On the relevance of modeling volatility for pricing purposes

This paper presents a two-factor (Vasicek-CIR) model of the term structure of interest rates and develops its pricing and empirical properties. We assume that default free discount bond prices are determined by the time to maturity and two factors, the long-term interest rate and the spread. Assuming a certain process for both factors, a general bond pricing equation is derived and a closed-form expression for bond prices is obtained. Empirical evidence of the model's performance in comparisson with a double Vasicek model is presented. The main conclusion is that the modeling of the volatility in the long-term rate process can help (in a large amount) to fit the observed data can improve - in a reasonable quantity - the prediction of the future movements in the medium- and long-term interest rates. However, for shorter maturities, it is shown that the pricing errors are, basically, negligible and it is not so clear which is the best model to be used.

Parameterschätzung in zeitdiskreten ergodischen Markov-Prozessen am Beispiel des Cox-Ingersoll-Ross-Modells

In dieser Arbeit geht es um die Schätzung von Parametern in zeitdiskreten ergodischen Markov-Prozessen im allgemeinen und im CIR-Modell im besonderen. Beim CIR-Modell handelt es sich um eine stochastische Differentialgleichung, die von Cox, Ingersoll und Ross (1985) zur Beschreibung der Dynamik von Zinsraten vorgeschlagen wurde. Problemstellung ist die Schätzung der Parameter des Drift- und des Diffusionskoeffizienten aufgrund von äquidistanten diskreten Beobachtungen des CIR-Prozesses. Nach einer kurzen Einführung in das CIR-Modell verwenden wir die insbesondere von Bibby und Sørensen untersuchte Methode der Martingal-Schätzfunktionen und -Schätzgleichungen, um das Problem der Parameterschätzung in ergodischen Markov-Prozessen zunächst ganz allgemein zu untersuchen. Im Anschluss an Untersuchungen von Sørensen (1999) werden hinreichende Bedingungen (im Sinne von Regularitätsvoraussetzungen an die Schätzfunktion) für die Existenz, starke Konsistenz und asymptotische Normalität von Lösungen einer Martingal-Schätzgleichung angegeben. Angewandt auf den Spezialfall der Likelihood-Schätzung stellen diese Bedingungen zugleich lokal-asymptotische Normalität des Modells sicher. Ferner wird ein einfaches Kriterium für Godambe-Heyde-Optimalität von Schätzfunktionen angegeben und skizziert, wie dies in wichtigen Spezialfällen zur expliziten Konstruktion optimaler Schätzfunktionen verwendet werden kann. Die allgemeinen Resultate werden anschließend auf das diskretisierte CIR-Modell angewendet. Wir analysieren einige von Overbeck und Rydén (1997) vorgeschlagene Schätzer für den Drift- und den Diffusionskoeffizienten, welche als Lösungen quadratischer Martingal-Schätzfunktionen definiert sind, und berechnen das optimale Element in dieser Klasse. Abschließend verallgemeinern wir Ergebnisse von Overbeck und Rydén (1997), indem wir die Existenz einer stark konsistenten und asymptotisch normalen Lösung der Likelihood-Gleichung zeigen und lokal-asymptotische Normalität für das CIR-Modell ohne Einschränkungen an den Parameterraum beweisen.

Statistical problems related to excitation threshold and reset value of membrane potentials

