On multicurve models for the term structure

In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the clean-valuation pricing of FRAs and CAPs (linear and nonlinear derivatives) with one of the main goals being also that of exhibiting an "adjustment factor" when passing from the one-curve to the two-curve setting. The model itself corresponds to short rate modeling where the short rate and a short rate spread are driven by affine factors; this allows for correlation between short rate and short rate spread as well as to exploit the convenient affine structure methodology. We briefly comment also on the calibration of the model parameters, including the correlation factor.Comment: 16 page

Characterisation of spatial network-like patterns from junctions' geometry

We propose a new method for quantitative characterization of spatial network-like patterns with loops, such as surface fracture patterns, leaf vein networks and patterns of urban streets. Such patterns are not well characterized by purely topological estimators: also patterns that both look different and result from different morphogenetic processes can have similar topology. A local geometric cue -the angles formed by the different branches at junctions- can complement topological information and allow to quantify the large scale spatial coherence of the pattern. For patterns that grow over time, such as fracture lines on the surface of ceramics, the rank assigned by our method to each individual segment of the pattern approximates the order of appearance of that segment. We apply the method to various network-like patterns and we find a continuous but sharp dichotomy between two classes of spatial networks: hierarchical and homogeneous. The first class results from a sequential growth process and presents large scale organization, the latter presents local, but not global organization.Comment: version 2, 14 page

Hyperbolic outer billiards : a first example

We present the first example of a hyperbolic outer billiard. More precisely we construct a one parameter family of examples which in some sense correspond to the Bunimovich billiards.Comment: 11 pages, 8 figures, to appear in Nonlinearit

Study of the dynamics of third-order iterative methods on quadratic polynomials

In this paper, we analyse the dynamical behaviour of the operators associated with multi-point interpolation iterative methods and frozen derivative methods, for solving nonlinear equations, applied on second-degree complex polynomials. We obtain that, in both cases, the Julia set is connected and separates the basins of attraction of the roots of the polynomial. Moreover, the Julia set of the operator associated with multi-point interpolation methods is the same as the Newton operator, although it is more complicated for the frozen derivative operator. We explain these differences by obtaining the conjugacy function of each method and by showing that the operators associated with Newton's method and multi-point interpolation methods are both conjugate to powers of z.The authors thank Professors X. Jarque and A. Garijo for their help. The authors also thank the referees for their valuable comments and suggestions that have improved the content of this paper. This research was supported by Ministerio de Ciencia y Tecnologia MTM2011-28636-C02-02 and by Vicerrectorado de Invetigacion, Universitat Politecnica de Valencia, PAID-06-2010-2285Cordero Barbero, A.; Torregrosa Sánchez, JR.; Vindel Cañas, P. (2012). Study of the dynamics of third-order iterative methods on quadratic polynomials. International Journal of Computer Mathematics. 89(13):1826-1836. https://doi.org/10.1080/00207160.2012.687446S182618368913Amat, S., Busquier, S., & Plaza, S. (2006). A construction of attracting periodic orbits for some classical third-order iterative methods. Journal of Computational and Applied Mathematics, 189(1-2), 22-33. doi:10.1016/j.cam.2005.03.049Amat, S., Bermúdez, C., Busquier, S., & Plaza, S. (2008). On the dynamics of the Euler iterative function. Applied Mathematics and Computation, 197(2), 725-732. doi:10.1016/j.amc.2007.08.086Amat, S., Busquier, S., & Plaza, S. (2010). Chaotic dynamics of a third-order Newton-type method. Journal of Mathematical Analysis and Applications, 366(1), 24-32. doi:10.1016/j.jmaa.2010.01.047Blanchard, P. (1995). The dynamics of Newton’s method. Proceedings of Symposia in Applied Mathematics, 139-154. doi:10.1090/psapm/049/1315536Cordero, A., & Torregrosa, J. R. (2010). On interpolation variants of Newton’s method for functions of several variables. Journal of Computational and Applied Mathematics, 234(1), 34-43. doi:10.1016/j.cam.2009.12.002Cordero, A., Hueso, J. L., Martínez, E., & Torregrosa, J. R. (2009). Multi-Point Iterative Methods for Systems of Nonlinear Equations. Lecture Notes in Control and Information Sciences, 259-267. doi:10.1007/978-3-642-02894-6_25Cordero, A., Hueso, J. L., Martínez, E., & Torregrosa, J. R. (2010). Iterative methods for use with nonlinear discrete algebraic models. Mathematical and Computer Modelling, 52(7-8), 1251-1257. doi:10.1016/j.mcm.2010.02.028Curry, J. H., Garnett, L., & Sullivan, D. (1983). On the iteration of a rational function: Computer experiments with Newton’s method. Communications in Mathematical Physics, 91(2), 267-277. doi:10.1007/bf01211162Douady, A., & Hubbard, J. H. (1985). On the dynamics of polynomial-like mappings. Annales scientifiques de l’École normale supérieure, 18(2), 287-343. doi:10.24033/asens.1491Frontini, M., & Sormani, E. (2003). Some variant of Newton’s method with third-order convergence. Applied Mathematics and Computation, 140(2-3), 419-426. doi:10.1016/s0096-3003(02)00238-2Gutiérrez, J. M., Hernández, M. A., & Romero, N. (2010). Dynamics of a new family of iterative processes for quadratic polynomials. Journal of Computational and Applied Mathematics, 233(10), 2688-2695. doi:10.1016/j.cam.2009.11.017Özban, A. . (2004). Some new variants of Newton’s method. Applied Mathematics Letters, 17(6), 677-682. doi:10.1016/s0893-9659(04)90104-8PLAZA, S. (2001). CONJUGACIES CLASSES OF SOME NUMERICAL METHODS. Proyecciones (Antofagasta), 20(1). doi:10.4067/s0716-09172001000100001Plaza, S., & Romero, N. (2011). Attracting cycles for the relaxed Newton’s method. Journal of Computational and Applied Mathematics, 235(10), 3238-3244. doi:10.1016/j.cam.2011.01.010F.A. Potra and V. Pták,Nondiscrete Introduction and Iterative Processes, Research Notes in Mathematics Vol. 103, Pitman, Boston, MA, 1984

