of approximation using the finite element Tetra4. This element has the ability to interpolate both the relative density and the displacement components and temperature. As for the definition of the problem, the heat load is assumed in steady state, i.e., the effects of conduction and convection of heat does not vary with time. The mechanical load is assumed static and distributed

Método de Otimização Topológica em Estruturas Tridimensionais

The topology optimization problem characterize and determine the optimum distribution of material into the domain. In other words, after the definition of the boundary conditions in a pre-established domain, the problem is how to distribute the material to solve the minimization problem. The objective of this work is to propose a competitive formulation for optimum structural topologies determination in 3D problems and able to provide high-resolution layouts. The procedure combines the Galerkin Finite Elements Method with the optimization method, looking for the best material distribution along the fixed domain of project. The layout topology optimization method is based on the material approach, proposed by Bendsoe & Kikuchi (1988), and considers a homogenized constitutive equation that depends only on the relative density of the material. The finite element used for the approach is a four nodes tetrahedron with a selective integration scheme, which interpolate not only the components of the displacement field but also the relative density field. The proposed procedure consists in the solution of a sequence of layout optimization problems applied to compliance minimization problems and mass minimization problems under local stress constraint. The microstructure used in this procedure was the SIMP (Solid Isotropic Material with Penalty). The approach reduces considerably the computational cost, showing to be efficient and robust. The results provided a well defined structural layout, with a sharpness distribution of the material and a boundary condition definition. The layout quality was proporcional to the medium size of the element and a considerable reduction of the project variables was observed due to the tetrahedrycal element

Improving the GNSS positioning stochastic model in the presence of ionospheric scintillation

Ionospheric scintillations are caused by time-varying electron density irregularities in the ionosphere, occurring more often at equatorial and high latitudes. This paper focuses exclusively on experiments undertaken in Europe, at geographic latitudes between similar to 50 degrees N and similar to 80 degrees N, where a network of GPS receivers capable of monitoring Total Electron Content and ionospheric scintillation parameters was deployed. The widely used ionospheric scintillation indices S4 and sigma(phi) represent a practical measure of the intensity of amplitude and phase scintillation affecting GNSS receivers. However, they do not provide sufficient information regarding the actual tracking errors that degrade GNSS receiver performance. Suitable receiver tracking models, sensitive to ionospheric scintillation, allow the computation of the variance of the output error of the receiver PLL (Phase Locked Loop) and DLL (Delay Locked Loop), which expresses the quality of the range measurements used by the receiver to calculate user position. The ability of such models of incorporating phase and amplitude scintillation effects into the variance of these tracking errors underpins our proposed method of applying relative weights to measurements from different satellites. That gives the least squares stochastic model used for position computation a more realistic representation, vis-a-vis the otherwise 'equal weights' model. For pseudorange processing, relative weights were computed, so that a 'scintillation-mitigated' solution could be performed and compared to the (non-mitigated) 'equal weights' solution. An improvement between 17 and 38% in height accuracy was achieved when an epoch by epoch differential solution was computed over baselines ranging from 1 to 750 km. The method was then compared with alternative approaches that can be used to improve the least squares stochastic model such as weighting according to satellite elevation angle and by the inverse of the square of the standard deviation of the code/carrier divergence (sigma CCDiv). The influence of multipath effects on the proposed mitigation approach is also discussed. With the use of high rate scintillation data in addition to the scintillation indices a carrier phase based mitigated solution was also implemented and compared with the conventional solution. During a period of occurrence of high phase scintillation it was observed that problems related to ambiguity resolution can be reduced by the use of the proposed mitigated solution.