Die vorliegende Arbeit ist motiviert durch biologische Fragestellungen bezüglich des Verhaltens von Membranpotentialen in Neuronen. Ein vielfach betrachtetes Modell für spikende Neuronen ist das Folgende. Zwischen den Spikes verhält sich das Membranpotential wie ein Diffusionsprozess X der durch die SDGL dX_t= beta(X_t) dt+ sigma(X_t) dB_t gegeben ist, wobei (B_t) eine Standard-Brown'sche Bewegung bezeichnet. Spikes erklärt man wie folgt. Sobald das Potential X eine gewisse Exzitationsschwelle S überschreitet entsteht ein Spike. Danach wird das Potential wieder auf einen bestimmten Wert x_0 zurückgesetzt. In Anwendungen ist es manchmal möglich, einen Diffusionsprozess X zwischen den Spikes zu beobachten und die Koeffizienten der SDGL beta() und sigma() zu schätzen. Dennoch ist es nötig, die Schwellen x_0 und S zu bestimmen um das Modell festzulegen. Eine Möglichkeit, dieses Problem anzugehen, ist x_0 und S als Parameter eines statistischen Modells aufzufassen und diese zu schätzen. In der vorliegenden Arbeit werden vier verschiedene Fälle diskutiert, in denen wir jeweils annehmen, dass das Membranpotential X zwischen den Spikes eine Brown'sche Bewegung mit Drift, eine geometrische Brown'sche Bewegung, ein Ornstein-Uhlenbeck Prozess oder ein Cox-Ingersoll-Ross Prozess ist. Darüber hinaus beobachten wir die Zeiten zwischen aufeinander folgenden Spikes, die wir als iid Treffzeiten der Schwelle S von X gestartet in x_0 auffassen. Die ersten beiden Fälle ähneln sich sehr und man kann jeweils den Maximum-Likelihood-Schätzer explizit angeben. Darüber hinaus wird, unter Verwendung der LAN-Theorie, die Optimalität dieser Schätzer gezeigt. In den Fällen OU- und CIR-Prozess wählen wir eine Minimum-Distanz-Methode, die auf dem Vergleich von empirischer und wahrer Laplace-Transformation bezüglich einer Hilbertraumnorm beruht. Wir werden beweisen, dass alle Schätzer stark konsistent und asymptotisch normalverteilt sind. Im letzten Kapitel werden wir die Effizienz der Minimum-Distanz-Schätzer anhand simulierter Daten überprüfen. Ferner, werden Anwendungen auf reale Datensätze und deren Resultate ausführlich diskutiert.

Validation of the New Mix Design Process for Cold In-Place Rehabilitation Using Foamed Asphalt, 2007

Asphalt pavement recycling has grown dramatically over the last few years as a viable technology to rehabilitate existing asphalt pavements. Iowa's current Cold In-place Recycling (CIR) practice utilizes a generic recipe specification to define the characteristics of the CIR mixture. As CIR continues to evolve, the desire to place CIR mixture with specific engineering properties requires the use of a mix design process. A new mix design procedure was developed for Cold In-place Recycling using foamed asphalt (CIR-foam) in consideration of its predicted field performance. The new laboratory mix design process was validated against various Reclaimed Asphalt Pavement (RAP) materials to determine its consistency over a wide range of RAP materials available throughout Iowa. The performance tests, which include dynamic modulus test, dynamic creep test and raveling test, were conducted to evaluate the consistency of a new CIR-foam mix design process to ensure reliable mixture performance over a wide range of traffic and climatic conditions. The “lab designed” CIR will allow the pavement designer to take the properties of the CIR into account when determining the overlay thickness.

Laboratory Performance Evaluation of CIR-Emulsion and it Comparison Against CIR-Form Test Result from Phase II, Final Report TR-578 Phase III, December 2009

Currently, no standard mix design procedure is available for CIR-emulsion in Iowa. The CIR-foam mix design process developed during the previous phase is applied for CIR-emulsion mixtures with varying emulsified asphalt contents. Dynamic modulus test, dynamic creep test, static creep test and raveling test were conducted to evaluate the short- and long-term performance of CIR-emulsion mixtures at various testing temperatures and loading conditions. A potential benefit of this research is a better understanding of CIR-emulsion material properties in comparison with those of CIR-foam material that would allow for the selection of the most appropriate CIR technology and the type and amount of the optimum stabilization material. Dynamic modulus, flow number and flow time of CIR-emulsion mixtures using CSS-h were generally higher than those of HFMS-2p. Flow number and flow time of CIR-emulsion using RAP materials from Story County was higher than those from Clayton County. Flow number and flow time of CIR-emulsion with 0.5% emulsified asphalt was higher than CIR-emulsion with 1.0% or 1.5%. Raveling loss of CIR-emulsion with 1.5% emulsified was significantly less than those with 0.5% and 1.0%. Test results in terms of dynamic modulus, flow number, flow time and raveling loss of CIR-foam mixtures are generally better than those of CIR-emulsion mixtures. Given the limited RAP sources used for this study, it is recommended that the CIR-emulsion mix design procedure should be validated against several RAP sources and emulsion types.

