Hedging Canadian short-term interest rates : the BAX market

This thesis adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities in Canada. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal of this thesis. The specific futures contract analyzed in this thesis is the Canadian Bankers' Acceptance Futures contract, the BAX, which was introduced on the Montreal Exchange in the early eighties as an instrument to manage interest-rate risk. Institutional features of the BAX market and the growth of this market, particularly in the second part of the 1990s, are described in Chapter 2. The efficiency of the BAX market is also addressed in this chapter where cointegration analysis is used to investigate the unbiasedness hypothesis. Chapter 3 presents a univariate analysis of the BAX, and its underlying instrument the Canadian Bankers' Acceptance or BA, in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. The successful estimation of these general models requires a considerable amount of data and necessitates the daily sampling frequency which is used in this thesis. Chapter 4 presents a brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The time-varying BA/BAX Hedge Ratio is then estimated. The hedging performance of these models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio

Performance Analysis of Dynamic Downlink PPP Cellular Networks over Generalized Fading Channels with MRC Diversity

This paper proposes novel and generalized expressions to characterize the performance of modern cellular networks under realistic user mobility behavior. The η-μ distribution is employed to derive the received power probability density function, the average bit error rate for different modulation schemes, and the coverage probability assuming a Poisson point process spatial distribution of base stations in downlink. The user is assumed to experience fading with Maximum Ratio Combining (MRC) and move according to a random way-point mobility model. To get more insights on the achivable diversity order, accurate asymptotic expressions for the coverage probability and average bit error rate are derived. The derived expressions are applicable to different widely-used fading environments, such as Rayleigh and Nakagami-m as particular cases, by an appropriate selection of the η-μ parameters. Monte Carlo simulation was used to show the validity of the proposed expressions. In addition, the generalized expressions allow the system designer to quantify the effects of user mobility on the cellular network performance, in different propagation environments, and network topologies as a function of the number of base stations and MRC branches

Orientation-Dependent Pinning and Homoclinic Snaking on a Planar Lattice *

Abstract. We study homoclinic snaking of one-dimensional, localized states on two-dimensional, bistable lattices via the method of exponential asymptotics. Within a narrow region of parameter space, fronts connecting the two stable states are pinned to the underlying lattice. Localized solutions are formed by matching two such stationary fronts back-to-back; depending on the orientation relative to the lattice, the solution branch may "snake" back and forth within the pinning region via successive saddle-node bifurcations. Standard continuum approximations in the weakly nonlinear limit (equivalently, the limit of small mesh size) do not exhibit this behavior, due to the resultant leading-order reaction-diffusion equation lacking a periodic spatial structure. By including exponentially small effects hidden beyond all algebraic orders in the asymptotic expansion, we find that exponentially small but exponentially growing terms are switched on via error function smoothing near Stokes lines. Eliminating these otherwise unbounded beyond-all-orders terms selects the origin (modulo the mesh size) of the front, and matching two fronts together yields a set of equations describing the snaking bifurcation diagram. This is possible only within an exponentially small region of parameter space-the pinning region. Moreover, by considering fronts orientated at an arbitrary angle ψ to the x-axis, we show that the width of the pinning region is nonzero only if tan ψ is rational or infinite. The asymptotic results are compared with numerical calculations, with good agreement. Key words. homoclinic snaking, direction-dependent pinning, exponential asymptotics, square lattice AMS subject classifications. 34A33, 34E05, 34K18 DOI. 10.1137/140966897 1. Introduction. The phenomenon known as homoclinic snaking, referring to the existence of a multiplicity of localized solutions within a narrow region of parameter space, has been observed in a wide variety of experimental and theoretical context

A Robust Numerical Method to Study Oscillatory Instability of Gap Solitary Waves *

Abstract. The spectral problem associated with the linearization about solitary waves of spinor systems or optical coupled mode equations supporting gap solitons is formulated in terms of the Evans function, a complex analytic function whose zeros correspond to eigenvalues. These problems may exhibit oscillatory instabilities where eigenvalues detach from the edges of the continuous spectrum-socalled edge bifurcations. A numerical framework, based on a fast robust shooting algorithm using exterior algebra, is described. The complete algorithm is robust in the sense that it does not produce spurious unstable eigenvalues. The algorithm allows us to locate exactly where the unstable discrete eigenvalues detach from the continuous spectrum. Moreover, the algorithm allows for stable shooting along multidimensional stable and unstable manifolds. The method is illustrated by computing the stability and instability of gap solitary waves of a coupled mode model

On The Nature of Ring Patterns In Ice Crystals of Hailstones: A Signature of Global Warming

In the present work we report for the first time the ring patterns in the ice crystals procured from hailstones at Doom Dooma (27.40N, 95.30E) on March 17, 2016 and April 9, 2017. We have measured the intensity patterns of the rings with the help of a software (ImageJ). Since the ring patterns have been observed in the ice crystals of hailstones only in recent years, it is reasonable to believe that they will give valuable information on the process of ice nucleation and possibly on global warming

