Efficient local strategies for vaccination and network attack

We study how a fraction of a population should be vaccinated to most efficiently top epidemics. We argue that only local information (about the neighborhood of specific vertices) is usable in practice, and hence we consider only local vaccination strategies. The efficiency of the vaccination strategies is investigated with both static and dynamical measures. Among other things we find that the most efficient strategy for many real-world situations is to iteratively vaccinate the neighbor of the previous vaccinee that has most links out of the neighborhood

Elaboración y pertinencia de la matriz de consistencia cualitativa para las investigaciones en ciencias sociales

This work is a contribution for researchers and social sciences thesis students who seek to apply a qualitative approach to their research projects. The Qualitative Consistency Matrix (MCC) is proposed as a methodological instrument that makes it possible to systematize, analyze and understand the procedures and advances of research involving phenomena, events, situations and subjects that differ in their nature and structure from those objects and topics addressed via a quantitative approach, in contrast to the design, structuring and operationalization of variables in order to validate the relevance and feasibility of a research project, which is summarized in the verification and development of the Quantitative Consistency Matrix (MCC), or deductive logical matrix.Este trabajo es un aporte para los investigadores y tesista de ciencias sociales que quieran situar sus proyectos de investigación desde un enfoque cualitativo. La matriz de consistencia cualitativa (MCc) es un instrumento metodológico que posibilita sistematizar, analizar y comprender los procedimientos y avances de una investigación que implica fenómenos, hechos, situaciones y sujetos que difieren en su naturaleza y estructura con los objetos y tópicos trabajados por el enfoque cuantitativo; a diferencia del diseño, estructuración y operativización de variables para validar la pertinencia y viabilidad del proyecto de investigación, que se resume en la verificación y el desarrollo de la matriz de consistencia cuantitativa (MCC) o matriz lógica deductiva

Systemic Risk and Default Clustering for Large Financial Systems

As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and computational tools for the quantification of such phenomena. Limiting analysis such as law of large numbers and central limit theorems allow to approximate the distribution in large systems and study quantities such as the loss distribution in large portfolios. Large deviations analysis allow us to study the tail of the loss distribution and to identify pathways to default clustering. Sensitivity analysis allows to understand the most likely ways in which different effects, such as contagion and systematic risks, combine to lead to large default rates. Such results could give useful insights into how to optimally safeguard against such events.Comment: in Large Deviations and Asymptotic Methods in Finance, (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015

A simple mean field model for social interactions: dynamics, fluctuations, criticality

We study the dynamics of a spin-flip model with a mean field interaction. The system is non reversible, spacially inhomogeneous, and it is designed to model social interactions. We obtain the limiting behavior of the empirical averages in the limit of infinitely many interacting individuals, and show that phase transition occurs. Then, after having obtained the dynamics of normal fluctuations around this limit, we analize long time fluctuations for critical values of the parameters. We show that random inhomogeneities produce critical fluctuations at a shorter time scale compared to the homogeneous system.Comment: 37 pages, 2 figure

Analytic results and weighted Monte Carlo simulations for CDO pricing

We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credit derivative referred to as Collateralized Debt Obligation (CDO). Modeling a CDO contract is challenging, since it depends on a pool of (typically about 100) assets, Monte Carlo simulations are often the only feasible approach to pricing. Variance reduction techniques are therefore of great importance. This paper presents an exact analytic solution using Laplace-transform and MC importance sampling results for an easily tractable intensity-based model of the CDO, namely the compound Poissonian. Furthermore analytic formulae are derived for the reweighting efficiency. The computational gain is appealing, nevertheless, even in this basic scheme, a phase transition can be found, rendering some parameter regimes out of reach. A model-independent transform approach is also presented for CDO pricing.Comment: 12 pages, 9 figure

Lambda-effect from forced turbulence simulations

Aims: We determine the components of the $\Lambda$-effect tensor that quantifies the contributions to the turbulent momentum transport even for uniform rotation. Methods: Three-dimensional numerical simulations are used to study turbulent transport in triply periodic cubes under the influence of rotation and anisotropic forcing. Comparison is made with analytical results obtained via the so-called minimal tau-approximation. Results: In the case where the turbulence intensity in the vertical direction dominates, the vertical stress is always negative. This situation is expected to occur in stellar convection zones. The horizontal component of the stress is weaker and exhibits a maximum at latitude 30 degrees - regardless of how rapid the rotation is. The minimal tau-approximation captures many of the qualitative features of the numerical results, provided the relaxation time tau is close to the turnover time, i.e. the Strouhal number is of order unity.Comment: 20 pages, 14 figures, accepted for publication in Astronomy & Astrophysic