Laboratory Performance Evaluation of CIR-Emulsion and its Comparison Against CIR-Foam Test Results from Phase 2, TR-474, 2009

Currently, no standard mix design procedure is available for CIR-emulsion in Iowa. The CIR-foam mix design process developed during the previous phase is applied for CIR-emulsion mixtures with varying emulsified asphalt contents. Dynamic modulus test, dynamic creep test, static creep test and raveling test were conducted to evaluate the short- and long-term performance of CIR-emulsion mixtures at various testing temperatures and loading conditions. A potential benefit of this research is a better understanding of CIR-emulsion material properties in comparison with those of CIR-foam material that would allow for the selection of the most appropriate CIR technology and the type and amount of the optimum stabilization material. Dynamic modulus, flow number and flow time of CIR-emulsion mixtures using CSS- 1h were generally higher than those of HFMS-2p. Flow number and flow time of CIR-emulsion using RAP materials from Story County was higher than those from Clayton County. Flow number and flow time of CIR-emulsion with 0.5% emulsified asphalt was higher than CIR-emulsion with 1.0% or 1.5%. Raveling loss of CIR-emulsion with 1.5% emulsified was significantly less than those with 0.5% and 1.0%. Test results in terms of dynamic modulus, flow number, flow time and raveling loss of CIR-foam mixtures are generally better than those of CIR-emulsion mixtures. Given the limited RAP sources used for this study, it is recommended that the CIR-emulsion mix design procedure should be validated against several RAP sources and emulsion types.

Century-of-Information Research (CIR): a strategy for research and innovation in the century of information

More data will be produced in the next five years than in the entire history of human kind, a digital deluge that marks the beginning of the Century of Information. Through a year-long consultation with UK researchers, a coherent strategy has been developed, which will nurture Century-of-Information Research (CIR); it crystallises the ideas developed by the e-Science Directors' Forum Strategy Working Group. This paper is an abridged version of their latest report which can be found at: http://wikis.nesc.ac.uk/escienvoy/Century_of_Information_Research_Strategy which also records the consultation process and the affiliations of the authors. This document is derived from a paper presented at the Oxford e-Research Conference 2008 and takes into account suggestions made in the ensuing panel discussion. The goals of the CIR Strategy are to facilitate the growth of UK research and innovation that is data and computationally intensive and to develop a new culture of 'digital-systems judgement' that will equip research communities, businesses, government and society as a whole, with the skills essential to compete and prosper in the Century of Information. The CIR Strategy identifies a national requirement for a balanced programme of coordination, research, infrastructure, translational investment and education to empower UK researchers, industry, government and society. The Strategy is designed to deliver an environment which meets the needs of UK researchers so that they can respond agilely to challenges, can create knowledge and skills, and can lead new kinds of research. It is a call to action for those engaged in research, those providing data and computational facilities, those governing research and those shaping education policies. The ultimate aim is to help researchers strengthen the international competitiveness of the UK research base and increase its contribution to the economy. The objectives of the Strategy are to better enable UK researchers across all disciplines to contribute world-leading fundamental research; to accelerate the translation of research into practice; and to develop improved capabilities, facilities and context for research and innovation. It envisages a culture that is better able to grasp the opportunities provided by the growing wealth of digital information. Computing has, of course, already become a fundamental tool in all research disciplines. The UK e-Science programme (2001-06)—since emulated internationally—pioneered the invention and use of new research methods, and a new wave of innovations in digital-information technologies which have enabled them. The Strategy argues that the UK must now harness and leverage its own, plus the now global, investment in digital-information technology in order to spread the benefits as widely as possible in research, education, industry and government. Implementing the Strategy would deliver the computational infrastructure and its benefits as envisaged in the Science & Innovation Investment Framework 2004-2014 (July 2004), and in the reports developing those proposals. To achieve this, the Strategy proposes the following actions: support the continuous innovation of digital-information research methods; provide easily used, pervasive and sustained e-Infrastructure for all research; enlarge the productive research community which exploits the new methods efficiently; generate capacity, propagate knowledge and develop skills via new curricula; and develop coordination mechanisms to improve the opportunities for interdisciplinary research and to make digital-infrastructure provision more cost effective. To gain the best value for money strategic coordination is required across a broad spectrum of stakeholders. A coherent strategy is essential in order to establish and sustain the UK as an international leader of well-curated national data assets and computational infrastructure, which is expertly used to shape policy, support decisions, empower researchers and to roll out the results to the wider benefit of society. The value of data as a foundation for wellbeing and a sustainable society must be appreciated; national resources must be more wisely directed to the collection, curation, discovery, widening access, analysis and exploitation of these data. Every researcher must be able to draw on skills, tools and computational resources to develop insights, test hypotheses and translate inventions into productive use, or to extract knowledge in support of governmental decision making. This foundation plus the skills developed will launch significant advances in research, in business, in professional practice and in government with many consequent benefits for UK citizens. The Strategy presented here addresses these complex and interlocking requirements.

