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Rate Models (rate + models)
Kinds of Rate Models Selected AbstractsForecasting and Finite Sample Performance of Short Rate Models: International Evidence,INTERNATIONAL REVIEW OF FINANCE, Issue 3-4 2005SIRIMON TREEPONGKARUNA ABSTRACT This paper evaluates the forecasting and finite sample performance of short-term interest rate models in a number of countries. Specifically, we run a series of in-sample and out-of-sample tests for both the conditional mean and volatility of one-factor short rate models, and compare the results to the random walk model. Overall, we find that the out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data. In addition, we perform a series of Monte Carlo analyses similar to Chapman and Pearson to document the finite sample performance of the short rate models when ,3 is not restricted to be equal to one. Our results indicate the potential dangers of over-parameterization and highlight the limitations of short-term interest rate models. [source] On the Existence of Finite-Dimensional Realizations for Nonlinear Forward Rate ModelsMATHEMATICAL FINANCE, Issue 2 2001Tomas Björk We consider interest rate models of the Heath,Jarrow,Morton type, where the forward rates are driven by a multidimensional Wiener process, and where the volatility is allowed to be an arbitrary smooth functional of the present forward rate curve. Using ideas from differential geometry as well as from systems and control theory, we investigate when the forward rate process can be realized by a finite-dimensional Markovian state space model, and we give general necessary and sufficient conditions, in terms of the volatility structure, for the existence of a finite-dimensional realization. A number of concrete applications are given, and all previously known realization results (as far as existence is concerned) for Wiener driven models are included and extended. As a special case we give a general and easily applicable necessary and sufficient condition for when the induced short rate is a Markov process. In particular we give a short proof of a result by Jeffrey showing that the only forward rate models with short rate dependent volatility structures which generically possess a short rate realization are the affine ones. These models are thus the only generic short rate models from a forward rate point of view. [source] Non-linearities, Business Cycles and Exchange RatesECONOMIC NOTES, Issue 3 2008Menzie D. Chinn This paper conjoins the disparate empirical literatures on exchange rate models and monetary policy models, with special reference to the importance of output, inflation gaps and exchange rate targets. It focuses in on the dollar/euro exchange rate, and the differential results arising from using alternative measures of the output gap for the US and for the Euro area. A comparison of ,in-sample' prediction against alternative models of exchange rates is also conducted. In addition to predictive power, I also assess the various models' plausibility as economic explanations for exchange rate movements, based on the conformity of coefficient estimates with priors. Taylor rule fundamentals appear to do as well, or better, than other models at the 1-year horizon. [source] Long-term corrosion-induced copper runoff from natural and artificial patina and its environmental impact,ENVIRONMENTAL TOXICOLOGY & CHEMISTRY, Issue 3 2006Sofia Bertling Abstract The overall objective of this paper is to present an extensive set of data for corrosion-induced copper dispersion and its environmental interaction with solid surfaces in the near vicinity of buildings. Copper dispersion is discussed in terms of total copper flows, copper speciation and bioavailability at the immediate release situation, and its changes during transport from source to recipient. Presented results are based on extensive field exposures (eight years) at an urban site, laboratory investigations of the runoff process, published field data, generated predictive site-specific runoff rate models, and reactivity investigations toward various natural and manmade surfaces, such as those in soil, limestone, and concrete. Emphasis is placed on the interaction of copper-containing runoff water with different soil systems through long-term laboratory column investigations. The fate of copper is discussed in terms of copper retention, copper chemical speciation, breakthrough capacities, and future mobilization based on changes in copper concentrations in the percolate water, computer modeling using the Windermere Humic Aqueous Model, and sequential extractions. The results illustrate that, for scenarios where copper comes in extensive contact with solid surfaces, such as soil and limestone, a large fraction of released copper is retained already in the immediate vicinity of the building. In all, both the total copper concentration in runoff water and its bioavailable part undergo a significant and rapid reduction. [source] Comparison between the charring rate model and the conductive model of Eurocode 5FIRE AND MATERIALS, Issue 3 2009Paulo B. Cachim Abstract Eurocode 5, Part 1,2, presents several models