An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates

Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. The risk-free government zero-coupon term structure is, however, not directly observable and needs to be generated from the prices of marketable, coupon-bearing bonds. The authors introduce the first public-domain database of constant-maturity zero-coupon yield curves for the Government of Canada bond market. They first outline the mechanics of the curve-fitting algorithm that underlie the model, and then perform some preliminary statistical analysis on the resulting yield curves. The full sample period extends from January 1986 to May 2003; it is broken down into two subsamples, reflecting the structural and macroeconomic changes that impacted the Canadian fixed-income markets over that time. The authors examine the evolution of a number of key interest rates and yield-curve measures over the period, perform a principal-components analysis of the common factors that have influenced yield changes over time, and compare holding-period returns over the sample for assets of various maturities.Financial markets; Interest rates; Econometric and statistical methods

Multivariate First-Passage Models in Credit Risk

This thesis deals with credit risk modeling and related mathematical issues. In particular we study first-passage models for credit risk, where obligors default upon first passage of a ``credit quality" process to zero. The first passage problem for correlated Brownian motion is a mathematical structure which arises quite naturally in such models, in particular the seminal multivariate Black-Cox model. In general this problem is analytically intractable, however in two dimensions analytic results are available. In addition to correcting mistakes in several published formulae, we derive an exact simulation scheme for sampling the passage times. Our algorithm exploits several interesting properties of planar Brownian motion and conformal local martingales. The main contribution of this thesis is the development of a novel multivariate framework for credit risk. We allow for both stochastic trend and volatility in credit qualities, with dependence introduced by letting these quantities be driven by systematic factors common to all obligors. Exploiting a conditional independence structure we are able to express the proportion of defaults in an asymptotically large portfolio as a path functional of the systematic factors. The functional in question returns crossing probabilities of time-changed Brownian motion to continuous barriers, and is typically not available in closed form. As such the distribution of portfolio losses is in general analytically intractable. As such we devise a scheme for simulating approximate losses and demonstrate almost sure convergence of this approximation. We show that the model calibrates well, across both tranches and maturities, to market quotes for CDX index tranches. In particular we are able to calibrate to data from 2006, as well as more recent ``distressed" data from 2008

First passage time of N excluded volume particles on a line

Motivated by recent single molecule studies of proteins sliding on a DNA molecule, we explore the targeting dynamics of N particles ("proteins") sliding diffusively along a line ("DNA") in search of their target site (specific target sequence). At lower particle densities, one observes an expected reduction of the mean first passage time proportional to 1/N**2, with corrections at higher concentrations. We explicitly take adsorption and desorption effects, to and from the DNA, into account. For this general case, we also consider finite size effects, when the continuum approximation based on the number density of particles, breaks down. Moreover, we address the first passage time problem of a tagged particle diffusing among other particles.Comment: 9 pages, REVTeX, 6 eps figure

Confident Adaptive Language Modeling

Recent advances in Transformer-based large language models (LLMs) have led to significant performance improvements across many tasks. These gains come with a drastic increase in the models' size, potentially leading to slow and costly use at inference time. In practice, however, the series of generations made by LLMs is composed of varying levels of difficulty. While certain predictions truly benefit from the models' full capacity, other continuations are more trivial and can be solved with reduced compute. In this work, we introduce Confident Adaptive Language Modeling (CALM), a framework for dynamically allocating different amounts of compute per input and generation timestep. Early exit decoding involves several challenges that we address here, such as: (1) what confidence measure to use; (2) connecting sequence-level constraints to local per-token exit decisions; and (3) attending back to missing hidden representations due to early exits in previous tokens. Through theoretical analysis and empirical experiments on three diverse text generation tasks, we demonstrate the efficacy of our framework in reducing compute -- potential speedup of up to $\times 3$ -- while provably maintaining high performance

Robotic Rehabilitation and Transcranial Direct Current Stimulation in Children With Bilateral Cerebral Palsy

AimTo identify challenges of combining robotic upper extremity rehabilitation with tDCS in children with upper extremity bilateral cerebral palsy (CP) by assessing feasibility, tolerability and safety.MethodsThis was an unblinded, open-label, pilot clinical trial. Participants completed 10 × 1 h sessions of robotic rehabilitation combined with motor cortex anodal tDCS. Feasibility, acceptability and practicality, were assessed including the number of participants completing the protocol, factors limiting participation, time required for sessions, and completion of functional assessments and tolerability scales. To assess safety, standardized clinical and robotic measures of sensorimotor function were performed. The trial was registered at clinicaltrials.gov (NCT04233710).ResultsEight children were recruited (mean age 8y ± 1.8y, range 6–11 years) and 5 completed the intervention. There were no serious adverse events. One child developed focal seizures 6 weeks after the trial that were deemed to be unrelated. Barriers to completion included time and scheduling demands and patient factors, specifically cognitive/behavioral impairments and dyskinesia. No decline in clinical function was appreciated.ConclusionsRobotic upper extremity rehabilitation combined with tDCS may be feasible in children with bilateral CP. Careful participant selection, family engagement, and protocol adaptations are recommended to better understand the feasibility and tolerability of future trials

Measurement of the branching fraction and CP content for the decay B(0) -> D(*+)D(*-)