Laboratory performance evaluation of CIR-emulsion and its comparison against CIR-foam test results from Phase III, TR-578

Currently, no standard mix design procedure is available for CIR-emulsion in Iowa. The CIR-foam mix design process developed during the previous phase is applied for CIR-emulsion mixtures with varying emulsified asphalt contents. Dynamic modulus test, dynamic creep test, static creep test and raveling test were conducted to evaluate the short- and long-term performance of CIR-emulsion mixtures at various testing temperatures and loading conditions. A potential benefit of this research is a better understanding of CIR-emulsion material properties in comparison with those of CIR-foam material that would allow for the selection of the most appropriate CIR technology and the type and amount of the optimum stabilization material. Dynamic modulus, flow number and flow time of CIR-emulsion mixtures using CSS-1h were generally higher than those of HFMS-2p. Flow number and flow time of CIR-emulsion using RAP materials from Story County was higher than those from Clayton County. Flow number and flow time of CIR-emulsion with 0.5% emulsified asphalt was higher than CIR-emulsion with 1.0% or 1.5%. Raveling loss of CIR-emulsion with 1.5% emulsified was significantly less than those with 0.5% and 1.0%. Test results in terms of dynamic modulus, flow number, flow time and raveling loss of CIR-foam mixtures are generally better than those of CIR-emulsion mixtures. Given the limited RAP sources used for this study, it is recommended that the CIR-emulsion mix design procedure should be validated against several RAP sources and emulsion types.

[meanings Of The Sickening Process For Patients With Systemic Lupus Erythematosus: A Review Of The Literature.]

Systemic lupus erythematosus is an autoimmune disease that causes many psychological repercussions that have been studied through qualitative research. These are considered relevant, since they reveal the amplitude experienced by patients. Given this importance, this study aims to map the qualitative production in this theme, derived from studies of experiences of adult patients of both genders and that had used as a tool a semi-structured interview and/or field observations, and had made use of a sampling by a saturation criterion to determine the number of participants in each study. The survey was conducted in Pubmed, Lilacs, Psycinfo e Cochrane databases, searching productions in English and Portuguese idioms published between January 2005 and June 2012. The 19 revised papers that have dealt with patients in the acute phase of the disease showed themes that were categorized into eight topics that contemplated the experienced process at various stages, from the onset of the disease, extending through the knowledge of the diagnosis and the understanding of the manifestations of the disease, drug treatment and general care, evolution and prognosis. The collected papers also point to the difficulty of understanding, of the patients, on what consists the remission phase, revealing also that this is a clinical stage underexplored by psychological studies.

Transition From Glass To Digital Slide Microscopy In The Teaching Of Oral Pathology In A Brazilian Dental School.