Unique prokaryotic consortia in geochemically distinct sediments from Red Sea Atlantis II and Discovery Deep brine pools

© The Author(s), 2012. This article is distributed under the terms of the Creative Commons Attribution License. The definitive version was published in PLoS ONE 7 (2012): e42872, doi:10.1371/journal.pone.0042872.The seafloor is a unique environment, which allows insights into how geochemical processes affect the diversity of biological life. Among its diverse ecosystems are deep-sea brine pools - water bodies characterized by a unique combination of extreme conditions. The ‘polyextremophiles’ that constitute the microbial assemblage of these deep hot brines have not been comprehensively studied. We report a comparative taxonomic analysis of the prokaryotic communities of the sediments directly below the Red Sea brine pools, namely, Atlantis II, Discovery, Chain Deep, and an adjacent brine-influenced site. Analyses of sediment samples and high-throughput pyrosequencing of PCR-amplified environmental 16S ribosomal RNA genes (16S rDNA) revealed that one sulfur (S)-rich Atlantis II and one nitrogen (N)-rich Discovery Deep section contained distinct microbial populations that differed from those found in the other sediment samples examined. Proteobacteria, Actinobacteria, Cyanobacteria, Deferribacteres, and Euryarchaeota were the most abundant bacterial and archaeal phyla in both the S- and N-rich sections. Relative abundance-based hierarchical clustering of the 16S rDNA pyrotags assigned to major taxonomic groups allowed us to categorize the archaeal and bacterial communities into three major and distinct groups; group I was unique to the S-rich Atlantis II section (ATII-1), group II was characteristic for the N-rich Discovery sample (DD-1), and group III reflected the composition of the remaining sediments. Many of the groups detected in the S-rich Atlantis II section are likely to play a dominant role in the cycling of methane and sulfur due to their phylogenetic affiliations with bacteria and archaea involved in anaerobic methane oxidation and sulfate reduction.This work was supported by King Abdullah University for Science and Technology Global Collaborative Partners (GCR) program

Use of Surrogate end points in HTA

The different actors involved in health system decision-making and regulation have to deal with the question which are valid parameters to assess the health value of health technologies

Molecular identification of adenoviruses associated with respiratory infection in Egypt from 2003 to 2010.

BACKGROUND: Human adenoviruses of species B, C, and E (HAdV-B, -C, -E) are frequent causative agents of acute respiratory infections worldwide. As part of a surveillance program aimed at identifying the etiology of influenza-like illness (ILI) in Egypt, we characterized 105 adenovirus isolates from clinical samples collected between 2003 and 2010. METHODS: Identification of the isolates as HAdV was accomplished by an immunofluorescence assay (IFA) and confirmed by a set of species and type specific polymerase chain reactions (PCR). RESULTS: Of the 105 isolates, 42% were identified as belonging to HAdV-B, 60% as HAdV-C, and 1% as HAdV-E. We identified a total of six co-infections by PCR, of which five were HAdV-B/HAdV-C co-infections, and one was a co-infection of two HAdV-C types: HAdV-5/HAdV-6. Molecular typing by PCR enabled the identification of eight genotypes of human adenoviruses; HAdV-3 (n = 22), HAdV-7 (n = 14), HAdV-11 (n = 8), HAdV-1 (n = 22), HAdV-2 (20), HAdV-5 (n = 15), HAdV-6 (n = 3) and HAdV-4 (n = 1). The most abundant species in the characterized collection of isolates was HAdV-C, which is concordant with existing data for worldwide epidemiology of HAdV respiratory infections. CONCLUSIONS: We identified three species, HAdV-B, -C and -E, among patients with ILI over the course of 7 years in Egypt, with at least eight diverse types circulating

Automotive Industry Response to its Global QMS Standard ISO/TS-16949

With increasing globalization, the intense competition and customer-pressure have spurred many producers from developing/ emerging countries to adopt the best management and organizational practices. The quality issues are paramount for automotive manufacturing. The multiplicity of Quality Management System (QMS) Standards prevalent till the 1990s finally gave way to development of a harmonized automotive industry-specific QMS, namely ISO/TS-16949. This paper analyzes the major factors motivating firms to adopt this Standard: its quality signaling function, especially in international business, and facilitative role in moving up the supply chain. We investigate the inter-national and inter-regional concentration of ISO/TS-16949 certificates and relate those changes to the automotive industry dynamics. Among the top certifying nations - China, India and Brazil included - these certificates and ‘cars and commercial vehicles’ produced are highly correlated. A moderate-to-high worldwide growth of this certification is probable in near future with its gaining popularity among Tier-2 suppliers and for two/ three-wheeler automotive production. The Indian evidence indicates a sizeable proportion of car and commercial vehicle plants being ISO/TS-16949 certified and a high certification incidence among large and medium-large auto component firms. We suggest the creation of a Centre to encourage and prepare SMEs and provide financial assistance for ISO/TS-16949 certification