Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption

Equity Default Swaps are new equity derivatives designed as a product for credit investors.Equipped with a novel pricing result, we provide closedform values that give an analytic contribution to the viability of cross-asset trading related to credit risk.Cross-Asset Trading of Credit Risk;Constant-Elasticity-of-Variance (CEV) Diffusion

Assessing Credit with Equity: A CEV Model with Jump to Default

Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps.Restrictive assumptions on the .rm.s capital structure are avoided.Default is parsimoniously represented by equity value hitting the zero barrier either diffusively or with a jump, which implies non-zero credit spreads for short maturities.Easy cross-asset hedging is enabled.By means of a tersely speci.ed pricing kernel, we also make analytic credit-risk management possible under systematic jump-to-default risk.Equity;Corporate Bonds;Credit Default Swaps;Constant-Elasticity-of-Variance (CEV) Diffusion;Jump to Default

Everyday contrasts - the sugar cane engenhos of northern Argentina as socio-cultural complex

Este artículo indaga los patrones de la vida social en los ingenios azucareros del norte argentino entre 1870 y 1930, producto de la interacción de una serie de variables que incluyen la disposición jerárquica del espacio; la organización y los ritmos de trabajo; las medidas adoptadas por los propietarios o las empresas para modelar (con propósitos "civilizatorios") las conductas de los trabajadores; las representaciones y creencias, los hábitos de sociabilidad y las actitudes frente al trabajo de los mismos. La resultante fue una dinámica de la vida cotidiana caracterizada, por un lado, por un interjuego de imposiciones, resistencias y adaptaciones; por otra parte, por agudos contrastes: el observable entre el período de la zafra y los meses de interzafra; el que separaba la utilización del tiempo y el estilo de vida, en general, de los distintos estratos que conformaban el complejo sociocultural del ingenio - patrones, personal jerárquico y de dirección, técnicos y empleados administrativos, obreros calificados, peones con contrato "permanente" y peones "transitorios". El trabajo incluye análisis comparativos con otros complejos azucareros latinoamericanos.This article explores patterns of social life in the sugar plantations of northern Argentina between 1870 and 1930, resulting from the interplay of a number of variables including the hierarchical arrangement of space, organization and working patterns, the measures taken by owners or strategies of modeling (with purposes of "civilizing") workers' behavior, the representations and beliefs, social habits and attitudes to work. The result was a dynamic everyday life that is characterized, first, by an interplay of obligation, resilience and adaptability, on the other hand, by sharp contrasts: the observable in the period between the harvest and during inter harvest, the differences in time-use and lifestyle, in general, of the various social strata that make up the complex sociocultural of the sugar cane engenho - masters, hierarchical and managerial staff, technicians and administrative staff, skilled workers, permanent contract laborers and itinerant laborers. The study includes comparative analysis with other Latin American sugar complex.Fil: Campi, Daniel Enrique A.. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Tucumán. Instituto Superior de Estudios Sociales. Universidad Nacional de Tucumán. Instituto Superior de Estudios Sociales; Argentin

A model for liquid-striped liquid phase separation in liquids of anisotropic polarons

The phase separation between a striped polaron liquid at the particular density and a high density polaron liquid is described by a modified Van der Waals scheme. The striped polaron liquid represents the pseudo gap matter or Wigner-like polaron phase at 1/8 doping in cuprate superconductors. The model includes the tendency of pseudo- Jahn-Teller polarons to form anisotropic directional bonds at a preferential volume with the formation of different liquid phases. The model gives the coexistence of a first low density polaron striped liquid and a second high density liquid that appears in cuprate superconductors for doping larger than 1/8. We discuss how the strength of anisotropic bonds controls the variation the phase separation scenarios for complex systems in the presence of a quantum critical point where the phase separation vanishes.Comment: 10 pages, 3 figure

