Nonlinear valuation with XVAs: two converging approaches

When pricing OTC contracts in the presence of additional risk factors and costs, such as credit risk and funding and collateral costs, the starting “clean price” is modified additively by valuation adjustments (XVAs) that account for each factor or cost in isolation, while seemingly ignoring the combined effects. Instead, risk factors and costs can be jointly accounted for ab initio in the pricing mechanism at the level of cash flows, and this “adjusted cash flow" approach leads to a nonlinear valuation formula. While for practitioners this made more sense because it showed which discount factor is used for which cash flow (recall the multi-curve environment post-crisis), for academics, the focus was on checking that the resulting nonlinear valuation formula is consistent with the theoretical arbitrage-free “replication approach” that we also analyse in the paper. We formulate specific reasonable assumptions, which ensure that the valuation formulae obtained by the two approaches coincide, thus reinforcing both academics’ and practitioners’ confidence in adopting such nonlinear valuation formulae in a multi-curve setup

Effective-Range Expansion of the Neutron-Deuteron Scattering Studied by a Quark-Model Nonlocal Gaussian Potential

The S-wave effective range parameters of the neutron-deuteron (nd) scattering are derived in the Faddeev formalism, using a nonlocal Gaussian potential based on the quark-model baryon-baryon interaction fss2. The spin-doublet low-energy eigenphase shift is sufficiently attractive to reproduce predictions by the AV18 plus Urbana three-nucleon force, yielding the observed value of the doublet scattering length and the correct differential cross sections below the deuteron breakup threshold. This conclusion is consistent with the previous result for the triton binding energy, which is nearly reproduced by fss2 without reinforcing it with the three-nucleon force.Comment: 21 pages, 6 figures and 6 tables, submitted to Prog. Theor. Phy

Prevalence of unstable attractors in networks of pulse-coupled oscillators

We present and analyze the first example of a dynamical system that naturally exhibits attracting periodic orbits that are \textit{unstable}. These unstable attractors occur in networks of pulse-coupled oscillators where they prevail for large networks and a wide range of parameters. They are enclosed by basins of attraction of other attractors but are remote from their own basin volume such that arbitrarily small noise leads to a switching among attractors.Comment: 5 pages, 3 figure

Promover a fluência em leitura: um estudo com alunos do 2º ano de escolaridade

Neste artigo são analisados os resultados de um Programa de Promoção da Fluência em Leitura (PPFL), implementado junto de 74 alunos do 2º ano de escolaridade de um Agrupamento Escolar do norte de Portugal. O PPFL é constituído por 22 sequências didáticas, elaboradas a partir de 22 textos (9 narrativos, 4 informativos e 9 poemas). Cada sequência foi operacionalizada em sessões de 10 a 15 minutos, durante 22 semanas, em ciclos de cinco dias (quinta-feira a quarta-feira). Em cada semana foi trabalhado apenas uma sequência didáctica (i.e. um texto). Foi utilizado um design quase experimental, com grupo experimental e grupo de controlo e com pré e pós-teste. Os sujeitos foram avaliados através de um teste de fluência de leitura – o Teste de Fluência em Leitura (TFL) –, considerando as variáveis velocidade e precisão. Os resultados evidenciam diferenças significativas a favor do grupo experimental, que superou as diferenças iniciais que se registavam no pré-teste. A análise qualitativa do impacto do PPFL aponta para um incremento na motivação para ler, no envolvimento da família e para a mudança de práticas por parte dos professores envolvidos.CIEC - Centro de Investigação em Estudos da Criança, IE, UMinho (UI 317 da FCT), PortugalFundos Nacionais através da FCT (Fundação para a Ciência e a Tecnologia) e cofinanciado pelo Fundo Europeu de Desenvolvimento Regional (FEDER) através do COMPETE 2020 – Programa Operacional Competitividade e Internacionalização (POCI) no âmbito do CIEC (Centro de Investigação em Estudos da Criança, da Universidade do Minho) com a referência POCI-01-0145-FEDER-00756

Alice in Accounting Land: The Adventure of Two Economic Historians in Accounting Records of the 19th Century

This article aims to share our experience of working with São Paulo's municipal budgets published during the 19th century and discuss the difficulties of using this kind of source to analyze the municipal public finance from a historical perspective. The budget laws published draw the researcher's attention because they are abundant and relatively easy to work with, providing a huge documentary set that may be used as a means for studies in the fields of economic history, political history, and cultural history within the imperial period. These laws are printed, therefore, readable, and easily accessible through the digital web portal Acervo Histórico da Assembleia Legislativa do Estado de São Paulo Historical Collection of the São Paulo State Legislative Assembly]. They detail the origins and destinations of public resources, municipality by municipality, allowing the researcher to reconstruct the financial life of municipalities, identifying changes in time and space of the fortunes of the 19th-century São Paulo state communities. However, may we really trust these budgets? Conversations and collaborations between two researchers showed that these accessible, readable, and abundant sources are not as appropriate as they seem at first glance. This article reports our troubled and even contradictory journey into the world of municipal public accounting, in order to detail our findings and provide a warning on these sources. A comparative methodology between budget laws and handwritten balance sheets was used at time intervals of 1, 2, and 3 years, in search of correlations and adjustment patterns between budgeted and spent amounts of money. Our experience has shown that budget laws do not have much in common with the actual financial experience of municipalities within the imperial period, therefore, they are not the most appropriate sources to know the financial daily life in the 19th-century São Paulo state villages

Growth rate, evolutionary entropy and ageing across the tree of life

The growth rate of a population serves as a measure of its Darwinian fitness, while its sensitivity indicates the intensity of selection. Generally, the sensitivity of r decreases with age, resulting in an expected increase in population mortality over time. However, this does not hold true for many populations, especially those exhibiting negative senescence. Both evolutionary entropy and its sensitivity serve as complementary measures for assessing fitness and the intensity of selection. The sensitivity of entropy is typically a convex function of age, implying stronger selection pressures in younger and older age groups. We show that the sensitivity functions of entropy exhibit a greater range of behaviours compared to those of the growth rate alone. This strongly suggests that evolutionary entropy offers an extremely valuable measure for capturing the diversity in aging patterns within populations, complementing what can be captured by the growth rate alone