Asymptotic expansion for some local volatility models arising in finance

In this paper we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the remainders. Moreover, we perform a detailed numerical analysis, with accuracy comparisons, of the obtained results by mean of the standard Monte Carlo technique as well as exploiting the polynomial Chaos Expansion approach

Polynomial Chaos Expansion Approach to Interest Rate Models

The Polynomial Chaos Expansion (PCE) technique allows us to recover a finite second-order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions of a given stochastic quantityξ, hence acting as a kind of random basis. The PCE methodology has been developed as a mathematically rigorous Uncertainty Quantification (UQ) method which aims at providing reliable numerical estimates for some uncertain physical quantities defining the dynamic of certain engineering models and their related simulations. In the present paper, we use the PCE approach in order to analyze some equity and interest rate models. In particular, we take into consideration those models which are based on, for example, the Geometric Brownian Motion, the Vasicek model, and the CIR model. We present theoretical as well as related concrete numerical approximation results considering, without loss of generality, the one-dimensional case. We also provide both an efficiency study and an accuracy study of our approach by comparing its outputs with the ones obtained adopting the Monte Carlo approach, both in its standard and its enhanced version

Asymptotic expansion for some local volatility models arising in finance

In this paper, we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the remainders. Moreover, we perform a detailed numerical analysis, with accuracy comparisons, of the obtained results by means of the standard Monte Carlo technique as well as exploiting the Polynomial Chaos Expansion approach

Subjetividad y aparato psíquico: acerca de quietudes e in-quietudes

El presente trabajo discute reflexivamente sobre acontecimientos socio-políticos que podrían indicar un proceso de transformación de la subjetividad. Para comprender ese cambio es preciso investigar cómo se construye una subjetividad, es decir, cómo se construyen modos concretos, imaginarios y simbólicos de hacer, pensar, sentir, decir y fantasear. Partimos de la convicción de que el sujeto es un ser histórico social atravesado por la necesidad y el deseo. Tal conformación indica la ineludible tarea de comprender el sistema social en el que se desarrolla la subjetividad dado que es en y desde las territorialidades que son y pueden ser-allí en las que se encuentran o no las posibilidades de su realización. El proceso de producción capitalista origina la fetichización de la mercancía (dinámica bajo la que se cosifica al trabajador) y la reificación del capital, siendo una consecuencia de su imperio, la reducción del sujeto histórico social a la alienación individual. Sugerimos que el deseo (de transformar las estructuras de explotación y dominación) es determinante y acaso anterior a la conciencia de la opresión. Por consiguiente, la raíz de todo acto revolucionario se encuentra en la poesía, en la palabra, en aquello que despierta el deseo de transformación.Ce travail discute sur les événements socio-politiques qui pourraient indiquer un processus de transformation de la subjectivité. Pour comprendre ce changement, il faut analyser comment se construit la subjectivité, c'est-à-dire comment se construisent les modes concrets, imaginaires et symboliques du faire, penser, sentir et fantasmer. Nous sommes partis de la conviction de ce que le sujet est un être historico social traversé par la nécessité et le désir. Une telle conformation indique l'inéluctable devoir de comprendre le système social dans lequel la subjectivité se développe, étant donné que c'est en lui et à partir des territorialités présentes que se rencontrent ou non les possibilités de sa réalisation. Le processus de production capitaliste donne origine à la « fétichisation » de la marchandise (dynamique dans laquelle se « chosifie » le travailleur) et étant donné le règne du capital, comme conséquence de son empire, est la réduction du sujet historico social à l'aliénation individuelle. Nous suggérons que le désir (de transformer les structures d'exploration et de domination) est déterminant et peut-être antérieur à la conscience de l'oppression. En conséquence, la racine de tout acte révolutionnaire se trouve dans la poésie, la parole, ce qui éveille le désir de transformation.The present work discusses social-political occurrences which could indicate a process of transformation of subjectivity. In order to comprehend this change, it is necessary to investigate how subjectivity is built, that is, how concrete, imaginary and simbolic modes of doing, thinking, feeling, speaking and fantasizing are constructed. We depart from the conviction that the subject is a social historical being crossed by need and desire. Such configuration indicates the undeceivable task of comprehending the social system in which the subjectivity unfolds, since it is in it and from the territorialities present in it that the possibilities of its realization are met or not. The capistalist mass production brings about the merchandise 'fetishization' (dynamics under which the worker is regarded as a material thing) and the reification of capital. One consequence of its empire is the reduction of the social historical being into individual alienation. It is suggested that the desire (of changing the structures of domination and exploitation) is a determinant factor and perhaps prior to the conscience of opression. Hence, the root of all revolutionary act lies in poetry, in word, in that which awakes the desire for transformation

