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.

Analysis of energy detection of unknown signals under Beckmann fading channels

(c) 2017 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other users, including reprinting/ republishing this material for advertising or promotional purposes, creating new collective works for resale or redistribution to servers or lists, or reuse of any copyrighted components of this work in other works.The Beckmann fading is a general multipath fading model which includes Rice, Hoyt and Rayleigh fading as particular cases. However, the generality of the Beckmann fading also implies a significant increased mathematical complexity. Thus, relatively few analytical results have been reported for this otherwise useful fading model. The performance of energy detection for multi-branch receivers operating under Beckmann fading is here studied, and the inherent analytical complexity is here circumvented by the derivation of a closed-form expression for the generalized moment generating function (MGF) of the received signal-to-noise ratio (SNR), which is a new and useful result, as it is key for evaluating the receiver operating characteristics. The impact of fading severity on the probability of missed detection is shown to be less critical as the SNR decreases. Monte Carlo simulations have been carried out in order to validate the obtained theoretical expressions.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech. Proyecto MINECO-FEDER TEC2013-42711-R y TEC2013-44442-P. Junta de Andalucía P11-TIC-7109

Accurate and fast computations with Green matrices

This paper provides a linear time complexity method to obtain the bidiagonal decomposition of Green matrices with high relative accuracy. In addition, when the Green matrix is nonsingular and totally positive, this bidiagonal decomposition can be used to compute the eigenvalues, the inverse and the solution of some linear system of equations with high relative accuracy. A numerical example illustrates the advantages of this method

Locally graded groups with certain minimal conditions for subgroups, II

This paper deals with one of the ways of studying infinite groups many of whose subgroups have a prescribed property, namely the consideration of minimal conditions. If P is a theoretical property of groups and subgroups, we show that a locally graded group G satisfies the minimal condition for subgroups not having P if and only if either G is a Cernikov group or every subgroup of G satisfies P, for certain values of P concerning to normalilty, nilpotency and related ideas

Infinite locally finite groups of type PSL(2, K) or Sz(K) are not minimal under certain conditions

In classifying certain infinite groups under minimal conditions it is needed to find non-simplicity criteria for the groups under consideration. We obtain some of such criteria as a consequence of the main result of the paper and the classification of finite simple groups

Carbon footprint of dairy goat production systems: A comparison of three contrasting grazing levels in the Sierra de Grazalema Natural Park (Southern Spain)

The main objective of this study was to analyze the carbon footprint (CF) of grazing dairy goat systems in a natural park according to their grazing level. A total of 16 representative grazing goat farms in southern Spain were selected and grouped into three farming systems: low productivity grazing farms (LPG), more intensified grazing farms (MIG) and high productivity grazing farms (HPG). Their CF was analyzed, including greenhouse gas emissions and soil C sequestration according to the farms’ grazing level and milk productivity, taking into account different functional units (one kilogram of fat and protein corrected milk (FPCM) and one hectare) and milk correction. Results showed that all variables differed according to the milk correction applied as the values for cow's milk correction were 41% lower than for sheep's milk correction. Total emissions and contributions of soil carbon sequestration differed according to farming system group; LPG farms had higher total emissions than MIG and HPG farms, however total carbon sequestration was lower in the MIG farms than in the LPG and HPG farms. The CF values ranged from 2.36 to 1.76 kg CO2e kg⁻¹ FPCM for sheep's milk correction and from 1.40 to 1.04 kg CO2e kg⁻¹ FPCM for cow's milk correction. No differences were found between farming system groups in either of the two cases but when calculations took hectare of land as a functional unit, the contribution of MIG farms to the CF was 85% higher than LPG and HPG farms. Therefore it is important to take into account the functional unit used to calculate the CF by analyzing this indicator in a broader context, and including carbon sequestration by grazing livestock in the calculation. In order to reduce the CF of this type of system, it is advisable to make appropriate use of the natural resources and to reach an optimum level of milk productivity, high enough for pastoral livestock farming to be viable

Las TICs como recurso innovador en el aprendizaje presencial

TICs have become a substantial element for the new society of knowledge and information. This deep change affects all of the social dimensions and therefore education and learning. The goal of our experience is to explain some application that provide the leargning change. New methological strategies accelerate their effectiveness with the use of TICs within presential learning approach, without needing a virtual model. There are some easy programs and means for the teacher to generate a dynamic into the classroom with technologies that they define the new society.Las TICs se han convertido en un elemento sustancial de la nueva sociedad del conocimiento y de la información. Este cambio profundo afecta a todas las dimensiones sociales y, por tanto, a la educación. En nuestra experiencia, mostramos algunas aplicaciones que facilitan el cambio en la orientación del aprendizaje. Las nuevas estrategias metodológicas aceleran su eficacia con el uso de las TICs dentro de un enfoque del aprendizaje presencial, sin recurrir al modelo virtual. Existen programas y recursos fáciles para que el profesor pueda generar una dinámica de aula con las tecnologías que definen la nueva sociedad

On the term structure of Interbank interest rates: jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structure of Interbank interest rates and the pricing of options on interest rate sensitive securities. We posit a generalized single factor model with jumps to take into account external influences in the market. Daily data is used to test for jump effects. Qualitative examination of the linkage between Monetary Authorities interventions and jumps are studied. Pricing results suggests a systematic underpricing in bonds and call options if the jump component is not inc1uded. However, the pricing of put options on bonds presents indeterminacies