Pricing tranched credit products with generalized multifactor models

The market for tranched credit products (CDOs, Itraxx tranches) is one of the fastest growing segments in the credit derivatives industry. However, some assumptions underlying the standard Gaussian onefactor pricing model (homogeneity, single factor, Normality), which is the pricing standard widely used in the industry, are probably too restrictive. In this paper we generalize the standard model by means of a two by two model (two factors and two asset classes). We assume two driving factors (business cycle and industry) with independent tStudent distributions, respectively, and we allow the model to distinguish among portfolio assets classes. In order to illustrate the estimation of the parameters of the model, an empirical application with Moody's data is also included

Neutrino mixing and masses in a left-right model with mirror fermions

In the framework of a left-right model containing mirror fermions with gauge group SU(3)$_{C} \otimes SU(2)_{L} \otimes SU(2)_{R} \otimes U(1)_{Y^\prime}$, we estimate the neutrino masses, which are found to be consistent with their experimental bounds and hierarchy. We evaluate the decay rates of the Lepton Flavor Violation (LFV) processes $\mu \rightarrow e \gamma$, $\tau \rightarrow \mu \gamma$ and $\tau \rightarrow e\gamma$. We obtain upper limits for the flavor-changing branching ratios in agreement with their present experimental bounds. We also estimate the decay rates of heavy Majorana neutrinos in the channels $N \rightarrow W^{\pm} l^{\mp}$, $N \rightarrow Z \nu_{l}$ and $N \rightarrow H \nu_{l}$, which are roughly equal for large values of the heavy neutrino mass. Starting from the most general Majorana neutrino mass matrix, the smallness of active neutrino masses turns out from the interplay of the hierarchy of the involved scales and the double application of seesaw mechanism. An appropriate parameterization on the structure of the neutrino mass matrix imposing a symmetric mixing of electron neutrino with muon and tau neutrinos leads to Tri-bimaximal mixing matrix for light neutrinos.Comment: Accepted by European Physical Journal

Remarks on the representation theory of the Moyal plane

We present an explicit construction of a unitary representation of the commutator algebra satisfied by position and momentum operators on the Moyal plane.Comment: 10 pages, minor changes, refs. adde

On the noncommutative eikonal

We study the eikonal approximation to quantum mechanics on the Moyal plane. Instead of using a star product, the analysis is carried out in terms of operator-valued wavefunctions depending on noncommuting, operator-valued coordinates.Comment: 18 page

Neutrino masses and mixing parameters in a left-right model with mirror fermions

In this work we consider a left-right model containing mirror fermions with gauge group SU(3)$_{C} \otimes SU(2)_{L} \otimes SU(2)_{R} \otimes U(1)_{Y^\prime}$. The model has several free parameters which here we have calculated by using the recent values for the squared-neutrino mass differences. Lower bound for the mirror vacuum expectation value helped us to obtain crude estimations for some of these parameters. Also we estimate the order of magnitude of the masses of the standard and mirror neutrinos.Comment: 13 pages, version submitted to European Physical Journal

Magnetoelectric coupling in polycrystalline FeVO4

We report coupling between magnetic and electric orders for antiferromagnetic polycrystalline FeVO4 in which magnetism-induced polarization has been recently found in noncollinear antiferromagnetic state below the second antiferromagnetic phase transition at TN2=15.7K. In this low symmetry phase space group P-1, the magnetic field dependence of electric polarization evidences a clear magnetoelectric coupling in the noncollinear spin-configured antiferromagnetic phase. The discontinuity of magnetodielectric effect observed at the vicinity of the polar to nonpolar transition evidences competition between different magnetodielectric couplings in the two different antiferromagnetic states. The existence of thermal expansion anomaly near TN2 and magnetostriction effect support magnetoelastically mediated scenario of the observed magnetoelectric effect.Comment: 4 pages, 6 figures, Phys. Rev. B 80, 172103 (2009

Growth periodicity of six tree species from Araucaria forest.

Resumo

Crescimento de Araucaria angustifolia na Reserva Florestal Embrapa/EPAGRI, Caçador, SC.

A Floresta Ombrófila Mista (FOM) é uma das fitofisionomias mais ameaçadas da área de domínio da Mata Atlântica, apresentando grande importância ecológico-econômica. Apesar disso, ainda existem lacunas de conhecimento sobre a produtividade primária, o crescimento e a dinâmica de espécies importantes, como a Araucaria angustifolia. O presente trabalho tem por objetivo estudar o crescimento anual de Araucaria angustifolia, nativa do Município de Caçador, SC, pela medição dos anéis de crescimento. A contagem e medição dos anéis de crescimento foram feitas com o auxílio de um microscópio estereoscópico, em baguetas de 0,5 cm de diâmetro, coletadas de 32 árvores adultas. As medições foram feitas com o medidor de anéis de crescimento LINTAB, com precisão de 0,01 mm. O comprimento das amostras é irregular, tendo variado de 4,2 cm a 20,2 cm. As árvores apresentaram diâmetro médio de 76,3 cm, variando de 10,7 cm a 141,3 cm. O incremento diamétrico periódico dos últimos 10 anos foi de 0,40 cm, variando de 0,11 cm a 1,15 cm. Observou-se variação de crescimento entre os diferentes indivíduos, mas houve uma tendência de redução do ritmo de crescimento nas árvores maiores, sendo mais evidente em árvores com mais 110 cm de diâmetro.Nota Científica

Formal Visual Modeling of Real-Time Systems in e-Motions: Two Case Studies

e-Motions is an Eclipse-based visual timed model transformation framework with a Real-Time Maude semantics that supports the usual Maude formal analysis methods, including simulation, reachability analysis, and LTL model checking. e-Motions is characterized by a novel and powerful set of constructs for expressing timed behaviors. In this paper we illustrate the use of these constructs --- and thereby implicitly investigate their suitability to define real-time systems in an intuitive way --- to define and formally analyze two prototypical and very different real-time systems: (i) a simple round trip time protocol for computing the time it takes a message to travel from one node to another, and back; and (ii) the EDF scheduling algorithm.Comment: In Proceedings AMMSE 2011, arXiv:1106.596