Estimating the stochastic discount factor without a utility function

Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the serial-correlation ìcommon featureîin every asset return of the economy. Our estimator is a simple function of asset returns, does not depend on any parametric function representing preferences, is suitable for testing di§erent preference speciÖcations or investigating intertemporal substitution puzzles, and can be a basis to construct an estimator of the risk-free rate. For post-war data, our estimator is close to unity most of the time, yielding an average annual real discount rate of 2.46%. In formal testing, we cannot reject standard preference speciÖcations used in the literature and estimates of the relative risk-aversion coe¢ cient are between 1 and 2, and statistically equal to unity. Using our SDF estimator, we found little signs of the equity-premium puzzle for the U.S.

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.

Evaluation of a bounded high order upwind scheme for 3D incompressible free surface flow computations

fit the context of normalized variable formulation (NVF) of Leonard and total variation diminishing (TVD) constraints of Harten. this paper presents an extension of it previous work by the authors for solving unsteady incompressible flow problems. The main contributions of the paper are threefold. First, it presents the results of the development and implementation of a bounded high order upwind adaptative QUICKEST scheme in the 3D robust code (Freeflow), for the numerical solution of the full incompressible Navier-Stokes equations. Second, it reports numerical simulation results for 1D hock tube problem, 2D impinging jet and 2D/3D broken clam flows. Furthermore, these results are compared with existing analytical and experimental data. and third, it presents the application of the numerical method for solving 3D free surface flow problems. (C) 2007 IMACS. Published by Elsevier B.V. All rights reserved,

Growth of free-floating aquatic macrophytes in different concentrations of nutrients

The objective of the study was to evaluate the effect of different concentrations of nitrogen and phosphorus on the growth of the free-floating aquatic macrophytes Eichhornia crassipes, Pistia stratiotes, and Salvinia molesta. The plants were cultured in 2,000-l outdoor concrete tanks. Triplicate tanks, with a continuous flow of effluent from culture ponds containing Nile tilapia, were used for each plant type (n = 3). The plant material was collected monthly from 0.25 m(2) floating quadrats, at the two ends of the tanks (higher nutrient concentrations near the inflow and lower nutrient concentrations near the outflow). In low nutrient concentrations, the maximum relative growth rates (RGRs) for E. crassipes (0.016/day) and P. stratiotes (0.016/day) were significantly lower (P <= 0.05) than for S. molesta (0.029/day). There were no significant differences between the RGRs of S. molesta in the different nutrient concentrations. Eichhornia crassipes and P. stratiotes had their growth limited by nitrogen and phosphorus concentrations. The increase in plant density during the experiment probably also affected the growth of these species. In this context, E. crassipes and P. stratiotes can cause problems in nutrient-rich waterbodies, but under these experimental conditions their growth was limited by nitrogen and/or phosphorus concentrations. The growth of S. molesta was not influenced by the different nutrient concentrations.

Quantizing a relativistic free-particle on the light front: some subtle aspects

We use the light-front machinery to study the behavior of a relativistic free particle and obtain the quantum commutation relations from the classical Poisson brackets. We argue that their usual projection onto the light-front coordinates from the covariant commutation relations show that there is an inconsistency in the expected correlation between canonically conjugate variables time x(+) and energy p(-). This incompatibility between canonical conjugate variables in the light front is discussed in the context of Poisson brackets and a suggestion is made on how to avoid it.

Stochastic variational approach applied to 2, 3 and 4 alpha particles

A stochastic variational method is applied to calculate the binding energies and root-mean-square radii of 2, 3 and 4 alpha particles using an S-wave Ali-Bodmer potential. The results agree with other calculations. We discuss the application of the present method to study the universality in weakly-bound three and four-body systems in the context of ultracold atomic traps.

Stochastic quantization of real-time thermal field theory

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Anomaly-free constraints in neutrino seesaw models

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

Study on the K3Li2Nb5O15 formation during the production of (Na0.5K0.5)((1-x))LixNbO3 lead-free piezoceramics at the morphotropic phase boundary

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

A RIEMANN INTEGRAL APPROACH TO FEYNMANS PATH-INTEGRAL

It is a well known result that the Feynman's path integral (FPI) approach to quantum mechanics is equivalent to Schrodinger's equation when we use as integration measure the Wiener-Lebesgue measure. This results in little practical applicability due to the great algebraic complexibity involved, and the fact is that almost all applications of (FPI) - ''practical calculations'' - are done using a Riemann measure. In this paper we present an expansion to all orders in time of FPI in a quest for a representation of the latter solely in terms of differentiable trajetories and Riemann measure. We show that this expansion agrees with a similar expansion obtained from Schrodinger's equation only up to first order in a Riemann integral context, although by chance both expansions referred to above agree for the free. particle and harmonic oscillator cases. Our results permit, from the mathematical point of view, to estimate the many errors done in ''practical'' calculations of the FPI appearing in the literature and, from the physical point of view, our results supports the stochastic approach to the problem.

The competitiveness of agrifoods in Central American and Caribbean countries in the context of trade liberalization

Includes bibliography

Free tools and strategies for the generation of 3D finite element meshes: Modeling of the cardiac structures

The Finite Element Method is a well-known technique, being extensively applied in different areas. Studies using the Finite Element Method (FEM) are targeted to improve cardiac ablation procedures. For such simulations, the finite element meshes should consider the size and histological features of the target structures. However, it is possible to verify that some methods or tools used to generate meshes of human body structures are still limited, due to nondetailed models, nontrivial preprocessing, or mainly limitation in the use condition. In this paper, alternatives are demonstrated to solid modeling and automatic generation of highly refined tetrahedral meshes, with quality compatible with other studies focused on mesh generation. The innovations presented here are strategies to integrate Open Source Software (OSS). The chosen techniques and strategies are presented and discussed, considering cardiac structures as a first application context. © 2013 E. Pavarino et al.

Trade and investment flows between the Caribbean and the rest of the hemisphere in the context of the FTAA

Includes bibliography

Issues, effects and implications of the Free Trade Area of the Americas (FTAA) Agreement for CARICOM economies

Includes bibliography