for the calculation of fire resistance of timber structures. These models are based on the hypothesis that for temperatures above 300°C , wood is no longer able to sustain any stress, which makes the determination of the location of the 300°C isotherm decisive for the result provided by the models. In this paper, the charring rate model and the conductive model presented in Eurocode 5, Part 1,2 are compared regarding the determination of the location of the 300°C isotherm. The main wood parameters investigated are density, moisture content and anisotropy. The almost complete independence of the charring rate model from these parameters leads to some inconsistencies between the models. To reduce these inconsistencies some proposals to improve the conductive and the charring rate models are presented. Copyright © 2008 John Wiley & Sons, Ltd. [source] Growth and reproduction of three cladoceran species from a small wetland in the south-eastern U.S.A.FRESHWATER BIOLOGY, Issue 4 2003A. M. Lemke SUMMARY 1.,Growth, reproduction and life-history parameters were measured for three cladoceran species from a small south-eastern wetland, U.S.A. Simocephalus serrulatus, Diaphanosoma brachyurum and Scapholeberis mucronata juveniles were reared at temperatures between 10 and 25 °C on natural food resources. 2.,Growth rate increased with temperature and decreased with individual size for all three species. Maximum somatic growth rate was higher for Simocephalus (49,72% day,1) and Diaphanosoma (21,91% day,1) than for Scapholeberis (11,45% day,1). Multiple regression equations were developed which predict temperature- and mass-specific growth rates for each species. 3.,Scapholeberis egg production was positively related to temperature; however, maximum egg production occurred at intermediate temperatures for Simocephalus and Diaphanosoma. Mean cumulative egg production was higher for Scapholeberis (28,92 eggs per female) than for Simocephalus (18,25 eggs per female) and Diaphanosoma (1,41 eggs per female), and was related to differences in reproductive strategy and survival. 4.,Survival was inversely related to temperature in most cases. For all three cladocerans, the intrinsic rate of increase (r) and net reproductive rate (R0) increased with temperature, whereas generation time (G) decreased. Greater egg production by Scapholeberis compared with the other two cladocerans was consistent with higher R0 values for Scapholeberis at any given temperature. Although r was very similar among species, G was typically longer for Scapholeberis than for Simocephalus and Diaphanosoma. 5.,This analysis provides basic information about the population parameters of these coexisting wetland species, and the growth rate models can be applied to field data to determine production dynamics. [source] Forecasting and Finite Sample Performance of Short Rate Models: International Evidence,INTERNATIONAL REVIEW OF FINANCE, Issue 3-4 2005SIRIMON TREEPONGKARUNA ABSTRACT This paper evaluates the forecasting and finite sample performance of short-term interest rate models in a number of countries. Specifically, we run a series of in-sample and out-of-sample tests for both the conditional mean and volatility of one-factor short rate models, and compare the results to the random walk model. Overall, we find that the out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data. In addition, we perform a series of Monte Carlo analyses similar to Chapman and Pearson to document the finite sample performance of the short rate models when ,3 is not restricted to be equal to one. Our results indicate the potential dangers of over-parameterization and highlight the limitations of short-term interest rate models. [source] Recent modelling of sedimentation of suspended particles: a survey,IRRIGATION AND DRAINAGE, Issue 2 2001P. Boogerd modélisation de la sédimentation; dépostition granulaire; transport sédimentaire Abstract Recent literature on modelling of sedimentation was studied. Attention was paid to hydrodynamics, numerical simulation, settling velocity models, sediment and velocity distribution functions, and sediment transport equations. Many popular theories, e.g. those regarding stratification and preferential sweeping, are under discussion. The traditional view that large-scale, energy-containing fluid motions dominate the transport of particles is found to be under attack, as is the modification of the von Karman coefficient to account for the presence of sediment. It is unclear which model for hindered settling should be used under what circumstances, and the effect of particle distribution cannot yet be calculated. Even the most basic problems, such as settling of multiple and/or non-spherical particles in a quiescent liquid, still require research. In the field of sediment distribution functions new solutions are still not entirely satisfactory. Furthermore, the predictive value of transport rate models is still rather low, and several popular sediment transport functions consistently allow more degradation than aggradation. Copyright © 2001 John Wiley & Sons, Ltd. Ce document est une étude de la littérature récente de la modélisation de