Tree migration-rates : narrowing the gap between inferred post-glacial rates and projected rates

Faster-than-expected post-glacial migration rates of trees have puzzled ecologists for a long time. In Europe, post-glacial migration is assumed to have started from the three southern European peninsulas (southern refugia), where large areas remained free of permafrost and ice at the peak of the last glaciation. However, increasing palaeobotanical evidence for the presence of isolated tree populations in more northerly microrefugia has started to change this perception. Here we use the Northern Eurasian Plant Macrofossil Database and palaeoecological literature to show that post-glacial migration rates for trees may have been substantially lower (60–260 m yr–1) than those estimated by assuming migration from southern refugia only (115–550 m yr–1), and that early-successional trees migrated faster than mid- and late-successional trees. Post-glacial migration rates are in good agreement with those recently projected for the future with a population dynamical forest succession and dispersal model, mainly for early-successional trees and under optimal conditions. Although migration estimates presented here may be conservative because of our assumption of uniform dispersal, tree migration-rates clearly need reconsideration. We suggest that small outlier populations may be a key factor in understanding past migration rates and in predicting potential future range-shifts. The importance of outlier populations in the past may have an analogy in the future, as many tree species have been planted beyond their natural ranges, with a more beneficial microclimate than their regional surroundings. Therefore, climate-change-induced range-shifts in the future might well be influenced by such microrefugia

New Delhi metallo-beta-lactamase 1-producing Enterobacteriaceae: emergence and response in Europe

The European NDM-1 Survey Participants: Manuela Caniça (Departamento de Doenças Infecciosas do INSA)Acquired carbapenemases confer extensive antibiotic resistance to Enterobacteriaceae and represent a public health threat. A novel acquired carbapenemase, New Delhi metallo-beta-lactamase 1 (NDM-1), has recently been described in the United Kingdom and Sweden, mostly in patients who had received care on the Indian subcontinent. We conducted a survey among 29 European countries (the European Union Member States, Iceland and Norway) to gather information on the spread of NDM-1-producing Enterobacteriaceae in Europe, on public health responses and on available national guidance on detection, surveillance and control. A total of 77 cases were reported from 13 countries from 2008 to 2010. Klebsiella pneumoniae was the most frequently reported species with 54%. Among 55 cases with recorded travel history, 31 had previously travelled or been admitted to a hospital in India or Pakistan and five had been hospitalised in the Balkan region. Possible nosocomial acquisition accounted for 13 of 77 cases. National guidance on NDM-1 detection was available in 14 countries and on NDM-1 control in 11 countries. In conclusion, NDM-1 is spreading across Europe, where it is frequently linked to a history of healthcare abroad, but also to emerging nosocomial transmission. National guidance in response to the threat of carbapenemase-producing Enterobacteriaceae is available in approximately half of the surveyed European countries. Surveillance of carbapenemase- producing Enterobacteriaceae must be enhanced in Europe and effective control measures identified and implemented

Derivatives and Credit Contagion in Interconnected Networks

The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly triggering each other through contagion. Although credit default swaps have radically altered the dynamics of contagion for more than a decade, models quantifying their impact on systemic risk are still missing. Here, we examine contagion through credit default swaps in a stylized economic network of corporates and financial institutions. We analyse such a system using a stochastic setting, which allows us to exploit limit theorems to exactly solve the contagion dynamics for the entire system. Our analysis shows that, by creating additional contagion channels, CDS can actually lead to greater instability of the entire network in times of economic stress. This is particularly pronounced when CDS are used by banks to expand their loan books (arguing that CDS would offload the additional risks from their balance sheets). Thus, even with complete hedging through CDS, a significant loan book expansion can lead to considerably enhanced probabilities for the occurrence of very large losses and very high default rates in the system. Our approach adds a new dimension to research on credit contagion, and could feed into a rational underpinning of an improved regulatory framework for credit derivatives.Comment: 26 pages, 7 multi-part figure