21 research outputs found
Term structure of credit spreads with affine processes
No full textMestrado em Economia Monetária e FinanceiraA brief review and a comparison between Structural and Intensity mode is presented in the first section with an argument in favor of Intensity models based on the quality of information available to market participants. Next, an Intensity model with an affine (constant plus linear) parametrization of the intensity parameter driven a by a set of latent variables is formulated for the Euro Credit Default Swap (CDS) curve. Latent variables in the intensity parameter are assumed to follow uncorrelated CIR processes. Furthermore the model parameters, the latent variable processes and implicit risk-neutral default probabilities are estimated with an application of a Linearized Kalman Filter approach and a Likelihood maximization algorithm. A conclusion is reached that a model with two latent variables is able to account for 95%, 89%, 98% and 99% of the variations in 3, 5, 7 and 10-year maturities
of the CDS curve.Um breve resumo e uma comparação entre os modelo Estruturais e modelos de forma Intensiva é apresentado na primeira secção do trabalho, com um argumento a favor dos modelos de forma Intensiva baseado na qualidade de informação disponível aos participantes do mercado. De seguida, é formulado um modelo de forma Intensiva para a a curva "Credit Default Swap (CDS)" da zona Euro com a parametrização "affine" (constante mais linear) do parâmetro de intensidade que por sua vez é movido por um conjunto de variáveis latentes. É assumido que as variáveis latentes seguem processos CIR não correlacionados. Os parâmetros do modelo, processos das variáveis latentes e probabilidade de incumprimentos risco-neutrais implícitas são estimados com a aplicação da versão Linearizada do Filtro Kalman em conjunto com o algoritmo de Maxima Verosimilhança. Por fim conclui-se que o modelo com duas variáveis latentes é capaz de explicar 95%, 89%, 98% e 99% das variações nas maturidades de 3,5, 7 e 10 anos da curva CDS
Term structure of credit spreads with affine processes
No full textMestrado em Economia Monetária e FinanceiraA brief review and a comparison between Structural and Intensity mode is presented in the first section with an argument in favor of Intensity models based on the quality of information available to market participants. Next, an Intensity model with an affine (constant plus linear) parametrization of the intensity parameter driven a by a set of latent variables is formulated for the Euro Credit Default Swap (CDS) curve. Latent variables in the intensity parameter are assumed to follow uncorrelated CIR processes. Furthermore the model parameters, the latent variable processes and implicit risk-neutral default probabilities are estimated with an application of a Linearized Kalman Filter approach and a Likelihood maximization algorithm. A conclusion is reached that a model with two latent variables is able to account for 95%, 89%, 98% and 99% of the variations in 3, 5, 7 and 10-year maturities
of the CDS curve.Um breve resumo e uma comparação entre os modelo Estruturais e modelos de forma Intensiva é apresentado na primeira secção do trabalho, com um argumento a favor dos modelos de forma Intensiva baseado na qualidade de informação disponível aos participantes do mercado. De seguida, é formulado um modelo de forma Intensiva para a a curva "Credit Default Swap (CDS)" da zona Euro com a parametrização "affine" (constante mais linear) do parâmetro de intensidade que por sua vez é movido por um conjunto de variáveis latentes. É assumido que as variáveis latentes seguem processos CIR não correlacionados. Os parâmetros do modelo, processos das variáveis latentes e probabilidade de incumprimentos risco-neutrais implícitas são estimados com a aplicação da versão Linearizada do Filtro Kalman em conjunto com o algoritmo de Maxima Verosimilhança. Por fim conclui-se que o modelo com duas variáveis latentes é capaz de explicar 95%, 89%, 98% e 99% das variações nas maturidades de 3,5, 7 e 10 anos da curva CDS
Term structure of credit spreads with affine processes
No full textMestrado em Economia Monetária e FinanceiraA brief review and a comparison between Structural and Intensity mode is presented in the first section with an argument in favor of Intensity models based on the quality of information available to market participants. Next, an Intensity model with an affine (constant plus linear) parametrization of the intensity parameter driven a by a set of latent variables is formulated for the Euro Credit Default Swap (CDS) curve. Latent variables in the intensity parameter are assumed to follow uncorrelated CIR processes. Furthermore the model parameters, the latent variable processes and implicit risk-neutral default probabilities are estimated with an application of a Linearized Kalman Filter approach and a Likelihood maximization algorithm. A conclusion is reached that a model with two latent variables is able to account for 95%, 89%, 98% and 99% of the variations in 3, 5, 7 and 10-year maturities
of the CDS curve.Um breve resumo e uma comparação entre os modelo Estruturais e modelos de forma Intensiva é apresentado na primeira secção do trabalho, com um argumento a favor dos modelos de forma Intensiva baseado na qualidade de informação disponível aos participantes do mercado. De seguida, é formulado um modelo de forma Intensiva para a a curva "Credit Default Swap (CDS)" da zona Euro com a parametrização "affine" (constante mais linear) do parâmetro de intensidade que por sua vez é movido por um conjunto de variáveis latentes. É assumido que as variáveis latentes seguem processos CIR não correlacionados. Os parâmetros do modelo, processos das variáveis latentes e probabilidade de incumprimentos risco-neutrais implícitas são estimados com a aplicação da versão Linearizada do Filtro Kalman em conjunto com o algoritmo de Maxima Verosimilhança. Por fim conclui-se que o modelo com duas variáveis latentes é capaz de explicar 95%, 89%, 98% e 99% das variações nas maturidades de 3,5, 7 e 10 anos da curva CDS
Investigation of pithy screens of behaviour of players under incomplete information conditions