la sédimentation, en prêtant attention à la hydrodynamique, les simulations numériques, les modèles de la vitesse de déposer, les fonctions de la répartition du sédiment et de la vitesse, et les équations du transport sédimentaire. Beaucoup de théories modernes, celles concernant la stratification et l'entraînage préférentiel par exemple, sont en cours de discussion. L'idée traditionnelle que les mouvements fluides au champ extensif et contenant de l'energie dominent le transport granulaire est attaquée, ainsi que la modification du coefficient von Karman pour tenir compte de la présence du sédiment. Quel modèle à user pour la déposition gênée, et en quelle situation, n'est pas évident, et l'effet de la répartition granulométrique est incalculable. Même les problèmes les plus fondamentaux, comme la déposition d'e multiples granules ou des granules non-sphériques dans un liquide quiescent, ont besoin de recherche. Dans le domaine des fonctions de la répartition du sédiment, les nouvelles solutions ne sont pas encore entièrement satisfaisantes. En outre la valeur prédictionnaire des modèles de la vitesse de transport est encore assez basse, et plusieurs fonctions de transport populaires permettent constamment plus de dégradation que d'accroissement. Copyright © 2001 John Wiley & Sons, Ltd. [source] Metabolic rate models and the substitutability of predator populationsJOURNAL OF ANIMAL ECOLOGY, Issue 2 2004David R. Chalcraft Summary 1Much of the debate surrounding the consequences of biodiversity loss centres around the issue of whether different species are functionally similar in their effects on ecological processes. In this study, we examined whether populations consisting of smaller, more abundant individuals are functionally similar to populations of the same species with larger, fewer individuals. 2We manipulated the biomass and density of banded sunfish (Enneacanthus obesus) and measured their impact on populations of Southern leopard frog (Rana sphenocephala) larvae. We also evaluated the ability of models relating metabolic rate to body size to predict the relative impacts of populations that differ in average body size and population density. 3Our results indicate that population biomass, density and their interaction each play a large role in determining the effect of a predator population on its food resource. Populations with smaller but more abundant individuals had effects as large or larger than those populations with larger but fewer individuals. 4Although we found qualitative agreement between the observed relative effects of populations with that predicted by allometric models, we also found that density-dependence can cause effects of a population to differ from that expected based on allometry. 5The substitutability of populations differing in average body size appears to depend on complex relationships between metabolic rate, population density and the strength of density-dependence. The restrictive conditions necessary to establish functional equivalence among different populations of the same species suggests that functional equivalence should be rare in most communities. [source] Degradation Kinetics of Capsanthin in Paprika (Capsicum annuum L.) as Affected by HeatingJOURNAL OF FOOD SCIENCE, Issue 1 2001J.H. Shin ABSTRACT: Diluted juice of paprika was heated at 80, 90 and 100°C with holding times of 0, 2, 4, 8 and 16 min. Capsanthin in each sample was determined by HPLC. The degradation kinetics of capsanthin was studied by two groups of reaction models including elementary reaction rate models and those of modified square root-based pseudo (MRBP-). The MRBP-1st order reaction rate model was proven as an appropriate model in this study. The pseudo Q10 (PQ10) value was 1.045 and the predicted half-life (capsanthin 2,850 mg/L) was 27.47, 21.23 and 15.23 min, respectively, at 80, 90 and 100°C. [source] Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memoryJOURNAL OF FORECASTING, Issue 5 2006David Karemera Abstract This paper presents an autoregressive fractionally integrated moving-average (ARFIMA) model of nominal exchange rates and compares its forecasting capability with the monetary structural models and the random walk model. Monthly observations are used for Canada, France, Germany, Italy, Japan and the United Kingdom for the period of April 1973 through December 1998. The estimation method is Sowell's (1992) exact maximum likelihood estimation. The forecasting accuracy of the long-memory model is formally compared to the random walk and the monetary models, using the recently developed Harvey, Leybourne and Newbold (1997) test statistics. The results show that the long-memory model is more efficient than the random walk model in steps-ahead forecasts beyond 1 month for most currencies and more efficient than the monetary models in multi-step-ahead forecasts. This new finding strongly suggests that the long-memory model of nominal exchange rates be studied as a viable alternative to the conventional models.,,Copyright © 2006 John Wiley & Sons, Ltd. [source] The performance of non-linear exchange rate models: a forecasting comparisonJOURNAL OF FORECASTING, Issue 7 2002Gianna