PROPOSAL FOR AN INTEGRATED SYSTEM FOR NATURAL DISASTERS RISK MANAGEMENT IN THE BRAZILIAN SCENARIO

This work presents a design for an Integrated Management System of Natural Disasters Risks (SIGRID), based on literature review about integral management of disasters risks and also on the authors’ experience related to operational and inter-institutional situations in the Brazilian protection and defense civil scenario. The combined analysis of the main current Brazilian systems was the starting point for the creation of this proposal. Those systems (System for Monitoring and Warnings of Natural Disasters/MCTI, System for Urban Occupation Monitoring/MCid and System for Information about Disasters/MI) provide complementary information and are responsible for joining information and other related systems in different scales (including municipalities, state and the whole country in some cases). The needs and the conceptual  inter-operational arrangement among systems were analyzed and the new system’s main characteristics and functions were defined. The proposed system’s mission highlights the connection of activities related to the Integral Management of Disasters Risks in Brazil, considering peculiarities of the country’s federative pact. The proposal is in accordance with the Brazilian Law 12.608/12.Partindo-se de uma pesquisa bibliográfica nos múltiplos assuntos relacionados à gestão integral de riscos de desastres e da observação participante dos autores por meio de vivência em situações operacionais e interinstitucionais no cenário de proteção e defesa civil brasileiro, propôs-se a criação de um Sistema Informatizado para Gestão Integral de Riscos de Desastres Naturais (SIGRID). A proposta foi construída a partir de uma análise conjugada dos principais sistemas nacionais em voga (Sistema de Monitoramento e Alertas de Desastres Naturais/MCTI, Sistema de Monitoramento da Ocupação Urbana/MCid e Sistema de Informações Sobre Desastres/MI) que, além de serem complementares, também teriam a função de congregar informações e sistemas já existentes nos âmbitos federal, estadual e municipal, que se mostrem afins com suas respectivas missões. Neste contexto, foram analisadas as necessidades e o arranjo interoperacional conceitual entre os sistemas existentes, bem como foram definidas as principais características e funcionalidades de um sistema informatizado cuja missão seja conectar as atividades relacionadas à Gestão Integral de Riscos de Desastres no Brasil, levando em conta as peculiaridades do pacto federativo do país. A proposta deste sistema está alinhada com a Lei 12.608/12

Competition and habitat quality influence age and sex distribution in wintering rusty blackbirds.

Bird habitat quality is often inferred from species abundance measures during the breeding and non-breeding season and used for conservation management decisions. However, during the non-breeding season age and sex classes often occupy different habitats which suggest a need for more habitat-specific data. Rusty Blackbird (Euphagus carolinus) is a forested wetland specialist wintering in bottomland hardwood forests in the south-eastern U. S. and belongs to the most steeply declining songbirds in the U.S. Little information is available to support priority birds such as the Rusty Blackbird wintering in this threatened habitat. We assessed age and sex distribution and body condition of Rusty Blackbirds among the three major habitats used by this species in the Lower Mississippi Alluvial Valley and also measured food availability. Overall, pecan groves had the highest biomass mainly driven by the amount of nuts. Invertebrate biomass was highest in forests but contributed only a small percentage to overall biomass. Age and sex classes were unevenly distributed among habitats with adult males primarily occupying pecan groves containing the highest nut biomass, females being found in forests which had the lowest nut biomass and young males primarily staying in forest fragments along creeks which had intermediate nut biomass. Males were in better body condition than females and were in slightly better condition in pecan groves. The results suggest that adult males occupy the highest quality habitat and may competitively exclude the other age and sex classes

Subjetividad y aparato psíquico: acerca de quietudes e in-quietudes

El presente trabajo discute reflexivamente sobre acontecimientos socio-políticos que podrían indicar un proceso de transformación de la subjetividad. Para comprender ese cambio es preciso investigar cómo se construye una subjetividad, es decir, cómo se construyen modos concretos, imaginarios y simbólicos de hacer, pensar, sentir, decir y fantasear. Partimos de la convicción de que el sujeto es un ser histórico social atravesado por la necesidad y el deseo. Tal conformación indica la ineludible tarea de comprender el sistema social en el que se desarrolla la subjetividad dado que es en y desde las territorialidades que son y pueden ser-allí en las que se encuentran o no las posibilidades de su realización. El proceso de producción capitalista origina la fetichización de la mercancía (dinámica bajo la que se cosifica al trabajador) y la reificación del capital, siendo una consecuencia de su imperio, la reducción del sujeto histórico social a la alienación individual. Sugerimos que el deseo (de transformar las estructuras de explotación y dominación) es determinante y acaso anterior a la conciencia de la opresión. Por consiguiente, la raíz de todo acto revolucionario se encuentra en la poesía, en la palabra, en aquello que despierta el deseo de transformación

Polynomial Chaos Expansion Approach to Interest Rate Models

The Polynomial Chaos Expansion (PCE) technique allows us to recover a finite second-order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions of a given stochastic quantity ξ, hence acting as a kind of random basis. The PCE methodology has been developed as a mathematically rigorous Uncertainty Quantification (UQ) method which aims at providing reliable numerical estimates for some uncertain physical quantities defining the dynamic of certain engineering models and their related simulations. In the present paper, we use the PCE approach in order to analyze some equity and interest rate models. In particular, we take into consideration those models which are based on, for example, the Geometric Brownian Motion, the Vasicek model, and the CIR model. We present theoretical as well as related concrete numerical approximation results considering, without loss of generality, the one-dimensional case. We also provide both an efficiency study and an accuracy study of our approach by comparing its outputs with the ones obtained adopting the Monte Carlo approach, both in its standard and its enhanced version