Several medical and dental schools have described their experience in the transition from conventional to digital microscopy in the teaching of general pathology and histology disciplines; however, this transitional process has scarcely been reported in the teaching of oral pathology. Therefore, the objective of the current study is to report the transition from conventional glass slide to virtual microscopy in oral pathology teaching, a unique experience in Latin America. An Aperio ScanScope® scanner was used to digitalize histological slides used in practical lectures of oral pathology. The challenges and benefits observed by the group of Professors from the Piracicaba Dental School (Brazil) are described and a questionnaire to evaluate the students' compliance to this new methodology was applied. An improvement in the classes was described by the Professors who mainly dealt with questions related to pathological changes instead of technical problems; also, a higher interaction with the students was described. The simplicity of the software used and the high quality of the virtual slides, requiring a smaller time to identify microscopic structures, were considered important for a better teaching process. Virtual microscopy used to teach oral pathology represents a useful educational methodology, with an excellent compliance of the dental students.

[in Process Citation].

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Aspecto tumoral da cisticercose intracraniana: abordagem cirúrgica

The cerebral cysticercosis can produce intracranial hypertension by inflammatory obstruction of the basal cysterns or by expansive lesion in the cerebral parenchima or ventricular cavities. In the latter and in tumor cases the clinical picture is very similar and only after surgery can the etiology be determined. We present 11 operated cases of intracranial cysticercosis which presented the clinical picture of an expansive lesion. There were 7 females and 4 males with ages between 4 and 65 years. Nine patients were admitted because of headache, vomiting and visual disturbances suggestive of intracranial hypertension. One patient was admited with lymphocytic meningitis and another with focal seizures following hemiparesis. Five patients presented focal signs and six edema of the papilla. Epileptic manifestations were present in 45.5% of the cases. A plain X-ray films of the skull failed to reveal calcificatons, however signs of chronic hypertension were present in three cases. The electroencephalogram showed slow focal waves in 8 patients The spinal fluid examination revealed lymphocytosis in 4 cases, increased protein content in another 4 and complement fixation for cysticercosis was positive in 2 cases. The expansive lesions were localized by angiograph and ventriculography. In these the location was temporal in 4, frontal in 3, parietal in 2, in the third ventricle in one and in the fourth ventricle in another. At surgery we removed a large cyst from the cerebral parenchyma in six cases. Around the cyst a thick glial reaction was present. In the other cases the cyst was small but fixed to the ventricular trigone and produced dilatation of the inferior horn of the lateral ventricle. In two cases we removed a solitary intraventricular cyst from the third and fourth ventricles. In the two children operated upon there were several small hard cysts involving the cerebral parenchyma which displayed intense gliosis. There were no postoperative complications.

O aluno com deficiência visual nas aulas de educação física : análise do processo inclusivo = The student with visual impairments : analysis of inclusive process

Universidade Estadual de Campinas . Faculdade de Educação Física

Hegemonia e contra-hegemonia na construção de políticas de esporte e lazer : a experiência do Consórcio Brasília = Hegemony and counter-hegemony in the process of sport and leisure policy-making : the experience of the Consortium Brasilia

Universidade Estadual de Campinas . Faculdade de Educação Física

Effects of the condylar process fracture on facial symmetry in rats submitted to protein undernutrition

PURPOSE: To investigate the facial symmetry of rats submitted to experimental mandibular condyle fracture and with protein undernutrition (8% of protein) by means of cephalometric measurements. METHODS: Forty-five adult Wistar rats were distributed in three groups: fracture group, submitted to condylar fracture with no changes in diet; undernourished fracture group, submitted to hypoproteic diet and condylar fracture; undernourished group, kept until the end of experiment, without condylar fracture. Displaced fractures of the right condyle were induced under general anesthesia. The specimens were submitted to axial radiographic incidence, and cephalometric mensurations were made using a computer system. The values obtained were subjected to statistical analyses among the groups and between the sides in each group. RESULTS: There was significative decrease of the values of serum proteins and albumin in the undernourished fracture group. There was deviation of the median line of the mandible relative to the median line of the maxilla, significative to undernutrition fracture group, as well as asymmetry of the maxilla and mandible, in special in the final period of experiment. CONCLUSION: The mandibular condyle fracture in rats with proteic undernutrition induced an asymmetry of the mandible, also leading to consequences in the maxilla.