On multicurve models for the term structure

In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the clean-valuation pricing of FRAs and CAPs (linear and nonlinear derivatives) with one of the main goals being also that of exhibiting an "adjustment factor" when passing from the one-curve to the two-curve setting. The model itself corresponds to short rate modeling where the short rate and a short rate spread are driven by affine factors; this allows for correlation between short rate and short rate spread as well as to exploit the convenient affine structure methodology. We briefly comment also on the calibration of the model parameters, including the correlation factor.Comment: 16 page

Analyticity of the Susceptibility Function for Unimodal Markovian Maps of the Interval

In a previous note [Ru] the susceptibility function was analyzed for some examples of maps of the interval. The purpose of the present note is to give a concise treatment of the general unimodal Markovian case (assuming $f$ real analytic). We hope that it will similarly be possible to analyze maps satisfying the Collet-Eckmann condition. Eventually, as explained in [Ru], application of a theorem of Whitney [Wh] should prove differentiability of the map $f\mapsto\rho_f$ restricted to a suitable set.Comment: 8 page

Characterisation of spatial network-like patterns from junctions' geometry

We propose a new method for quantitative characterization of spatial network-like patterns with loops, such as surface fracture patterns, leaf vein networks and patterns of urban streets. Such patterns are not well characterized by purely topological estimators: also patterns that both look different and result from different morphogenetic processes can have similar topology. A local geometric cue -the angles formed by the different branches at junctions- can complement topological information and allow to quantify the large scale spatial coherence of the pattern. For patterns that grow over time, such as fracture lines on the surface of ceramics, the rank assigned by our method to each individual segment of the pattern approximates the order of appearance of that segment. We apply the method to various network-like patterns and we find a continuous but sharp dichotomy between two classes of spatial networks: hierarchical and homogeneous. The first class results from a sequential growth process and presents large scale organization, the latter presents local, but not global organization.Comment: version 2, 14 page

Complex bounds for multimodal maps: bounded combinatorics

We proved the so called complex bounds for multimodal, infinitely renormalizable analytic maps with bounded combinatorics: deep renormalizations have polynomial-like extensions with definite modulus. The complex bounds is the first step to extend the renormalization theory of unimodal maps to multimodal maps.Comment: 20 pages, 3 figure

Delay of Disorder by Diluted Polymers

We study the effect of diluted flexible polymers on a disordered capillary wave state. The waves are generated at an interface of a dyed water sugar solution and a low viscous silicon oil. This allows for a quantitative measurement of the spatio-temporal Fourier spectrum. The primary pattern after the first bifurcation from the flat interface are squares. With increasing driving strength we observe a melting of the square pattern. It is replaced by a weak turbulent cascade. The addition of a small amount of polymers to the water layer does not affect the critical acceleration but shifts the disorder transition to higher driving strenghs and the short wave length - high frequency fluctuations are suppressed

Hyperbolic outer billiards : a first example

We present the first example of a hyperbolic outer billiard. More precisely we construct a one parameter family of examples which in some sense correspond to the Bunimovich billiards.Comment: 11 pages, 8 figures, to appear in Nonlinearit

A Streamlined, Bi-Organelle, Multiplex PCR Approach to Species Identification: Application to Global Conservation and Trade Monitoring of the Great White Shark, Carcharodon carcharias

The great white shark, Carcharodon carcharias, is the most widely protected elasmobranch in the world, and is classified as Vulnerable by the IUCN and listed on Appendix III of CITES. Monitoring of trade in white shark products and enforcement of harvest and trade prohibitions is problematic, however, in large part due to difficulties in identifying marketed shark parts (e.g., dried fins, meat and processed carcasses) to species level. To address these conservation and management problems, we have developed a rapid, molecular diagnostic assay based on species-specific PCR primer design for accurate identification of white shark body parts, including dried fins. The assay is novel in several respects: It employs a multiplex PCR assay utilizing both nuclear (ribosomal internal transcribed spacer 2) and mitochondrial (cytochrome b) loci simultaneously to achieve a highly robust measure of diagnostic accuracy; it is very sensitive, detecting the presence of white shark DNA in a mixture of genomic DNAs from up to ten different commercially fished shark species pooled together in a single PCR tube; and it successfully identifies white shark DNA from globally distributed animals. In addition to its utility for white shark trade monitoring and conservation applications, this highly streamlined, bi-organelle, multiplex PCR assay may prove useful as a general model for the design of genetic assays aimed at detecting body parts from other protected and threatened species

Scarred Patterns in Surface Waves

Surface wave patterns are investigated experimentally in a system geometry that has become a paradigm of quantum chaos: the stadium billiard. Linear waves in bounded geometries for which classical ray trajectories are chaotic are known to give rise to scarred patterns. Here, we utilize parametrically forced surface waves (Faraday waves), which become progressively nonlinear beyond the wave instability threshold, to investigate the subtle interplay between boundaries and nonlinearity. Only a subset (three main types) of the computed linear modes of the stadium are observed in a systematic scan. These correspond to modes in which the wave amplitudes are strongly enhanced along paths corresponding to certain periodic ray orbits. Many other modes are found to be suppressed, in general agreement with a prediction by Agam and Altshuler based on boundary dissipation and the Lyapunov exponent of the associated orbit. Spatially asymmetric or disordered (but time-independent) patterns are also found even near onset. As the driving acceleration is increased, the time-independent scarred patterns persist, but in some cases transitions between modes are noted. The onset of spatiotemporal chaos at higher forcing amplitude often involves a nonperiodic oscillation between spatially ordered and disordered states. We characterize this phenomenon using the concept of pattern entropy. The rate of change of the patterns is found to be reduced as the state passes temporarily near the ordered configurations of lower entropy. We also report complex but highly symmetric (time-independent) patterns far above onset in the regime that is normally chaotic.Comment: 9 pages, 10 figures (low resolution gif files). Updated and added references and text. For high resolution images: http://physics.clarku.edu/~akudrolli/stadium.htm

Pre-avalanche instabilities in a granular pile

We investigate numerically the transition between static equilibrium and dynamic surface flow of a 2D cohesionless granular system driven by a continuous gravity loading. This transition is characterized by intermittent local dynamic rearrangements and can be described by an order parameter defined as the density of critical contacts, e.g. contacts where the friction is fully mobilized. Analysis of the spatial correlations of critical contacts shows the occurence of ``fluidized'' clusters which exhibit a power-law divergence in size at the approach of the stability limit. The results are compatible with recent models that describe the granular system during the static/dynamic transition as a multi-phase system.Comment: 9 pages, 6 figures, submitted to Phys. Rev. Let

Double exponential stability of quasi-periodic motion in Hamiltonian systems

We prove that generically, both in a topological and measure-theoretical sense, an invariant Lagrangian Diophantine torus of a Hamiltonian system is doubly exponentially stable in the sense that nearby solutions remain close to the torus for an interval of time which is doubly exponentially large with respect to the inverse of the distance to the torus. We also prove that for an arbitrary small perturbation of a generic integrable Hamiltonian system, there is a set of almost full positive Lebesgue measure of KAM tori which are doubly exponentially stable. Our results hold true for real-analytic but more generally for Gevrey smooth systems