57 research outputs found
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 fluĂŞncia em leitura: um estudo com alunos do 2Âş ano de escolaridade
Neste artigo são analisados os resultados de um Programa de Promoção da
FluĂŞncia em Leitura (PPFL), implementado junto de 74 alunos do 2Âş ano
de escolaridade de um Agrupamento Escolar do norte de Portugal. O PPFL
Ă© constituĂdo por 22 sequĂŞncias didáticas, elaboradas a partir de 22 textos
(9 narrativos, 4 informativos e 9 poemas). Cada sequĂŞncia 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 famĂlia 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
Follow-up of patients treated with retinoic acid for the control of radioiodine non-responsive advanced thyroid carcinoma
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
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