General Quadratic Term Structures of Bond, Futures and Forward Prices

For finite dimensional factor models, the paper studies general quadratic term structures. These term structures include as special cases the affine term structures and the Gaussian quadratic term structures, previously studied in the literature. We show, however, that there are other, non-Gaussian, quadratic term structures and derive sufficient conditions for the existence of these general quadratic term structures for bond, futures and forward prices. As forward prices are martingales under the T-forward measure, their term structure equation depends on properties of bond prices' term structure. We exploit the connection with the bond prices term structure and show that even in quadratic short rate settings we can have affine term structures for forward prices. Finally, we show how the study of futures prices is naturally embedded in a study of forward prices and show that the difference between the two prices have to do with the correlation between bond prices and the price process of the underlying to the forward contract and this difference may be deterministic in some (non-trivial) stochastic interest rate settings.term structure; bond price; futures price; forward price; affine term structure; quadratic term structure

An Innovative University Course for Cooperating Teachers

The transformation of a course for certifying cooperating teachers in Puerto Rico is described. The course was transformed to strengthen the teaching of science and mathematics and to make the course more congruent with the educational principles of constructivism promoted by the CETP projects at the national level, including Puerto Rico. The 45-hour requirement was distributed over nine days. The Open Space strategy was modified to include multiple active teaching-learning and assessment techniques, which promoted a learning environment based on trust, dedication, and the commitment of all participants to learn and help each other learn. Even more relevant was the fact that more content was covered and in more depth. The modified version of the course was offered to secondary level science and mathematics teachers, especially to teachers who work at the practicum centers that are part of the PR-CETP

Evaluation and Management of Sleep Disorders in the Hand Surgery Patient.

Despite posing a significant public health threat, sleep disorders remain poorly understood and often underdiagnosed and mismanaged. Although sleep disorders are seemingly unrelated, hand surgeons should be mindful of these because numerous conditions of the upper extremity have known associations with sleep disturbances that can adversely affect patient function and satisfaction. In addition, patients with sleep disorders are at significantly higher risk for severe, even life-threatening medical comorbidities, further amplifying the role of hand surgeons in the recognition of this condition

Correlation Between Intensity and Recovery in Credit Risk Models

We start by presenting a reduced-form multiple default type of model and derive abstract results on the influence of a state variable X on credit spreads, when both the intensity and the loss quota distribution are driven by X. The aim is to apply the results to a concrete real life situation, namely, to the influence of macroeconomic risks on credit spreads term structures. There has been increasing support in the empirical literature that both the probability of default (PD) and the loss given default (LGD) are correlated and driven by macroeconomic variables. Paradoxically, there has been very little effort from the theoretical literature to develop credit risk models that would include this possibility. A possible justification has to do with the increase in complexity this leads to, even for the "treatable" default intensity models. The goal of this paper is to develop the theoretical framework needed to handle this situation and, through numerical simulation, understand the impact on credit risk term structures of the macroeconomic risks. In the proposed model the state of the economy is modeled trough the dynamics of a market index, that enters directly on the functional form of both the intensity of default and the distribution of the loss quota given default. Given this setup, we are able to make periods of economic depression, periods of higher default intensity as well as periods where low recovery is more likely, producing a business cycle effect. Furthermore, we allow for the possibility of an index volatility that depends negatively on the index level and show that, when we include this realistic feature, the impacts on the credit spread term structure are emphasized.Credit risk; sistematic risk; intensity models; recovery; credit spreads

Quadratic Portfolio Credit Risk models with Shot-noise Effects

We propose a reduced form model for default that allows us to derive closed-form solutions to all the key ingredients in credit risk modeling: risk-free bond prices, defaultable bond prices (with and without stochastic recovery) and probabilities of survival. We show that all these quantities can be represented in general exponential quadratic forms, despite the fact that the intensity is allowed to jump producing shot-noise effects. In addition, we show how to price defaultable digital puts, CDSs and options on defaultable bonds. Further on, we study a model for portfolio credit risk where we consider both firm specific and systematic risks. The model generalizes the attempt from Duffie and Garleanu (2001). We find that the model produces realistic default correlation and clustering of defaults. Then, we show how to price first-to-default swaps, CDOs, and draw the link to currently proposed credit indices.Credit risk; reduced-form models; CDS; CDO; quadratic term structures; shot-noise

Kounis Syndrome Associated With Selective Anaphylaxis to Cefazolin.

info:eu-repo/semantics/publishedVersio