Credit modelling and regime-switching

This thesis is concerned with some issues arising in relation to the capital structure and pricing of credit risk of a firm partly financed by debt. Three related models are presented. The first extends the existing literature on structural credit models of firms financed by the so called roll-over debt structure to allow for dependence between interest rates, asset volatility and the probability of default by incorporating regimes via the introduction of a Markov chain. The asset returns of a firm are modelled by a regime-switching geometric Brownian motion. An optimised capital structure is generated and the associated credit spreads analysed. The second model adds to recent work on regime-switching in the case of consol, or infinite maturity debt, by incorporating jumps into the asset process. The asset process of the firm is modelled as a phase-type Lévy process which affords a flexible framework capable of accommodating a wide range of stochastic dynamics. An optimal capital structure is identified. The contribution of the first two models is that that they are highly flexible and allow for an arbitrary number of market regimes to be combined in an intuitive way. The final model extends the literature on endogenous default to a firm which is partly financed by a single finite maturity bond. The assets of the firm are modelled as a geometric Brownian motion which pays a continuous dividend. By solving the associated optimal stopping problem, a default boundary is characterised in terms of an integral equation.Open Acces

Delayed-Type hypersensitivity to latex: Computational prediction of MHC class II epitopes on latex allergens

Delayed type hypersensitivity to natural rubber latex is rare compared to IgE mediated immediate reactions. Binding of allergens to MHC Class II is a crucial step in the presentation of antigens to CD4+ T Cells responsible for delayed reactions. Computational prediction of MHC class II epitopes on thirteen known latex allergens using SMM-align method revealed strong binding with several alleles. This shows that latex allergens are capable of initiating delayed type hypersensitivity in susceptible individuals.
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Improving fertiliser management: redefining the relationship between soil tests and crop responses for wheat in WA

Most soils in Western Australia (WA) are highly weathered with very low levels of phosphorus. WA soils initially contained adequate indigenous soil potassium for cropping but removal of potassium over time in harvested grain has gradually resulted in the some soils becoming potassium-deficient for grain production. Fertiliser costs represent a significant part of the variable costs of growing crops in WA. Chen et al. (2009) identified the need for updated soil test interpretations due to substantial changes in farming systems, fertiliser practices and crop yield potential. The aims of this study were (1) to compile experimental data containing the standard soil test measurements and observed wheat crop yield responses for both nil and fertilised treatments across different soil types and seasons from published or unpublished sources, and (2) to critically analyse soil test-crop response relationships to derive better critical soil test values in soils and environments suitable for wheat grain production in WA

Comparison of AIS Versus TMS Data Collected over the Virginia Piedmont

The Airborne Imaging Spectrometer (AIS, NS001 Thematic Mapper Simlulator (TMS), and Zeiss camera collected remotely sensed data simultaneously on October 27, 1983, at an altitude of 6860 meters (22,500 feet). AIS data were collected in 32 channels covering 1200 to 1500 nm. A simple atmospheric correction was applied to the AIS data, after which spectra for four cover types were plotted. Spectra for these ground cover classes showed a telescoping effect for the wavelength endpoints. Principal components were extracted from the shortwave region of the AIS (1200 to 1280 nm), full spectrum AIS (1200 to 1500 nm) and TMS (450 to 12,500 nm) to create three separate three-component color image composites. A comparison of the TMS band 5 (1000 to 1300 nm) to the six principal components from the shortwave AIS region (1200 to 1280 nm) showed improved visual discrimination of ground cover types. Contrast of color image composites created from principal components showed the AIS composites to exhibit a clearer demarcation between certain ground cover types but subtle differences within other regions of the imagery were not as readily seen

Influence of psychological coping on survival and recurrence in people with cancer: systematic review