Chaos and stability in a two-parameter family of convex billiard tables

We study, by numerical simulations and semi-rigorous arguments, a two-parameter family of convex, two-dimensional billiard tables, generalizing the one-parameter class of oval billiards of Benettin--Strelcyn [Phys. Rev. A 17, 773 (1978)]. We observe interesting dynamical phenomena when the billiard tables are continuously deformed from the integrable circular billiard to different versions of completely-chaotic stadia. In particular, we conjecture that a new class of ergodic billiard tables is obtained in certain regions of the two-dimensional parameter space, when the billiards are close to skewed stadia. We provide heuristic arguments supporting this conjecture, and give numerical confirmation using the powerful method of Lyapunov-weighted dynamics.Comment: 19 pages, 13 figures. Submitted for publication. Supplementary video available at http://sistemas.fciencias.unam.mx/~dsanders

Rigidity of escaping dynamics for transcendental entire functions

We prove an analog of Boettcher's theorem for transcendental entire functions in the Eremenko-Lyubich class B. More precisely, let f and g be entire functions with bounded sets of singular values and suppose that f and g belong to the same parameter space (i.e., are *quasiconformally equivalent* in the sense of Eremenko and Lyubich). Then f and g are conjugate when restricted to the set of points which remain in some sufficiently small neighborhood of infinity under iteration. Furthermore, this conjugacy extends to a quasiconformal self-map of the plane. We also prove that this conjugacy is essentially unique. In particular, we show that an Eremenko-Lyubich class function f has no invariant line fields on its escaping set. Finally, we show that any two hyperbolic Eremenko-Lyubich class functions f and g which belong to the same parameter space are conjugate on their sets of escaping points.Comment: 28 pages; 2 figures. Final version (October 2008). Various modificiations were made, including the introduction of Proposition 3.6, which was not formally stated previously, and the inclusion of a new figure. No major changes otherwis

