December 26, 2012

Record 1 of 7.

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Title:

Asset financing with credit risk

Author Full Names:

Golbeck, Steven; Linetsky, Vadim

Source:

JOURNAL OF BANKING & FINANCE, 37 (1):43-59; 10.1016/j.jbankfin.2012.08.010 JAN 2013

Abstract:

This paper develops a model for the unified valuation of all forms of real asset financing, such as bank loans, leases, securitization vehicles, and credit guarantees, secured by assets that generate a stochastic service flow to the operator, or a rental stream to the lessor, and depreciate over a finite economic life to their scrap value. Examples include mobile equipment, such as aircraft, railroad equipment, ships, trucks and trailers, as well as energy generation assets, heavy factory equipment and construction equipment. In the event of obligor default, after a repossession delay and incurring costs of repossession, maintenance, re-marketing and re-deployment, the lender repossesses the asset and sells it on the secondary market and is, thus, subject to the risk of decline in the market value of the asset. The model we develop in this paper treats all forms of asset financing in a unified fashion as contingent claims on the collateral asset and the credit of the borrowe! r. As an application, we estimate the collateral asset model on historical secondary market data for aircraft values and calibrate the financing model to the Enhanced Equipment Trust Certificates (EETCs) issued in 2007 by Continental Airlines and secured by a fleet of new aircraft. We then apply the calibrated model to value private market financing, including bank loans, leases, and credit guarantees, consistently with the capital market financing, and assess the impact of repossession delays on credit spreads. This analysis leads to a policy insight suggesting that bankruptcy laws limiting asset repossession delays lead to lower costs of asset financing. (C) 2012 Elsevier B.V. All rights reserved.

Record 2 of 7.

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Title:

Stochastic thermodynamics across scales: Emergent inter-attractoral discrete Markov jump process and its underlying continuous diffusion

Author Full Names:

Santillan, Moises; Qian, Hong

Source:

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 392 (1):123-135; 10.1016/j.physa.2012.08.019 JAN 1 2013

Abstract:

We investigate the internal consistency of a recently developed mathematical thermodynamic structure across scales, between a continuous stochastic nonlinear dynamical system, i.e., a diffusion process with Langevin and Fokker-Planck equations, and its emergent discrete, inter-attractoral Markov jump process. We analyze how the system's thermodynamic state functions, e.g. free energy F, entropy S. entropy production e(p), free energy dissipation (F) over dot, etc., are related when the continuous system is described with coarse-grained discrete variables. It is shown that the thermodynamics derived from the underlying, detailed continuous dynamics gives rise to exactly the free-energy representation of Gibbs and Helmholtz. That is, the system's thermodynamic structure is the same as if one only takes a middle road and starts with the natural discrete description, with the corresponding transition rates empirically determined. By natural we mean in the thermodynamic limit of ! a large system, with an inherent separation of time scales between inter- and intra-attractoral dynamics. This result generalizes a fundamental idea from chemistry, and the theory of Kramers, by incorporating thermodynamics: while a mechanical description of a molecule is in terms of continuous bond lengths and angles, chemical reactions are phenomenologically described by a discrete representation, in terms of exponential rate laws and a stochastic thermodynamics. (C) 2012 Elsevier B.V. All rights reserved.

Record 3 of 7.

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Title:

Technical note: A novel geometric morphometric approach to the study of long bone shape variation

Author Full Names:

Frelat, Melanie A.; Katina, Stanislav; Weber, Gerhard W.; Bookstein, Fred L.

Source:

AMERICAN JOURNAL OF PHYSICAL ANTHROPOLOGY, 149 (4):628-638; 10.1002/ajpa.22177 DEC 2012

Abstract:

Procrustes-based geometric morphometrics (GM) is most often applied to problems of craniofacial shape variation. Here, we demonstrate a novel application of GM to the analysis of whole postcranial elements in a study of 77 hominoid tibiae. We focus on two novel methodological improvements to standard GM approaches: 1) landmark configurations of tibiae including 15 epiphyseal landmarks and 483 semilandmarks along articular surfaces and muscle insertions along the tibial shaft and 2) an artificial affine transformation that sets moments along the shaft equal to the sum of the moments estimated in the other two anatomical directions. Diagrams of the principal components of tibial shapes support most differences between human and non-human primates reported previously. The artificial affine transformation proposed here results in an improved clustering of the great apes that may prove useful in future discriminant or clustering studies. Since the shape variations observed may be! related to different locomotor behaviors, posture, or activity patterns, we suggest that this method be used in functional analyses of tibiae or other long bones in modern populations or fossil specimens. Am J Phys Anthropol, 2012. (c) 2012 Wiley Periodicals, Inc.

Record 4 of 7.

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Title:

Modelling national HIV/AIDS epidemics: revised approach in the UNAIDS Estimation and Projection Package 2011

Author Full Names:

Bao, Le; Salomon, Joshua A.; Brown, Tim; Raftery, Adrian E.; Hogan, Daniel R.