This is the pre-print version of the Article. The official published version can be accessed from the links below. Copyright @ 2002 APS.We report a measurement of the branching fraction of the decay B0→D*+D*- and of the CP-odd component of its final state using the BABAR detector. With data corresponding to an integrated luminosity of 20.4  fb-1 collected at the Υ(4S) resonance during 1999–2000, we have reconstructed 38 candidate signal events in the mode B0→D*+D*- with an estimated background of 6.2±0.5 events. From these events, we determine the branching fraction to be B(B0→D*+D*-)=[8.3±1.6(stat)±1.2(syst)]×10-4. The measured CP-odd fraction of the final state is 0.22±0.18(stat)±0.03(syst).This work is supported by DOE and NSF (USA), NSERC (Canada), IHEP (China), CEA and CNRS-IN2P3 (France), BMBF (Germany), INFN (Italy), NFR (Norway), MIST (Russia), and PPARC (United Kingdom). Individuals have received support from the A.P. Sloan Foundation, Research Corporation, and Alexander von Humboldt Foundation

Measurement of the B0-anti-B0-Oscillation Frequency with Inclusive Dilepton Events

The $B^0$-$\bar B^0$ oscillation frequency has been measured with a sample of 23 million \B\bar B pairs collected with the BABAR detector at the PEP-II asymmetric B Factory at SLAC. In this sample, we select events in which both B mesons decay semileptonically and use the charge of the leptons to identify the flavor of each B meson. A simultaneous fit to the decay time difference distributions for opposite- and same-sign dilepton events gives $\Delta m_d = 0.493 \pm 0.012{(stat)}\pm 0.009{(syst)}$ ps$^{-1}$.Comment: 7 pages, 1 figure, submitted to Physical Review Letter

A Study of Time-Dependent CP-Violating Asymmetries and Flavor Oscillations in Neutral B Decays at the Upsilon(4S)

We present a measurement of time-dependent CP-violating asymmetries in neutral B meson decays collected with the BABAR detector at the PEP-II asymmetric-energy B Factory at the Stanford Linear Accelerator Center. The data sample consists of 29.7 ${\rm fb}^{-1}$ recorded at the $\Upsilon(4S)$ resonance and 3.9 ${\rm fb}^{-1}$ off-resonance. One of the neutral B mesons, which are produced in pairs at the $\Upsilon(4S)$, is fully reconstructed in the CP decay modes $J/\psi K^0_S$, $\psi(2S) K^0_S$, $\chi_{c1} K^0_S$, $J/\psi K^{*0}$ ($K^{*0}\to K^0_S\pi^0$) and $J/\psi K^0_L$, or in flavor-eigenstate modes involving $D^{(*)}\pi/\rho/a_1$ and $J/\psi K^{*0}$ ($K^{*0}\to K^+\pi^-$). The flavor of the other neutral B meson is tagged at the time of its decay, mainly with the charge of identified leptons and kaons. The proper time elapsed between the decays is determined by measuring the distance between the decay vertices. A maximum-likelihood fit to this flavor eigenstate sample finds $\Delta m_d = 0.516\pm 0.016 {\rm (stat)} \pm 0.010 {\rm (syst)} {\rm ps}^{-1}$. The value of the asymmetry amplitude $\sin2\beta$ is determined from a simultaneous maximum-likelihood fit to the time-difference distribution of the flavor-eigenstate sample and about 642 tagged $B^0$ decays in the CP-eigenstate modes. We find $\sin2\beta=0.59\pm 0.14 {\rm (stat)} \pm 0.05 {\rm (syst)}$, demonstrating that CP violation exists in the neutral B meson system. (abridged)Comment: 58 pages, 35 figures, submitted to Physical Review

Measurement of D-s(+) and D-s(*+) production in B meson decays and from continuum e(+)e(-) annihilation at √s=10.6 GeV

This is the pre-print version of the Article. The official published version can be accessed from the links below. Copyright @ 2002 APSNew measurements of Ds+ and Ds*+ meson production rates from B decays and from qq̅ continuum events near the Υ(4S) resonance are presented. Using 20.8 fb-1 of data on the Υ(4S) resonance and 2.6 fb-1 off-resonance, we find the inclusive branching fractions B(B⃗Ds+X)=(10.93±0.19±0.58±2.73)% and B(B⃗Ds*+X)=(7.9±0.8±0.7±2.0)%, where the first error is statistical, the second is systematic, and the third is due to the Ds+→φπ+ branching fraction uncertainty. The production cross sections σ(e+e-→Ds+X)×B(Ds+→φπ+)=7.55±0.20±0.34pb and σ(e+e-→Ds*±X)×B(Ds+→φπ+)=5.8±0.7±0.5pb are measured at center-of-mass energies about 40 MeV below the Υ(4S) mass. The branching fractions ΣB(B⃗Ds(*)+D(*))=(5.07±0.14±0.30±1.27)% and ΣB(B⃗Ds*+D(*))=(4.1±0.2±0.4±1.0)% are determined from the Ds(*)+ momentum spectra. The mass difference m(Ds+)-m(D+)=98.4±0.1±0.3MeV/c2 is also measured.This work was supported by DOE and NSF (USA), NSERC (Canada), IHEP (China), CEA and CNRS-IN2P3 (France), BMBF (Germany), INFN (Italy), NFR (Norway), MIST (Russia), and PPARC (United Kingdom). Individuals have received support from the Swiss NSF, A. P. Sloan Foundation, Research Corporation, and Alexander von Humboldt Foundation