DNA from extinct giant lemurs links archaeolemurids to extant indriids

<p>Abstract</p> <p>Background</p> <p>Although today 15% of living primates are endemic to Madagascar, their diversity was even greater in the recent past since dozens of extinct species have been recovered from Holocene excavation sites. Among them were the so-called "giant lemurs" some of which weighed up to 160 kg. Although extensively studied, the phylogenetic relationships between extinct and extant lemurs are still difficult to decipher, mainly due to morphological specializations that reflect ecology more than phylogeny, resulting in rampant homoplasy.</p> <p>Results</p> <p>Ancient DNA recovered from subfossils recently supported a sister relationship between giant "sloth" lemurs and extant indriids and helped to revise the phylogenetic position of <it>Megaladapis edwardsi </it>among lemuriformes, but several taxa – such as the Archaeolemuridae – still await analysis. We therefore used ancient DNA technology to address the phylogenetic status of the two archaeolemurid genera (<it>Archaeolemur </it>and <it>Hadropithecus</it>). Despite poor DNA preservation conditions in subtropical environments, we managed to recover 94- to 539-bp sequences for two mitochondrial genes among 5 subfossil samples.</p> <p>Conclusion</p> <p>This new sequence information provides evidence for the proximity of <it>Archaeolemur </it>and <it>Hadropithecus </it>to extant indriids, in agreement with earlier assessments of their taxonomic status (Primates, Indrioidea) and in contrast to recent suggestions of a closer relationship to the Lemuridae made on the basis of analyses of dental developmental and postcranial characters. These data provide new insights into the evolution of the locomotor apparatus among lemurids and indriids.</p

Capture zones of the family of functions lambda z^m exp(z)

We consider the family of entire transcendental maps given by $F_{\lambda,m}= \lambda z^m exp(z)$ where m>=2. All functions $F_{\lambda,m}$ have a superattracting fixed point at z=0, and a critical point at z=-m. In the dynamical plane we study the topology of the basin of attraction of z=0. In the parameter plane we focus on the capture behaviour, i.e., \lambda values such that the critical point belongs to the basin of attraction of z=0. In particular, we find a capture zone for which this basin has a unique connected component, whose boundary is then non-locally connected. However, there are parameter values for which the boundary of the immediate basin of z=0 is a quasicircle.Comment: 25 pages, 14 figures. Accepted for publication in the International Journal of bifurcation and Chao

Scarred Patterns in Surface Waves

Surface wave patterns are investigated experimentally in a system geometry that has become a paradigm of quantum chaos: the stadium billiard. Linear waves in bounded geometries for which classical ray trajectories are chaotic are known to give rise to scarred patterns. Here, we utilize parametrically forced surface waves (Faraday waves), which become progressively nonlinear beyond the wave instability threshold, to investigate the subtle interplay between boundaries and nonlinearity. Only a subset (three main types) of the computed linear modes of the stadium are observed in a systematic scan. These correspond to modes in which the wave amplitudes are strongly enhanced along paths corresponding to certain periodic ray orbits. Many other modes are found to be suppressed, in general agreement with a prediction by Agam and Altshuler based on boundary dissipation and the Lyapunov exponent of the associated orbit. Spatially asymmetric or disordered (but time-independent) patterns are also found even near onset. As the driving acceleration is increased, the time-independent scarred patterns persist, but in some cases transitions between modes are noted. The onset of spatiotemporal chaos at higher forcing amplitude often involves a nonperiodic oscillation between spatially ordered and disordered states. We characterize this phenomenon using the concept of pattern entropy. The rate of change of the patterns is found to be reduced as the state passes temporarily near the ordered configurations of lower entropy. We also report complex but highly symmetric (time-independent) patterns far above onset in the regime that is normally chaotic.Comment: 9 pages, 10 figures (low resolution gif files). Updated and added references and text. For high resolution images: http://physics.clarku.edu/~akudrolli/stadium.htm