Analytic results and weighted Monte Carlo simulations for CDO pricing

We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credit derivative referred to as Collateralized Debt Obligation (CDO). Modeling a CDO contract is challenging, since it depends on a pool of (typically about 100) assets, Monte Carlo simulations are often the only feasible approach to pricing. Variance reduction techniques are therefore of great importance. This paper presents an exact analytic solution using Laplace-transform and MC importance sampling results for an easily tractable intensity-based model of the CDO, namely the compound Poissonian. Furthermore analytic formulae are derived for the reweighting efficiency. The computational gain is appealing, nevertheless, even in this basic scheme, a phase transition can be found, rendering some parameter regimes out of reach. A model-independent transform approach is also presented for CDO pricing.Comment: 12 pages, 9 figure

Rapid analysis of pyrethroid insecticides in aquaculture seawater samples via membrane-assisted solvent extraction coupled with gas chromatography-electron capture detection

A simple, efficient, and environmentally friendly membrane-assisted solvent extraction (MASE) method for the extraction and preconcentration of six pyrethroid insecticides from aquaculture seawater samples followed by gas chromatography-electron capture detection (GC-ECD) was successfully proposed. The operating conditions for MASE, such as the extraction solvent, solvent volume, NaCl concentration, stirring rate, extraction time, and temperature, were optimized. Compared to conventional Florisil-solid phase extraction (SPE), higher extraction recoveries (85.9% to 105.9%) of three spiked levels of the six pyrethroid pesticides in aquaculture seawater were obtained using MASE, and the RSD values were lower than 7.9%. The limits of detection (LOD, signal-to-noise ratio (S/N)=3) and quantification (LOQ, S/N = 10) were in the range of 0.037–0.166 and 0.12–0.55 µg L-1, respectively. The results demonstrate the excellent applicability of the MASE method in analyzing the six pyrethroid pesticides in aqueous samples. The proposed method exhibited a high potential for routine monitoring analysis of pyrethroid insecticides in seawater samples

Studies of Prototype CsI(Tl) Crystal Scintillators for Low-Energy Neutrino Experiments

Crystal scintillators provide potential merits for the pursuit of low-energy low-background experiments. A CsI(Tl) scintillating crystal detector is being constructed to study low-energy neutrino physics at a nuclear reactor, while projects are underway to adopt this technique for dark matter searches. The choice of the geometrical parameters of the crystal modules, as well as the optimization of the read-out scheme, are the results of an R&D program. Crystals with 40 cm in length were developed. The detector requirements and the achieved performance of the prototypes are presented. Future prospects for this technique are discussed.Comment: 32 pages, 14 figure

In-Plane Magnetic Anisotropy In RF Sputtered Fe-N Thin Films

We have fabricated Fe(N) thin films with varied N2 partial pressure and studied the microstructure, morphology, magnetic properties and resistivity by using X-ray diffraction, atomic force microscopy, transmission electron microscopy, vibrating-sample magnetometer and angle-resolved M-H hysteresis Loop tracer and standard four-point probe method. In the presence of low N2 partial pressure, Fe(N) films showed a basic bcc a-Fe structure with a preferred (110) texture. A variation of in-plane magnetic anisotropy of the Fe(N) films was observed with the changing of N component. The evolution of in-plane anisotropy in the films was attributed to the directional order mechanism. Nitrogen atoms play an important role in refining the a-Fe grains and inducing uniaxial anisotropy.Comment: 11 pages, 6 figure

Magnetic enhancement of Co0.2_{0.2}Zn0.8_{0.8}Fe2_2O4_4 spinel oxide by mechanical milling

We report the magnetic properties of mechanically milled Co$_{0.2}$Zn$_{0.8}$Fe$_2$O$_4$ spinel oxide. After 24 hours milling of the bulk sample, the XRD spectra show nanostructure with average particle size $\approx$ 20 nm. The as milled sample shows an enhancement in magnetization and ordering temperature compared to the bulk sample. If the as milled sample is annealed at different temperatures for the same duration, recrystallization process occurs and approaches to the bulk structure on increasing the annealing temperatures. The magnetization of the annealed samples first increases and then decreases. At higher annealing temperature ($\sim$ 1000$^{0}$C) the system shows two coexisting magnetic phases {\it i.e.}, spin glass state and ferrimagnetic state, similar to the as prepared bulk sample. The room temperature M\"{o}ssbauer spectra of the as milled sample, annealed at 300$^{0}$C for different durations (upto 575 hours), suggest that the observed change in magnetic behaviour is strongly related with cations redistribution between tetrahedral (A) and octahedral (O) sites in the spinel structure. Apart from the cation redistribution, we suggest that the enhancement of magnetization and ordering temperature is related with the reduction of B site spin canting and increase of strain induced anisotropic energy during mechanical milling.Comment: 14 pages LaTeX, 10 ps figure

Disorder-to-order transition in the magnetic and electronic properties of URh_2Ge_2

We present a study of annealing effects on the physical properties of tetragonal single--crystalline URh_2Ge_2. This system, which in as-grown form was recently established as the first metallic 3D random-bond heavy-fermion spin glass, is transformed by an annealing treatment into a long-range antiferromagnetically (AFM) ordered heavy-fermion compound. The transport properties, which in the as-grown material were dominated by the structural disorder, exhibit in the annealed material signs of typical metallic behavior along the crystallographic a axis. From our study URh_2Ge_2 emerges as exemplary material highlighting the role and relevance of structural disorder for the properties of strongly correlated electron systems. We discuss the link between the magnetic and electronic behavior and how they are affected by the structural disorder.Comment: Phys. Rev. B, in print (scheduled 1 Mar 2000

The σ\sigma pole in J/ψ→ωπ+π−J/\psi \to \omega \pi^+ \pi^-

Using a sample of 58 million $J/\psi$ events recorded in the BESII detector, the decay $J/\psi \to \omega \pi^+ \pi^-$ is studied. There are conspicuous $\omega f_2(1270)$ and $b_1(1235)\pi$ signals. At low $\pi \pi$ mass, a large broad peak due to the $\sigma$ is observed, and its pole position is determined to be $(541 \pm 39)$ - $i$ $(252 \pm 42)$ MeV from the mean of six analyses. The errors are dominated by the systematic errors.Comment: 15 pages, 6 figures, submitted to PL

Measurements of the observed cross sections for exclusive light hadron production in e^+e^- annihilation at \sqrt{s}= 3.773 and 3.650 GeV

By analyzing the data sets of 17.3 pb$^{-1}$ taken at $\sqrt{s}=3.773$ GeV and 6.5 pb$^{-1}$ taken at $\sqrt{s}=3.650$ GeV with the BESII detector at the BEPC collider, we have measured the observed cross sections for 12 exclusive light hadron final states produced in $e^+e^-$ annihilation at the two energy points. We have also set the upper limits on the observed cross sections and the branching fractions for $\psi(3770)$ decay to these final states at 90% C.L.Comment: 8 pages, 5 figur

Measurements of Cabibbo Suppressed Hadronic Decay Fractions of Charmed D0 and D+ Mesons

Using data collected with the BESII detector at $e^{+}e^{-}$ storage ring Beijing Electron Positron Collider, the measurements of relative branching fractions for seven Cabibbo suppressed hadronic weak decays $D^0 \to K^- K^+$, $\pi^+ \pi^-$, $K^- K^+ \pi^+ \pi^-$ and $\pi^+ \pi^+ \pi^- \pi^-$, $D^+ \to \bar{K^0} K^+$, $K^- K^+ \pi^+$ and $\pi^- \pi^+ \pi^+$ are presented.Comment: 11 pages, 5 figure