Boero Abstract In recent years there has been a considerable development in modelling non-linearities and asymmetries in economic and financial variables. The aim of the current paper is to compare the forecasting performance of different models for the returns of three of the most traded exchange rates in terms of the US dollar, namely the French franc (FF/$), the German mark (DM/$) and the Japanese yen (Y/$). The relative performance of non-linear models of the SETAR, STAR and GARCH types is contrasted with their linear counterparts. The results show that if attention is restricted to mean square forecast errors, the performance of the models, when distinguishable, tends to favour the linear models. The forecast performance of the models is evaluated also conditional on the regime at the forecast origin and on density forecasts. This analysis produces more evidence of forecasting gains from non-linear models. Copyright © 2002 John Wiley & Sons, Ltd. [source] Ab initio energy calculations and macroscopic rate modeling of hydroformylation of higher alkenes by Rh-based catalystAICHE JOURNAL, Issue 12 2009Maizatul S. Shaharun Abstract Ab initio quantum chemical computations have been done to determine the energetics and reaction pathways of hydroformylation of higher alkenes using a rhodium complex homogeneous catalyst. Calculation of fragments of the potential energy surfaces of the HRh(CO)(PPh3)3 -catalyzed hydroformylation of 1-decene, 1-dodecene, and styrene were performed by the restricted Hartree-Fock method at the second-order MØller-Plesset (MP2) level of perturbation theory and basis set of 6-31++G(d,p). Geometrically optimized structures of the intermediates and transition states were identified. Three generalized rate models were developed on the basis of above reaction path analysis as well as experimental findings reported in the literature. The kinetic and equilibrium parameters of the models were estimated by nonlinear least square regression of available literature data. The model based on H2 -oxidative addition fitted the data best; it predicts the conversion of all the alkenes quite satisfactorily with an average deviation of 7.6% and a maximum deviation of 13%. © 2009 American Institute of Chemical Engineers AIChE J, 2009 [source] Application of the random pore model to the carbonation cyclic reactionAICHE JOURNAL, Issue 5 2009Gemma Grasa Abstract Calcium oxide has been proved to be a suitable sorbent for high temperature CO2 capture processes based on the cyclic carbonation-calcination reaction. It is important to have reaction rate models that are able to describe the behavior of CaO particles with respect to the carbonation reaction. Fresh calcined lime is known to be a reactive solid toward carbonation, but the average sorbent particle in a CaO-based CO2 capture system experiences many carbonation-calcination cycles and the reactivity changes with the number of cycles. This study applies the random pore model (RPM) to estimate the intrinsic rate parameters for the carbonation reaction and develops a simple model to calculate particle conversion with time as a function of the number of cycles, partial pressure of CO2, and temperature. This version of the RPM model integrates knowledge obtained in earlier works on intrinsic carbonation rates, critical product layer thickness, and pore structure evolution in highly cycled particles. © 2009 American Institute of Chemical Engineers AIChE J, 2009 [source] Bayesian cure rate models for malignant melanoma: a case-study of Eastern Cooperative Oncology Group trial E1690JOURNAL OF THE ROYAL STATISTICAL SOCIETY: SERIES C (APPLIED STATISTICS), Issue 2 2002Ming-Hui Chen We propose several Bayesian models for modelling time-to-event data. We consider a piecewise exponential model, a fully parametric cure rate model and a semiparametric cure rate model. For each model, we derive the likelihood function and examine some of its properties for carrying out Bayesian inference with non-informative priors. We also examine model identifiability issues and give conditions which guarantee identifiability. Also, for each model, we construct a class of informative prior distributions based on historical data, i.e. data from similar previous studies. These priors, called power priors, prove to be quite useful in this context. We examine the properties of the power priors for Bayesian inference and, in particular, we study their effect on the current analysis. Tools for model comparison and model assessment are also proposed. A detailed case-study of a recently completed melanoma clinical trial conducted by the Eastern Cooperative Oncology Group is presented and the methodology proposed is demonstrated in detail. [source] The Term Structure of Simple Forward Rates with Jump RiskMATHEMATICAL FINANCE, Issue 3 2003Paul Glasserman This paper characterizes the arbitrage-free dynamics of interest rates, in the presence of both jumps and diffusion, when the term structure is modeled through simple forward rates (i.e., through discretely compounded forward rates evolving continuously in time) or forward swap rates. Whereas instantaneous continuously compounded