On the Determinants of the Value of Call Options on Default-Free Bonds

Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also produce similar estimates of bond option values. This result is established for simple option forms with known closed-form solutions as well as for more complex options that require numerical methods for evaluation. The finding is confirmed for a wide range of economic conditions, and it is robust with respect to the number and nature of factors that generate interest-rate movements.

The Pricing of Default-Free Mortgages

In this paperwe examine the household's option to prepay or call a standard fixed-rate mortgage. Results based on simulation indicate that the value of this option is sensitive to the expected path of interest rates, the variation around that path, risk aversion and refinancing costs. Unfortunately, efforts to estimate the interest rate process (by us and by previous authors) have met with only limited success, and uncertainty exists regarding the degree of risk aversion and the magnitude of refinancing costs.Thus we conclude that the application of contingent-claims methodology to options on bonds is conceptually more difficult and operationally less reliable than is the analogous application to options on stocks.Despite these reservations concerning the use of our model as a technique for absolute valuation, preliminary findings on the effects of changes in mortgage contract design on the value of the prepayment option are encouraging. For example, our estimate of the relative values of the call options on 30- and 15-year mortgages and on level-payment and graduated-payment mortgages appear to be reasonably robust with respect to specifications of the interestrate process and the other parameters.These findings suggest that our model may be of considerable use within the context of relative or comparative valuation.

Pricing Rate Caps on Default-Free Adjustable-Rate Mortgages

A model is developed and utilized in this paper to value a life of loan interest rate cap on an ARM that reprices monthly. The value of the cap is seen to depend importantly on both the slope of the term structure and the variance of the one month rate. However, the cap value is not sensitive to the source of the slope of the term structure -- what precise combination of interest rate expectations and risk aversion determined the slope. This insensitivity is fortunate because of the great difficulty of knowing at any point in time why the term structure is what it is. Given the variation in the slope of the term structure and the variance of the one month rate that occurred over the 1979-84 period, the addition to the coupon rate on a one-month ARM that lenders should have charged for a 5 percent life of loan cap has ranged from 5 to 40 basis points.

Status febrilis mit Bewusstlosigkeit

Zusammenfassung: Eine zerebrale Beteiligung bei Malaria mit Plasmodium vivax ist ungewöhnlich. Diese schwere Form der Malaria ist üblicherweise durch Plasmodium falciparum bedingt. Wir berichten über eine 18-jährige Patientin aus Pakistan mit langjähriger intermittierender Fieberanamnese, welche 4Monate nach Einreise in die Schweiz erstmals an einer zerebralen Vivax-Malaria erkrankt. Die eindrückliche neurologische Symptomatik mit Amaurosis und Bewusstseinsstörung bildete sich in diesem Fall unter Therapie in wenigen Tagen zurück. Jedoch sind Todesfälle bei zerebraler Malaria durch Plasmodium vivax beschriebe

All-Sky spectrally matched UBVRI-ZY and u'g'r'i'z' magnitudes for stars in the Tycho2 catalog

We present fitted UBVRI-ZY and u'g'r'i'z' magnitudes, spectral types and distances for 2.4M stars, derived from synthetic photometry of a library spectrum that best matches the Tycho2 BtVt, NOMAD Rn and 2MASS JHK_{2/S} catalog magnitudes. We present similarly synthesized multi-filter magnitudes, types and distances for 4.8M stars with 2MASS and SDSS photometry to g<16 within the Sloan survey region, for Landolt and Sloan primary standards, and for Sloan Northern (PT) and Southern secondary standards. The synthetic magnitude zeropoints for BtVt, UBVRI, ZvYv, JHK_{2/S}, JHK_{MKO}, Stromgren uvby, Sloan u'g'r'i'z' and ugriz are calibrated on 20 calspec spectrophotometric standards. The UBVRI and ugriz zeropoints have dispersions of 1--3%, for standards covering a range of color from -0.3 < V-I < 4.6; those for other filters are in the range 2--5%. The spectrally matched fits to Tycho2 stars provide estimated 1-sigma errors per star of ~0.2, 0.15, 0.12, 0.10 and 0.08 mags respectively in either UBVRI or u'g'r'i'z'; those for at least 70% of the SDSS survey region to g<16 have estimated 1-sigma errors per star of ~0.2, 0.06, 0.04, 0.04, 0.05 in u'g'r'i'z' or UBVRI. The density of Tycho2 stars, averaging about 60 stars per square degree, provides sufficient stars to enable automatic flux calibrations for most digital images with fields of view of 0.5 degree or more. Using several such standards per field, automatic flux calibration can be achieved to a few percent in any filter, at any airmass, in most workable observing conditions, to facilitate inter-comparison of data from different sites, telescopes and instruments.Comment: 36 pages, 30 figures, 3 printed tables, several electronic tables, accepted PASP Dec 201

Uncertainty-principle noise in vacuum-tunneling transducers

The fundamental sources of noise in a vacuum-tunneling probe used as an electromechanical transducer to monitor the location of a test mass are examined using a first-quantization formalism. We show that a tunneling transducer enforces the Heisenberg uncertainty principle for the position and momentum of a test mass monitored by the transducer through the presence of two sources of noise: the shot noise of the tunneling current and the momentum fluctuations transferred by the tunneling electrons to the test mass. We analyze a number of cases including symmetric and asymmetric rectangular potential barriers and a barrier in which there is a constant electric field. Practical configurations for reaching the quantum limit in measurements of the position of macroscopic bodies with such a class of transducers are studied