Experimental Signals of Phase Transition

The connection between the thermodynamics of charged finite nuclear systems and the asymptotically measured partitions is presented. Some open questions, concerning in particular equilibrium partitions are discussed. We show a detailed comparison of the decay patterns in Au+ C,Cu,Au central collisions and in Au quasi-projectile events. Observation of abnormally large fluctuations in carefully selected samples of data is reported as an indication of a first order phase transition (negative heat capacity) in the nuclear equation of state.Comment: 8 pages, 8th International Conference on Nucleus-Nucleus Collisions, Moscow 200

Liquid-Gas Phase Transition in Nuclear Equation of State

A canonical ensemble model is used to describe a caloric curve of nuclear liquid-gas phase transition. Allowing a discontinuity in the freeze out density from one spinodal density to another for a given initial temperature, the nuclear liquid-gas phase transition can be described as first order. Averaging over various freeze out densities of all the possible initial temperatures for a given total reaction energy, the first order characteristics of liquid-gas phase transition is smeared out to a smooth transition. Two experiments, one at low beam energy and one at high beam energy show different caloric behaviors and are discussed.Comment: 12 pages in Revtex including two Postscript figure

Second Order Phase Transitions : From Infinite to Finite Systems

We investigate the Equation of State (EOS) of classical systems having 300 and 512 particles confined in a box with periodic boundary conditions. We show that such a system, independently on the number of particles investigated, has a critical density of about 1/3 the ground state density and a critical temperature of about $2.5~ MeV$. The mass distribution at the critical point exhibits a power law with $\tau = 2.23$. Making use of the grand partition function of Fisher's droplet model, we obtain an analytical EOS around the critical point in good agreement with the one extracted from the numerical simulations.Comment: RevTex file, 17 pages + 9 figures available upon request from [email protected]

Percolation transition of hydration water at hydrophilic surfaces

An analysis of water clustering is used to study the quasi-2D percolation transition of water adsorbed at planar hydrophilic surfaces. Above the critical temperature of the layering transition (quasi-2D liquid-vapor phase transition of adsorbed molecules) a percolation transition occurs at some threshold surface coverage, which increases with increasing temperature. The location of the percolation line is consistent with the existence of a percolation transition at the critical point. The percolation threshold at a planar surface is weakly sensitive to the size of the system when its lateral dimension increases from 80 to 150 A. The size distribution of the largest water cluster shows a specific two-peaks structure in a wide range of surface coverage : the lower- and higher-size peaks represent contributions from non-spanning and spanning clusters, respectively. The ratio of the average sizes of spanning and non-spanning largest clusters is about 1.8 for all studied planes. The two-peak structure becomes more pronounced with decreasing size of the planar surface and strongly enhances at spherical surfaces.Comment: 17 pages, 11 figure

Sc substitution for Mg in MgB2: effects on Tc and Kohn anomaly

Here we report synthesis and characterization of Mg_{1-x}Sc_{x}B_{2} (0.12T_{c}>6 K. We find that the Sc doping moves the chemical potential through the 2D/3D electronic topological transition (ETT) in the sigma band where the ``shape resonance" of interband pairing occurs. In the 3D regime beyond the ETT we observe a hardening of the E_{2g} Raman mode with a significant line-width narrowing due to suppression of the Kohn anomaly over the range 0<q<2k_{F}.Comment: 8 pages, 4 EPS figures, to be published in Phys. Rev.

Indium selenide: An insight into electronic band structure and surface excitations

We have investigated the electronic response of single crystals of indium selenide by means of angle-resolved photoemission spectroscopy, electron energy loss spectroscopy and density functional theory. The loss spectrum of indium selenide shows the direct free exciton at similar to 1.3 eV and several other peaks, which do not exhibit dispersion with the momentum. The joint analysis of the experimental band structure and the density of states indicates that spectral features in the loss function are strictly related to single-particle transitions. These excitations cannot be considered as fully coherent plasmons and they are damped even in the optical limit, i.e. for small momenta. The comparison of the calculated symmetry-projected density of states with electron energy loss spectra enables the assignment of the spectral features to transitions between specific electronic states. Furthermore, the effects of ambient gases on the band structure and on the loss function have been probed