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

Marker-aided genetic stock management: prospects in Philippine aquatic biodiversity conservation and aquaculture

With the advent of DNA marker-based technologies and applications, genetic stock assessment incorporating molecular marker information has become an important tool in managing resources both for aquaculture and stock enhancement. Local initiatives toward this end have been undertaken by several research and academic agencies particularly those with access to advanced molecular genetic laboratory facilities both in the Philippines and in collaborating foreign institutions. Funds coming from the Philippine Department of Science and Technology and/or international research grants have supported work on commercially valuable species such as tilapia, shrimp, mud crabs, abalone, milkfish and some high value marine fishes with a view of utilizing and in the process, demonstrating the significance of more scientific microlevel assessment of stocks. Information drawn from marker-aided genetic stock evaluation can contribute to a better understanding of the impact of how proper stock management can be more effectively achieved and how this method can gradually translate to improved yields both from culture and fisheries. This paper covers a review of the status of this technology as applied to ongoing fish conservation and aquaculture production efforts in the Philippines

Advanced simulation code for alpha spectrometry

A Monte Carlo code, known as AASI, is developed for simulating energy spectra in alpha spectrometry. The code documented here is a comprehensive package where all the major processes affecting the spectrum are included. A unique feature of the code is its ability to take into account coincidences between the particles emitted from the source. Simulations and measurements highlight the importance of coincidences in high-resolution alpha spectrometry. To show the validity of the simulated results, comparisons with measurements and other simulation codes are presented.Comment: 21 pages, 4 figures, to be published in Nucl. Instr. and Meth.

Understanding the Session Durability in Peer-to-Peer Storage System

This paper emphasizes that instead of long-term availability and reliability, the short-term session durability analysis will greatly impact the design of the real large-scale Peer-to-Peer storage system. In this paper, we use a Markov chain to model the session durability, and then derive the session durability probability distribution. Subsequently, we show the difference between our analysis and the traditional Mean Time to Failure (MTTF) analysis, from which we conclude that the misuse of MTTF analysis will greatly mislead our understanding of the session durability. We further show the impact of session durability analysis on the real system design. To our best knowledge, this is the first time ever to discuss the effects of session durability in large-scale Peer-to-Peer storage system.Computer Science, Theory & MethodsSCI(E)EICPCI-S(ISTP)

Derivation of exact master equation with stochastic description: Dissipative harmonic oscillator

A systematic procedure for deriving the master equation of a dissipative system is reported in the framework of stochastic description. For the Caldeira-Leggett model of the harmonic-oscillator bath, a detailed and elementary derivation of the bath-induced stochastic field is presented. The dynamics of the system is thereby fully described by a stochastic differential equation and the desired master equation would be acquired with statistical averaging. It is shown that the existence of a closed-form master equation depends on the specificity of the system as well as the feature of the dissipation characterized by the spectral density function. For a dissipative harmonic oscillator it is observed that the correlation between the stochastic field due to the bath and the system can be decoupled and the master equation naturally comes out. Such an equation possesses the Lindblad form in which time dependent coefficients are determined by a set of integral equations. It is proved that the obtained master equation is equivalent to the well-known Hu-Paz-Zhang equation based on the path integral technique. The procedure is also used to obtain the master equation of a dissipative harmonic oscillator in time-dependent fields.Comment: 24page

Euclidean Distances, soft and spectral Clustering on Weighted Graphs

We define a class of Euclidean distances on weighted graphs, enabling to perform thermodynamic soft graph clustering. The class can be constructed form the "raw coordinates" encountered in spectral clustering, and can be extended by means of higher-dimensional embeddings (Schoenberg transformations). Geographical flow data, properly conditioned, illustrate the procedure as well as visualization aspects.Comment: accepted for presentation (and further publication) at the ECML PKDD 2010 conferenc

Potential of imaging analysis in establishing skin concentration-distance profiles for topically applied FITC-dextran 4 kDa

Quantitatively determining the skin concentration-distance profiles of topically applied drugs is important for evaluating their safety and efficacy. The aim of the present study was to quantitatively visualize the distribution of hydrophilic drugs through the skin using confocal laser scanning microscopy (CLSM) in order to obtain skin concentration-distance profiles. FITC-dextran with a molecular weight of approximately 4 kDa (FD-4) was selected as the model fluorescent drug in the present study, and excised pig ear skin was used. The skin concentration of FD-4 at each depth of a skin section was assessed by imaging analysis of the intensity of fluorescence. The FD-4 skin concentration-distance profile obtained was analyzed using Fick’s second law of diffusion, and was markedly similar to that using skin permeation parameters in the skin permeation study. These results suggest that the present CLSM method may be a promising tool for quantitatively visualizing the concentration-distance profiles of drugs through the skin