Old stellar Galactic disc in near-plane regions according to 2MASS: scales, cut-off, flare and warp

We have pursued two different methods to analyze the old stellar population near the Galactic plane, using data from the 2MASS survey. The first method is based on the isolation of the red clump giant population in the color-magnitude diagrams and the inversion of its star counts to obtain directly the density distribution along the line of sight. The second method fits the parameters of a disc model to the star counts in 820 regions. Results from both independent methods are consistent with each other. The qualitative conclusions are that the disc is well fitted by an exponential distribution in both the galactocentric distance and height. There is not an abrupt cut-off in the stellar disc (at least within R<15 kpc). There is a strong flare (i.e. an increase of scale-height towards the outer Galaxy) which begins well inside the solar circle, and hence there is a decrease of the scale-height towards the inner Galaxy. Another notable feature is the existence of a warp in the old stellar population whose amplitude is coincident with the amplitude of the gas warp. It is shown for low latitude stars (mean height: |z|~300 pc) in the outer disc (galactocentric radius R>6 kpc) that: the scale-height in the solar circle is h_z(R_sun)=3.6e-2 R_sun, the scale-length of the surface density is h_R=0.42 R_sun and the scale-length of the space density in the plane (i.e. including the effect of the flare) is H=0.25 R_sun. The variation of the scale-height due to the flare follows roughly a law h_z(R) =~ h_z(R_sun) exp [(R-R_\odot)/([12-0.6R(kpc)] kpc)] (for R<~15 kpc; R_sun=7.9 kpc). The warp moves the mean position of the disc to a height z_w=1.2e-3 R(kpc)^5.25 sin(phi+(5 deg.)) pc (for R<~13 kpc; R_sun=7.9 kpc).Comment: LaTEX, 20 pages, 23 figures, accepted to be published in A&

Role of Gastric Colonization in Nosocomial Infections and Endotoxemia: A Prospective Study in Neurosurgical Patients on Mechanical Ventilation

The role of gastric microbial colonization in nosocomial infections and endotoxemia was investigated prospectively in 40 neurosurgical patients requiring mechanical ventilation for >48 h. Each was studied up to 7 d. Swabs from the nose and oropharynx were cultured at admission, and aspirates from the stomach and trachea were cultured daily until enteral alimentation was started. Patients were evaluated every second day for endotoxemia and coagulation activation. Of 153 gastric aspirates, 66.7% contained microorganisms at a mean quantity of 107 cfu/ml, Nosocomial pneumonia occurred in 15 patients, septicemia in 5, and meningitis in 1. The stomach was the evident source of infection in only 1 patient with pneumonia. Of 140 plasma samples, 12 (8.6%) from 10 patients showed detectable endotoxin levels, but there was no association between endotoxemia or coagulation activation and the presence of microorganisms in the stomach. The stomach was not an important source for nosocomial infections or endotoxemia, even in patients with high gastric p

On the kinematic deconvolution of the local neighbourhood luminosity function

A method for inverting the statistical star counts equation, including proper motions, is presented; in order to break the degeneracy in that equation it uses the supplementary constraints required by dynamical consistency. The inversion gives access to both the kinematics and the luminosity function of each population in three r\'egimes: the singular ellipsoid, the constant ratio Schwarzschild ellipsoid plane parallel models and the epicyclic model. This more realistic model is taylored to account for local neighbourhood density and velocity distribution. The first model is fully investigated both analytically and via means of a non-parametric inversion technique, while the second model is shown to be formally its equivalent. The effect of noise and incompleteness in apparent magnitude is investigated. The third model is investigated via a 5D+2D non-parametric inversion technique where positivity of the underlying luminosity function is explicitely accounted for. It is argued that its future application to data such as the Tycho catalogue (and in the upcoming satellite GAIA) could lead -- provided the vertical potential, and/or the asymmetric drift or w_0 are known -- to a non-parametric determination of the local neighbourhood luminosity function without any reference to stellar evolution tracks. It should also yield the proportion of stars for each kinematic component and a kinematic diagnostic to split the thin disk from the thick disk or the halo.Comment: 18 pages, LateX (or Latex, etc), mnras, accepted for publicatio

The Evolution of Massive Stars. I. Red Supergiants in the Magellanic Clouds

We investigate the red supergiant (RSG) content of the SMC and LMC using multi-object spectroscopy on a sample of red stars previously identified by {\it BVR} CCD photometry. We obtained high accuracy ($<1$ km s$^{-1}$) radial velocities for 118 red stars seen towards the SMC and 167 red stars seen towards the LMC, confirming most of these (89% and 95%, respectively) as red supergiants (RSGs). Spectral types were also determined for most of these RSGs. We find that the distribution of spectral types is skewed towards earlier type at lower metallicities: the average (median) spectral type is K5-7 I in the SMC, M1 I in the LMC, and M2 I in the Milky Way. We argue that RSGs in the Magellanic Clouds are 100deg (LMC) and 300deg (SMC) cooler than Galactic RSGs of the same spectral type. We compare the distribution of RSGs in the H-R diagram to that of various stellar evolutionary models; we find that none of the models produce RSGs as cool and luminous as what is actually observed. In all of our H-R diagrams, however, there is an elegant sequence of decreasing effective temperatures with increasing luminosities; explaining this will be an important test of future stellar evolutionary models.Comment: Version with eps figures embedded can be obtained from ftp://ftp.lowell.edu/pub/massey/rsgs.ps.gz Accepted by the Astronomical Journa