Machine learning Vasicek model calibration with Gaussian processes

In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure

Probabilistic transition of condition: render facades

The service life of cement-rendered facades is closely related to the environmental conditions that they are exposed to. The probability distribution is determined for the degradation condition of render facades considering different environmental exposures. A sample of 100 render facades was subjected to meticulous fieldwork to determine their condition. The analysis focuses on the environmental factors that most influence the overall degradation of the facades, evaluated through the condition level. Probabilistic models based on Markov chains are developed to predict the evolution of facade deterioration according to exposure to outdoor environmental conditions. The proposed model provides data on the synergy between the degradation agents and the degradation condition of render facades, the average time of permanence in each degradation level and indications of the effect of degradation on the durability of render that may be applied in the implementation and fine tuning of maintenance procedures. Better understanding the durability of render facades allows a more rational management of their maintenance, contributing to a reduction of their life cycle costs. The proposed stochastic model provides information that can be applied in the context of insurance policies, allowing an evaluation of the risk of failure of coatings

Protoplanetary and Transitional Disks in the Open Stellar Cluster IC 2395

We present new deep UBVRI images and high-resolution multi-object optical spectroscopy of the young (~ 6 - 10 Myr old), relatively nearby (800 pc) open cluster IC 2395. We identify nearly 300 cluster members and use the photometry to estimate their spectral types, which extend from early B to middle M. We also present an infrared imaging survey of the central region using the IRAC and MIPS instruments on board the Spitzer Space Telescope, covering the wavelength range from 3.6 to 24 microns. Our infrared observations allow us to detect dust in circumstellar disks originating over a typical range of radii ~ 0.1 to ~ 10AU from the central star. We identify 18 Class II, 8 transitional disk, and 23 debris disk candidates, respectively 6.5%, 2.9%, and 8.3% of the cluster members with appropriate data. We apply the same criteria for transitional disk identification to 19 other stellar clusters and associations spanning ages from ~ 1 to ~ 18 Myr. We find that the number of disks in the transitional phase as a fraction of the total with strong 24 micron excesses ([8] - [24] > 1.5) increases from 8.4 +\- 1.3% at ~ 3 Myr to 46 +\- 5% at ~ 10 Myr. Alternative definitions of transitional disks will yield different percentages but should show the same trend.Comment: accepted by the Astrophysical Journa

Term Structure Models with Shot-noise Effects

This work proposes term structure models consisting of two parts: a part which can be represented in exponential quadratic form and a shot noise part. These term structure models allow for explicit expressions of various derivatives. In particular, they are very well suited for credit risk models. The goal of the paper is twofold. First, a number of key building blocks useful in term structure modelling are derived in closed-form. Second, these building blocks are applied to single and portfolio credit risk. This approach generalizes Duffie & Garleanu (2001) and is able to produce realistic default correlation and default clustering. We conclude with a specific model where all key building blocks are computed explicitly

An adjustable law of motion for relativistic spherical shells

A classical and a relativistic law of motion for an advancing shell are deduced applying the thin layer approximation. A new parameter connected with the quantity of absorbed matter in the expansion is introduced; this allows of matching theory and observation.Comment: 15 pages, 10 figures and article in press; Central European Journal of Physics 201

The Nature of Blue Cores in Spheroids: a Possible Connection with AGN and Star Formation

We investigate the physical nature of blue cores in early-type galaxies through the first multi-wavelength analysis of a serendipitously discovered field blue-nucleated spheroid in the background of the deep ACS/WFC griz multicolor observations of the cluster Abell 1689. The resolved g-r, r-i and i-z color maps reveal a prominent blue core identifying this galaxy as a ``typical'' case study, exhibiting variations of 0.5-1.0 mag in color between the center and the outer regions, opposite to the expectations of reddened metallicity induced gradients in passively evolved ellipticals. From a Magellan-Clay spectrum we secure the galaxy redshift at $z=0.624$. We find a strong X-ray source coincident with the spheroid galaxy. Spectral features and a high X-ray luminosity indicate the presence of an AGN in the galaxy. However, a comparison of the X-ray luminosity to a sample derived from the Chandra Deep Field South displays Lx to be comparable to Type I/QSO galaxies while the optical flux is consistent with a normal star-forming galaxy. We conclude that the galaxy's non-thermal component dominates at high-energy wavelengths while we associate the spheroid blue light with the stellar spectrum of normal star-forming galaxies. We argue about a probable association between the presence of blue cores in spheroids and AGN activity.Comment: Accepted for publication in the Astrophysical Journal. 6 pages, 3 figures. Full resolution images available at http://acs.pha.jhu.edu/~felipe/e-print

Oral vinorelbine and cisplatin with concomitant radiotherapy in stage III non-small cell lung cancer (NSCLC): A feasibility study

Background: Concurrent chemoradiotherapy has improved survival in inoperable stage III non-small cell lung cancer (NSCLC). This phase I trial was performed in order to establish a dose recommendation for oral vinorelbine in combination with cisplatin and simultaneous radiotherapy. Patients and Methods: Previously untreated patients with stage IIIB NSCLC received concurrent chemoradiotherapy with 66 Gy and 2 cycles of cisplatin and oral vinorelbine which was administered at 3 different levels (40, 50 and 60 mg/m(2)). This was to be followed by 2 cycles of cisplatin/vinorelbine oral consolidation chemotherapy. The study goal was to determine the maximal recommended dose of oral vinorelbine during concurrent treatment. Results: 11 stage IIIB patients were entered into the study. The median radiotherapy dose was 66 Gy. Grade 3-4 toxicity included neutropenia, esophagitis, gastritis and febrile neutropenia. The dose-limiting toxicity for concurrent chemoradiotherapy was esophagitis. 9 patients received consolidation chemotherapy, with neutropenia and anemia/thrombocytopenia grade 3 being the only toxicities. The overall response was 73%. Conclusion: Oral vinorelbine 50 mg/m(2) (days 1, 8, 15 over 4 weeks) in combination with cisplatin 20 mg/m2 (days 1-4) is the recommended dose in combination with radiotherapy (66 Gy) and will be used for concurrent chemoradiotherapy in a forthcoming phase III trial testing the efficacy of consolidation chemotherapy in patients not progressing after chemoradiotherapy

Stabilization of high-order solutions of the cubic Nonlinear Schrodinger Equation

In this paper we consider the stabilization of non-fundamental unstable stationary solutions of the cubic nonlinear Schrodinger equation. Specifically we study the stabilization of radially symmetric solutions with nodes and asymmetric complex stationary solutions. For the first ones we find partial stabilization similar to that recently found for vortex solutions while for the later ones stabilization does not seem possible

Características biológicas de Rhipicephalus (Boophilus) microplus mantidos em novilhas naïve da raça Angus.

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