No full textThe investigation is concerned with normal-form coalition-free games at incomplete mutual informativeness, pithy screens of behaviour.The objective of the work is to investigate the behaviour screens at a reduced level of mutual informativeness, develop algorithms of selection of strategies converging in the corresponding game characteristics, evaluate the convergency speed. The author has investigated the following screens: parallel identification and computation of current equilibrium; maximum of average prize; careful and mixed careful behaviour. The author has established the convergence in the corresponding characteristics of games in normal form, has given analytical examples and has performed numerical modelling. The algorithms were used for computation of equilibrium (Nash method), pure and mixed careful strategies at modelling of market and international trade processesAvailable from VNTIC / VNTIC - Scientific & Technical Information Centre of RussiaSIGLERURussian Federatio
The scribes ancient copies of Dioptra by Philip Solitarius from Kirillo-Belozersky Monastery
Full text linkThe article describes the 15th century copies of “Dioptra” by Philip Solitarius from the Kirillo-Belozersky
Monastery. “Dioptra” by Philip Solitarius was one of the most popular translations in the history
of Russian-Slavic literature. Its translation from Greek was made in the middle of the 14th century in Mount Athos or in Bulgaria. The Translation of “Dioptra” became known in Russia quickly. The paper
is based on the Kirillo-Belozersky monastery’s 15th century book inventory. The Inventory consists
of three parts: inventory, provisional (roughing) inventory and finishing inventory. All three parts
are preserved in the one 15th century manuscript. (National Library of Russia, St. Cyril-Belozersky
collection, № 101/1178). The manuscript belonged to the disciple of Nil Sorsky, Herman Podolny. The
script of the manuscripts is analyzed and it is concluded that the parchment manuscript “Dioptra”
(National Library of Russia, OSRK, F. p.I. 43) was re-written by two scribes. The article contains the
list of another scribes’ autographs. It is hypothesized that the manuscript was commissioned by St.
Cyril in Moscow. The manuscript of “Dioptra” rewritten by sacristan Oleshko Pavlov in 1426 (State
Historical Museum, collection Uvarov, № 369–4°) is also analyzed in the paper. Another manuscript of
“Dioptra” (National Library of Russia, St. Cyril-Belozersk collection, № 20/1097) belonged to a monk
of Kirillo-Belozersky Monastery, Ignatius Matveyev. Ignatius was one of the monastery’s most respected
monks in the middle of the 15th century. He repeatedly concluded legal transactions on behalf of
Kirillo-Belozersky monastery during the abbacy of Trifon and Cassian (1530–60s). Probably before
he became a monk, he had had a high social status. The monk had his own collection of books. The
monastery inventory of the 1480s contain descriptions of three manuscripts belonging to Ignatius
Matveyev. Arguments for the fact that the manuscript was copied in Moscow about 1448 are made by
author of the article. Refs 18.Публикация подготовлена в рамках поддержанного РФФИ научного проекта № 16-01-00210
«Генезис “московского” полуустава. Развитие русского полууставного письма в XV — первой половине XVI веков», руководитель М. А. Шибаев
The experience of software development for bronchologist assistance during transbronchial biopsy
No full textStructure and Rheology of Solutions and Gels of Stiff Polyelectrolyte at High Salt Concentration
No full textThe
rheology and the structural evolution of xanthan solutions
and gels upon increasing polymer concentration were monitored in the
absence and in the presence of cross-linker (chromium chloride). Direct
visualization of the unperturbed structure of these systems by freeze-fracture
transmission electron microscopy revealed the microphase-separated
morphology with percolated polymer skeleton composed of aggregated
chains. The thickness of the skeleton increases with increasing polymer
concentration and at the addition of cross-linker, indicating enhancement
of microphase separation. Upon cross-linking, the networks acquire
higher plateau modulus G′, but it becomes
less dependent on polymer concentration C than in
the un-cross-linked state (G′ ∼ C1.35 and G′ ∼ C2.1, respectively). The molecular imaging also
unraveled the presence of backfolded xanthan segments and many sharp
kinks at distances smaller than the persistence length, suggesting
the presence of flexible hinges between double-helical fragments of
the polysaccharide, which is in agreement with small-angle X-ray scattering
data
Recent Theoretical Advances in Non-Convex Optimization
No full textMotivated by recent increased interest in optimization algorithms for non-convex optimization in application to training deep neural networks and other optimization problems in data analysis, we give an overview of recent theoretical results on global performance guarantees of optimization algorithms for non-convex optimization. We start with classical arguments showing that general non-convex problems could not be solved efficiently in a reasonable time. Then we give a list of problems that can be solved efficiently to find the global minimizer by exploiting the structure of the problem as much as it is possible. Another way to deal with non-convexity is to relax the goal from finding the global minimum to finding a stationary point or a local minimum. For this setting, we first present known results for the convergence rates of deterministic first-order methods, which are then followed by a general theoretical analysis of optimal stochastic and randomized gradient schemes, and an overview of the stochastic first-order methods. After that, we discuss quite general classes of non-convex problems, such as minimization of α-weakly quasi-convex functions and functions that satisfy Polyak–Łojasiewicz condition, which still allow obtaining theoretical convergence guarantees of first-order methods. Then we consider higher-order and zeroth-order/derivative-free methods and their convergence rates for non-convex optimization problems
The experience of software development for thoracic surgeon assistance during thoracoscopy
No full text