rates form the basis of most traditional interest rate models, simply compounded rates and their parameters are more directly observable in practice and are the basis of recent research on "market models." We consider very general types of jump processes, modeled through marked point processes, allowing randomness in jump sizes and dependence between jump sizes, jump times, and interest rates. We make explicit how jump and diffusion risk premia enter into the dynamics of simple forward rates. We also formulate reasonably tractable subclasses of models and provide pricing formulas for some derivative securities, including interest rate caps and options on swaps. Through these formulas, we illustrate the effect of jumps on implied volatilities in interest rate derivatives. [source] On the Existence of Finite-Dimensional Realizations for Nonlinear Forward Rate ModelsMATHEMATICAL FINANCE, Issue 2 2001Tomas Björk We consider interest rate models of the Heath,Jarrow,Morton type, where the forward rates are driven by a multidimensional Wiener process, and where the volatility is allowed to be an arbitrary smooth functional of the present forward rate curve. Using ideas from differential geometry as well as from systems and control theory, we investigate when the forward rate process can be realized by a finite-dimensional Markovian state space model, and we give general necessary and sufficient conditions, in terms of the volatility structure, for the existence of a finite-dimensional realization. A number of concrete applications are given, and all previously known realization results (as far as existence is concerned) for Wiener driven models are included and extended. As a special case we give a general and easily applicable necessary and sufficient condition for when the induced short rate is a Markov process. In particular we give a short proof of a result by Jeffrey showing that the only forward rate models with short rate dependent volatility structures which generically possess a short rate realization are the affine ones. These models are thus the only generic short rate models from a forward rate point of view. [source] Zero-coupon bond prices in the Vasicek and CIR models: Their computation as group-invariant solutions,MATHEMATICAL METHODS IN THE APPLIED SCIENCES, Issue 6 2008W. Sinkala Abstract We compute prices of zero-coupon bonds in the Vasicek and Cox,Ingersoll,Ross interest rate models as group-invariant solutions. Firstly, we determine the symmetries of the valuation partial differential equation that are compatible with the terminal condition and then seek the desired solution among the invariant solutions arising from these symmetries. We also point to other possible studies on these models using the symmetries admitted by the valuation partial differential equations. Copyright © 2007 John Wiley & Sons, Ltd. [source] Equity swaps in a LIBOR market modelTHE JOURNAL OF FUTURES MARKETS, Issue 9 2007Ting-Pin Wu This study extends the BGM (A. Brace, D. Gatarek, & M. Musiela, 1997) interest rate model (the London Interbank Offered Rate [LIBOR] market model) by incorporating the stock price dynamics under the martingale measure. As compared with traditional interest rate models, the extended BGM model is both appropriate for pricing equity swaps and easy to calibrate. The general framework for pricing equity swaps is proposed and applied to the pricing of floating-for-equity swaps with either constant or variable notional principals. The calibration procedure and the practical implementation are also discussed. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:893,920, 2007 [source] Kinetics of lactose hydrolysis by ,-galactosidase of Kluyveromyces lactis immobilized on cotton fabricBIOTECHNOLOGY & BIOENGINEERING, Issue 2 2003Quinn Zhengkun Zhou Abstract A mathematic model for describing the Michaelis-Menten-type reaction kinetics with product competitive inhibition and side-reaction is proposed. A multiresponse nonlinear simulation program was employed to determine the coefficients of a four-parameter rate expression. The rate expression was compared with the conventional Michaelis-Menten reaction rate models with and without product inhibition. Experimental data were obtained using ,-galactosidase of Kluyveromyces lactis immobilized on cotton fabric in a batch system at a temperature of 37°C and at various initial concentrations of dissolved lactose ranging from 3,12.5% (w/v). The reaction is followed by concentration changes with time in the tank. Samples were obtained after the outlet stream of the packed bed reactor is mixed in a well-stirred tank. High-performance liquid chromatography (HPLC) was applied to monitor the concentrations of all the sugars (reactants as well as products). The four-parameter rate model is featured with a term to describe the formation of trisaccharides, a side-reaction of the enzymatic hydrolysis. The proposed model simulates the process of lactose hydrolysis and the formation of glucose and galactose, giving better accuracy compared with the previous models. © 2002 Wiley Periodicals, Inc. Biotechnol Bioeng 81: 127,133, 2003. [source] | ||||||||||||||||||||||