OBJECTIVE: To summarise the evidence on the effect of psychological coping styles (including fighting spirit, helplessness/hopelessness, denial, and avoidance) on survival and recurrence in patients with cancer. DESIGN: Systematic review of published and unpublished prospective observational studies. MAIN OUTCOMES MEASURES: Survival from or recurrence of cancer. RESULTS: 26 studies investigated the association between psychological coping styles and survival from cancer, and 11 studies investigated recurrence. Most of the studies that investigated fighting spirit (10 studies) or helplessness/hopelessness (12 studies) found no significant associations with survival or recurrence. The evidence that other coping styles play an important part was also weak. Positive findings tended to be confined to small or methodologically flawed studies; lack of adjustment for potential confounding variables was common. Positive conclusions seemed to be more commonly reported by smaller studies, indicating potential publication bias. CONCLUSION: There is little consistent evidence that psychological coping styles play an important part in survival from or recurrence of cancer. People with cancer should not feel pressured into adopting particular coping styles to improve survival or reduce the risk of recurrence. [References: 42

Calibration of the CH and CN Variations Among Main Sequence Stars in M71 and in M13

An analysis of the CN and CH band strengths measured in a large sample of M71 and M13 main sequence stars by Cohen (1999a,b) is undertaken using synthetic spectra to quantify the underlying C and N abundances. In the case of M71 it is found that the observed CN and CH band strengths are best matched by the {\it{identical}} C/N/O abundances which fit the bright giants, implying: 1) little if any mixing is taking place during red giant branch ascent in M71, and 2) a substantial component of the C and N abundance inhomogeneities is in place before the main sequence turn-off. The unlikelihood of mixing while on the main sequence requires an explanation for the abundance variations which lies outside the present stars (primordial inhomogeneities or intra-cluster self enrichment). For M13 it is shown that the 3883\AA CN bands are too weak to be measured in the spectra for any reasonable set of expected compositions. A similar situation exists for CH as well. However, two of the more luminous program stars do appear to have C abundances considerably greater than those found among the bright giants thereby suggesting deep mixing has taken place on the M13 red giant branch.Comment: 14 pages, 4 figures, accepted for publication by A

Research in Cosmetic Dermatology: Reconciling medicine with business

Cosmetic dermatology is a marriage between medicine and business. Research in cosmetic dermatology shares the fundamental principles of clinical and pharmaceutical research. Research team can help the decision makers by giving a realistic picture of the uncertainties involved. Certain mathematical models and market research techniques can aid decision making.Research; cosmeceutical; decision making

An evaluation of the NASA/GSFC Barnes field spectral reflecometer model 14-758, using signal/noise as a measure of utility

A Barnes field spectral reflectometer which collected information in 373 channels covering the region from 0.4 to 2.5 micrometers was assessed for signal utility. A band was judged unsatisfactory if the probability was 0.1 or greater than its signal to noise ratio was less than eight to one. For each of the bands the probability of a noisy observation was estimated under a binomial assumption from a set of field crop spectra covering an entire growing season. A 95% confidence interval was calculated about each estimate and bands whose lower confidence limits were greater than 0.1 were judged unacceptable. As a result, 283 channels were deemed statistically satisfactory. Excluded channels correspond to portions of the electromagnetic spectrum (EMS) where high atmospheric absorption and filter wheel overlap occur. In addition, the analyses uncovered intervals of unsatisfactory detection capability within the blue, red and far infrared regions of vegetation spectra. From the results of the analysis it was recommended that 90 channels monitored by the instrument under consideration be eliminated from future studies. These channels are tabulated and discussed

Search for acoustic signals from high energy cascades

High energy cosmic ray secondaries can be detected by means of the cascades they produce when they pass through matter. When the charged particles of these cascades ionize the matter they are traveling through, the heat produced and resulting thermal expansion causes a thermoacoustic wave. These sound waves travel at about one hundred-thousandth the speed of light, and should allow an array of acoustic transducers to resolve structure in the cascade to about 1 cm without high speed electronics or segmentation of the detector