Source:

SEXUALLY TRANSMITTED INFECTIONS, 88 I3-I10; 2 10.1136/sextrans-2012-050637 DEC 2012

Abstract:

Objective United Nations Programme on HIV/AIDS reports regularly on estimated levels and trends in HIV/AIDS epidemics, which are evaluated using an epidemiological model within the Estimation and Projection Package (EPP). The relatively simple four-parameter model of HIV incidence used in EPP through the previous round of estimates has encountered challenges when attempting to fit certain data series on prevalence over time, particularly in settings with long running epidemics where prevalence has increased recently. To address this, the most recent version of the modelling package (EPP 2011) includes a more flexible epidemiological model that allows HIV infection risk to vary over time. This paper describes the technical details of this flexible approach to modelling HIV transmission dynamics within EPP 2011.
Methodology For the flexible modelling approach, the force of infection parameter, r, is allowed to vary over time through a random walk formulation, and an informative prior distribution is used to improve short-term projections beyond the last year of data. Model parameters are estimated using a Bayesian estimation approach in which models are fit to HIV seroprevalence data from surveillance sites.
Results This flexible model can yield better estimates of HIV prevalence over time in situations where the classic EPP model has difficulties, such as in Uganda, where prevalence is no longer falling. Based on formal out-of-sample projection tests, the flexible modelling approach also improves predictions and CIs for extrapolations beyond the last observed data point.
Conclusions We recommend use of a flexible modelling approach where data are sufficient (eg, where at least 5 years of observations are available), and particularly where an epidemic is beyond its peak.

Record 5 of 7.

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Title:

Neck instability of bright solitons in normally dispersive Kerr media

Author Full Names:

Gorza, Simon-Pierre; Deconinck, Bernard; Trogdon, Thomas; Emplit, Philippe; Haelterman, Marc

Source:

OPTICS LETTERS, 37 (22):4657-4659; NOV 15 2012

Abstract:

The neck instability of bright solitons of the hyperbolic nonlinear Shrodinger equation is investigated. It is shown that this instability originates from a four-wave mixing interaction that links on-axis to off-axis radiation at opposite frequency bands. Our experiment supports this interpretation. (C) 2012 Optical Society of America

Record 6 of 7.

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Title:

DIRICHLET HEAT KERNEL ESTIMATES FOR FRACTIONAL LAPLACIAN WITH GRADIENT PERTURBATION

Author Full Names:

Chen, Zhen-Qing; Kim, Panki; Song, Renming

Source:

ANNALS OF PROBABILITY, 40 (6):2483-2538; 10.1214/11-AOP682 NOV 2012

Abstract:

Suppose that d >= 2 and alpha is an element of (1, 2). Let D be a bounded C-1,C-1 open set in R-d and b an R-d-valued function on R-d whose components are in a certain Kato class of the rotationally symmetric a-stable process. In this paper, we derive sharp two-sided heat kernel estimates for L-b = Delta(alpha/2) + b . del in D with zero exterior condition. We also obtain the boundary Harnack principle for L-b in D with explicit decay rate.

Record 7 of 7.

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Title:

QUAliFiER: An automated pipeline for quality assessment of gated flow cytometry data

Author Full Names:

Finak, Greg; Jiang, Wenxin; Pardo, Jorge; Asare, Adam; Gottardo, Raphael

Source:

BMC BIOINFORMATICS, 13 10.1186/1471-2105-13-252 SEP 28 2012

Abstract:

Background: Effective quality assessment is an important part of any high-throughput flow cytometry data analysis pipeline, especially when considering the complex designs of the typical flow experiments applied in clinical trials. Technical issues like instrument variation, problematic antibody staining, or reagent lot changes can lead to biases in the extracted cell subpopulation statistics. These biases can manifest themselves in non-obvious ways that can be difficult to detect without leveraging information about the study design or other experimental metadata. Consequently, a systematic and integrated approach to quality assessment of flow cytometry data is necessary to effectively identify technical errors that impact multiple samples over time. Gated cell populations and their statistics must be monitored within the context of the experimental run, assay, and the overall study.
Results: We have developed two new packages, flowWorkspace and QUAliFiER to construct a pipeline for quality assessment of gated flow cytometry data. flowWorkspace makes manually gated data accessible to BioConductor's computational flow tools by importing pre-processed and gated data from the widely used manual gating tool, FlowJo (Tree Star Inc, Ashland OR). The QUAliFiER package takes advantage of the manual gates to perform an extensive series of statistical quality assessment checks on the gated cell sub-populations while taking into account the structure of the data and the study design to monitor the consistency of population statistics across staining panels, subject, aliquots, channels, or other experimental variables. QUAliFiER implements SVG-based interactive visualization methods, allowing investigators to examine quality assessment results across different views of the data, and it has a flexible interface allowing users to tailor quality checks and outlier ! detection routines to suit their data analysis needs.
Conclusion: We present a pipeline constructed from two new R packages for importing manually gated flow cytometry data and performing flexible and robust quality assessment checks. The pipeline addresses the increasing demand for tools capable of performing quality checks on large flow data sets generated in typical clinical trials. The QUAliFiER tool objectively, efficiently, and reproducibly identifies outlier samples in an automated manner by monitoring cell population statistics from gated or ungated flow data conditioned on experiment-level metadata.