A bounded upwinding scheme for computing convection-dominated transport problems

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

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

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Efeitos das inomogeneidades da matéria em Cosmologias Aceleradas

The recent observational advances of Astronomy and a more consistent theoretical framework turned Cosmology in one of the most exciting frontiers of contemporary science. In this thesis, homogeneous and inhomogeneous Universe models containing dark matter and different kinds of dark energy are confronted with recent observational data. Initially, we analyze constraints from the existence of old high redshift objects, Supernovas type Ia and the gas mass fraction of galaxy clusters for 2 distinct classes of homogeneous and isotropic models: decaying vacuum and X(z)CDM cosmologies. By considering the quasar APM 08279+5255 at z = 3.91 with age between 2-3 Gyr, we obtain 0,2 < OM < 0,4 while for the j3 parameter which quantifies the contribution of A( t) is restricted to the intervalO, 07 < j3 < 0,32 thereby implying that the minimal age of the Universe amounts to 13.4 Gyr. A lower limit to the quasar formation redshift (zJ > 5,11) was also obtained. Our analyzes including flat, closed and hyperbolic models show that there is no an age crisis for this kind of decaying A( t) scenario. Tests from SN e Ia and gas mass fraction data were realized for flat X(z)CDM models. For an equation of state, úJ(z) = úJo + úJIZ, the best fit is úJo = -1,25, úJl = 1,3 and OM = 0,26, whereas for models with úJ(z) = úJo+úJlz/(l+z), we obtainúJo = -1,4, úJl = 2,57 and OM = 0,26. In another line of development, we have discussed the influence of the observed inhomogeneities by considering the Zeldovich-Kantowski-DyerRoeder (ZKDR) angular diameter distance. By applying the statistical X2 method to a sample of angular diameter for compact radio sources, the best fit to the cosmological parameters for XCDM models are OM = O, 26,úJ = -1,03 and a = 0,9, where úJ and a are the equation of state and the smoothness parameters, respectively. Such results are compatible with a phantom energy component (úJ < -1). The possible bidimensional spaces associated to the plane (a , OM) were restricted by using data from SNe Ia and gas mass fraction of galaxy clusters. For Supernovas the parameters are restricted to the interval 0,32 < OM < 0,5(20") and 0,32 < a < 1,0(20"), while to the gas mass fraction we find 0,18 < OM < 0,32(20") with alI alIowed values of a. For a joint analysis involving Supernovas and gas mass fraction data we obtained 0,18 < OM < 0,38(20"). In general grounds, the present study suggests that the influence of the cosmological inhomogeneities in the matter distribution need to be considered with more detail in the analyses of the observational tests. Further, the analytical treatment based on the ZKDR distance may give non-negligible corrections to the so-calIed background tests of FRW type cosmologies

A modified Primal-Dual Logarithmic-Barrier Method for solving the Optimal Power Flow problem with discrete and continuous control variables

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

Assessment of a high-order finite difference upwind scheme for the simulation of convection-diffusion problems

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

Métodos numéricos para resolução de equações diferenciais ordinárias lineares baseados em interpolação por spline

In this work we have elaborated a spline-based method of solution of inicial value problems involving ordinary differential equations, with emphasis on linear equations. The method can be seen as an alternative for the traditional solvers such as Runge-Kutta, and avoids root calculations in the linear time invariant case. The method is then applied on a central problem of control theory, namely, the step response problem for linear EDOs with possibly varying coefficients, where root calculations do not apply. We have implemented an efficient algorithm which uses exclusively matrix-vector operations. The working interval (till the settling time) was determined through a calculation of the least stable mode using a modified power method. Several variants of the method have been compared by simulation. For general linear problems with fine grid, the proposed method compares favorably with the Euler method. In the time invariant case, where the alternative is root calculation, we have indications that the proposed method is competitive for equations of sifficiently high order.

About the Use of the HdHr Algorithm Group in Integrating the Movement Equation with Nonlinear Terms

This work summarizes the HdHr group of Hermitian integration algorithms for dynamic structural analysis applications. It proposes a procedure for their use when nonlinear terms are present in the equilibrium equation. The simple pendulum problem is solved as a first example and the numerical results are discussed. Directions to be pursued in future research are also mentioned. Copyright (C) 2009 H.M. Bottura and A. C. Rigitano.